UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22127
Columbia Funds Variable Series Trust II
(Exact name of registrant as specified in charter)
290 Congress Street, Boston, MA 02210
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
Boston, MA 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: December 31
Date of reporting period: December 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
December 31, 2022
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39 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | 19.09 | 7.70 | -0.56 | |
Class 2 | 04/30/13 | 18.70 | 7.37 | -0.82 | |
Bloomberg Commodity Index Total Return | 16.09 | 6.44 | -0.92 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Asset-Backed Securities — Non-Agency | 19.8 |
Commercial Mortgage-Backed Securities - Non-Agency | 2.6 |
Corporate Bonds & Notes | 28.8 |
Foreign Government Obligations | 0.6 |
Money Market Funds | 44.7 |
Residential Mortgage-Backed Securities - Non-Agency | 2.3 |
U.S. Government & Agency Obligations | 0.6 |
U.S. Treasury Obligations | 0.6 |
Total | 100.0 |
Commodities market exposure (%) (at December 31, 2022) | |||
Commodities contracts(a) | Long | Short | Net |
Agriculture | 31.0 | — | 31.0 |
Energy | 32.0 | — | 32.0 |
Industrial Metals | 12.4 | — | 12.4 |
Livestock | 6.9 | — | 6.9 |
Precious Metals | 17.7 | — | 17.7 |
Total notional market value of commodities contracts | 100.0 | — | 100.0 |
4 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
(Unaudited)
• | Energy was the single largest contributor during the year. The fund was generally overweight energy as compared to the benchmark. Natural gas, unleaded gas and crude oil were the largest contributing subsectors, primarily driven by security selection and sector allocation within the space. |
• | The Fund maintained an overweight to grains versus the benchmark. The largest contributors within the sector came from soybean meal and corn. |
• | Within livestock, curve positioning, specifically tied to lean hogs, contributed positive outperformance against the benchmark. |
• | Softs was the only subsector of the commodity market that detracted from the fund’s overall performance against the benchmark. Within softs, sugar was the largest detractor, leading to overall negative returns against the benchmark. |
• | Brent crude oil was the largest individual commodity detractor, caused primarily by security selection on the futures curve. |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Within agriculture, soybean was the only commodity that detracted from overall performance against the benchmark. |
6 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 996.10 | 1,021.36 | 3.70 | 3.75 | 0.74 |
Class 2 | 1,000.00 | 1,000.00 | 993.60 | 1,020.10 | 4.95 | 5.01 | 0.99 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 7 |
December 31, 2022
Asset-Backed Securities — Non-Agency 17.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACC Auto Trust(a) | ||||
Series 2021-A Class A | ||||
04/15/2027 | 1.080% | 52,440 | 51,865 | |
American Credit Acceptance Receivables Trust(a) | ||||
Subordinated Series 2020-3 Class C | ||||
06/15/2026 | 1.850% | 781,224 | 775,035 | |
AmeriCredit Automobile Receivables Trust | ||||
Series 2021-2 Class A2 | ||||
11/18/2024 | 0.260% | 3,256 | 3,249 | |
Atalaya Equipment Leasing Trust(a) | ||||
Series 2021-1A Class A2 | ||||
05/15/2026 | 1.230% | 73,837 | 71,643 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2017-2A Class A | ||||
03/20/2024 | 2.970% | 325,000 | 323,944 | |
BMW Vehicle Lease Trust | ||||
Series 2021-1 Class A4 | ||||
07/25/2024 | 0.370% | 595,000 | 581,319 | |
Subordinated Series 2022-1 Class A3 | ||||
03/25/2025 | 1.100% | 175,000 | 169,137 | |
Carmax Auto Owner Trust | ||||
Series 2019-2 Class A4 | ||||
12/16/2024 | 2.770% | 601,602 | 597,762 | |
Series 2019-3 Class A4 | ||||
04/15/2025 | 2.300% | 525,000 | 516,878 | |
Series 2019-4 Class A3 | ||||
11/15/2024 | 2.020% | 281,584 | 279,036 | |
CarMax Auto Owner Trust | ||||
Series 2022-1 Class A2 | ||||
02/18/2025 | 0.910% | 623,168 | 615,139 | |
Commercial Equipment Finance LLC(a) | ||||
Series 2021-A Class A | ||||
02/16/2027 | 2.050% | 198,681 | 191,335 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2021-A Class A | ||||
05/15/2026 | 1.050% | 333 | 333 | |
CPS Auto Receivables Trust(a) | ||||
Series 2022-A Class A | ||||
04/16/2029 | 0.980% | 60,435 | 59,718 | |
Credit Acceptance Auto Loan Trust(a) | ||||
Series 2020-2A Class A | ||||
07/16/2029 | 1.370% | 337,242 | 333,756 | |
DLLST LLC(a) | ||||
Series 2022-1A Class A1 | ||||
05/22/2023 | 1.560% | 23,159 | 23,116 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Drive Auto Receivables Trust | ||||
Subordinated Series 2020-2 Class C | ||||
08/17/2026 | 2.280% | 135,981 | 134,949 | |
DT Auto Owner Trust(a) | ||||
Series 2019-3A Class D | ||||
04/15/2025 | 2.960% | 403,716 | 397,935 | |
Series 2022-1A Class A | ||||
04/15/2026 | 1.580% | 237,854 | 234,152 | |
Series 2022-3A Class A | ||||
10/15/2026 | 6.050% | 1,021,679 | 1,024,584 | |
Subordinated Series 2019-3A Class E | ||||
08/17/2026 | 3.850% | 625,000 | 613,830 | |
Exeter Automobile Receivables Trust(a) | ||||
Subordinated Series 2020-1A Class D | ||||
12/15/2025 | 2.730% | 223,171 | 218,645 | |
FHF Trust(a) | ||||
Series 2021-1A Class A | ||||
03/15/2027 | 1.270% | 155,612 | 149,124 | |
Flagship Credit Auto Trust(a) | ||||
Series 2021-1 Class A | ||||
06/16/2025 | 0.310% | 82,387 | 82,042 | |
Ford Credit Auto Lease Trust | ||||
Series 2021-B Class A3 | ||||
10/15/2024 | 0.370% | 125,000 | 122,006 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2019-1 Class A | ||||
07/15/2030 | 3.520% | 550,000 | 539,501 | |
Ford Credit Auto Owner Trust | ||||
Series 2020-B Class A4 | ||||
11/15/2025 | 0.790% | 300,000 | 288,295 | |
Subordinated Series 2019-A Class B | ||||
10/15/2024 | 3.020% | 450,000 | 449,039 | |
Ford Credit Floorplan Master Owner Trust A | ||||
Series 2020-1 Class A1 | ||||
09/15/2025 | 0.700% | 575,000 | 556,372 | |
FREED ABS Trust(a) | ||||
Series 2022-4FP Class A | ||||
12/18/2029 | 6.490% | 222,060 | 222,383 | |
Subordinated Series 2021-3FP Class B | ||||
11/20/2028 | 1.010% | 77,725 | 77,098 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2020-3A Class C | ||||
05/15/2025 | 1.920% | 731,750 | 725,877 | |
GLS Auto Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class B | ||||
09/15/2025 | 0.770% | 455,250 | 449,834 |
8 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GM Financial Automobile Leasing Trust | ||||
Series 2020-3 Class A4 | ||||
10/21/2024 | 0.510% | 68,333 | 68,132 | |
Subordinated Series 2021-1 Class C | ||||
02/20/2025 | 0.700% | 200,000 | 193,886 | |
GM Financial Consumer Automobile Receivables Trust | ||||
Series 2020-1 Class A4 | ||||
03/17/2025 | 1.900% | 200,000 | 194,560 | |
Series 2020-3 Class A3 | ||||
04/16/2025 | 0.450% | 475,246 | 465,608 | |
Series 2021-2 Class A3 | ||||
04/16/2026 | 0.510% | 647,022 | 621,692 | |
Harley-Davidson Motorcycle Trust | ||||
Series 2020-A Class A3 | ||||
10/15/2024 | 1.870% | 33,982 | 33,942 | |
Series 2021-A Class A3 | ||||
04/15/2026 | 0.370% | 443,760 | 431,992 | |
HPEFS Equipment Trust(a) | ||||
Series 2021-2A Class A2 | ||||
09/20/2028 | 0.300% | 43,132 | 42,969 | |
Hyundai Auto Lease Securitization Trust(a) | ||||
Series 2021-B Class A3 | ||||
06/17/2024 | 0.330% | 500,000 | 492,454 | |
John Deere Owner Trust | ||||
Series 2021-B Class A2 | ||||
06/17/2024 | 0.250% | 195,221 | 193,836 | |
JPMorgan Chase Bank NA(a) | ||||
Subordinated Series 2021-2 Class C | ||||
12/26/2028 | 0.969% | 538,782 | 513,344 | |
JPMorgan Chase Bank NA - CACLN(a) | ||||
Series 2021-3 Class B | ||||
02/26/2029 | 0.760% | 124,982 | 117,334 | |
LAD Auto Receivables Trust(a) | ||||
Series 2021-1A Class A | ||||
08/17/2026 | 1.300% | 50,821 | 49,380 | |
Lendbuzz Securitization Trust(a) | ||||
Series 2021-1A Class A | ||||
06/15/2026 | 1.460% | 79,286 | 75,627 | |
LendingPoint Asset Securitization Trust(a) | ||||
Series 2021-B Class A | ||||
02/15/2029 | 1.110% | 74,021 | 73,496 | |
Series 2022-A Class A | ||||
06/15/2029 | 1.680% | 186,317 | 185,226 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 53,293 | 51,460 | |
Marlette Funding Trust(a) | ||||
Series 2021-2A Class A | ||||
09/15/2031 | 0.510% | 6,788 | 6,776 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Marlin Receivables LLC(a) | ||||
Series 2022-1A Class A1 | ||||
07/20/2023 | 3.372% | 276,824 | 275,937 | |
Mercedes-Benz Auto Receivables Trust | ||||
Series 2020-1 Class A4 | ||||
10/15/2026 | 0.770% | 150,000 | 142,850 | |
MMAF Equipment Finance LLC(a) | ||||
Series 2020-A Class A2 | ||||
04/09/2024 | 0.740% | 91,620 | 90,831 | |
Nissan Auto Lease Trust | ||||
Series 2021-A Class A3 | ||||
08/15/2024 | 0.520% | 225,000 | 219,797 | |
Nissan Auto Receivables Owner Trust | ||||
Series 2019-C Class A3 | ||||
07/15/2024 | 1.930% | 107,515 | 107,130 | |
Oportun Issuance Trust(a) | ||||
Series 2022-3 Class A | ||||
01/08/2030 | 7.451% | 374,156 | 373,828 | |
Oscar US Funding XIII LLC(a) | ||||
Series 2021-2A Class A2 | ||||
08/12/2024 | 0.390% | 412,038 | 406,342 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-1 Class A | ||||
11/15/2027 | 1.180% | 216,794 | 213,625 | |
Series 2021-3 Class A | ||||
05/15/2029 | 1.150% | 313,769 | 306,150 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 476,153 | 457,713 | |
Santander Drive Auto Receivables Trust | ||||
Series 2020-2 Class D | ||||
09/15/2026 | 2.220% | 427,000 | 415,141 | |
Series 2022-1 Class A3 | ||||
11/17/2025 | 1.940% | 735,000 | 724,004 | |
Series 2022-2 Class A2 | ||||
10/15/2026 | 2.120% | 143,911 | 143,500 | |
Series 2022-2 Class A3 | ||||
10/15/2026 | 2.980% | 100,000 | 97,726 | |
Series 2022-4 Class A2 | ||||
07/15/2025 | 4.050% | 483,501 | 482,456 | |
Subordinated Series 2019-2 Class D | ||||
07/15/2025 | 3.220% | 101,882 | 101,039 | |
Subordinated Series 2020-4 Class C | ||||
01/15/2026 | 1.010% | 172,459 | 170,674 | |
Santander Retail Auto Lease Trust(a) | ||||
Series 2021-A Class A3 | ||||
07/22/2024 | 0.510% | 275,000 | 267,894 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 9 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2021-B Class A2 | ||||
01/22/2024 | 0.310% | 89,953 | 89,498 | |
Theorem Funding Trust(a) | ||||
Series 2021-1A Class A | ||||
12/15/2027 | 1.210% | 71,560 | 70,394 | |
Series 2022-1A Class A | ||||
02/15/2028 | 1.850% | 327,456 | 319,845 | |
United Auto Credit Securitization Trust(a) | ||||
Series 2022-1 Class A | ||||
07/10/2024 | 1.110% | 34,436 | 34,363 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST6 Class A | ||||
08/20/2027 | 1.850% | 61,538 | 57,380 | |
Upstart Securitization Trust(a) | ||||
Series 2021-3 Class A | ||||
07/20/2031 | 0.830% | 204,708 | 200,331 | |
Verizon Owner Trust | ||||
Series 2020-A Class A1A | ||||
07/22/2024 | 1.850% | 157,464 | 156,621 | |
VFI ABS LLC(a) | ||||
Series 2022-1A Class A | ||||
03/24/2028 | 2.230% | 165,923 | 161,771 | |
Volkswagen Auto Lease Trust | ||||
Series 2020-A Class A3 | ||||
01/22/2024 | 0.390% | 122,653 | 122,041 | |
Series 2020-A Class A4 | ||||
07/21/2025 | 0.450% | 175,000 | 173,037 | |
Volkswagen Auto Loan Enhanced Trust | ||||
Series 2020-1 Class A4 | ||||
08/20/2026 | 1.260% | 225,000 | 216,944 | |
Westlake Automobile Receivables Trust(a) | ||||
Series 2022-1A Class A2A | ||||
12/16/2024 | 1.970% | 127,767 | 126,336 | |
Subordinated Series 2021-2A Class B | ||||
07/15/2026 | 0.620% | 1,134,000 | 1,093,981 | |
World Omni Auto Receivables Trust | ||||
Series 2021-A Class A3 | ||||
01/15/2026 | 0.300% | 151,242 | 146,135 | |
World Omni Automobile Lease Securitization Trust | ||||
Series 2021-A Class A2 | ||||
04/15/2024 | 0.210% | 119,228 | 118,999 | |
Series 2022-A Class A2 | ||||
10/15/2024 | 2.630% | 687,934 | 679,066 | |
World Omni Select Auto Trust | ||||
Series 2021-A Class A3 | ||||
03/15/2027 | 0.530% | 277,000 | 267,631 | |
Total Asset-Backed Securities — Non-Agency (Cost $23,886,458) | 23,721,655 | |||
Commercial Mortgage-Backed Securities - Non-Agency 2.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COMM Mortgage Trust | ||||
Series 2013-CR6 Class A4 | ||||
03/10/2046 | 3.101% | 169,305 | 168,761 | |
GS Mortgage Securities Corp. Trust(a),(b) | ||||
Series 2022-SHIP Class A | ||||
1-month Term SOFR + 0.731% Floor 0.731% 08/15/2036 | 4.525% | 325,000 | 320,889 | |
GS Mortgage Securities Trust(c) | ||||
Series 2013-GC13 Class A5 | ||||
07/10/2046 | 4.045% | 250,000 | 245,661 | |
GS Mortgage Securities Trust | ||||
Series 2013-GC14 Class A5 | ||||
08/10/2046 | 4.243% | 1,500,000 | 1,485,138 | |
JPMBB Commercial Mortgage Securities Trust(c) | ||||
Series 2013-C14 Class ASB | ||||
08/15/2046 | 3.761% | 70,758 | 70,098 | |
UBS-Barclays Commercial Mortgage Trust | ||||
Series 2013-C5 Class A4 | ||||
03/10/2046 | 3.185% | 623 | 622 | |
WFRBS Commercial Mortgage Trust | ||||
Series 2013-C14 Class A5 | ||||
06/15/2046 | 3.337% | 900,000 | 876,680 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $3,220,281) | 3,167,849 | |||
Corporate Bonds & Notes 25.0% | ||||
Aerospace & Defense 0.9% | ||||
BAE Systems Holdings, Inc.(a) | ||||
10/07/2024 | 3.800% | 223,000 | 217,750 | |
Boeing Co. (The) | ||||
02/01/2024 | 1.950% | 350,000 | 336,922 | |
L3Harris Technologies, Inc. | ||||
06/15/2023 | 3.850% | 340,000 | 337,150 | |
Raytheon Technologies Corp. | ||||
03/15/2024 | 3.200% | 350,000 | 342,327 | |
Total | 1,234,149 | |||
Automotive 0.5% | ||||
Daimler Trucks Finance North America LLC(a),(b) | ||||
SOFR + 1.000% 04/05/2024 | 5.300% | 335,000 | 333,627 | |
Toyota Motor Credit Corp. | ||||
06/14/2024 | 0.500% | 450,000 | 420,782 | |
Total | 754,409 |
10 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banking 8.0% | ||||
American Express Co.(b) | ||||
3-month USD LIBOR + 0.750% 08/03/2023 | 5.210% | 415,000 | 415,021 | |
Bank of America Corp.(b) | ||||
3-month USD LIBOR + 0.430% 05/28/2024 | 4.963% | 700,000 | 693,238 | |
Bank of Montreal | ||||
09/14/2024 | 4.250% | 400,000 | 394,561 | |
Bank of New York Mellon Corp. (The)(b) | ||||
SOFR + 0.260% 04/26/2024 | 4.560% | 17,000 | 16,880 | |
Bank of Nova Scotia (The)(b) | ||||
SOFR + 0.380% 07/31/2024 | 4.680% | 400,000 | 394,679 | |
BBVA USA | ||||
08/27/2024 | 2.500% | 464,000 | 445,152 | |
Canadian Imperial Bank of Commerce(b) | ||||
3-month USD LIBOR + 0.660% 09/13/2023 | 5.393% | 415,000 | 414,840 | |
Citigroup, Inc.(b) | ||||
3-month USD LIBOR + 1.100% 05/17/2024 | 5.750% | 650,000 | 650,397 | |
Commonwealth Bank of Australia(a),(b) | ||||
3-month USD LIBOR + 0.820% 06/04/2024 | 5.585% | 375,000 | 374,839 | |
Credit Suisse AG | ||||
08/09/2024 | 4.750% | 350,000 | 334,336 | |
Discover Bank | ||||
09/12/2024 | 2.450% | 325,000 | 308,792 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
3-month USD LIBOR + 1.600% 11/29/2023 | 6.334% | 650,000 | 654,795 | |
HSBC Holdings PLC(d) | ||||
08/17/2024 | 0.732% | 407,000 | 392,315 | |
JPMorgan Chase & Co.(d) | ||||
12/15/2025 | 5.546% | 675,000 | 675,042 | |
Morgan Stanley(b) | ||||
3-month USD LIBOR + 1.220% 05/08/2024 | 5.770% | 650,000 | 651,159 | |
National Australia Bank Ltd. | ||||
11/22/2024 | 5.132% | 350,000 | 350,923 | |
Royal Bank of Canada(b) | ||||
3-month USD LIBOR + 0.660% 10/05/2023 | 4.408% | 399,000 | 398,570 | |
Skandinaviska Enskilda Banken AB(a),(b) | ||||
3-month USD LIBOR + 0.320% 09/01/2023 | 5.081% | 350,000 | 349,291 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
State Street Corp.(d) | ||||
12/03/2024 | 3.776% | 325,000 | 321,271 | |
Svenska Handelsbanken AB(a) | ||||
06/30/2023 | 0.625% | 375,000 | 367,039 | |
Toronto-Dominion Bank (The)(b) | ||||
SOFR + 0.910% 03/08/2024 | 5.210% | 375,000 | 374,291 | |
Truist Bank(b) | ||||
SOFR + 0.200% 01/17/2024 | 4.500% | 400,000 | 397,079 | |
UBS Group AG(a),(d) | ||||
08/05/2025 | 4.490% | 400,000 | 393,329 | |
US Bancorp | ||||
07/30/2024 | 2.400% | 415,000 | 399,130 | |
Wells Fargo & Co.(d) | ||||
05/19/2025 | 0.805% | 600,000 | 561,756 | |
Westpac Banking Corp.(b) | ||||
3-month USD LIBOR + 0.770% 02/26/2024 | 5.506% | 350,000 | 349,880 | |
Total | 11,078,605 | |||
Cable and Satellite 0.5% | ||||
Charter Communications Operating LLC/Capital(b) | ||||
3-month USD LIBOR + 1.650% 02/01/2024 | 6.090% | 325,000 | 326,624 | |
Comcast Corp.(b) | ||||
3-month USD LIBOR + 0.630% 04/15/2024 | 4.709% | 351,000 | 351,199 | |
Total | 677,823 | |||
Chemicals 0.2% | ||||
DuPont de Nemours, Inc.(b) | ||||
3-month USD LIBOR + 1.110% 11/15/2023 | 5.716% | 340,000 | 339,651 | |
Construction Machinery 0.5% | ||||
Caterpillar Financial Services Corp. | ||||
01/17/2025 | 4.900% | 350,000 | 350,564 | |
John Deere Capital Corp.(b) | ||||
3-month USD LIBOR + 0.550% 06/07/2023 | 5.273% | 350,000 | 349,487 | |
Total | 700,051 | |||
Diversified Manufacturing 0.3% | ||||
Siemens Financieringsmaatschappij NV(a) | ||||
03/11/2023 | 0.400% | 400,000 | 396,730 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 11 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Electric 1.8% | ||||
CenterPoint Energy, Inc.(b) | ||||
SOFR + 0.650% 05/13/2024 | 4.950% | 206,000 | 203,483 | |
Consumers Energy Co. | ||||
08/15/2023 | 3.375% | 297,000 | 294,073 | |
DTE Energy Co. | ||||
11/01/2024 | 4.220% | 355,000 | 349,331 | |
Duke Energy Corp.(b) | ||||
SOFR + 0.250% 06/10/2023 | 4.550% | 347,000 | 345,720 | |
Eversource Energy(b) | ||||
SOFR + 0.250% 08/15/2023 | 4.550% | 331,000 | 329,145 | |
Mississippi Power Co.(b) | ||||
SOFR + 0.300% 06/28/2024 | 4.600% | 319,000 | 312,020 | |
NextEra Energy Capital Holdings, Inc.(b) | ||||
SOFR + 1.020% 03/21/2024 | 5.320% | 281,000 | 279,442 | |
PPL Electric Utilities Corp.(b) | ||||
SOFR + 0.330% 06/24/2024 | 4.630% | 343,000 | 338,548 | |
Public Service Enterprise Group, Inc. | ||||
11/08/2023 | 0.841% | 72,000 | 69,347 | |
Total | 2,521,109 | |||
Food and Beverage 0.9% | ||||
Bacardi Ltd.(a) | ||||
05/15/2025 | 4.450% | 325,000 | 315,579 | |
Campbell Soup Co. | ||||
03/15/2023 | 3.650% | 175,000 | 174,538 | |
Mondelez International, Inc. | ||||
03/17/2024 | 2.125% | 351,000 | 338,522 | |
Tyson Foods, Inc. | ||||
09/28/2023 | 3.900% | 346,000 | 342,675 | |
Total | 1,171,314 | |||
Health Care 1.4% | ||||
Becton Dickinson and Co. | ||||
06/06/2024 | 3.363% | 350,000 | 341,447 | |
Cigna Corp.(b) | ||||
3-month USD LIBOR + 0.890% 07/15/2023 | 4.969% | 325,000 | 325,464 | |
CVS Health Corp. | ||||
08/15/2024 | 2.625% | 350,000 | 336,037 | |
GE Healthcare Holding LLC(a) | ||||
11/15/2024 | 5.550% | 328,000 | 329,052 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 200,000 | 199,784 | |
Thermo Fisher Scientific, Inc.(b) | ||||
SOFR + 0.350% 04/18/2023 | 4.650% | 350,000 | 349,623 | |
Total | 1,881,407 | |||
Healthcare Insurance 0.4% | ||||
UnitedHealth Group, Inc. | ||||
10/15/2024 | 5.000% | 268,000 | 269,698 | |
Wellpoint, Inc. | ||||
08/15/2024 | 3.500% | 350,000 | 341,275 | |
Total | 610,973 | |||
Independent Energy 0.3% | ||||
Pioneer Natural Resources Co. | ||||
05/15/2023 | 0.550% | 275,000 | 270,444 | |
Woodside Finance Ltd.(a) | ||||
03/05/2025 | 3.650% | 108,000 | 103,658 | |
Total | 374,102 | |||
Integrated Energy 0.6% | ||||
Chevron USA, Inc.(b) | ||||
3-month USD LIBOR + 0.200% 08/11/2023 | 4.850% | 400,000 | 398,001 | |
Shell International Finance BV(b) | ||||
3-month USD LIBOR + 0.400% 11/13/2023 | 5.050% | 415,000 | 415,071 | |
Total | 813,072 | |||
Life Insurance 1.2% | ||||
CoreBridge Financial, Inc.(a) | ||||
04/04/2025 | 3.500% | 350,000 | 335,483 | |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 346,000 | 342,705 | |
Metropolitan Life Global Funding I(a) | ||||
09/27/2024 | 0.700% | 397,000 | 366,877 | |
New York Life Global Funding(a) | ||||
04/10/2024 | 2.875% | 300,000 | 291,938 | |
Principal Life Global Funding II(a) | ||||
01/08/2024 | 0.500% | 365,000 | 348,074 | |
Total | 1,685,077 | |||
Media and Entertainment 0.5% | ||||
Magallanes, Inc.(a),(b) | ||||
SOFR + 1.780% 03/15/2024 | 6.080% | 340,000 | 339,081 |
12 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Walt Disney Co. (The) | ||||
09/15/2024 | 3.700% | 343,000 | 335,974 | |
Total | 675,055 | |||
Midstream 1.3% | ||||
Enable Midstream Partners LP | ||||
05/15/2024 | 3.900% | 193,000 | 188,078 | |
Enbridge, Inc. | ||||
02/16/2024 | 2.150% | 283,000 | 273,296 | |
Enterprise Products Operating LLC | ||||
02/15/2024 | 3.900% | 335,000 | 330,035 | |
Kinder Morgan Energy Partners LP | ||||
02/01/2024 | 4.150% | 223,000 | 220,105 | |
05/01/2024 | 4.300% | 100,000 | 98,728 | |
Plains All American Pipeline LP/Finance Corp. | ||||
11/01/2024 | 3.600% | 350,000 | 338,934 | |
Williams Companies, Inc. (The) | ||||
06/24/2024 | 4.550% | 350,000 | 346,122 | |
Total | 1,795,298 | |||
Pharmaceuticals 1.5% | ||||
AbbVie, Inc. | ||||
03/15/2025 | 3.800% | 360,000 | 350,936 | |
Amgen, Inc. | ||||
05/22/2024 | 3.625% | 350,000 | 343,546 | |
Astrazeneca Finance LLC | ||||
05/28/2024 | 0.700% | 375,000 | 353,731 | |
Bristol-Myers Squibb Co. | ||||
11/13/2023 | 0.537% | 350,000 | 337,373 | |
Gilead Sciences, Inc. | ||||
02/01/2025 | 3.500% | 350,000 | 339,056 | |
Roche Holdings, Inc.(a),(b) | ||||
SOFR + 0.330% 09/11/2023 | 4.630% | 350,000 | 349,410 | |
Total | 2,074,052 | |||
Property & Casualty 0.5% | ||||
Chubb INA Holdings, Inc. | ||||
05/15/2024 | 3.350% | 350,000 | 342,488 | |
Loews Corp. | ||||
05/15/2023 | 2.625% | 350,000 | 346,634 | |
Total | 689,122 | |||
Railroads 0.4% | ||||
CSX Corp. | ||||
08/01/2024 | 3.400% | 250,000 | 244,166 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Union Pacific Corp. | ||||
01/15/2023 | 2.950% | 335,000 | 334,699 | |
Total | 578,865 | |||
Retailers 0.2% | ||||
Lowe’s Companies, Inc. | ||||
09/15/2024 | 3.125% | 278,000 | 269,406 | |
Technology 1.7% | ||||
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2024 | 3.625% | 350,000 | 344,018 | |
International Business Machines Corp. | ||||
02/12/2024 | 3.625% | 303,000 | 298,410 | |
Microchip Technology, Inc. | ||||
02/15/2024 | 0.972% | 325,000 | 308,981 | |
NXP BV/Funding LLC | ||||
03/01/2024 | 4.875% | 335,000 | 332,311 | |
Oracle Corp. | ||||
09/15/2023 | 2.400% | 335,000 | 328,209 | |
QUALCOMM, Inc.(b) | ||||
3-month USD LIBOR + 0.730% 01/30/2023 | 5.145% | 340,000 | 340,065 | |
RELX Capital, Inc. | ||||
03/16/2023 | 3.500% | 335,000 | 333,316 | |
Total | 2,285,310 | |||
Transportation Services 0.3% | ||||
ERAC USA Finance LLC(a) | ||||
11/01/2023 | 2.700% | 350,000 | 341,986 | |
Wireless 0.5% | ||||
American Tower Corp. | ||||
05/15/2024 | 3.375% | 350,000 | 340,659 | |
T-Mobile USA, Inc. | ||||
04/15/2025 | 3.500% | 350,000 | 336,938 | |
Total | 677,597 | |||
Wirelines 0.6% | ||||
AT&T, Inc.(b) | ||||
3-month USD LIBOR + 1.180% 06/12/2024 | 5.915% | 415,000 | 417,095 | |
Verizon Communications, Inc.(b) | ||||
SOFR + 0.500% 03/22/2024 | 4.800% | 425,000 | 422,399 | |
Total | 839,494 | |||
Total Corporate Bonds & Notes (Cost $34,940,837) | 34,464,657 | |||
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 13 |
December 31, 2022
Foreign Government Obligations(e) 0.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.5% | ||||
Province of Ontario | ||||
01/29/2024 | 3.050% | 350,000 | 343,329 | |
Province of Quebec | ||||
02/13/2023 | 2.625% | 342,000 | 341,054 | |
Total | 684,383 | |||
Total Foreign Government Obligations (Cost $686,494) | 684,383 | |||
Residential Mortgage-Backed Securities - Non-Agency 2.1% | ||||
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2021-3A Class M1A | ||||
30-day Average SOFR + 1.000% Floor 1.000% 09/25/2031 | 4.928% | 235,897 | 231,099 | |
CFMT LLC(a),(c) | ||||
CMO Series 2021-EBO1 Class A | ||||
11/25/2050 | 0.985% | 153,439 | 144,125 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2022-R05 Class 2M1 | ||||
30-day Average SOFR + 1.900% 04/25/2042 | 5.828% | 241,288 | 239,529 | |
Oceanview Trust(a),(c) | ||||
CMO Series 2021-1 Class A | ||||
12/29/2051 | 1.219% | 214,287 | 205,265 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 186,811 | 168,588 | |
Towd Point Mortgage Trust(a),(c) | ||||
CMO Series 2021-SJ1 Class A1 | ||||
07/25/2068 | 2.250% | 558,316 | 516,065 | |
VCAT Asset Securitization LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 804,981 | 700,790 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
08/25/2051 | 1.868% | 494,000 | 439,937 | |
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 210,529 | 185,487 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $3,102,277) | 2,830,885 | |||
U.S. Government & Agency Obligations 0.5% | ||||
Federal Farm Credit Banks Funding Corp.(b) | ||||
SOFR + 0.050% 08/22/2023 | 4.350% | 280,000 | 279,812 | |
SOFR + 0.060% 12/27/2023 | 4.360% | 425,000 | 424,623 | |
Total U.S. Government & Agency Obligations (Cost $705,000) | 704,435 | |||
U.S. Treasury Obligations 0.5% | ||||
U.S. Treasury | ||||
04/30/2023 | 0.125% | 700,000 | 689,965 | |
Total U.S. Treasury Obligations (Cost $689,806) | 689,965 |
Money Market Funds 38.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(f),(g) | 53,546,991 | 53,530,926 |
Total Money Market Funds (Cost $53,523,783) | 53,530,926 | |
Total Investments in Securities (Cost: $120,754,936) | 119,794,755 | |
Other Assets & Liabilities, Net | 17,929,623 | |
Net Assets | 137,724,378 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Brent Crude | 2 | 01/2023 | USD | 171,820 | 15,122 | — |
Brent Crude | 28 | 01/2023 | USD | 2,405,480 | — | (330) |
Brent Crude | 2 | 03/2023 | USD | 170,540 | 7,918 | — |
Brent Crude | 21 | 03/2023 | USD | 1,790,670 | — | (26,463) |
Brent Crude | 6 | 05/2023 | USD | 505,200 | 10,912 | — |
Brent Crude | 17 | 05/2023 | USD | 1,431,400 | — | (724) |
Brent Crude | 46 | 07/2023 | USD | 3,822,600 | 54,167 | — |
14 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Cocoa | 5 | 03/2023 | USD | 130,000 | 13,668 | — |
Coffee | 4 | 03/2023 | USD | 250,950 | 3,339 | — |
Coffee | 4 | 05/2023 | USD | 250,425 | 7,106 | — |
Coffee | 4 | 05/2023 | USD | 250,425 | — | (35,622) |
Coffee | 7 | 07/2023 | USD | 437,325 | 11,002 | — |
Coffee | 10 | 07/2023 | USD | 624,750 | — | (1,903) |
Coffee | 8 | 09/2023 | USD | 498,750 | 6,285 | — |
Copper | 4 | 03/2023 | USD | 381,050 | 57,738 | — |
Copper | 13 | 05/2023 | USD | 1,239,713 | 89,561 | — |
Copper | 26 | 07/2023 | USD | 2,480,400 | 164,555 | — |
Copper | 13 | 09/2023 | USD | 1,239,875 | — | (8,882) |
Corn | 92 | 03/2023 | USD | 3,121,100 | 133,477 | — |
Corn | 49 | 05/2023 | USD | 1,661,100 | 112,311 | — |
Corn | 41 | 07/2023 | USD | 1,377,088 | 22,728 | — |
Corn | 58 | 07/2023 | USD | 1,948,075 | — | (2,452) |
Corn | 53 | 09/2023 | USD | 1,661,550 | 47,932 | — |
Cotton | 16 | 03/2023 | USD | 666,960 | 22,379 | — |
Cotton | 7 | 05/2023 | USD | 292,075 | — | (1,949) |
Cotton | 14 | 07/2023 | USD | 583,660 | 6,996 | — |
Cotton | 7 | 12/2023 | USD | 283,080 | 8,958 | — |
Feeder Cattle | 1 | 03/2023 | USD | 93,113 | 496 | — |
Gas Oil | 31 | 03/2023 | USD | 2,735,750 | 93,603 | — |
Gas Oil | 10 | 05/2023 | USD | 832,750 | — | (41,927) |
Gas Oil | 21 | 07/2023 | USD | 1,705,200 | — | (126,552) |
Gas Oil | 11 | 09/2023 | USD | 880,825 | 31,349 | — |
Gold 100 oz. | 23 | 02/2023 | USD | 4,200,260 | 184,610 | — |
Gold 100 oz. | 22 | 04/2023 | USD | 4,052,840 | 178,667 | — |
Gold 100 oz. | 21 | 06/2023 | USD | 3,901,170 | 272,467 | — |
Gold 100 oz. | 42 | 08/2023 | USD | 7,869,120 | 224,282 | — |
Lead | 11 | 03/2023 | USD | 635,113 | 30,563 | — |
Lean Hogs | 12 | 02/2023 | USD | 420,960 | 3,302 | — |
Lean Hogs | 67 | 02/2023 | USD | 2,350,360 | — | (45,488) |
Lean Hogs | 13 | 04/2023 | USD | 495,560 | 22,483 | — |
Lean Hogs | 11 | 06/2023 | USD | 480,370 | 54,853 | — |
Lean Hogs | 11 | 07/2023 | USD | 482,570 | 15,685 | — |
Lean Hogs | 11 | 08/2023 | USD | 478,060 | 15,012 | — |
Live Cattle | 21 | 02/2023 | USD | 1,326,360 | 50,006 | — |
Live Cattle | 17 | 04/2023 | USD | 1,100,240 | 45,340 | — |
Live Cattle | 17 | 06/2023 | USD | 1,073,210 | 33,755 | — |
Live Cattle | 35 | 08/2023 | USD | 2,206,050 | 33,631 | — |
Natural Gas | 68 | 02/2023 | USD | 2,790,720 | — | (856,988) |
Natural Gas | 61 | 04/2023 | USD | 2,397,910 | — | (476,450) |
Natural Gas | 116 | 06/2023 | USD | 4,822,120 | — | (1,022,223) |
Natural Gas | 59 | 08/2023 | USD | 2,424,900 | — | (549,552) |
Nickel | 1 | 03/2023 | USD | 180,270 | 63,032 | — |
Nickel | 6 | 05/2023 | USD | 1,087,452 | 272,909 | — |
Nickel | 11 | 07/2023 | USD | 2,004,882 | 391,916 | — |
Nickel | 6 | 09/2023 | USD | 1,100,376 | 20,898 | — |
NY Harbor ULSD Heat Oil | 10 | 02/2023 | USD | 1,335,264 | 68,819 | — |
NY Harbor ULSD Heat Oil | 6 | 04/2023 | USD | 751,036 | 8,760 | — |
NY Harbor ULSD Heat Oil | 11 | 06/2023 | USD | 1,345,344 | — | (46,227) |
NY Harbor ULSD Heat Oil | 6 | 08/2023 | USD | 726,314 | 49,651 | — |
Primary Aluminum | 10 | 03/2023 | USD | 593,003 | 11,943 | — |
Primary Aluminum | 15 | 05/2023 | USD | 898,125 | 31,167 | — |
Primary Aluminum | 30 | 07/2023 | USD | 1,810,500 | 38,156 | — |
Primary Aluminum | 15 | 09/2023 | USD | 911,438 | — | (29,610) |
RBOB Gasoline | 16 | 02/2023 | USD | 1,665,418 | 203,148 | — |
RBOB Gasoline | 6 | 04/2023 | USD | 660,492 | 29,063 | — |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 15 |
December 31, 2022
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
RBOB Gasoline | 2 | 06/2023 | USD | 215,494 | 5,026 | — |
RBOB Gasoline | 9 | 06/2023 | USD | 969,721 | — | (25) |
RBOB Gasoline | 6 | 08/2023 | USD | 624,784 | 57,184 | — |
Silver | 12 | 03/2023 | USD | 1,442,400 | 267,069 | — |
Silver | 11 | 05/2023 | USD | 1,331,385 | 252,432 | — |
Silver | 22 | 07/2023 | USD | 2,682,350 | 393,068 | — |
Silver | 11 | 09/2023 | USD | 1,352,340 | 33,455 | — |
Soybean | 22 | 03/2023 | USD | 1,676,400 | 160,026 | — |
Soybean | 22 | 05/2023 | USD | 1,683,000 | 131,199 | — |
Soybean | 43 | 07/2023 | USD | 3,296,488 | 208,475 | — |
Soybean | 23 | 11/2023 | USD | 1,629,263 | 29,788 | — |
Soybean Meal | 37 | 03/2023 | USD | 1,742,700 | 210,566 | — |
Soybean Meal | 23 | 05/2023 | USD | 1,060,300 | 151,823 | — |
Soybean Meal | 46 | 07/2023 | USD | 2,089,780 | 245,311 | — |
Soybean Meal | 25 | 12/2023 | USD | 1,029,000 | — | (12,679) |
Soybean Oil | 73 | 03/2023 | USD | 2,806,266 | 134,006 | — |
Soybean Oil | 24 | 05/2023 | USD | 920,736 | 33,251 | — |
Soybean Oil | 48 | 07/2023 | USD | 1,830,528 | — | (29,561) |
Soybean Oil | 25 | 12/2023 | USD | 926,100 | 35,513 | — |
Sugar #11 | 53 | 02/2023 | USD | 1,189,574 | 64,574 | — |
Sugar #11 | 40 | 04/2023 | USD | 838,656 | 50,289 | — |
Sugar #11 | 83 | 06/2023 | USD | 1,671,421 | 56,876 | — |
Sugar #11 | 42 | 09/2023 | USD | 838,253 | 7,588 | — |
Wheat | 15 | 03/2023 | USD | 666,000 | 6,654 | — |
Wheat | 16 | 03/2023 | USD | 633,600 | — | (20,553) |
Wheat | 12 | 05/2023 | USD | 529,350 | 7,492 | — |
Wheat | 2 | 05/2023 | USD | 79,875 | 3,784 | — |
Wheat | 18 | 05/2023 | USD | 718,875 | — | (16,409) |
Wheat | 23 | 07/2023 | USD | 1,007,975 | — | (57,668) |
Wheat | 40 | 07/2023 | USD | 1,606,000 | — | (110,589) |
Wheat | 20 | 09/2023 | USD | 809,500 | 38,853 | — |
Wheat | 12 | 09/2023 | USD | 526,200 | 18,568 | — |
WTI Crude | 34 | 02/2023 | USD | 2,735,300 | 53,377 | — |
WTI Crude | 27 | 04/2023 | USD | 2,172,150 | 23,683 | — |
WTI Crude | 49 | 06/2023 | USD | 3,911,670 | 3,510 | — |
WTI Crude | 6 | 06/2023 | USD | 478,980 | — | (961) |
WTI Crude | 28 | 08/2023 | USD | 2,207,800 | 147,737 | — |
Zinc | 39 | 03/2023 | USD | 2,902,088 | — | (193,699) |
Zinc | 9 | 05/2023 | USD | 665,944 | — | (5,860) |
Zinc | 18 | 07/2023 | USD | 1,324,013 | 45,704 | — |
Zinc | 9 | 09/2023 | USD | 657,956 | — | (61,829) |
Total | 6,152,601 | (3,783,175) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | (40) | 03/2023 | USD | (8,203,125) | — | (1,974) |
(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 December 31, 2022, the total value of these securities amounted to $21,768,257, which represents 15.81% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2022. |
16 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
(d) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(e) | Principal and interest may not be guaranteed by a governmental entity. |
(f) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
51,438,236 | 120,465,984 | (118,376,789) | 3,495 | 53,530,926 | (16,625) | 803,695 | 53,546,991 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
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 – Commodity Strategy Fund | Annual Report 2022 | 17 |
December 31, 2022
in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. Representatives of Columbia Management Investment Advisers, LLC report to the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 23,721,655 | — | 23,721,655 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 3,167,849 | — | 3,167,849 |
Corporate Bonds & Notes | — | 34,464,657 | — | 34,464,657 |
Foreign Government Obligations | — | 684,383 | — | 684,383 |
Residential Mortgage-Backed Securities - Non-Agency | — | 2,830,885 | — | 2,830,885 |
U.S. Government & Agency Obligations | — | 704,435 | — | 704,435 |
U.S. Treasury Obligations | — | 689,965 | — | 689,965 |
Money Market Funds | 53,530,926 | — | — | 53,530,926 |
Total Investments in Securities | 53,530,926 | 66,263,829 | — | 119,794,755 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 6,152,601 | — | — | 6,152,601 |
Liability | ||||
Futures Contracts | (3,785,149) | — | — | (3,785,149) |
Total | 55,898,378 | 66,263,829 | — | 122,162,207 |
18 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $67,231,153) | $66,263,829 |
Affiliated issuers (cost $53,523,783) | 53,530,926 |
Cash | 5,483,336 |
Margin deposits on: | |
Futures contracts | 11,892,465 |
Receivable for: | |
Dividends | 151,017 |
Interest | 272,922 |
Foreign tax reclaims | 4,618 |
Variation margin for futures contracts | 1,120,519 |
Expense reimbursement due from Investment Manager | 103 |
Prepaid expenses | 6,537 |
Total assets | 138,726,272 |
Liabilities | |
Payable for: | |
Investments purchased | 219,124 |
Capital shares purchased | 165,684 |
Variation margin for futures contracts | 534,963 |
Management services fees | 2,371 |
Distribution and/or service fees | 346 |
Service fees | 5,735 |
Compensation of board members | 45,459 |
Compensation of chief compliance officer | 28 |
Other expenses | 28,184 |
Total liabilities | 1,001,894 |
Net assets applicable to outstanding capital stock | $137,724,378 |
Represented by | |
Paid in capital | 256,032,387 |
Total distributable earnings (loss) | (118,308,009) |
Total - representing net assets applicable to outstanding capital stock | $137,724,378 |
Class 1 | |
Net assets | $87,122,757 |
Shares outstanding | 17,056,920 |
Net asset value per share | $5.11 |
Class 2 | |
Net assets | $50,601,621 |
Shares outstanding | 10,091,231 |
Net asset value per share | $5.01 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 19 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $803,695 |
Interest | 1,198,347 |
Interfund lending | 30 |
Total income | 2,002,072 |
Expenses: | |
Management services fees | 918,392 |
Distribution and/or service fees | |
Class 2 | 116,426 |
Service fees | 68,783 |
Compensation of board members | 13,341 |
Custodian fees | 17,646 |
Printing and postage fees | 10,919 |
Audit fees | 39,500 |
Legal fees | 13,987 |
Interest on collateral | 6,878 |
Compensation of chief compliance officer | 22 |
Other | 10,619 |
Total expenses | 1,216,513 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (15,773) |
Total net expenses | 1,200,740 |
Net investment income | 801,332 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (188,490) |
Investments — affiliated issuers | (16,625) |
Futures contracts | 27,361,018 |
Swap contracts | 148,396 |
Net realized gain | 27,304,299 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (689,892) |
Investments — affiliated issuers | 3,495 |
Futures contracts | (2,989,430) |
Net change in unrealized appreciation (depreciation) | (3,675,827) |
Net realized and unrealized gain | 23,628,472 |
Net increase in net assets resulting from operations | $24,429,804 |
20 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income (loss) | $801,332 | $(799,669) |
Net realized gain | 27,304,299 | 41,254,210 |
Net change in unrealized appreciation (depreciation) | (3,675,827) | (3,539,356) |
Net increase in net assets resulting from operations | 24,429,804 | 36,915,185 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (24,044,863) | (254,188) |
Class 2 | (12,866,164) | — |
Total distributions to shareholders | (36,911,027) | (254,188) |
Increase (decrease) in net assets from capital stock activity | 18,688,156 | (24,249,059) |
Total increase in net assets | 6,206,933 | 12,411,938 |
Net assets at beginning of year | 131,517,445 | 119,105,507 |
Net assets at end of year | $137,724,378 | $131,517,445 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 641,720 | 4,356,555 | 394,790 | 2,119,779 |
Distributions reinvested | 4,571,267 | 24,044,863 | 45,717 | 254,188 |
Redemptions | (6,058,930) | (39,870,413) | (6,362,572) | (34,120,629) |
Net decrease | (845,943) | (11,468,995) | (5,922,065) | (31,746,662) |
Class 2 | ||||
Subscriptions | 4,640,308 | 30,920,837 | 2,402,551 | 12,553,461 |
Distributions reinvested | 2,488,619 | 12,866,164 | — | — |
Redemptions | (2,169,967) | (13,629,850) | (979,530) | (5,055,858) |
Net increase | 4,958,960 | 30,157,151 | 1,423,021 | 7,497,603 |
Total net increase (decrease) | 4,113,017 | 18,688,156 | (4,499,044) | (24,249,059) |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 21 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2022 | $5.73 | 0.04 | 1.10 | 1.14 | (1.76) | (1.76) |
Year Ended 12/31/2021 | $4.33 | (0.03) | 1.44 | 1.41 | (0.01) | (0.01) |
Year Ended 12/31/2020 | $5.55 | 0.01 | (0.22) | (0.21) | (1.01) | (1.01) |
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) |
Class 2 | ||||||
Year Ended 12/31/2022 | $5.65 | 0.03 | 1.08 | 1.11 | (1.75) | (1.75) |
Year Ended 12/31/2021 | $4.28 | (0.04) | 1.41 | 1.37 | — | — |
Year Ended 12/31/2020 | $5.50 | (0.02) | (0.20) | (0.22) | (1.00) | (1.00) |
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) | — | — |
Notes to Consolidated Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 12/31/2022 | 12/31/2021 |
Class 1 | 0.01% | 0.01% |
Class 2 | less than 0.01% | 0.01% |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
22 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $5.11 | 19.09% | 0.75%(c) | 0.74%(c) | 0.58% | 93% | $87,123 |
Year Ended 12/31/2021 | $5.73 | 32.63% | 0.76%(c) | 0.76%(c) | (0.56%) | 101% | $102,522 |
Year Ended 12/31/2020 | $4.33 | (1.29%) | 0.70% | 0.70% | 0.23% | 0% | $103,243 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $5.01 | 18.70% | 1.01%(c) | 0.99%(c) | 0.48% | 93% | $50,602 |
Year Ended 12/31/2021 | $5.65 | 32.01% | 1.01%(c) | 1.01%(c) | (0.80%) | 101% | $28,996 |
Year Ended 12/31/2020 | $4.28 | (1.55%) | 0.98% | 0.98% | (0.39%) | 0% | $15,862 |
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 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 23 |
December 31, 2022
CVPCSF Offshore Fund, Ltd. | |
% of consolidated fund net assets | 19.53% |
Net assets | $26,900,073 |
Net investment income (loss) | (55,026) |
Net realized gain (loss) | 27,025,074 |
Net change in unrealized appreciation (depreciation) | (2,966,870) |
24 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 27 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 6,152,601* |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,974* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 3,783,175* |
Total | 3,785,149 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | 27,025,065 | — | 27,025,065 |
Interest rate risk | 335,953 | 148,396 | 484,349 |
Total | 27,361,018 | 148,396 | 27,509,414 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Commodity-related investment risk | (2,966,870) |
Interest rate risk | (22,560) |
Total | (2,989,430) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 155,595,254 |
Futures contracts — short | 5,672,145 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Interest rate swap contracts | 40,470 | (4,844) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
28 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 29 |
December 31, 2022
30 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.74% | 0.80% |
Class 2 | 0.99 | 1.05 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 31 |
December 31, 2022
Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
2,643,685 | (673,638) | (1,970,047) |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
36,911,027 | — | 36,911,027 | 254,188 | — | 254,188 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
25,549,140 | — | (304,922) | (133,015,815) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
279,708,669 | — | (133,015,815) | (133,015,815) |
32 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(57,780) | (247,142) | (304,922) | — |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 300,000 | 3.60 | 1 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 33 |
December 31, 2022
34 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 35 |
December 31, 2022
36 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 37 |
38 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 39 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
40 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 41 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
42 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 | 43 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
44 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Conservative Portfolio (Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | -15.26 | 0.61 | 2.09 | |
Class 2 | 05/07/10 | -15.55 | 0.40 | 1.98 | |
Class 4 | 05/07/10 | -15.49 | 0.41 | 1.98 | |
Blended Benchmark | -13.78 | 1.55 | 2.94 | ||
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 | ||
Russell 3000 Index | -19.21 | 8.79 | 12.13 | ||
MSCI EAFE Index (Net) | -14.45 | 1.54 | 4.67 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Portfolio Navigator Funds | Annual Report 2022 | 3 |
Variable Portfolio – Conservative Portfolio (Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Alternative Strategies Funds | 0.1 |
Equity Funds | 19.3 |
Fixed Income Funds | 73.2 |
Money Market Funds | 7.4 |
Total | 100.0 |
4 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderately Conservative Portfolio (Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | -15.93 | 1.59 | 3.32 | |
Class 2 | 05/07/10 | -16.09 | 1.40 | 3.22 | |
Class 4 | 05/07/10 | -16.10 | 1.41 | 3.21 | |
Blended Benchmark | -14.40 | 2.60 | 4.28 | ||
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 | ||
Russell 3000 Index | -19.21 | 8.79 | 12.13 | ||
MSCI EAFE Index (Net) | -14.45 | 1.54 | 4.67 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Portfolio Navigator Funds | Annual Report 2022 | 5 |
Variable Portfolio – Moderately Conservative Portfolio (Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Alternative Strategies Funds | 0.3 |
Equity Funds | 35.0 |
Fixed Income Funds | 60.4 |
Money Market Funds | 4.3 |
Total | 100.0 |
6 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderate Portfolio (Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | -16.42 | 2.58 | 4.58 | |
Class 2 | 05/07/10 | -16.61 | 2.39 | 4.48 | |
Class 4 | 05/07/10 | -16.59 | 2.39 | 4.49 | |
Blended Benchmark | -15.11 | 3.66 | 5.66 | ||
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 | ||
Russell 3000 Index | -19.21 | 8.79 | 12.13 | ||
MSCI EAFE Index (Net) | -14.45 | 1.54 | 4.67 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Portfolio Navigator Funds | Annual Report 2022 | 7 |
Variable Portfolio – Moderate Portfolio (Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Alternative Strategies Funds | 0.3 |
Equity Funds | 49.0 |
Fixed Income Funds | 45.0 |
Money Market Funds | 5.7 |
Total | 100.0 |
8 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderately Aggressive Portfolio (Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | -17.38 | 3.29 | 5.71 | |
Class 2 | 05/07/10 | -17.59 | 3.10 | 5.61 | |
Class 4 | 05/07/10 | -17.57 | 3.10 | 5.61 | |
Blended Benchmark | -15.86 | 4.67 | 7.01 | ||
Russell 3000 Index | -19.21 | 8.79 | 12.13 | ||
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 | ||
MSCI EAFE Index (Net) | -14.45 | 1.54 | 4.67 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Portfolio Navigator Funds | Annual Report 2022 | 9 |
Variable Portfolio – Moderately Aggressive Portfolio (Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Alternative Strategies Funds | 0.4 |
Equity Funds | 64.9 |
Fixed Income Funds | 29.1 |
Money Market Funds | 5.6 |
Total | 100.0 |
10 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Aggressive Portfolio (Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | -17.99 | 4.09 | 6.88 | |
Class 2 | 05/07/10 | -18.19 | 3.89 | 6.78 | |
Class 4 | 05/07/10 | -18.19 | 3.90 | 6.78 | |
Blended Benchmark | -16.61 | 5.53 | 8.26 | ||
Russell 3000 Index | -19.21 | 8.79 | 12.13 | ||
MSCI EAFE Index (Net) | -14.45 | 1.54 | 4.67 | ||
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Portfolio Navigator Funds | Annual Report 2022 | 11 |
Variable Portfolio – Aggressive Portfolio (Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Alternative Strategies Funds | 0.5 |
Equity Funds | 81.3 |
Fixed Income Funds | 15.3 |
Money Market Funds | 2.9 |
Total | 100.0 |
12 | Portfolio Navigator Funds | Annual Report 2022 |
(Unaudited)
• | Variable Portfolio – Conservative Portfolio Class 2 shares returned -15.55%, underperforming its Blended Benchmark, which returned -13.78%. |
• | Variable Portfolio – Moderately Conservative Portfolio Class 2 shares returned -16.09%, underperforming its Blended Benchmark, which returned -14.40%. |
• | Variable Portfolio – Moderate Portfolio Class 2 shares returned -16.61%, underperforming its Blended Benchmark, which returned -15.11%. |
• | Variable Portfolio – Moderately Aggressive Portfolio Class 2 shares returned -17.59%, underperforming its Blended Benchmark, which returned -15.86%. |
• | Variable Portfolio – Aggressive Portfolio Class 2 shares returned -18.19%, underperforming its Blended Benchmark, which returned -16.61%. |
• | Underlying manager performance in U.S. fixed-income funds detracted from performance in each of the Funds. |
• | An underweight allocation to fixed-income, on average, across the Funds over the 12-month period also weighed on returns. |
• | International equity manager performance detracted from performance in each of the Funds. |
• | U.S. growth-oriented equity manager performance also had a negative impact on Fund returns. |
Portfolio Navigator Funds | Annual Report 2022 | 13 |
(Unaudited)
• | Strong relative performance emanating from U.S. equity managers that incorporate a value-focused orientation to their investment strategy contributed to returns for the Funds. |
• | A small yet dedicated allocation to a commodity-centric investment strategy was also additive. |
14 | Portfolio Navigator Funds | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | ||||||||||
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 | 978.20 | 1,024.32 | 0.74 | 0.76 | 0.15 | 3.17 | 3.25 | 0.64 |
Class 2 | 1,000.00 | 1,000.00 | 976.60 | 1,023.06 | 1.98 | 2.03 | 0.40 | 4.41 | 4.51 | 0.89 |
Class 4 | 1,000.00 | 1,000.00 | 976.60 | 1,023.06 | 1.98 | 2.03 | 0.40 | 4.41 | 4.51 | 0.89 |
Variable Portfolio – Moderately Conservative Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 988.60 | 1,024.47 | 0.60 | 0.61 | 0.12 | 3.34 | 3.40 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 987.90 | 1,023.21 | 1.84 | 1.88 | 0.37 | 4.58 | 4.67 | 0.92 |
Class 4 | 1,000.00 | 1,000.00 | 988.00 | 1,023.21 | 1.84 | 1.88 | 0.37 | 4.58 | 4.67 | 0.92 |
Portfolio Navigator Funds | Annual Report 2022 | 15 |
(Unaudited)
July 1, 2022 — December 31, 2022 | ||||||||||
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 | 1,000.50 | 1,024.37 | 0.70 | 0.71 | 0.14 | 3.56 | 3.60 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 999.00 | 1,023.11 | 1.95 | 1.98 | 0.39 | 4.81 | 4.87 | 0.96 |
Class 4 | 1,000.00 | 1,000.00 | 999.50 | 1,023.11 | 1.95 | 1.98 | 0.39 | 4.81 | 4.87 | 0.96 |
Variable Portfolio – Moderately Aggressive Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,008.40 | 1,024.42 | 0.65 | 0.66 | 0.13 | 3.78 | 3.81 | 0.75 |
Class 2 | 1,000.00 | 1,000.00 | 1,007.10 | 1,023.16 | 1.91 | 1.93 | 0.38 | 5.03 | 5.07 | 1.00 |
Class 4 | 1,000.00 | 1,000.00 | 1,007.50 | 1,023.16 | 1.91 | 1.93 | 0.38 | 5.03 | 5.07 | 1.00 |
Variable Portfolio – Aggressive Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,019.80 | 1,024.52 | 0.56 | 0.56 | 0.11 | 4.00 | 4.01 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 1,018.70 | 1,023.26 | 1.82 | 1.83 | 0.36 | 5.26 | 5.27 | 1.04 |
Class 4 | 1,000.00 | 1,000.00 | 1,019.10 | 1,023.26 | 1.82 | 1.83 | 0.36 | 5.26 | 5.27 | 1.04 |
16 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Conservative Portfolio, December 31, 2022
Alternative Strategies Funds 0.1% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 257,892 | 1,317,827 |
Total Alternative Strategies Funds (Cost $1,264,191) | 1,317,827 | |
Equity Funds 19.3% | ||
Global Real Estate 0.2% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 279,518 | 1,705,058 |
International 5.9% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 2,717,050 | 31,979,674 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 512,526 | 4,510,225 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 834,377 | 8,393,833 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 1,052,491 | 9,219,826 |
Total | 54,103,558 | |
U.S. Large Cap 11.9% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 456,746 | 15,118,307 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 204,352 | 14,721,497 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 321,760 | 8,378,625 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 2,041,542 | 30,235,241 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 250,824 | 9,212,770 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 126,851 | 4,512,090 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 97,421 | 3,444,817 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 102,383 | 4,329,788 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 143,736 | 4,602,426 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 475,727 | 14,209,954 |
Total | 108,765,515 |
Equity Funds (continued) | ||
U.S. Small Cap 1.3% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 225,294 | 2,590,882 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 241,797 | 2,224,528 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 113,220 | 3,067,135 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 106,710 | 3,488,352 |
Total | 11,370,897 | |
Total Equity Funds (Cost $171,132,217) | 175,945,028 | |
Fixed Income Funds 73.0% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 739,873 | 5,563,850 |
Investment Grade 72.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 14,991,570 | 123,980,285 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,026,626 | 27,754,158 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 3,415,211 | 26,092,209 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 4,224,355 | 36,709,649 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,139,243 | 64,181,792 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 12,096,324 | 110,197,514 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 28,811,088 | 271,112,338 |
Total | 660,027,945 | |
Total Fixed Income Funds (Cost $805,229,755) | 665,591,795 | |
Portfolio Navigator Funds | Annual Report 2022 | 17 |
Variable Portfolio – Conservative Portfolio, December 31, 2022
Money Market Funds 7.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(a),(c) | 66,846,372 | 66,826,318 |
Total Money Market Funds (Cost $66,826,927) | 66,826,318 | |
Total Investments in Securities (Cost: $1,044,453,090) | 909,680,968 | |
Other Assets & Liabilities, Net | 2,504,992 | |
Net Assets | 912,185,960 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | 110 | 03/2023 | USD | 9,739,950 | — | (224,458) |
S&P 500 Index E-mini | 45 | 03/2023 | USD | 8,687,250 | — | (241,762) |
U.S. Treasury 10-Year Note | 197 | 03/2023 | USD | 22,122,484 | — | (61,033) |
U.S. Treasury Ultra Bond | 43 | 03/2023 | USD | 5,775,438 | 11,997 | — |
U.S. Treasury Ultra Bond | 39 | 03/2023 | USD | 5,238,188 | — | (79,139) |
Total | 11,997 | (606,392) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | (55) | 03/2023 | EUR | (2,081,750) | 79,180 | — |
FTSE 100 Index | (26) | 03/2023 | GBP | (1,941,160) | — | (7,152) |
Total | 79,180 | (7,152) |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | |||||||||
80,580,194 | 58,156,772 | (71,917,871) | 7,223 | 66,826,318 | — | (16,241) | 1,123,306 | 66,846,372 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
1,106,620 | 340,661 | — | (129,454) | 1,317,827 | — | — | 340,661 | 257,892 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
20,040,173 | 1,276,685 | (1,605,713) | (4,592,838) | 15,118,307 | — | 1,201,444 | — | 456,746 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
20,047,247 | 1,323,168 | (2,025,727) | (4,623,191) | 14,721,497 | — | 1,251,278 | — | 204,352 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
7,091,612 | 389,987 | (641,634) | (1,276,115) | 5,563,850 | — | (115,702) | 260,103 | 739,873 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
134,170,309 | 19,005,350 | (904,809) | (28,290,565) | 123,980,285 | 87,150 | (137,936) | 4,221,496 | 14,991,570 |
18 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Conservative Portfolio, December 31, 2022
Affiliated issuers | Beginning of period($) | 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 – Large Cap Growth Fund, Class 1 Shares | |||||||||
11,777,551 | 1,078,253 | (596,427) | (3,880,752) | 8,378,625 | — | 311,727 | — | 321,760 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
35,268,819 | 31,755,817 | (39,397,371) | 126,893 | 27,754,158 | — | (2,628,936) | 314,232 | 3,026,626 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
35,415,685 | 3,161,387 | (1,282,272) | (11,202,591) | 26,092,209 | 877,402 | (160,626) | 800,835 | 3,415,211 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
41,520,265 | 5,319,016 | (7,081,989) | (7,777,618) | 31,979,674 | 2,490,666 | (476,671) | 277,054 | 2,717,050 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
40,083,009 | 2,097,665 | (3,552,988) | (8,392,445) | 30,235,241 | — | 1,058,593 | — | 2,041,542 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
11,472,923 | 462,906 | (1,231,305) | (1,491,754) | 9,212,770 | — | 1,390,303 | — | 250,824 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
3,504,807 | 1,265,015 | (1,023,719) | (1,155,221) | 2,590,882 | 1,053,200 | (160,177) | 20,609 | 225,294 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
3,463,149 | 981,093 | — | (2,219,714) | 2,224,528 | 981,093 | — | — | 241,797 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
47,425,646 | 974,962 | (4,896,918) | (6,794,041) | 36,709,649 | — | (440,276) | 870,796 | 4,224,355 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
35,619,459 | 253,319 | (37,291,208) | 1,418,430 | — | 169,594 | (2,802,365) | 73,624 | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
82,163,499 | 4,121,431 | (6,573,768) | (15,529,370) | 64,181,792 | 1,861,284 | (834,160) | 2,220,245 | 7,139,243 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
2,354,735 | 853,233 | (640,183) | (862,727) | 1,705,058 | 316,714 | 88,953 | 25,734 | 279,518 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
5,893,259 | 677,260 | (1,345,232) | (713,197) | 4,512,090 | — | 440,292 | — | 126,851 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
5,210,497 | 749,041 | (244,220) | (2,270,501) | 3,444,817 | — | 167,980 | — | 97,421 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
5,899,900 | 677,268 | (405,333) | (1,842,047) | 4,329,788 | — | 312,880 | — | 102,383 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
5,895,878 | 210,942 | (659,416) | (844,978) | 4,602,426 | — | 617,139 | — | 143,736 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
142,689,006 | 1,477,590 | (14,052,140) | (19,916,942) | 110,197,514 | — | (989,369) | 1,417,624 | 12,096,324 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
350,699,116 | 7,382,230 | (37,773,072) | (49,195,936) | 271,112,338 | 2,206,030 | (3,025,187) | 5,046,128 | 28,811,088 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
18,841,199 | 899,924 | (1,225,504) | (4,305,665) | 14,209,954 | — | 1,268,688 | — | 475,727 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
5,916,423 | 1,517,416 | (981,143) | (1,942,471) | 4,510,225 | 785,004 | 30,744 | 98,612 | 512,526 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
11,876,951 | 1,531,827 | (1,057,768) | (3,957,177) | 8,393,833 | 514,058 | 468,329 | — | 834,377 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
11,773,624 | 1,178,379 | (1,533,208) | (2,198,969) | 9,219,826 | — | 817,964 | 240,114 | 1,052,491 |
Portfolio Navigator Funds | Annual Report 2022 | 19 |
Variable Portfolio – Conservative Portfolio, December 31, 2022
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
4,520,980 | 362,878 | (305,552) | (1,511,171) | 3,067,135 | — | 282,398 | — | 113,220 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
4,723,556 | 304,645 | (962,608) | (577,241) | 3,488,352 | — | 58,326 | — | 106,710 | |
Total | 1,187,046,091 | (185,942,145) | 909,680,968 | 11,342,195 | (2,020,608) | 17,351,173 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
EUR | Euro |
GBP | British Pound |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
20 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Conservative Portfolio, December 31, 2022
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2022:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 1,317,827 | 1,317,827 |
Equity Funds | — | — | — | 175,945,028 | 175,945,028 |
Fixed Income Funds | — | — | — | 665,591,795 | 665,591,795 |
Money Market Funds | 66,826,318 | — | — | — | 66,826,318 |
Total Investments in Securities | 66,826,318 | — | — | 842,854,650 | 909,680,968 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 91,177 | — | — | — | 91,177 |
Liability | |||||
Futures Contracts | (613,544) | — | — | — | (613,544) |
Total | 66,303,951 | — | — | 842,854,650 | 909,158,601 |
Portfolio Navigator Funds | Annual Report 2022 | 21 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2022
Alternative Strategies Funds 0.3% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 1,055,763 | 5,394,952 |
Total Alternative Strategies Funds (Cost $5,088,780) | 5,394,952 | |
Equity Funds 35.0% | ||
Global Real Estate 0.4% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 1,381,758 | 8,428,721 |
International 11.6% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a),(b) | 1,002,150 | 9,019,348 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 8,923,322 | 105,027,505 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 6,483,481 | 57,054,632 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 3,693,915 | 37,160,787 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 5,159,284 | 45,195,328 |
Total | 253,457,600 | |
U.S. Large Cap 20.9% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 1,330,808 | 44,049,756 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 614,090 | 44,239,078 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,692,001 | 44,059,699 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 5,978,124 | 88,536,016 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 1,152,416 | 42,328,225 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 1,081,337 | 38,463,176 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 719,639 | 25,446,429 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 819,106 | 34,640,016 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 1,185,950 | 37,974,107 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,945,647 | 58,116,466 |
Total | 457,852,968 |
Equity Funds (continued) | ||
U.S. Mid Cap 0.7% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 193,292 | 8,122,141 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 212,368 | 7,566,648 |
Total | 15,688,789 | |
U.S. Small Cap 1.4% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 698,327 | 8,030,769 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 707,844 | 6,512,163 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 365,918 | 9,912,719 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 201,165 | 6,576,080 |
Total | 31,031,731 | |
Total Equity Funds (Cost $671,711,005) | 766,459,809 | |
Fixed Income Funds 60.2% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,851,570 | 13,923,806 |
Investment Grade 59.6% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 23,151,789 | 191,465,292 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 5,825,186 | 53,416,954 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,589,009 | 42,700,027 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 5,188,683 | 45,089,654 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 16,294,855 | 146,490,749 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 27,325,526 | 248,935,545 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 61,479,862 | 578,525,501 |
Total | 1,306,623,722 | |
Total Fixed Income Funds (Cost $1,585,727,873) | 1,320,547,528 | |
22 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2022
Money Market Funds 4.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(a),(c) | 95,105,755 | 95,077,223 |
Total Money Market Funds (Cost $95,073,045) | 95,077,223 | |
Total Investments in Securities (Cost: $2,357,600,703) | 2,187,479,512 | |
Other Assets & Liabilities, Net | 5,327,332 | |
Net Assets | 2,192,806,844 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | 457 | 03/2023 | USD | 40,465,065 | — | (932,521) |
S&P 500 Index E-mini | 12 | 03/2023 | USD | 2,316,600 | — | (64,470) |
U.S. Treasury Ultra Bond | 164 | 03/2023 | USD | 22,027,250 | 45,756 | — |
U.S. Treasury Ultra Bond | 99 | 03/2023 | USD | 13,296,938 | — | (200,892) |
Total | 45,756 | (1,197,883) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | (160) | 03/2023 | EUR | (6,056,000) | 230,341 | — |
FTSE 100 Index | (74) | 03/2023 | GBP | (5,524,840) | — | (20,355) |
Total | 230,341 | (20,355) |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | |||||||||
118,825,058 | 131,760,345 | (155,523,588) | 15,408 | 95,077,223 | — | (29,005) | 1,589,297 | 95,105,755 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
6,922,099 | 1,446,366 | (2,324,273) | (649,240) | 5,394,952 | — | 602,982 | 1,446,366 | 1,055,763 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
59,775,278 | — | (1,871,670) | (13,853,852) | 44,049,756 | — | 3,433,489 | — | 1,330,808 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
60,084,868 | — | (2,399,699) | (13,446,091) | 44,239,078 | — | 2,777,974 | — | 614,090 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
17,789,981 | 648,127 | (1,262,777) | (3,251,525) | 13,923,806 | — | (236,593) | 645,547 | 1,851,570 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
13,441,489 | 2,948,129 | — | (7,370,270) | 9,019,348 | 2,948,130 | — | — | 1,002,150 |
Portfolio Navigator Funds | Annual Report 2022 | 23 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2022
Affiliated issuers | Beginning of period($) | 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 – Intermediate Bond Fund, Class 1 Shares | |||||||||
251,634,555 | 7,030,501 | (21,061,143) | (46,138,621) | 191,465,292 | 142,157 | (2,566,728) | 6,885,968 | 23,151,789 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
59,365,722 | 7,595,186 | (1,627,587) | (21,273,622) | 44,059,699 | — | 1,980,808 | — | 1,692,001 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
59,300,108 | 80,909,274 | (86,504,121) | (288,307) | 53,416,954 | — | (4,428,519) | 711,022 | 5,825,186 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
59,024,805 | 2,783,105 | (104,076) | (19,003,807) | 42,700,027 | 1,443,426 | (8,119) | 1,317,464 | 5,589,009 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
132,621,660 | 9,120,089 | (8,501,013) | (28,213,231) | 105,027,505 | 8,171,672 | 268,208 | 906,604 | 8,923,322 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
119,690,493 | — | (5,447,144) | (25,707,333) | 88,536,016 | — | 3,349,055 | — | 5,978,124 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
59,812,281 | 38,018 | (12,147,791) | (5,374,283) | 42,328,225 | — | 4,276,485 | — | 1,152,416 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
10,143,684 | 3,389,448 | (1,744,740) | (3,757,623) | 8,030,769 | 3,324,391 | (462,564) | 65,055 | 698,327 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
10,138,144 | 2,872,088 | — | (6,498,069) | 6,512,163 | 2,872,088 | — | — | 707,844 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
58,976,393 | 1,085,994 | (6,597,131) | (8,375,602) | 45,089,654 | — | (673,168) | 1,085,661 | 5,188,683 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
88,652,918 | 620,655 | (91,226,405) | 1,952,832 | — | 432,777 | (5,443,079) | 187,877 | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
192,847,249 | 9,422,375 | (19,840,100) | (35,938,775) | 146,490,749 | 4,296,352 | (1,969,136) | 5,124,930 | 16,294,855 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
12,486,511 | 1,986,457 | (1,259,679) | (4,784,568) | 8,428,721 | 1,834,006 | 84,464 | 149,019 | 1,381,758 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
49,502,578 | — | (6,168,778) | (4,870,624) | 38,463,176 | — | 1,925,329 | — | 1,081,337 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
42,931,563 | 163,744 | — | (17,648,878) | 25,446,429 | — | — | — | 719,639 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
48,655,557 | 26,493 | (194,245) | (13,847,789) | 34,640,016 | — | 345,401 | — | 819,106 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
49,363,621 | — | (2,935,920) | (8,453,594) | 37,974,107 | — | 6,384,412 | — | 1,185,950 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
325,985,605 | 3,229,713 | (34,647,725) | (45,632,048) | 248,935,545 | — | (2,209,924) | 3,228,544 | 27,325,526 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
10,497,658 | — | (803,880) | (1,571,637) | 8,122,141 | — | 1,310,295 | — | 193,292 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
10,375,684 | 4,927 | (74,563) | (2,739,400) | 7,566,648 | — | 114,481 | — | 212,368 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
755,407,740 | 15,596,275 | (87,711,030) | (104,767,484) | 578,525,501 | 4,743,523 | (7,859,246) | 10,850,450 | 61,479,862 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
77,729,995 | — | (2,013,293) | (17,600,236) | 58,116,466 | — | 4,739,540 | — | 1,945,647 |
24 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2022
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
74,018,268 | 11,490,766 | (3,087,354) | (25,367,048) | 57,054,632 | 10,197,406 | (328,132) | 1,251,267 | 6,483,481 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
50,491,200 | 2,404,511 | — | (15,734,924) | 37,160,787 | 2,252,837 | — | — | 3,693,915 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
51,314,528 | 1,181,482 | (343,095) | (6,957,587) | 45,195,328 | — | (31,124) | 1,108,999 | 5,159,284 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
13,927,091 | 22,385 | — | (4,036,757) | 9,912,719 | — | — | — | 365,918 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
7,471,340 | 74,559 | — | (969,819) | 6,576,080 | — | — | — | 201,165 | |
Total | 2,959,205,724 | (512,154,404) | 2,187,479,512 | 42,658,765 | 5,347,586 | 36,554,070 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
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). |
Portfolio Navigator Funds | Annual Report 2022 | 25 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2022
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 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. Representatives of Columbia Management Investment Advisers, LLC report to the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 5,394,952 | 5,394,952 |
Equity Funds | — | — | — | 766,459,809 | 766,459,809 |
Fixed Income Funds | — | — | — | 1,320,547,528 | 1,320,547,528 |
Money Market Funds | 95,077,223 | — | — | — | 95,077,223 |
Total Investments in Securities | 95,077,223 | — | — | 2,092,402,289 | 2,187,479,512 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 276,097 | — | — | — | 276,097 |
Liability | |||||
Futures Contracts | (1,218,238) | — | — | — | (1,218,238) |
Total | 94,135,082 | — | — | 2,092,402,289 | 2,186,537,371 |
26 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderate Portfolio, December 31, 2022
Alternative Strategies Funds 0.3% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 8,663,720 | 44,271,607 |
Total Alternative Strategies Funds (Cost $42,338,319) | 44,271,607 | |
Equity Funds 48.8% | ||
Global Real Estate 0.6% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 13,038,176 | 79,532,870 |
International 14.8% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a),(b) | 3,169,469 | 28,525,217 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 77,035,131 | 906,703,495 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 44,877,191 | 394,919,281 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 30,281,312 | 304,630,004 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 44,114,999 | 386,447,388 |
Total | 2,021,225,385 | |
U.S. Large Cap 30.4% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 10,385,072 | 343,745,896 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 4,798,945 | 345,716,005 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 16,044,417 | 417,796,622 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 46,646,724 | 690,837,982 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 10,445,862 | 383,676,504 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 10,796,621 | 384,035,812 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 6,861,295 | 242,615,387 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 7,922,424 | 335,039,301 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 11,788,424 | 377,465,325 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 20,984,348 | 626,802,486 |
Total | 4,147,731,320 |
Equity Funds (continued) | ||
U.S. Mid Cap 1.1% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 1,927,763 | 81,004,603 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 2,058,067 | 73,328,923 |
Total | 154,333,526 | |
U.S. Small Cap 1.9% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 6,917,954 | 79,556,468 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 6,197,818 | 57,019,926 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 2,891,685 | 78,335,746 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 1,595,954 | 52,171,749 |
Total | 267,083,889 | |
Total Equity Funds (Cost $5,643,034,627) | 6,669,906,990 | |
Fixed Income Funds 44.9% | ||
Emerging Markets 0.7% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 11,395,495 | 85,694,124 |
Investment Grade 44.2% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 123,856,405 | 1,024,292,470 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 26,647,165 | 244,354,498 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 75,826,765 | 579,316,486 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 28,156,691 | 244,681,647 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 75,205,600 | 676,098,346 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 150,692,719 | 1,372,810,669 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 201,968,368 | 1,900,522,345 |
Total | 6,042,076,461 | |
Total Fixed Income Funds (Cost $7,373,655,271) | 6,127,770,585 | |
Portfolio Navigator Funds | Annual Report 2022 | 27 |
Variable Portfolio – Moderate Portfolio, December 31, 2022
Money Market Funds 5.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(a),(c) | 745,549,792 | 745,326,127 |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 3.492%(a),(c) | 30,273,440 | 30,273,440 |
Total Money Market Funds (Cost $775,500,365) | 775,599,567 | |
Total Investments in Securities (Cost: $13,834,528,582) | 13,617,548,749 | |
Other Assets & Liabilities, Net | 45,197,410 | |
Net Assets | 13,662,746,159 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 854 | 03/2023 | USD | 83,239,380 | — | (1,447,615) |
Russell 2000 Index E-mini | 3,624 | 03/2023 | USD | 320,887,080 | — | (7,394,867) |
S&P 500 Index E-mini | 152 | 03/2023 | USD | 29,343,600 | — | (816,617) |
U.S. Treasury Ultra Bond | 314 | 03/2023 | USD | 42,174,125 | 87,606 | — |
U.S. Treasury Ultra Bond | 1,070 | 03/2023 | USD | 143,714,375 | — | (2,171,257) |
Total | 87,606 | (11,830,356) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | (1,079) | 03/2023 | EUR | (40,840,150) | 1,553,360 | — |
FTSE 100 Index | (505) | 03/2023 | GBP | (37,703,300) | — | (138,912) |
Total | 1,553,360 | (138,912) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 39 | Morgan Stanley | 12/20/2027 | 1.000 | Quarterly | 0.820 | USD | 52,323,000 | 358,458 | — | — | 358,458 | — |
* | 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. |
28 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderate Portfolio, December 31, 2022
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 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, 4.318% | |||||||||
983,397,100 | 1,251,860,036 | (1,490,109,368) | 178,359 | 745,326,127 | — | (312,007) | 16,470,782 | 745,549,792 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
55,257,709 | 12,161,049 | (17,907,643) | (5,239,508) | 44,271,607 | — | 3,936,816 | 12,161,049 | 8,663,720 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
458,128,586 | — | (11,832,939) | (102,549,751) | 343,745,896 | — | 21,404,106 | — | 10,385,072 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
465,469,284 | — | (17,023,770) | (102,729,509) | 345,716,005 | — | 19,575,750 | — | 4,798,945 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
103,283,790 | 3,853,174 | (1,313,006) | (20,129,834) | 85,694,124 | — | (292,614) | 3,852,086 | 11,395,495 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
42,505,343 | 9,326,852 | — | (23,306,978) | 28,525,217 | 9,323,111 | — | — | 3,169,469 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 3.492% | |||||||||
29,915,616 | 357,824 | — | — | 30,273,440 | — | — | 360,861 | 30,273,440 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
1,406,491,366 | 36,220,275 | (171,588,586) | (246,830,585) | 1,024,292,470 | 730,674 | (3,328,586) | 35,393,378 | 123,856,405 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
547,236,442 | 82,012,507 | (9,712,044) | (201,740,283) | 417,796,622 | — | 21,682,617 | — | 16,044,417 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
173,153,922 | 491,625,862 | (419,443,216) | (982,070) | 244,354,498 | — | (16,959,734) | 3,568,236 | 26,647,165 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
801,802,808 | 37,446,050 | (1,957,174) | (257,975,198) | 579,316,486 | 19,561,121 | 154,365 | 17,854,095 | 75,826,765 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
1,099,785,818 | 76,757,762 | (32,539,359) | (237,300,726) | 906,703,495 | 69,109,081 | 1,296,190 | 7,639,169 | 77,035,131 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
924,516,426 | — | (37,178,705) | (196,499,739) | 690,837,982 | — | 22,837,846 | — | 46,646,724 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
550,308,803 | 15,831 | (118,197,028) | (48,451,102) | 383,676,504 | — | 36,460,726 | — | 10,445,862 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
99,531,944 | 32,974,907 | (11,168,454) | (41,781,929) | 79,556,468 | 32,342,003 | 593,632 | 632,905 | 6,917,954 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
88,768,695 | 25,147,746 | — | (56,896,515) | 57,019,926 | 25,147,746 | — | — | 6,197,818 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
301,938,219 | 5,748,023 | (16,791,394) | (46,213,201) | 244,681,647 | — | (1,359,247) | 5,746,791 | 28,156,691 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
528,197,882 | 3,777,080 | (541,961,257) | 9,986,295 | — | 2,633,725 | (31,032,309) | 1,143,355 | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
969,783,402 | 41,387,911 | (164,255,748) | (170,817,219) | 676,098,346 | 18,831,152 | 4,004,251 | 22,462,860 | 75,205,600 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
116,034,362 | 18,793,375 | (10,317,682) | (44,977,185) | 79,532,870 | 17,379,159 | 353,826 | 1,412,115 | 13,038,176 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
478,884,340 | — | (36,818,143) | (58,030,385) | 384,035,812 | — | 28,647,469 | — | 10,796,621 |
Portfolio Navigator Funds | Annual Report 2022 | 29 |
Variable Portfolio – Moderate Portfolio, December 31, 2022
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® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
411,595,124 | 53,866 | — | (169,033,603) | 242,615,387 | — | — | — | 6,861,295 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
468,936,174 | 7,193 | (1,210,872) | (132,693,194) | 335,039,301 | — | 2,188,080 | — | 7,922,424 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
476,570,024 | — | (26,697,530) | (72,407,169) | 377,465,325 | — | 51,091,997 | — | 11,788,424 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
1,420,783,626 | 295,252,887 | (135,362,004) | (207,863,840) | 1,372,810,669 | — | (9,457,035) | 14,248,147 | 150,692,719 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
101,650,599 | — | (3,909,961) | (16,736,035) | 81,004,603 | — | 13,921,772 | — | 1,927,763 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
99,543,250 | 739 | (233,698) | (25,981,368) | 73,328,923 | — | 654,929 | — | 2,058,067 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
2,303,149,525 | 49,713,930 | (108,146,404) | (344,194,706) | 1,900,522,345 | 15,118,489 | (9,806,594) | 34,582,400 | 201,968,368 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
785,116,658 | — | (18,239,139) | (140,075,033) | 626,802,486 | — | 5,145,126 | — | 20,984,348 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
449,583,842 | 271,232,433 | (145,141,880) | (180,755,114) | 394,919,281 | 82,897,734 | (14,478,208) | 7,598,969 | 44,877,191 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
415,466,803 | 18,569,755 | — | (129,406,554) | 304,630,004 | 18,500,854 | — | — | 30,281,312 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
436,443,001 | 9,460,403 | — | (59,456,016) | 386,447,388 | — | — | 9,423,632 | 44,114,999 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
110,281,291 | 5,604 | — | (31,951,149) | 78,335,746 | — | — | — | 2,891,685 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
59,903,551 | 21,614 | — | (7,753,416) | 52,171,749 | — | — | — | 1,595,954 | |
Total | 17,763,415,325 | (3,370,594,260) | 13,617,548,749 | 311,574,849 | 146,923,164 | 194,550,830 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
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. |
30 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderate Portfolio, December 31, 2022
■ | 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 ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 44,271,607 | 44,271,607 |
Equity Funds | — | — | — | 6,669,906,990 | 6,669,906,990 |
Fixed Income Funds | — | — | — | 6,127,770,585 | 6,127,770,585 |
Money Market Funds | 775,599,567 | — | — | — | 775,599,567 |
Total Investments in Securities | 775,599,567 | — | — | 12,841,949,182 | 13,617,548,749 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,640,966 | — | — | — | 1,640,966 |
Swap Contracts | — | 358,458 | — | — | 358,458 |
Liability | |||||
Futures Contracts | (11,969,268) | — | — | — | (11,969,268) |
Total | 765,271,265 | 358,458 | — | 12,841,949,182 | 13,607,578,905 |
Portfolio Navigator Funds | Annual Report 2022 | 31 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2022
Alternative Strategies Funds 0.4% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 3,951,055 | 20,189,894 |
Total Alternative Strategies Funds (Cost $19,247,713) | 20,189,894 | |
Equity Funds 64.7% | ||
Global Real Estate 0.8% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 7,534,045 | 45,957,672 |
International 19.2% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a),(b) | 1,308,363 | 11,775,267 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 37,701,460 | 443,746,187 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 26,611,386 | 234,180,190 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 17,793,045 | 178,998,034 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 24,524,397 | 214,833,718 |
Total | 1,083,533,396 | |
U.S. Large Cap 40.5% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 5,134,054 | 169,937,192 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,371,939 | 170,874,472 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 9,061,679 | 235,966,126 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 23,047,659 | 341,335,829 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 5,868,845 | 215,562,674 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 6,655,953 | 236,752,233 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 4,334,122 | 153,254,557 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 4,917,284 | 207,951,964 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 7,264,875 | 232,621,303 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 10,995,644 | 328,439,887 |
Total | 2,292,696,237 |
Equity Funds (continued) | ||
U.S. Mid Cap 1.6% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 1,111,035 | 46,685,717 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 1,187,304 | 42,303,631 |
Total | 88,989,348 | |
U.S. Small Cap 2.6% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 3,968,230 | 45,634,649 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 3,620,358 | 33,307,293 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 1,541,783 | 41,766,885 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 769,609 | 25,158,518 |
Total | 145,867,345 | |
Total Equity Funds (Cost $3,169,871,215) | 3,657,043,998 | |
Fixed Income Funds 29.0% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 4,010,778 | 30,161,052 |
Investment Grade 28.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 45,896,190 | 379,561,492 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 8,950,048 | 82,071,941 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 10,766,510 | 82,256,131 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 10,132,837 | 88,054,356 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 32,666,139 | 293,668,586 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 25,932,967 | 236,249,331 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 47,293,017 | 445,027,292 |
Total | 1,606,889,129 | |
Total Fixed Income Funds (Cost $1,985,352,726) | 1,637,050,181 | |
32 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2022
Money Market Funds 5.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(a),(c) | 318,810,819 | 318,715,176 |
Total Money Market Funds (Cost $318,664,863) | 318,715,176 | |
Total Investments in Securities (Cost: $5,493,136,517) | 5,632,999,249 | |
Other Assets & Liabilities, Net | 19,296,472 | |
Net Assets | 5,652,295,721 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 177 | 03/2023 | USD | 17,252,190 | — | (300,033) |
Russell 2000 Index E-mini | 1,645 | 03/2023 | USD | 145,656,525 | — | (3,356,666) |
U.S. Treasury 10-Year Note | 1,642 | 03/2023 | USD | 184,391,469 | — | (508,709) |
U.S. Treasury Ultra Bond | 88 | 03/2023 | USD | 11,819,500 | 24,552 | — |
U.S. Treasury Ultra Bond | 324 | 03/2023 | USD | 43,517,250 | — | (657,465) |
Total | 24,552 | (4,822,873) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | (529) | 03/2023 | EUR | (20,022,650) | 761,564 | — |
FTSE 100 Index | (241) | 03/2023 | GBP | (17,993,060) | — | (66,292) |
S&P 500 Index E-mini | (102) | 03/2023 | USD | (19,691,100) | 547,232 | — |
Total | 1,308,796 | (66,292) |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | |||||||||
497,839,691 | 445,799,523 | (625,023,342) | 99,304 | 318,715,176 | — | (151,756) | 5,423,164 | 318,810,819 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
25,094,136 | 5,697,634 | (8,222,969) | (2,378,907) | 20,189,894 | — | 1,676,145 | 5,697,634 | 3,951,055 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
230,260,343 | — | (7,177,880) | (53,145,271) | 169,937,192 | — | 12,408,086 | — | 5,134,054 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
233,251,063 | — | (9,765,904) | (52,610,687) | 170,874,472 | — | 10,930,695 | — | 2,371,939 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
37,323,828 | 1,373,475 | (1,591,850) | (6,944,401) | 30,161,052 | — | (416,880) | 1,373,475 | 4,010,778 |
Portfolio Navigator Funds | Annual Report 2022 | 33 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2022
Affiliated issuers | Beginning of period($) | 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 – Emerging Markets Fund, Class 1 Shares | |||||||||
17,490,304 | 3,878,651 | — | (9,593,688) | 11,775,267 | 3,839,098 | — | — | 1,308,363 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
494,574,681 | 13,760,307 | (37,361,173) | (91,412,323) | 379,561,492 | 278,327 | (4,201,853) | 13,481,980 | 45,896,190 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
309,819,393 | 48,948,428 | (7,646,260) | (115,155,435) | 235,966,126 | — | 14,300,103 | — | 9,061,679 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
56,529,405 | 140,259,082 | (114,135,207) | (581,339) | 82,071,941 | — | (4,942,311) | 1,086,730 | 8,950,048 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
114,561,334 | 5,355,392 | (976,283) | (36,684,312) | 82,256,131 | 2,778,967 | 4,655 | 2,536,457 | 10,766,510 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
552,360,832 | 37,825,787 | (29,556,470) | (116,883,962) | 443,746,187 | 34,038,425 | (33,570) | 3,786,400 | 37,701,460 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
463,186,674 | 862 | (21,985,010) | (99,866,697) | 341,335,829 | — | 12,855,032 | — | 23,047,659 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
312,533,232 | 160,416 | (46,118,871) | (51,012,103) | 215,562,674 | — | 43,142,105 | — | 5,868,845 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
57,670,939 | 19,041,924 | (8,821,850) | (22,256,364) | 45,634,649 | 18,676,443 | (1,572,636) | 365,483 | 3,968,230 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
51,852,838 | 14,689,660 | — | (33,235,205) | 33,307,293 | 14,689,660 | — | — | 3,620,358 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
112,544,076 | 2,092,803 | (10,144,839) | (16,437,684) | 88,054,356 | — | (1,011,074) | 2,092,803 | 10,132,837 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
151,702,567 | 1,077,055 | (157,012,411) | 4,232,789 | — | 751,021 | (10,250,375) | 326,034 | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
382,156,166 | 18,629,428 | (34,544,286) | (72,572,722) | 293,668,586 | 8,495,508 | (2,485,123) | 10,133,920 | 32,666,139 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
66,979,071 | 10,923,893 | (5,981,955) | (25,963,337) | 45,957,672 | 10,094,549 | 69,412 | 820,216 | 7,534,045 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
298,203,524 | — | (35,469,307) | (25,981,984) | 236,752,233 | — | 7,563,923 | — | 6,655,953 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
258,705,725 | 845,579 | — | (106,296,747) | 153,254,557 | — | — | — | 4,334,122 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
291,844,463 | 98,600 | (1,059,593) | (82,931,506) | 207,951,964 | — | 1,866,679 | — | 4,917,284 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
296,852,311 | — | (25,291,292) | (38,939,716) | 232,621,303 | — | 25,505,138 | — | 7,264,875 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
304,994,261 | 3,018,782 | (29,060,012) | (42,703,700) | 236,249,331 | — | (2,104,335) | 3,018,782 | 25,932,967 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
58,887,441 | — | (2,941,798) | (9,259,926) | 46,685,717 | — | 7,603,229 | — | 1,111,035 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
57,818,380 | 10,325 | (240,690) | (15,284,384) | 42,303,631 | — | 605,835 | — | 1,187,304 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
572,991,919 | 11,806,170 | (60,015,675) | (79,755,122) | 445,027,292 | 3,591,313 | (5,601,706) | 8,214,857 | 47,293,017 |
34 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2022
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
433,091,822 | 80 | (12,360,529) | (92,291,486) | 328,439,887 | — | 19,308,808 | — | 10,995,644 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
269,598,733 | 156,050,521 | (77,735,950) | (113,733,114) | 234,180,190 | 48,422,640 | (1,524,570) | 4,526,881 | 26,611,386 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
243,163,338 | 11,601,147 | — | (75,766,451) | 178,998,034 | 10,842,796 | — | — | 17,793,045 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
242,251,331 | 5,578,653 | — | (32,996,266) | 214,833,718 | — | — | 5,230,666 | 24,524,397 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
58,728,627 | 54,841 | — | (17,016,583) | 41,766,885 | — | — | — | 1,541,783 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
28,563,644 | 299,726 | — | (3,704,852) | 25,158,518 | — | — | — | 769,609 | |
Total | 7,583,426,092 | (1,539,064,181) | 5,632,999,249 | 156,498,747 | 123,543,656 | 68,115,482 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
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). |
Portfolio Navigator Funds | Annual Report 2022 | 35 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2022
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 20,189,894 | 20,189,894 |
Equity Funds | — | — | — | 3,657,043,998 | 3,657,043,998 |
Fixed Income Funds | — | — | — | 1,637,050,181 | 1,637,050,181 |
Money Market Funds | 318,715,176 | — | — | — | 318,715,176 |
Total Investments in Securities | 318,715,176 | — | — | 5,314,284,073 | 5,632,999,249 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,333,348 | — | — | — | 1,333,348 |
Liability | |||||
Futures Contracts | (4,889,165) | — | — | — | (4,889,165) |
Total | 315,159,359 | — | — | 5,314,284,073 | 5,629,443,432 |
36 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Aggressive Portfolio, December 31, 2022
Alternative Strategies Funds 0.5% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 2,089,646 | 10,678,091 |
Total Alternative Strategies Funds (Cost $10,414,524) | 10,678,091 | |
Equity Funds 81.0% | ||
Global Real Estate 1.0% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 3,399,256 | 20,735,462 |
International 24.7% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a),(b) | 520,271 | 4,682,441 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 15,330,577 | 180,440,894 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 16,080,047 | 141,504,410 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 8,405,181 | 84,556,118 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 11,125,859 | 97,462,527 |
Total | 508,646,390 | |
U.S. Large Cap 50.1% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 2,271,204 | 75,176,851 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,056,925 | 76,140,903 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 4,338,204 | 112,966,837 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 10,228,323 | 151,481,465 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 2,667,314 | 97,970,431 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 3,080,654 | 109,578,874 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 2,025,359 | 71,616,704 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 2,167,356 | 91,657,482 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 3,381,348 | 108,270,745 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 4,589,362 | 137,084,228 |
Total | 1,031,944,520 |
Equity Funds (continued) | ||
U.S. Mid Cap 1.9% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 513,700 | 21,585,681 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 511,670 | 18,230,784 |
Total | 39,816,465 | |
U.S. Small Cap 3.3% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 1,811,313 | 20,830,102 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 1,530,790 | 14,083,268 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 694,883 | 18,824,382 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 453,197 | 14,815,005 |
Total | 68,552,757 | |
Total Equity Funds (Cost $1,433,914,872) | 1,669,695,594 | |
Fixed Income Funds 15.3% | ||
Emerging Markets 0.5% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,406,408 | 10,576,187 |
Investment Grade 14.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 7,657,719 | 63,329,334 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 1,417,266 | 12,996,330 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,098,682 | 38,953,929 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,156,974 | 64,341,197 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 4,738,427 | 43,167,075 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 8,669,096 | 81,576,193 |
Total | 304,364,058 | |
Total Fixed Income Funds (Cost $386,697,750) | 314,940,245 | |
Portfolio Navigator Funds | Annual Report 2022 | 37 |
Variable Portfolio – Aggressive Portfolio, December 31, 2022
Money Market Funds 2.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(a),(c) | 58,976,773 | 58,959,080 |
Total Money Market Funds (Cost $58,954,005) | 58,959,080 | |
Total Investments in Securities (Cost: $1,889,981,151) | 2,054,273,010 | |
Other Assets & Liabilities, Net | 5,916,383 | |
Net Assets | 2,060,189,393 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | 604 | 03/2023 | USD | 53,481,180 | — | (1,232,478) |
U.S. Treasury Ultra Bond | 54 | 03/2023 | USD | 7,252,875 | 15,067 | — |
U.S. Treasury Ultra Bond | 132 | 03/2023 | USD | 17,729,250 | — | (267,856) |
Total | 15,067 | (1,500,334) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | (256) | 03/2023 | EUR | (9,689,600) | 368,545 | — |
FTSE 100 Index | (116) | 03/2023 | GBP | (8,660,560) | — | (31,909) |
S&P 500 Index E-mini | (97) | 03/2023 | USD | (18,725,850) | 520,407 | — |
Total | 888,952 | (31,909) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 39 | Morgan Stanley | 12/20/2027 | 1.000 | Quarterly | 0.820 | USD | 10,308,000 | 70,619 | — | — | 70,619 | — |
* | 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. |
38 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Aggressive Portfolio, December 31, 2022
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 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, 4.318% | |||||||||
119,218,990 | 105,572,938 | (165,849,444) | 16,596 | 58,959,080 | — | (27,739) | 1,022,015 | 58,976,773 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
11,630,211 | 3,088,472 | (2,868,083) | (1,172,508) | 10,678,092 | — | 379,016 | 3,088,472 | 2,089,646 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
98,258,088 | — | (1,944,249) | (21,136,988) | 75,176,851 | — | 3,330,061 | — | 2,271,204 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
100,930,601 | — | (3,077,140) | (21,712,558) | 76,140,903 | — | 3,375,707 | — | 1,056,925 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
12,509,957 | 582,655 | (48,101) | (2,468,325) | 10,576,186 | — | (14,794) | 471,236 | 1,406,408 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
6,810,879 | 1,652,504 | (39,090) | (3,741,852) | 4,682,441 | 1,506,110 | 655 | — | 520,271 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
78,625,388 | 2,320,701 | (2,364,328) | (15,252,427) | 63,329,334 | 45,853 | (315,348) | 2,221,094 | 7,657,719 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
140,511,251 | 28,507,164 | (3,314,391) | (52,737,187) | 112,966,837 | — | 6,733,434 | — | 4,338,204 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
— | 24,936,589 | (11,756,561) | (183,698) | 12,996,330 | — | (180,521) | 168,831 | 1,417,266 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
53,452,752 | 2,922,224 | (197,748) | (17,223,299) | 38,953,929 | 1,309,282 | 4,954 | 1,195,026 | 5,098,682 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
213,608,565 | 15,528,065 | (2,493,787) | (46,201,949) | 180,440,894 | 13,597,695 | (144,906) | 1,501,541 | 15,330,577 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
201,512,524 | — | (7,469,131) | (42,561,928) | 151,481,465 | — | 4,262,094 | — | 10,228,323 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
138,427,652 | 1,083,766 | (19,559,505) | (21,981,482) | 97,970,431 | — | 17,665,755 | — | 2,667,314 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
25,815,747 | 8,630,303 | (2,745,739) | (10,870,209) | 20,830,102 | 8,464,658 | 71,779 | 165,645 | 1,811,313 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
21,924,851 | 6,211,205 | — | (14,052,788) | 14,083,268 | 6,211,205 | — | — | 1,530,790 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
25,973,949 | 192,969 | (27,425,535) | 1,258,617 | — | 133,655 | (2,316,716) | 58,023 | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
79,430,954 | 4,042,653 | (3,495,919) | (15,636,491) | 64,341,197 | 1,835,456 | (383,894) | 2,189,435 | 7,156,974 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
29,628,863 | 4,960,646 | (2,202,277) | (11,651,770) | 20,735,462 | 4,584,511 | (84,943) | 372,507 | 3,399,256 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
130,288,443 | — | (10,464,081) | (10,245,488) | 109,578,874 | — | 2,183,013 | — | 3,080,654 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
109,104,829 | 8,293,075 | — | (45,781,200) | 71,616,704 | — | — | — | 2,025,359 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
127,186,612 | 973,868 | (406,469) | (36,096,529) | 91,657,482 | — | 725,610 | — | 2,167,356 |
Portfolio Navigator Funds | Annual Report 2022 | 39 |
Variable Portfolio – Aggressive Portfolio, December 31, 2022
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
129,088,371 | — | (7,992,931) | (12,824,695) | 108,270,745 | — | 6,651,386 | — | 3,381,348 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
52,664,172 | 556,896 | (2,297,199) | (7,756,794) | 43,167,075 | — | (174,324) | 543,220 | 4,738,427 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
25,639,411 | — | (912,545) | (3,141,185) | 21,585,681 | — | 2,410,876 | — | 513,700 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
24,388,496 | 181,039 | (30,670) | (6,308,081) | 18,230,784 | — | 81,583 | — | 511,670 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
112,759,628 | 2,215,005 | (19,454,817) | (13,943,623) | 81,576,193 | 673,781 | (2,217,030) | 1,541,224 | 8,669,096 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
165,584,059 | 1,077,705 | (368,253) | (29,209,283) | 137,084,228 | — | 462,666 | — | 4,589,362 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
148,401,307 | 78,445,155 | (26,587,669) | (58,754,383) | 141,504,410 | 27,392,023 | (4,940,368) | 2,517,799 | 16,080,047 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
103,712,294 | 13,867,895 | — | (33,024,071) | 84,556,118 | 4,953,169 | — | — | 8,405,181 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
103,960,342 | 7,680,041 | — | (14,177,856) | 97,462,527 | — | — | 2,275,955 | 11,125,859 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
25,455,840 | 787,961 | — | (7,419,419) | 18,824,382 | — | — | — | 694,883 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
13,986,653 | 2,726,267 | — | (1,897,915) | 14,815,005 | — | — | — | 453,197 | |
Total | 2,630,491,679 | (577,890,768) | 2,054,273,010 | 70,707,398 | 37,538,006 | 19,332,023 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
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). |
40 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Aggressive Portfolio, December 31, 2022
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 10,678,091 | 10,678,091 |
Equity Funds | — | — | — | 1,669,695,594 | 1,669,695,594 |
Fixed Income Funds | — | — | — | 314,940,245 | 314,940,245 |
Money Market Funds | 58,959,080 | — | — | — | 58,959,080 |
Total Investments in Securities | 58,959,080 | — | — | 1,995,313,930 | 2,054,273,010 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 904,019 | — | — | — | 904,019 |
Swap Contracts | — | 70,619 | — | — | 70,619 |
Liability | |||||
Futures Contracts | (1,532,243) | — | — | — | (1,532,243) |
Total | 58,330,856 | 70,619 | — | 1,995,313,930 | 2,053,715,405 |
Portfolio Navigator Funds | Annual Report 2022 | 41 |
December 31, 2022
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | Variable Portfolio – Moderate Portfolio | |
Assets | |||
Investments in securities, at value | |||
Affiliated issuers (cost $1,044,453,090, $2,357,600,703, $13,834,528,582, respectively) | $909,680,968 | $2,187,479,512 | $13,617,548,749 |
Margin deposits on: | |||
Futures contracts | 2,519,114 | 5,463,210 | 44,022,383 |
Swap contracts | — | — | 1,535,681 |
Receivable for: | |||
Investments sold | 847,410 | 1,911,856 | 13,219,232 |
Capital shares sold | 670 | 19,106 | 28,642 |
Dividends | 229,593 | 327,522 | 3,011,235 |
Variation margin for futures contracts | 51,350 | 148,671 | 1,005,198 |
Prepaid expenses | 13,228 | 23,039 | 105,339 |
Total assets | 913,342,333 | 2,195,372,916 | 13,680,476,459 |
Liabilities | |||
Payable for: | |||
Capital shares purchased | 848,080 | 1,930,962 | 13,247,874 |
Variation margin for futures contracts | 126,991 | 279,620 | 2,755,410 |
Variation margin for swap contracts | — | — | 7,641 |
Management services fees | 1,830 | 3,128 | 22,277 |
Distribution and/or service fees | 6,271 | 15,079 | 93,801 |
Service fees | 45,613 | 109,440 | 681,252 |
Compensation of board members | 101,655 | 194,755 | 825,259 |
Compensation of chief compliance officer | 181 | 434 | 2,665 |
Other expenses | 25,752 | 32,654 | 94,121 |
Total liabilities | 1,156,373 | 2,566,072 | 17,730,300 |
Net assets applicable to outstanding capital stock | $912,185,960 | $2,192,806,844 | $13,662,746,159 |
Represented by | |||
Trust capital | $912,185,960 | $2,192,806,844 | $13,662,746,159 |
Total - representing net assets applicable to outstanding capital stock | $912,185,960 | $2,192,806,844 | $13,662,746,159 |
Class 1 | |||
Net assets | $1,014,423 | $2,117,980 | $38,960,596 |
Shares outstanding | 70,806 | 128,178 | 2,035,679 |
Net asset value per share | $14.33 | $16.52 | $19.14 |
Class 2 | |||
Net assets | $515,882,519 | $1,163,336,301 | $7,213,761,335 |
Shares outstanding | 36,371,383 | 71,043,166 | 380,056,469 |
Net asset value per share | $14.18 | $16.38 | $18.98 |
Class 4 | |||
Net assets | $395,289,018 | $1,027,352,563 | $6,410,024,228 |
Shares outstanding | 27,878,919 | 62,620,957 | 337,273,525 |
Net asset value per share | $14.18 | $16.41 | $19.01 |
42 | Portfolio Navigator Funds | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Moderately Aggressive Portfolio | Variable Portfolio – Aggressive Portfolio | |
Assets | ||
Investments in securities, at value | ||
Affiliated issuers (cost $5,493,136,517, $1,889,981,151, respectively) | $5,632,999,249 | $2,054,273,010 |
Margin deposits on: | ||
Futures contracts | 19,527,978 | 5,690,673 |
Swap contracts | — | 302,540 |
Receivable for: | ||
Investments sold | 3,749,826 | 1,798,844 |
Capital shares sold | 165,625 | 102,595 |
Dividends | 1,104,664 | 205,580 |
Variation margin for futures contracts | 544,776 | 288,967 |
Prepaid expenses | 48,515 | 20,249 |
Total assets | 5,658,140,633 | 2,062,682,458 |
Liabilities | ||
Payable for: | ||
Capital shares purchased | 3,915,451 | 1,901,439 |
Variation margin for futures contracts | 1,124,741 | 280,240 |
Variation margin for swap contracts | — | 1,505 |
Management services fees | 9,584 | 2,372 |
Distribution and/or service fees | 38,005 | 13,751 |
Service fees | 281,432 | 102,562 |
Compensation of board members | 422,300 | 158,422 |
Compensation of chief compliance officer | 1,098 | 394 |
Other expenses | 52,301 | 32,380 |
Total liabilities | 5,844,912 | 2,493,065 |
Net assets applicable to outstanding capital stock | $5,652,295,721 | $2,060,189,393 |
Represented by | ||
Trust capital | $5,652,295,721 | $2,060,189,393 |
Total - representing net assets applicable to outstanding capital stock | $5,652,295,721 | $2,060,189,393 |
Class 1 | ||
Net assets | $130,084,294 | $62,599,689 |
Shares outstanding | 6,038,427 | 2,590,848 |
Net asset value per share | $21.54 | $24.16 |
Class 2 | ||
Net assets | $2,986,446,347 | $1,135,243,485 |
Shares outstanding | 139,801,377 | 47,342,122 |
Net asset value per share | $21.36 | $23.98 |
Class 4 | ||
Net assets | $2,535,765,080 | $862,346,219 |
Shares outstanding | 118,519,235 | 35,904,858 |
Net asset value per share | $21.40 | $24.02 |
Portfolio Navigator Funds | Annual Report 2022 | 43 |
Year Ended December 31, 2022
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | Variable Portfolio – Moderate Portfolio | |
Net investment income | |||
Income: | |||
Dividends — affiliated issuers | $17,351,173 | $36,554,070 | $194,550,830 |
Interest | 27,941 | 3,799 | 411,967 |
Total income | 17,379,114 | 36,557,869 | 194,962,797 |
Expenses: | |||
Management services fees | 713,669 | 1,238,619 | 10,315,853 |
Distribution and/or service fees | |||
Class 2 | 1,399,828 | 3,245,586 | 19,529,984 |
Class 4 | 1,114,251 | 2,901,322 | 17,858,847 |
Service fees | 602,782 | 1,472,948 | 8,974,050 |
Compensation of board members | 22,089 | 37,048 | 177,717 |
Custodian fees | 13,281 | 12,785 | 21,674 |
Printing and postage fees | 17,731 | 31,375 | 149,160 |
Audit fees | 29,500 | 32,000 | 32,000 |
Legal fees | 24,898 | 43,289 | 201,851 |
Interest on collateral | 8,101 | 18,441 | 209,093 |
Compensation of chief compliance officer | 139 | 335 | 2,098 |
Other | 18,238 | 35,418 | 182,811 |
Total expenses | 3,964,507 | 9,069,166 | 57,655,138 |
Net investment income | 13,414,607 | 27,488,703 | 137,307,659 |
Realized and unrealized gain (loss) — net | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | — | — | (3,845,299) |
Investments — affiliated issuers | (2,020,608) | 5,347,586 | 146,923,164 |
Capital gain distributions from underlying affiliated funds | 11,342,195 | 42,658,765 | 311,574,849 |
Foreign currency translations | (55,189) | (108,827) | (1,804,308) |
Futures contracts | (13,657,423) | (22,149,233) | (98,500,345) |
Swap contracts | — | — | (411,275) |
Net realized gain (loss) | (4,391,025) | 25,748,291 | 353,936,786 |
Net change in unrealized appreciation (depreciation) on: | |||
Investments — affiliated issuers | (185,942,145) | (512,154,404) | (3,370,594,260) |
Futures contracts | (1,379,067) | (3,162,292) | (25,307,468) |
Swap contracts | — | — | 333,946 |
Net change in unrealized appreciation (depreciation) | (187,321,212) | (515,316,696) | (3,395,567,782) |
Net realized and unrealized loss | (191,712,237) | (489,568,405) | (3,041,630,996) |
Net decrease in net assets resulting from operations | $(178,297,630) | $(462,079,702) | $(2,904,323,337) |
44 | Portfolio Navigator Funds | Annual Report 2022 |
Year Ended December 31, 2022
Variable Portfolio – Moderately Aggressive Portfolio | Variable Portfolio – Aggressive Portfolio | |
Net investment income | ||
Income: | ||
Dividends — affiliated issuers | $68,115,482 | $19,332,023 |
Interest | 305,666 | 97,338 |
Total income | 68,421,148 | 19,429,361 |
Expenses: | ||
Management services fees | 3,961,675 | 1,011,037 |
Distribution and/or service fees | ||
Class 2 | 8,342,089 | 3,062,280 |
Class 4 | 7,018,869 | 2,351,223 |
Service fees | 3,742,440 | 1,327,287 |
Compensation of board members | 77,046 | 35,961 |
Custodian fees | 19,213 | 15,811 |
Printing and postage fees | 78,056 | 32,648 |
Audit fees | 32,000 | 32,000 |
Legal fees | 91,127 | 40,141 |
Interest on collateral | 90,998 | 36,754 |
Compensation of chief compliance officer | 843 | 310 |
Other | 80,516 | 31,976 |
Total expenses | 23,534,872 | 7,977,428 |
Net investment income | 44,886,276 | 11,451,933 |
Realized and unrealized gain (loss) — net | ||
Net realized gain (loss) on: | ||
Investments — affiliated issuers | 123,543,656 | 37,538,006 |
Capital gain distributions from underlying affiliated funds | 156,498,747 | 70,707,398 |
Foreign currency translations | (796,127) | (346,993) |
Futures contracts | (74,424,225) | (12,119,517) |
Swap contracts | — | (82,144) |
Net realized gain | 204,822,051 | 95,696,750 |
Net change in unrealized appreciation (depreciation) on: | ||
Investments — affiliated issuers | (1,539,064,181) | (577,890,768) |
Futures contracts | (11,833,369) | (3,373,431) |
Swap contracts | — | 66,910 |
Net change in unrealized appreciation (depreciation) | (1,550,897,550) | (581,197,289) |
Net realized and unrealized loss | (1,346,075,499) | (485,500,539) |
Net decrease in net assets resulting from operations | $(1,301,189,223) | $(474,048,606) |
Portfolio Navigator Funds | Annual Report 2022 | 45 |
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | |||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||||
Net investment income | $13,414,607 | $15,586,006 | $27,488,703 | $30,278,547 |
Net realized gain (loss) | (4,391,025) | 122,645,112 | 25,748,291 | 293,023,686 |
Net change in unrealized appreciation (depreciation) | (187,321,212) | (103,187,226) | (515,316,696) | (151,179,205) |
Net increase (decrease) in net assets resulting from operations | (178,297,630) | 35,043,892 | (462,079,702) | 172,123,028 |
Decrease in net assets from capital stock activity | (99,266,588) | (233,106,490) | (309,738,054) | (352,077,035) |
Total decrease in net assets | (277,564,218) | (198,062,598) | (771,817,756) | (179,954,007) |
Net assets at beginning of year | 1,189,750,178 | 1,387,812,776 | 2,964,624,600 | 3,144,578,607 |
Net assets at end of year | $912,185,960 | $1,189,750,178 | $2,192,806,844 | $2,964,624,600 |
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2022 | December 31, 2021 | December 31, 2022 | December 31, 2021 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 21,587 | 322,755 | 61,593 | 1,024,919 | 55,666 | 952,632 | 68,961 | 1,317,951 |
Redemptions | (19,916) | (305,697) | (11,411) | (189,684) | (27,449) | (499,806) | (41,972) | (794,690) |
Net increase | 1,671 | 17,058 | 50,182 | 835,235 | 28,217 | 452,826 | 26,989 | 523,261 |
Class 2 | ||||||||
Subscriptions | 2,588,535 | 38,492,489 | 2,944,854 | 48,663,645 | 639,858 | 11,030,218 | 1,568,795 | 29,847,265 |
Redemptions | (5,180,239) | (78,000,364) | (9,710,378) | (160,288,681) | (9,038,411) | (155,556,639) | (9,118,849) | (173,584,537) |
Net decrease | (2,591,704) | (39,507,875) | (6,765,524) | (111,625,036) | (8,398,553) | (144,526,421) | (7,550,054) | (143,737,272) |
Class 4 | ||||||||
Subscriptions | 1,225,672 | 18,241,779 | 763,195 | 12,558,711 | 281,196 | 4,887,995 | 279,011 | 5,331,862 |
Redemptions | (5,199,441) | (78,017,550) | (8,175,661) | (134,875,400) | (9,846,393) | (170,552,454) | (11,225,157) | (214,194,886) |
Net decrease | (3,973,769) | (59,775,771) | (7,412,466) | (122,316,689) | (9,565,197) | (165,664,459) | (10,946,146) | (208,863,024) |
Total net decrease | (6,563,802) | (99,266,588) | (14,127,808) | (233,106,490) | (17,935,533) | (309,738,054) | (18,469,211) | (352,077,035) |
46 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderate Portfolio | Variable Portfolio – Moderately Aggressive Portfolio | |||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||||
Net investment income | $137,307,659 | $151,857,458 | $44,886,276 | $46,188,798 |
Net realized gain | 353,936,786 | 1,757,717,911 | 204,822,051 | 961,401,865 |
Net change in unrealized appreciation (depreciation) | (3,395,567,782) | (364,624,123) | (1,550,897,550) | (105,291,966) |
Net increase (decrease) in net assets resulting from operations | (2,904,323,337) | 1,544,951,246 | (1,301,189,223) | 902,298,697 |
Decrease in net assets from capital stock activity | (1,241,616,318) | (1,335,156,447) | (654,720,827) | (955,214,164) |
Total increase (decrease) in net assets | (4,145,939,655) | 209,794,799 | (1,955,910,050) | (52,915,467) |
Net assets at beginning of year | 17,808,685,814 | 17,598,891,015 | 7,608,205,771 | 7,661,121,238 |
Net assets at end of year | $13,662,746,159 | $17,808,685,814 | $5,652,295,721 | $7,608,205,771 |
Variable Portfolio – Moderate Portfolio | Variable Portfolio – Moderately Aggressive Portfolio | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2022 | December 31, 2021 | December 31, 2022 | December 31, 2021 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 913,803 | 18,325,425 | 799,378 | 17,852,828 | 2,407,813 | 54,312,617 | 2,112,806 | 53,145,081 |
Redemptions | (68,869) | (1,395,947) | (61,143) | (1,351,310) | (42,186) | (950,388) | (63,855) | (1,553,693) |
Net increase | 844,934 | 16,929,478 | 738,235 | 16,501,518 | 2,365,627 | 53,362,229 | 2,048,951 | 51,591,388 |
Class 2 | ||||||||
Subscriptions | 2,204,404 | 44,612,678 | 4,673,442 | 102,545,690 | 600,034 | 13,351,960 | 702,217 | 17,565,831 |
Redemptions | (24,335,121) | (480,729,416) | (19,243,186) | (424,611,786) | (18,983,519) | (430,008,569) | (24,659,087) | (614,123,878) |
Net decrease | (22,130,717) | (436,116,738) | (14,569,744) | (322,066,096) | (18,383,485) | (416,656,609) | (23,956,870) | (596,558,047) |
Class 4 | ||||||||
Subscriptions | 310,481 | 6,305,002 | 344,652 | 7,577,548 | 236,171 | 5,375,082 | 250,775 | 6,178,469 |
Redemptions | (41,516,352) | (828,734,060) | (47,066,979) | (1,037,169,417) | (13,177,066) | (296,801,529) | (16,790,262) | (416,425,974) |
Net decrease | (41,205,871) | (822,429,058) | (46,722,327) | (1,029,591,869) | (12,940,895) | (291,426,447) | (16,539,487) | (410,247,505) |
Total net decrease | (62,491,654) | (1,241,616,318) | (60,553,836) | (1,335,156,447) | (28,958,753) | (654,720,827) | (38,447,406) | (955,214,164) |
Portfolio Navigator Funds | Annual Report 2022 | 47 |
Variable Portfolio – Aggressive Portfolio | ||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $11,451,933 | $10,494,665 |
Net realized gain | 95,696,750 | 294,280,543 |
Net change in unrealized appreciation (depreciation) | (581,197,289) | 76,986,058 |
Net increase (decrease) in net assets resulting from operations | (474,048,606) | 381,761,266 |
Decrease in net assets from capital stock activity | (105,236,347) | (281,808,556) |
Total increase (decrease) in net assets | (579,284,953) | 99,952,710 |
Net assets at beginning of year | 2,639,474,346 | 2,539,521,636 |
Net assets at end of year | $2,060,189,393 | $2,639,474,346 |
Variable Portfolio – Aggressive Portfolio | ||||
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,187,614 | 30,099,960 | 941,828 | 26,469,369 |
Redemptions | (74,694) | (1,854,320) | (34,531) | (967,321) |
Net increase | 1,112,920 | 28,245,640 | 907,297 | 25,502,048 |
Class 2 | ||||
Subscriptions | 1,560,147 | 39,118,606 | 755,347 | 21,342,634 |
Redemptions | (4,012,579) | (101,602,817) | (7,414,346) | (204,604,175) |
Net decrease | (2,452,432) | (62,484,211) | (6,658,999) | (183,261,541) |
Class 4 | ||||
Subscriptions | 259,046 | 6,519,754 | 348,902 | 9,696,348 |
Redemptions | (3,068,586) | (77,517,530) | (4,830,251) | (133,745,411) |
Net decrease | (2,809,540) | (70,997,776) | (4,481,349) | (124,049,063) |
Total net decrease | (4,149,052) | (105,236,347) | (10,233,051) | (281,808,556) |
48 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Conservative Portfolio
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $16.91 | 0.23 | (2.81) | (2.58) |
Year Ended 12/31/2021 | $16.41 | 0.28 | 0.22 | 0.50 |
Year Ended 12/31/2020 | $14.98 | 0.15 | 1.28 | 1.43 |
Year Ended 12/31/2019(d) | $13.95 | 0.13 | 0.90 | 1.03 |
Class 2 | ||||
Year Ended 12/31/2022 | $16.79 | 0.20 | (2.81) | (2.61) |
Year Ended 12/31/2021 | $16.33 | 0.20 | 0.26 | 0.46 |
Year Ended 12/31/2020 | $14.94 | 0.23 | 1.16 | 1.39 |
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) |
Class 4 | ||||
Year Ended 12/31/2022 | $16.78 | 0.20 | (2.80) | (2.60) |
Year Ended 12/31/2021 | $16.32 | 0.20 | 0.26 | 0.46 |
Year Ended 12/31/2020 | $14.94 | 0.23 | 1.15 | 1.38 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | Annualized. |
50 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Conservative Portfolio
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $14.33 | (15.26%) | 0.14%(c) | 0.14%(c) | 1.51% | 10% | $1,014 |
Year Ended 12/31/2021 | $16.91 | 3.05% | 0.12%(c) | 0.12%(c) | 1.70% | 22% | $1,169 |
Year Ended 12/31/2020 | $16.41 | 9.55% | 0.12%(c) | 0.12%(c) | 1.00% | 25% | $311 |
Year Ended 12/31/2019(d) | $14.98 | 7.38% | 0.13%(e) | 0.13%(e) | 1.10%(e) | 18% | $173 |
Class 2 | |||||||
Year Ended 12/31/2022 | $14.18 | (15.55%) | 0.39%(c) | 0.39%(c) | 1.34% | 10% | $515,883 |
Year Ended 12/31/2021 | $16.79 | 2.82% | 0.37%(c) | 0.37%(c) | 1.22% | 22% | $654,063 |
Year Ended 12/31/2020 | $16.33 | 9.30% | 0.37%(c) | 0.37%(c) | 1.51% | 25% | $746,628 |
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 |
Class 4 | |||||||
Year Ended 12/31/2022 | $14.18 | (15.49%) | 0.39%(c) | 0.39%(c) | 1.33% | 10% | $395,289 |
Year Ended 12/31/2021 | $16.78 | 2.82% | 0.37%(c) | 0.37%(c) | 1.21% | 22% | $534,518 |
Year Ended 12/31/2020 | $16.32 | 9.24% | 0.37%(c) | 0.37%(c) | 1.48% | 25% | $640,874 |
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 |
Portfolio Navigator Funds | Annual Report 2022 | 51 |
Variable Portfolio – Moderately Conservative Portfolio
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $19.65 | 0.23 | (3.36) | (3.13) |
Year Ended 12/31/2021 | $18.54 | 0.26 | 0.85 | 1.11 |
Year Ended 12/31/2020 | $16.66 | 0.29 | 1.59 | 1.88 |
Year Ended 12/31/2019(d) | $15.35 | 0.26 | 1.05 | 1.31 |
Class 2 | ||||
Year Ended 12/31/2022 | $19.52 | 0.19 | (3.33) | (3.14) |
Year Ended 12/31/2021 | $18.46 | 0.19 | 0.87 | 1.06 |
Year Ended 12/31/2020 | $16.63 | 0.21 | 1.62 | 1.83 |
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) |
Class 4 | ||||
Year Ended 12/31/2022 | $19.56 | 0.19 | (3.34) | (3.15) |
Year Ended 12/31/2021 | $18.49 | 0.19 | 0.88 | 1.07 |
Year Ended 12/31/2020 | $16.66 | 0.21 | 1.62 | 1.83 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | Annualized. |
52 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderately Conservative Portfolio
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $16.52 | (15.93%) | 0.12%(c) | 0.12%(c) | 1.36% | 7% | $2,118 |
Year Ended 12/31/2021 | $19.65 | 5.99% | 0.12%(c) | 0.12%(c) | 1.33% | 18% | $1,964 |
Year Ended 12/31/2020 | $18.54 | 11.28% | 0.13%(c) | 0.12%(c) | 1.70% | 23% | $1,353 |
Year Ended 12/31/2019(d) | $16.66 | 8.53% | 0.12%(e) | 0.11%(e) | 1.91%(e) | 12% | $156 |
Class 2 | |||||||
Year Ended 12/31/2022 | $16.38 | (16.09%) | 0.37%(c) | 0.37%(c) | 1.12% | 7% | $1,163,336 |
Year Ended 12/31/2021 | $19.52 | 5.74% | 0.37%(c) | 0.37%(c) | 0.99% | 18% | $1,550,825 |
Year Ended 12/31/2020 | $18.46 | 11.00% | 0.37%(c) | 0.37%(c) | 1.26% | 23% | $1,605,788 |
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 |
Class 4 | |||||||
Year Ended 12/31/2022 | $16.41 | (16.10%) | 0.37%(c) | 0.37%(c) | 1.11% | 7% | $1,027,353 |
Year Ended 12/31/2021 | $19.56 | 5.79% | 0.37%(c) | 0.37%(c) | 0.99% | 18% | $1,411,835 |
Year Ended 12/31/2020 | $18.49 | 10.98% | 0.37%(c) | 0.37%(c) | 1.25% | 23% | $1,537,438 |
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 |
Portfolio Navigator Funds | Annual Report 2022 | 53 |
Variable Portfolio – Moderate Portfolio
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $22.90 | 0.24 | (4.00) | (3.76) |
Year Ended 12/31/2021 | $20.95 | 0.25 | 1.70 | 1.95 |
Year Ended 12/31/2020 | $18.52 | 0.25 | 2.18 | 2.43 |
Year Ended 12/31/2019(d) | $16.92 | 0.21 | 1.39 | 1.60 |
Class 2 | ||||
Year Ended 12/31/2022 | $22.76 | 0.18 | (3.96) | (3.78) |
Year Ended 12/31/2021 | $20.88 | 0.19 | 1.69 | 1.88 |
Year Ended 12/31/2020 | $18.50 | 0.19 | 2.19 | 2.38 |
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) |
Class 4 | ||||
Year Ended 12/31/2022 | $22.79 | 0.18 | (3.96) | (3.78) |
Year Ended 12/31/2021 | $20.90 | 0.19 | 1.70 | 1.89 |
Year Ended 12/31/2020 | $18.53 | 0.19 | 2.18 | 2.37 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | Annualized. |
54 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderate Portfolio
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $19.14 | (16.42%) | 0.14%(c) | 0.14%(c) | 1.20% | 12% | $38,961 |
Year Ended 12/31/2021 | $22.90 | 9.31% | 0.12%(c) | 0.12%(c) | 1.10% | 21% | $27,263 |
Year Ended 12/31/2020 | $20.95 | 13.12% | 0.12%(c) | 0.12%(c) | 1.34% | 20% | $9,478 |
Year Ended 12/31/2019(d) | $18.52 | 9.46% | 0.10%(e) | 0.10%(e) | 1.38%(e) | 9% | $3,412 |
Class 2 | |||||||
Year Ended 12/31/2022 | $18.98 | (16.61%) | 0.39%(c) | 0.39%(c) | 0.92% | 12% | $7,213,761 |
Year Ended 12/31/2021 | $22.76 | 9.00% | 0.37%(c) | 0.37%(c) | 0.85% | 21% | $9,154,944 |
Year Ended 12/31/2020 | $20.88 | 12.86% | 0.36%(c) | 0.36%(c) | 1.02% | 20% | $8,700,781 |
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 |
Class 4 | |||||||
Year Ended 12/31/2022 | $19.01 | (16.59%) | 0.39%(c) | 0.39%(c) | 0.91% | 12% | $6,410,024 |
Year Ended 12/31/2021 | $22.79 | 9.04% | 0.37%(c) | 0.37%(c) | 0.85% | 21% | $8,626,480 |
Year Ended 12/31/2020 | $20.90 | 12.79% | 0.36%(c) | 0.36%(c) | 1.01% | 20% | $8,888,631 |
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 |
Portfolio Navigator Funds | Annual Report 2022 | 55 |
Variable Portfolio – Moderately Aggressive Portfolio
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $26.07 | 0.22 | (4.75) | (4.53) |
Year Ended 12/31/2021 | $23.15 | 0.20 | 2.72 | 2.92 |
Year Ended 12/31/2020 | $20.26 | 0.18 | 2.71 | 2.89 |
Year Ended 12/31/2019(d) | $18.37 | 0.18 | 1.71 | 1.89 |
Class 2 | ||||
Year Ended 12/31/2022 | $25.92 | 0.16 | (4.72) | (4.56) |
Year Ended 12/31/2021 | $23.08 | 0.15 | 2.69 | 2.84 |
Year Ended 12/31/2020 | $20.24 | 0.12 | 2.72 | 2.84 |
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) |
Class 4 | ||||
Year Ended 12/31/2022 | $25.96 | 0.16 | (4.72) | (4.56) |
Year Ended 12/31/2021 | $23.11 | 0.15 | 2.70 | 2.85 |
Year Ended 12/31/2020 | $20.27 | 0.12 | 2.72 | 2.84 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
(e) | Annualized. |
56 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Moderately Aggressive Portfolio
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $21.54 | (17.38%) | 0.13%(c) | 0.13%(c) | 0.98% | 9% | $130,084 |
Year Ended 12/31/2021 | $26.07 | 12.61% | 0.13%(c) | 0.13%(c) | 0.81% | 20% | $95,758 |
Year Ended 12/31/2020 | $23.15 | 14.26% | 0.14%(c) | 0.14%(c) | 0.89% | 21% | $37,600 |
Year Ended 12/31/2019(d) | $20.26 | 10.29% | 0.12%(e) | 0.12%(e) | 1.11%(e) | 10% | $9,932 |
Class 2 | |||||||
Year Ended 12/31/2022 | $21.36 | (17.59%) | 0.38%(c) | 0.38%(c) | 0.71% | 9% | $2,986,446 |
Year Ended 12/31/2021 | $25.92 | 12.31% | 0.38%(c) | 0.38%(c) | 0.59% | 20% | $4,099,901 |
Year Ended 12/31/2020 | $23.08 | 14.03% | 0.39%(c) | 0.39%(c) | 0.61% | 21% | $4,203,023 |
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 |
Class 4 | |||||||
Year Ended 12/31/2022 | $21.40 | (17.57%) | 0.38%(c) | 0.38%(c) | 0.71% | 9% | $2,535,765 |
Year Ended 12/31/2021 | $25.96 | 12.33% | 0.38%(c) | 0.38%(c) | 0.59% | 20% | $3,412,547 |
Year Ended 12/31/2020 | $23.11 | 14.01% | 0.39%(c) | 0.39%(c) | 0.60% | 21% | $3,420,498 |
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 |
Portfolio Navigator Funds | Annual Report 2022 | 57 |
Variable Portfolio – Aggressive Portfolio
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $29.46 | 0.19 | (5.49) | (5.30) |
Year Ended 12/31/2021 | $25.39 | 0.16 | 3.91 | 4.07 |
Year Ended 12/31/2020 | $22.02 | 0.13 | 3.24 | 3.37 |
Year Ended 12/31/2019(d) | $19.79 | 0.14 | 2.09 | 2.23 |
Class 2 | ||||
Year Ended 12/31/2022 | $29.31 | 0.13 | (5.46) | (5.33) |
Year Ended 12/31/2021 | $25.32 | 0.11 | 3.88 | 3.99 |
Year Ended 12/31/2020 | $22.02 | 0.07 | 3.23 | 3.30 |
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) |
Class 4 | ||||
Year Ended 12/31/2022 | $29.36 | 0.13 | (5.47) | (5.34) |
Year Ended 12/31/2021 | $25.36 | 0.11 | 3.89 | 4.00 |
Year Ended 12/31/2020 | $22.06 | 0.07 | 3.23 | 3.30 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | Annualized. |
58 | Portfolio Navigator Funds | Annual Report 2022 |
Variable Portfolio – Aggressive Portfolio
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $24.16 | (17.99%) | 0.12%(c) | 0.12%(c) | 0.76% | 9% | $62,600 |
Year Ended 12/31/2021 | $29.46 | 16.03% | 0.13%(c) | 0.13%(c) | 0.58% | 22% | $43,538 |
Year Ended 12/31/2020 | $25.39 | 15.30% | 0.13%(c) | 0.13%(c) | 0.58% | 21% | $14,487 |
Year Ended 12/31/2019(d) | $22.02 | 11.27% | 0.11%(e) | 0.11%(e) | 0.78%(e) | 14% | $4,083 |
Class 2 | |||||||
Year Ended 12/31/2022 | $23.98 | (18.19%) | 0.37%(c) | 0.37%(c) | 0.51% | 9% | $1,135,243 |
Year Ended 12/31/2021 | $29.31 | 15.76% | 0.38%(c) | 0.38%(c) | 0.40% | 22% | $1,459,446 |
Year Ended 12/31/2020 | $25.32 | 14.99% | 0.37%(c) | 0.37%(c) | 0.32% | 21% | $1,429,508 |
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 |
Class 4 | |||||||
Year Ended 12/31/2022 | $24.02 | (18.19%) | 0.37%(c) | 0.37%(c) | 0.51% | 9% | $862,346 |
Year Ended 12/31/2021 | $29.36 | 15.77% | 0.38%(c) | 0.38%(c) | 0.40% | 22% | $1,136,491 |
Year Ended 12/31/2020 | $25.36 | 14.96% | 0.37%(c) | 0.37%(c) | 0.31% | 21% | $1,095,527 |
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% | $1,079,305 |
Portfolio Navigator Funds | Annual Report 2022 | 59 |
December 31, 2022
60 | Portfolio Navigator Funds | Annual Report 2022 |
December 31, 2022
Portfolio Navigator Funds | Annual Report 2022 | 61 |
December 31, 2022
62 | Portfolio Navigator Funds | Annual Report 2022 |
December 31, 2022
Credit default swap contracts | Funds |
To increase or decrease its credit exposure to an index | Variable Portfolio — Moderate Portfolio Variable Portfolio — Aggressive Portfolio |
To manage credit risk exposure | Variable Portfolio — Moderate Portfolio Variable Portfolio — Aggressive Portfolio |
Portfolio Navigator Funds | Annual Report 2022 | 63 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 79,180* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 11,997* |
Total | 91,177 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 473,372* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 140,172* |
Total | 613,544 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
64 | Portfolio Navigator Funds | Annual Report 2022 |
December 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | (5,888,213) | |||||
Interest rate risk | (7,769,210) | |||||
Total | (13,657,423) | |||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | (1,142,234) | |||||
Interest rate risk | (236,833) | |||||
Total | (1,379,067) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 59,129,532* |
Futures contracts — short | 1,307,783** |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2022. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 230,341* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 45,756* |
Total | 276,097 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,017,346* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 200,892* |
Total | 1,218,238 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Portfolio Navigator Funds | Annual Report 2022 | 65 |
December 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | (13,548,754) | |||||
Interest rate risk | (8,600,479) | |||||
Total | (22,149,233) | |||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | (2,965,942) | |||||
Interest rate risk | (196,350) | |||||
Total | (3,162,292) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 93,727,392* |
Futures contracts — short | 2,696,176** |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2022. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 358,458* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,553,360* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 87,606* |
Total | 1,999,424 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 9,798,011* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 2,171,257* |
Total | 11,969,268 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
66 | Portfolio Navigator Funds | Annual Report 2022 |
December 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | (411,275) | (411,275) | |||
Equity risk | (68,714,828) | — | (68,714,828) | |||
Interest rate risk | (29,785,517) | — | (29,785,517) | |||
Total | (98,500,345) | (411,275) | (98,911,620) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 333,946 | 333,946 | |||
Equity risk | (23,223,817) | — | (23,223,817) | |||
Interest rate risk | (2,083,651) | — | (2,083,651) | |||
Total | (25,307,468) | 333,946 | (24,973,522) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 638,678,538* |
Futures contracts — short | 8,002,314** |
Credit default swap contracts — sell protection | 52,323,000* |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2022. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,308,796* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 24,552* |
Total | 1,333,348 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 3,722,991* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 1,166,174* |
Total | 4,889,165 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Portfolio Navigator Funds | Annual Report 2022 | 67 |
December 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | (36,912,867) | |||||
Interest rate risk | (37,511,358) | |||||
Total | (74,424,225) | |||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | (9,973,675) | |||||
Interest rate risk | (1,859,694) | |||||
Total | (11,833,369) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 435,476,950* |
Futures contracts — short | 8,918,982** |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2022. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 70,619* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 888,952* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 15,067* |
Total | 974,638 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,264,387* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 267,856* |
Total | 1,532,243 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
68 | Portfolio Navigator Funds | Annual Report 2022 |
December 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | (82,144) | (82,144) | |||
Equity risk | (9,275,957) | — | (9,275,957) | |||
Interest rate risk | (2,843,560) | — | (2,843,560) | |||
Total | (12,119,517) | (82,144) | (12,201,661) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 66,910 | 66,910 | |||
Equity risk | (3,120,642) | — | (3,120,642) | |||
Interest rate risk | (252,789) | — | (252,789) | |||
Total | (3,373,431) | 66,910 | (3,306,521) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 77,232,577 |
Futures contracts — short | 18,366,608 |
Credit default swap contracts — sell protection | 10,308,000 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
Morgan Stanley ($) | |||||||||
Liabilities | |||||||||
Centrally cleared credit default swap contracts (a) | 7,641 | ||||||||
Total financial and derivative net assets | (7,641) | ||||||||
Total collateral received (pledged) (b) | (7,641) | ||||||||
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Portfolio Navigator Funds | Annual Report 2022 | 69 |
December 31, 2022
Morgan Stanley ($) | |||||||||
Liabilities | |||||||||
Centrally cleared credit default swap contracts (a) | 1,505 | ||||||||
Total financial and derivative net assets | (1,505) | ||||||||
Total collateral received (pledged) (b) | (1,505) | ||||||||
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
70 | Portfolio Navigator Funds | Annual Report 2022 |
December 31, 2022
Effective management services fee rate (%) | |
Variable Portfolio – Conservative Portfolio | 0.07 |
Variable Portfolio – Moderately Conservative Portfolio | 0.05 |
Variable Portfolio – Moderate Portfolio | 0.07 |
Variable Portfolio – Moderately Aggressive Portfolio | 0.06 |
Variable Portfolio – Aggressive Portfolio | 0.05 |
Portfolio Navigator Funds | Annual Report 2022 | 71 |
December 31, 2022
Effective service fee rate (%) | |
Variable Portfolio – Conservative Portfolio | 0.06 |
Variable Portfolio – Moderately Conservative Portfolio | 0.06 |
Variable Portfolio – Moderate Portfolio | 0.06 |
Variable Portfolio – Moderately Aggressive Portfolio | 0.06 |
Variable Portfolio – Aggressive Portfolio | 0.06 |
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |||||
Fund | Class 1 (%) | Class 2 (%) | Class 4 (%) | Class 1 (%) | Class 2 (%) | Class 4 (%) |
Variable Portfolio - Conservative Portfolio | 0.18 | 0.43 | 0.43 | 0.22 | 0.47 | 0.47 |
Variable Portfolio - Moderately Conservative Portfolio | 0.20 | 0.45 | 0.45 | 0.22 | 0.47 | 0.47 |
Variable Portfolio - Moderately Aggressive Portfolio | 0.18 | 0.43 | 0.43 | 0.18 | 0.43 | 0.43 |
Variable Portfolio - Aggressive Portfolio | 0.18 | 0.43 | 0.43 | 0.18 | 0.43 | 0.43 |
72 | Portfolio Navigator Funds | Annual Report 2022 |
December 31, 2022
Contractual expense cap July 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |||||||
Fund | Class 1 (%) | Class 2 (%) | Class 4 (%) | Class 1 (%) | Class 2 (%) | Class 4 (%) | Class 1 (%) | Class 2 (%) | Class 4 (%) |
Variable Portfolio - Moderate Portfolio | 0.19 | 0.44 | 0.44 | 0.19 | 0.44 | 0.44 | 0.19 | 0.44 | 0.44 |
Purchases ($) | Proceeds from sales ($) | |
Variable Portfolio – Conservative Portfolio | 91,629,349 | 167,286,860 |
Variable Portfolio – Moderately Conservative Portfolio | 166,090,666 | 407,275,822 |
Variable Portfolio – Moderate Portfolio | 1,702,832,046 | 2,383,602,726 |
Variable Portfolio – Moderately Aggressive Portfolio | 513,079,222 | 868,913,476 |
Variable Portfolio – Aggressive Portfolio | 221,464,822 | 197,081,962 |
Portfolio Navigator Funds | Annual Report 2022 | 73 |
December 31, 2022
74 | Portfolio Navigator Funds | Annual Report 2022 |
December 31, 2022
Portfolio Navigator Funds | Annual Report 2022 | 75 |
76 | Portfolio Navigator Funds | Annual Report 2022 |
(Unaudited)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Portfolio Navigator Funds | Annual Report 2022 | 77 |
(Unaudited)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
78 | Portfolio Navigator Funds | Annual Report 2022 |
(Unaudited)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Portfolio Navigator Funds | Annual Report 2022 | 79 |
(Unaudited)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
80 | Portfolio Navigator Funds | Annual Report 2022 |
(Unaudited)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Portfolio Navigator Funds | Annual Report 2022 | 81 |
(Unaudited)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
82 | Portfolio Navigator Funds | Annual Report 2022 |
Portfolio Navigator Funds | Annual Report 2022 | 83 |
December 31, 2022
3 | |
5 | |
8 | |
9 | |
12 | |
13 | |
14 | |
16 | |
18 | |
26 | |
27 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -28.01 | 7.69 | 12.65 | |
Class 2 | 05/07/10 | -28.19 | 7.42 | 12.38 | |
Russell 1000 Growth Index | -29.14 | 10.96 | 14.10 |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 98.7 |
Money Market Funds | 1.3 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 8.3 |
Consumer Discretionary | 11.5 |
Consumer Staples | 1.0 |
Financials | 19.0 |
Health Care | 7.8 |
Industrials | 13.1 |
Information Technology | 31.7 |
Materials | 2.6 |
Real Estate | 5.0 |
Total | 100.0 |
4 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
(Unaudited)
• | During our reporting period, the Fund benefited from being relatively overweight to the health care, energy and financials sectors. |
• | In the case of health care and financials, the Fund benefited from security selection, while sector allocation to energy also contributed. |
• | Among holdings, Vertex Pharmaceuticals, Inc., Schlumberger NV and Deere & Co. were among the largest absolute contributors to performance during our reporting period. |
• | Vertex reported quarterly financial results that were better-than-consensus expectations for both revenue and profitability. The company continued to make progress across a range of disease areas and was expected to make regulatory filings for its therapy for blood disorders, co-developed with CRISPR Therapeutics, by year-end 2022. The company also reported statistically significant Phase 2 results for its non-opioid pain therapy in two different indications. |
• | A recovery in oil demand that had been depressed by the COVID-19 pandemic, coupled with years of underinvestment and, most recently, the Russia-Ukraine conflict that slowed down production, pushed oil prices to their highest level |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 5 |
(Unaudited)
since 2013, boosting demand for Schlumberger’s services. As a result, 2022 looked to be the first year since 2014 in which industry spending grew both in North America and internationally, which should benefit Schlumberger, which has a higher market share and margins in its international business, accounting for approximately 80% of revenues. | |
• | Deere reported strong quarterly financial results that were above consensus expectations and slightly raised its outlook for the remainder of the year. Results reflected strong global agricultural fundamentals, including solid crop prices and demand, an aging equipment fleet and strong farm incomes. Also, the company realized mid to high single-digit growth in pricing. |
• | The Fund benefited from strong performance from several holdings, as well as not holding a couple of companies that were large benchmark weights but underperformed. Many of our contributors had good operating results that likely alleviated some market worries that had caused underperformance over the prior year. |
• | Among sectors, we were underweight, relative to the benchmark, in the information technology sector, where sector allocation and security selection contributed to performance. |
• | An underweight position, relative to the benchmark, as well as favorable security selection within the consumer discretionary sector contributed to performance as the sector had negative absolute returns. The two largest weights in the sector, Tesla, Inc. and Amazon.com, Inc., both had weak performance. Not owning Tesla was a relative contributor, as its shares declined over 50% during the period. |
• | The Fund’s overweight in the industrials sector versus the benchmark, as well as security selection within the sector, also contributed to relative results. |
• | In addition to Tesla, TransDigm Group, Inc., an aerospace manufacturing company, and Netflix, Inc. made up the largest positive contribution to relative performance during the period. |
○ | The Fund was a net seller of TransDigm in order to keep the Fund’s portolio weight from growing larger than intended after a period of relatively strong performance. |
○ | Netflix was the next largest contributor, as the company’s shares rose off a depressed level following weak performance in the early months of the year. |
• | The information technology, communications services and consumer staples sectors were the largest relative detractors from Fund performance during our reporting period. |
○ | The Fund was relatively underweight in the information technology and consumer staples sectors, while security selection in both sectors detracted. |
○ | The Fund was overweight in the communication services sector, which also detracted from returns during our reporting period. |
• | Among holdings, NVIDIA Corp., Meta Platforms, Inc. and Amazon.com, Inc. were among the largest absolute detractors from performance during our reporting period. |
○ | Despite reporting better-than-expected results on broad-based strength that included quarterly revenue records in its largest business segments, NVIDIA was the biggest detractor during the period. Over our investment horizon, however, we believe NVIDIA can sustain total annualized revenue growth in excess of 20%, driven by secular growth in spending on graphic processing units (GPUs). |
6 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
(Unaudited)
○ | Meta Platform’s growth was strong and above expectations for revenue and free cash flow. Operating expenses, however, exceeded expectations. The company also issued first-quarter guidance that was well below expectations, which it attributed to recent privacy restrictions by Apple, the continuing impact of macro weakness such as supply chain disruptions on advertising spending and the company’s transition to a new product format, short term video, where monetization is currently lower. |
○ | Amazon reported fundamentally solid results that were above management’s expectations for revenues but below consensus expectations for operating profit. At the same time, the company was facing short-term cost inflation, including higher shipping, fuel and labor costs, which contributed to an incremental $6 billion in expense during the most recent quarter. While expenses pressures are expected to persist for the foreseeable future, Amazon expects them to decline in the coming quarter. |
• | Being underweight, relative to the benchmark, in the health care sector, as well as security selection, detracted from performance. The performance of the sector benefited from some large benchmark weights that we did not own, such as Eli Lilly and Company and AbbVie Inc. |
• | Our underweighting, relative to the benchmark, in the consumer staples sector, as well as security selection, also detracted from performance. |
• | Finally, being underweight in the energy sector, which performed well as oil prices rose, also contributed to relative underperformance. |
• | Amazon, Brookfield Asset Management, Inc. and Eli Lilly detracted the most from relative performance during the period. |
○ | We were a net purchaser of Amazon shares, seeing the current valuation as an opportunity. The profitability of their retail business was challenged last year, but we are confident in their long-term prospects. |
○ | Brookfield, along with most alternative asset managers, had weak performance, although their operating performance was strong. We did not take material action. |
○ | As mentioned, not owning large benchmark weighting Eli Lilly detracted from relative performance. |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | 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 | 995.50 | 1,021.56 | 3.50 | 3.55 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 994.20 | 1,020.31 | 4.75 | 4.81 | 0.95 |
8 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
December 31, 2022
Common Stocks 99.2% | ||
Issuer | Shares | Value ($) |
Communication Services 8.2% | ||
Entertainment 2.5% | ||
Netflix, Inc.(a) | 162,419 | 47,894,115 |
Interactive Media & Services 5.7% | ||
Alphabet, Inc., Class A(a) | 785,581 | 69,311,812 |
Alphabet, Inc., Class C(a) | 429,280 | 38,090,014 |
Total | 107,401,826 | |
Total Communication Services | 155,295,941 | |
Consumer Discretionary 11.5% | ||
Hotels, Restaurants & Leisure 2.4% | ||
Hilton Worldwide Holdings, Inc. | 348,138 | 43,990,718 |
Internet & Direct Marketing Retail 6.1% | ||
Amazon.com, Inc.(a) | 1,368,966 | 114,993,144 |
Specialty Retail 3.0% | ||
CarMax, Inc.(a) | 214,067 | 13,034,539 |
O’Reilly Automotive, Inc.(a) | 51,761 | 43,687,837 |
Total | 56,722,376 | |
Total Consumer Discretionary | 215,706,238 | |
Consumer Staples 1.0% | ||
Food & Staples Retailing 1.0% | ||
Costco Wholesale Corp. | 40,209 | 18,355,408 |
Total Consumer Staples | 18,355,408 | |
Financials 18.8% | ||
Capital Markets 15.0% | ||
Brookfield Asset Management Ltd., Class A(a) | 589,054 | 16,888,178 |
Brookfield Corp. | 2,418,958 | 76,100,419 |
Charles Schwab Corp. (The) | 535,683 | 44,600,967 |
KKR & Co., Inc., Class A | 620,391 | 28,798,550 |
Moody’s Corp. | 254,551 | 70,923,000 |
S&P Global, Inc. | 135,778 | 45,477,483 |
Total | 282,788,597 | |
Insurance 3.8% | ||
Progressive Corp. (The) | 554,972 | 71,985,418 |
Total Financials | 354,774,015 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 7.7% | ||
Health Care Equipment & Supplies 1.5% | ||
IDEXX Laboratories, Inc.(a) | 51,649 | 21,070,726 |
Intuitive Surgical, Inc.(a) | 25,155 | 6,674,879 |
Total | 27,745,605 | |
Life Sciences Tools & Services 4.3% | ||
Danaher Corp. | 304,028 | 80,695,112 |
Pharmaceuticals 1.9% | ||
Zoetis, Inc. | 250,149 | 36,659,336 |
Total Health Care | 145,100,053 | |
Industrials 13.0% | ||
Aerospace & Defense 5.0% | ||
TransDigm Group, Inc. | 148,995 | 93,814,702 |
Commercial Services & Supplies 1.8% | ||
Copart, Inc.(a) | 558,351 | 33,997,992 |
Professional Services 2.9% | ||
CoStar Group, Inc.(a) | 713,115 | 55,109,527 |
Road & Rail 3.3% | ||
Union Pacific Corp. | 296,622 | 61,421,518 |
Total Industrials | 244,343,739 | |
Information Technology 31.5% | ||
IT Services 10.0% | ||
MasterCard, Inc., Class A | 269,000 | 93,539,370 |
Snowflake, Inc., Class A(a) | 3,341 | 479,567 |
Visa, Inc., Class A | 450,590 | 93,614,579 |
Total | 187,633,516 | |
Semiconductors & Semiconductor Equipment 0.3% | ||
NVIDIA Corp. | 42,692 | 6,239,009 |
Software 21.2% | ||
Adobe, Inc.(a) | 223,281 | 75,140,755 |
Intuit, Inc. | 176,367 | 68,645,564 |
Microsoft Corp. | 838,902 | 201,185,477 |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Roper Technologies, Inc. | 115,793 | 50,032,997 |
Salesforce, Inc.(a) | 33,976 | 4,504,878 |
Total | 399,509,671 | |
Total Information Technology | 593,382,196 | |
Materials 2.5% | ||
Chemicals 2.5% | ||
Linde PLC | 98,316 | 32,068,713 |
Sherwin-Williams Co. (The) | 66,260 | 15,725,486 |
Total | 47,794,199 | |
Total Materials | 47,794,199 | |
Real Estate 5.0% | ||
Equity Real Estate Investment Trusts (REITS) 5.0% | ||
American Tower Corp. | 417,970 | 88,551,124 |
SBA Communications Corp. | 19,728 | 5,529,956 |
Total | 94,081,080 | |
Total Real Estate | 94,081,080 | |
Total Common Stocks (Cost $1,737,360,734) | 1,868,832,869 | |
Money Market Funds 1.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 24,187,847 | 24,180,590 |
Total Money Market Funds (Cost $24,180,011) | 24,180,590 | |
Total Investments in Securities (Cost: $1,761,540,745) | 1,893,013,459 | |
Other Assets & Liabilities, Net | (8,576,542) | |
Net Assets | 1,884,436,917 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
48,635,987 | 354,271,454 | (378,728,780) | 1,929 | 24,180,590 | (7,518) | 140,201 | 24,187,847 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
December 31, 2022
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 | 155,295,941 | — | — | 155,295,941 |
Consumer Discretionary | 215,706,238 | — | — | 215,706,238 |
Consumer Staples | 18,355,408 | — | — | 18,355,408 |
Financials | 354,774,015 | — | — | 354,774,015 |
Health Care | 145,100,053 | — | — | 145,100,053 |
Industrials | 244,343,739 | — | — | 244,343,739 |
Information Technology | 593,382,196 | — | — | 593,382,196 |
Materials | 47,794,199 | — | — | 47,794,199 |
Real Estate | 94,081,080 | — | — | 94,081,080 |
Total Common Stocks | 1,868,832,869 | — | — | 1,868,832,869 |
Money Market Funds | 24,180,590 | — | — | 24,180,590 |
Total Investments in Securities | 1,893,013,459 | — | — | 1,893,013,459 |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,737,360,734) | $1,868,832,869 |
Affiliated issuers (cost $24,180,011) | 24,180,590 |
Receivable for: | |
Investments sold | 4,116,776 |
Capital shares sold | 68,358 |
Dividends | 773,019 |
Foreign tax reclaims | 90,384 |
Prepaid expenses | 19,753 |
Total assets | 1,898,081,749 |
Liabilities | |
Payable for: | |
Investments purchased | 12,982,239 |
Capital shares purchased | 315,878 |
Management services fees | 35,324 |
Distribution and/or service fees | 393 |
Service fees | 46,782 |
Compensation of board members | 233,525 |
Compensation of chief compliance officer | 365 |
Other expenses | 30,326 |
Total liabilities | 13,644,832 |
Net assets applicable to outstanding capital stock | $1,884,436,917 |
Represented by | |
Trust capital | $1,884,436,917 |
Total - representing net assets applicable to outstanding capital stock | $1,884,436,917 |
Class 1 | |
Net assets | $1,827,443,548 |
Shares outstanding | 43,214,424 |
Net asset value per share | $42.29 |
Class 2 | |
Net assets | $56,993,369 |
Shares outstanding | 1,390,410 |
Net asset value per share | $40.99 |
12 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $19,093,557 |
Dividends — affiliated issuers | 140,201 |
Interfund lending | 713 |
Foreign taxes withheld | (1,605,754) |
Total income | 17,628,717 |
Expenses: | |
Management services fees | 13,677,113 |
Distribution and/or service fees | |
Class 2 | 156,268 |
Service fees | 230,193 |
Compensation of board members | 28,034 |
Custodian fees | 13,645 |
Printing and postage fees | 33,090 |
Audit fees | 29,500 |
Legal fees | 37,945 |
Interest on interfund lending | 1,004 |
Compensation of chief compliance officer | 295 |
Other | 81,247 |
Total expenses | 14,288,334 |
Net investment income | 3,340,383 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 451,917,033 |
Investments — affiliated issuers | (7,518) |
Net realized gain | 451,909,515 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (1,150,261,118) |
Investments — affiliated issuers | 1,929 |
Net change in unrealized appreciation (depreciation) | (1,150,259,189) |
Net realized and unrealized loss | (698,349,674) |
Net decrease in net assets resulting from operations | $(695,009,291) |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income (loss) | $3,340,383 | $(2,436,206) |
Net realized gain | 451,909,515 | 395,440,307 |
Net change in unrealized appreciation (depreciation) | (1,150,259,189) | 46,713,222 |
Net increase (decrease) in net assets resulting from operations | (695,009,291) | 439,717,323 |
Increase (decrease) in net assets from capital stock activity | 99,136,896 | (507,045,549) |
Total decrease in net assets | (595,872,395) | (67,328,226) |
Net assets at beginning of year | 2,480,309,312 | 2,547,637,538 |
Net assets at end of year | $1,884,436,917 | $2,480,309,312 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 3,707,328 | 165,005,090 | 2,327,217 | 115,966,646 |
Redemptions | (1,414,276) | (67,990,067) | (11,463,880) | (619,559,044) |
Net increase (decrease) | 2,293,052 | 97,015,023 | (9,136,663) | (503,592,398) |
Class 2 | ||||
Subscriptions | 187,771 | 8,334,742 | 111,996 | 5,940,036 |
Redemptions | (138,704) | (6,212,869) | (175,391) | (9,393,187) |
Net increase (decrease) | 49,067 | 2,121,873 | (63,395) | (3,453,151) |
Total net increase (decrease) | 2,342,119 | 99,136,896 | (9,200,058) | (507,045,549) |
14 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $58.74 | 0.08 | (16.53) | (16.45) |
Year Ended 12/31/2021 | $49.54 | (0.05) | 9.25 | 9.20 |
Year Ended 12/31/2020 | $37.55 | 0.04 | 11.95 | 11.99 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $57.08 | (0.04) | (16.05) | (16.09) |
Year Ended 12/31/2021 | $48.26 | (0.19) | 9.01 | 8.82 |
Year Ended 12/31/2020 | $36.67 | (0.07) | 11.66 | 11.59 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
16 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $42.29 | (28.01%) | 0.70%(c) | 0.70%(c) | 0.17% | 89% | $1,827,444 |
Year Ended 12/31/2021 | $58.74 | 18.57% | 0.68%(c) | 0.68%(c) | (0.09%) | 6% | $2,403,745 |
Year Ended 12/31/2020 | $49.54 | 31.93% | 0.69% | 0.69% | 0.09% | 22% | $2,479,845 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $40.99 | (28.19%) | 0.95%(c) | 0.95%(c) | (0.08%) | 89% | $56,993 |
Year Ended 12/31/2021 | $57.08 | 18.28% | 0.93%(c) | 0.93%(c) | (0.35%) | 6% | $76,565 |
Year Ended 12/31/2020 | $48.26 | 31.61% | 0.94% | 0.94% | (0.16%) | 22% | $67,793 |
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% | $44,937 |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 21 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.73% | 0.74% |
Class 2 | 0.98 | 0.99 |
22 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 1,270,000 | 2.85 | 10 |
Lender | 4,400,000 | 0.79 | 8 |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 25 |
26 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
28 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 29 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
30 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 | 31 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
32 | CTIVP® – Principal Blue Chip Growth Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
6 | |
9 | |
10 | |
11 | |
12 | |
14 | |
22 | |
23 | |
23 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 1.22 | 0.99 | 0.54 | |
Class 2 | 05/03/10 | 1.12 | 0.85 | 0.45 | |
Class 3 | 10/13/81 | 1.17 | 0.92 | 0.49 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Repurchase Agreements | 8.2 |
Treasury Bills | 6.1 |
U.S. Government & Agency Obligations | 76.3 |
U.S. Treasury Obligations | 9.4 |
Total | 100.0 |
4 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,011.50 | 1,022.86 | 2.22 | 2.23 | 0.44 |
Class 2 | 1,000.00 | 1,000.00 | 1,010.50 | 1,021.86 | 3.23 | 3.24 | 0.64 |
Class 3 | 1,000.00 | 1,000.00 | 1,011.10 | 1,022.41 | 2.67 | 2.69 | 0.53 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 5 |
December 31, 2022
Repurchase Agreements 8.1% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
Tri-party RBC Dominion Securities, Inc. | ||||
dated 12/30/2022, matures 01/03/2023, | ||||
repurchase price $20,009,489 (collateralized by U.S. Treasury Securities, Total Market Value $20,400,010) | ||||
4.270% | 20,000,000 | 20,000,000 | ||
Tri-party TD Securities (USA) LLC | ||||
dated 12/30/2022, matures 01/03/2023, | ||||
repurchase price $20,009,556 (collateralized by U.S. Treasury Securities, Total Market Value $20,400,093) | ||||
4.300% | 20,000,000 | 20,000,000 | ||
Total Repurchase Agreements (Cost $40,000,000) | 40,000,000 | |||
Treasury Bills 6.1% | ||||
United States 6.1% | ||||
U.S. Treasury Bills | ||||
01/10/2023 | 3.540% | 5,000,000 | 4,994,668 | |
02/02/2023 | 3.970% | 25,000,000 | 24,907,875 | |
Total | 29,902,543 | |||
Total Treasury Bills (Cost $29,902,543) | 29,902,543 | |||
U.S. Government & Agency Obligations 76.0% | ||||
Federal Agricultural Mortgage Corp. | ||||
05/12/2023 | 2.290% | 3,500,000 | 3,500,000 | |
09/29/2023 | 4.240% | 6,000,000 | 6,000,000 | |
12/12/2023 | 4.950% | 3,500,000 | 3,500,000 | |
12/22/2023 | 4.850% | 5,000,000 | 5,000,000 | |
Federal Agricultural Mortgage Corp. Discount Notes | ||||
01/09/2023 | 3.650% | 25,000,000 | 24,975,000 | |
02/21/2023 | 4.280% | 10,000,000 | 9,938,178 | |
Federal Farm Credit Banks Discount Notes | ||||
01/17/2023 | 3.870% | 10,000,000 | 9,980,969 | |
01/27/2023 | 4.020% | 10,000,000 | 9,969,250 | |
Federal Farm Credit Banks Funding Corp. | ||||
01/18/2023 | 0.460% | 4,000,000 | 4,000,000 | |
11/09/2023 | 5.040% | 5,000,000 | 5,000,000 | |
Federal Home Loan Banks | ||||
03/21/2023 | 1.250% | 2,000,000 | 2,000,000 | |
03/21/2023 | 1.300% | 2,000,000 | 2,000,000 | |
12/29/2023 | 4.870% | 5,250,000 | 5,250,000 | |
Federal Home Loan Banks(a) | ||||
03/30/2023 | 1.130% | 2,750,000 | 2,750,000 | |
Federal Home Loan Banks(b) | ||||
01/26/2024 | 5.050% | 5,500,000 | 5,500,000 |
U.S. Government & Agency Obligations (continued) | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
Federal Home Loan Banks Discount Notes | ||||
01/09/2023 | 3.620% | 20,000,000 | 19,980,200 | |
01/11/2023 | 3.700% | 15,000,000 | 14,981,781 | |
01/12/2023 | 3.730% | 5,000,000 | 4,993,367 | |
01/13/2023 | 3.750% | 23,000,000 | 22,966,982 | |
01/19/2023 | 3.880% | 25,000,000 | 24,946,958 | |
01/25/2023 | 3.950% | 27,000,000 | 26,924,298 | |
01/26/2023 | 4.030% | 10,000,000 | 9,970,244 | |
01/27/2023 | 4.000% | 5,000,000 | 4,984,700 | |
02/06/2023 | 4.120% | 5,000,000 | 4,978,648 | |
02/08/2023 | 4.190% | 9,000,000 | 8,958,904 | |
02/09/2023 | 4.140% | 9,000,000 | 8,958,378 | |
02/10/2023 | 4.220% | 7,000,000 | 6,966,198 | |
02/13/2023 | 4.250% | 10,000,000 | 9,947,872 | |
02/15/2023 | 4.260% | 5,000,000 | 4,972,707 | |
02/22/2023 | 4.380% | 13,000,000 | 12,916,363 | |
Federal Home Loan Mortgage Corp.(a) | ||||
04/05/2023 | 2.340% | 2,750,000 | 2,750,000 | |
Federal Home Loan Mortgage Corp. Discount Notes | ||||
01/05/2023 | 3.090% | 20,000,000 | 19,989,833 | |
01/10/2023 | 3.460% | 3,000,000 | 2,996,875 | |
Federal National Mortgage Association | ||||
01/03/2023 | 2.810% | 41,000,000 | 40,987,367 | |
01/04/2023 | 2.950% | 15,000,000 | 14,993,933 | |
Federal National Mortgage Association Discount Notes | ||||
01/17/2023 | 3.690% | 5,000,000 | 4,990,910 | |
Total U.S. Government & Agency Obligations (Cost $373,519,915) | 373,519,915 | |||
U.S. Treasury Obligations 9.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(c) | ||||
3-month U.S. Treasury Index + 0.049% 01/31/2023 | 4.447% | 12,500,000 | 12,500,022 | |
3-month U.S. Treasury Index + 0.034% 04/30/2023 | 4.432% | 6,250,000 | 6,250,083 | |
3-month U.S. Treasury Index + -0.015% 01/31/2024 | 4.383% | 15,000,000 | 15,007,253 | |
3-month U.S. Treasury Index + 0.037% 07/31/2024 | 4.435% | 12,500,000 | 12,496,249 | |
Total U.S. Treasury Obligations (Cost $46,253,607) | 46,253,607 |
6 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
December 31, 2022
Total Investments in Securities (Cost: $489,676,065) | 489,676,065 | |
Other Assets & Liabilities, Net | 1,885,881 | |
Net Assets | 491,561,946 |
(a) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(b) | Represents a security purchased on a when-issued basis. |
(c) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Repurchase Agreements | — | 40,000,000 | — | 40,000,000 |
Treasury Bills | — | 29,902,543 | — | 29,902,543 |
U.S. Government & Agency Obligations | — | 373,519,915 | — | 373,519,915 |
U.S. Treasury Obligations | — | 46,253,607 | — | 46,253,607 |
Total Investments in Securities | — | 489,676,065 | — | 489,676,065 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 7 |
December 31, 2022
The Fund’s assets assigned to the Level 2 input category represent certain short-term obligations which are valued using amortized cost, an income approach which converts future cash flows to a present value based upon the discount or premium at purchase.
8 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $449,676,065) | $449,676,065 |
Repurchase agreements (cost $40,000,000) | 40,000,000 |
Cash | 8,168,129 |
Receivable for: | |
Capital shares sold | 233,012 |
Interest | 555,026 |
Prepaid expenses | 8,468 |
Trustees’ deferred compensation plan | 418 |
Total assets | 498,641,118 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 5,500,000 |
Capital shares purchased | 1,378,412 |
Distributions to shareholders | 47,555 |
Management services fees | 4,428 |
Distribution and/or service fees | 1,959 |
Service fees | 26,703 |
Compensation of board members | 97,267 |
Compensation of chief compliance officer | 97 |
Other expenses | 22,333 |
Trustees’ deferred compensation plan | 418 |
Total liabilities | 7,079,172 |
Net assets applicable to outstanding capital stock | $491,561,946 |
Represented by | |
Paid in capital | 491,639,692 |
Total distributable earnings (loss) | (77,746) |
Total - representing net assets applicable to outstanding capital stock | $491,561,946 |
Class 1 | |
Net assets | $89,218,738 |
Shares outstanding | 89,140,708 |
Net asset value per share | $1.00 |
Class 2 | |
Net assets | $170,487,437 |
Shares outstanding | 170,509,593 |
Net asset value per share | $1.00 |
Class 3 | |
Net assets | $231,855,771 |
Shares outstanding | 231,762,274 |
Net asset value per share | $1.00 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 9 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,415 |
Interest | 7,397,489 |
Total income | 7,400,904 |
Expenses: | |
Management services fees | 1,622,416 |
Distribution and/or service fees | |
Class 2 | 363,863 |
Class 3 | 275,013 |
Service fees | 280,383 |
Compensation of board members | 13,661 |
Custodian fees | 8,000 |
Printing and postage fees | 30,465 |
Audit fees | 29,500 |
Legal fees | 18,006 |
Compensation of chief compliance officer | 83 |
Other | 11,593 |
Total expenses | 2,652,983 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (433,061) |
Fees waived by distributor | |
Class 2 | (191,726) |
Class 3 | (153,626) |
Total net expenses | 1,874,570 |
Net investment income | 5,526,334 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (501) |
Net realized loss | (501) |
Net realized and unrealized loss | (501) |
Net increase in net assets resulting from operations | $5,525,833 |
10 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $5,526,334 | $42,075 |
Net realized gain (loss) | (501) | 666 |
Net increase in net assets resulting from operations | 5,525,833 | 42,741 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (1,053,553) | (18,204) |
Class 2 | (1,810,203) | (23,376) |
Class 3 | (2,662,579) | (43,000) |
Total distributions to shareholders | (5,526,335) | (84,580) |
Increase (decrease) in net assets from capital stock activity | 95,572,613 | (44,067,138) |
Total increase (decrease) in net assets | 95,572,111 | (44,108,977) |
Net assets at beginning of year | 395,989,835 | 440,098,812 |
Net assets at end of year | $491,561,946 | $395,989,835 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 17,628,069 | 17,628,069 | 19,294,070 | 19,294,070 |
Distributions reinvested | 1,044,619 | 1,044,619 | 18,178 | 18,178 |
Redemptions | (17,570,853) | (17,570,853) | (26,248,081) | (26,248,081) |
Net increase (decrease) | 1,101,835 | 1,101,835 | (6,935,833) | (6,935,833) |
Class 2 | ||||
Subscriptions | 93,359,714 | 93,359,714 | 48,743,078 | 48,743,078 |
Distributions reinvested | 1,794,211 | 1,794,211 | 23,376 | 23,376 |
Redemptions | (33,826,593) | (33,826,593) | (46,839,328) | (46,839,328) |
Net increase | 61,327,332 | 61,327,332 | 1,927,126 | 1,927,126 |
Class 3 | ||||
Subscriptions | 64,438,978 | 64,438,977 | 22,252,578 | 22,252,578 |
Distributions reinvested | 2,640,059 | 2,640,059 | 43,010 | 43,010 |
Redemptions | (33,935,590) | (33,935,590) | (61,354,019) | (61,354,019) |
Net increase (decrease) | 33,143,447 | 33,143,446 | (39,058,431) | (39,058,431) |
Total net increase (decrease) | 95,572,614 | 95,572,613 | (44,067,138) | (44,067,138) |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 11 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $1.00 | 0.01 | (0.00)(b) | 0.01 | (0.01) | — | (0.01) |
Year Ended 12/31/2021 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
Year Ended 12/31/2020 | $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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $1.00 | 0.01 | (0.00)(b) | 0.01 | (0.01) | — | (0.01) |
Year Ended 12/31/2021 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
Year Ended 12/31/2020 | $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) |
Class 3 | |||||||
Year Ended 12/31/2022 | $1.00 | 0.01 | (0.00)(b) | 0.01 | (0.01) | — | (0.01) |
Year Ended 12/31/2021 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
Year Ended 12/31/2020 | $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) |
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) | Ratios include the impact of voluntary waivers paid by the Investment Manager. For the periods indicated below, if the Investment Manager had not paid these voluntary waivers, the Fund’s net expense ratio would increase by: |
12/31/2022 | 12/31/2021 | 12/31/2020 | |
Class 1 | 0.10% | 0.40% | 0.23% |
Class 2 | 0.21% | 0.66% | 0.46% |
Class 3 | 0.16% | 0.53% | 0.33% |
12 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets | Total net expense ratio to average net assets(a) | Net investment income ratio to average net assets | Net assets, end of period (000’s) | |
Class 1 | ||||||
Year Ended 12/31/2022 | $1.00 | 1.22% | 0.45% | 0.35%(c) | 1.21% | $89,219 |
Year Ended 12/31/2021 | $1.00 | 0.02% | 0.48% | 0.05%(c) | 0.01% | $88,117 |
Year Ended 12/31/2020 | $1.00 | 0.31% | 0.49% | 0.21%(c) | 0.23% | $95,062 |
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 |
Class 2 | ||||||
Year Ended 12/31/2022 | $1.00 | 1.12% | 0.69% | 0.48%(c) | 1.25% | $170,487 |
Year Ended 12/31/2021 | $1.00 | 0.02% | 0.73% | 0.04%(c) | 0.01% | $109,160 |
Year Ended 12/31/2020 | $1.00 | 0.24% | 0.74% | 0.23%(c) | 0.13% | $107,245 |
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 |
Class 3 | ||||||
Year Ended 12/31/2022 | $1.00 | 1.17% | 0.57% | 0.40%(c) | 1.21% | $231,856 |
Year Ended 12/31/2021 | $1.00 | 0.02% | 0.61% | 0.05%(c) | 0.01% | $198,713 |
Year Ended 12/31/2020 | $1.00 | 0.28% | 0.61% | 0.23%(c) | 0.20% | $237,792 |
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% | $209,931 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 13 |
December 31, 2022
14 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
December 31, 2022
RBC Dominion Securities ($) | TD Securities ($) | Total ($) | |
Assets | |||
Repurchase agreements | 20,000,000 | 20,000,000 | 40,000,000 |
Total financial and derivative net assets | 20,000,000 | 20,000,000 | 40,000,000 |
Total collateral received (pledged) (a) | 20,000,000 | 20,000,000 | 40,000,000 |
Net amount (b) | - | - | - |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 15 |
December 31, 2022
16 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.45% |
Class 2 | 0.70 |
Class 3 | 0.575 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 17 |
December 31, 2022
Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
592 | (592) | — |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
5,526,335 | — | 5,526,335 | 83,871 | 709 | 84,580 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
19,109 | — | (501) | — |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(501) | — | (501) | — |
18 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 21 |
22 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
Section 163(j) Interest Dividends | |
99.84% |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 23 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
24 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 25 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
26 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
(Unaudited)
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 | 27 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
28 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
14 | |
15 | |
16 | |
18 | |
20 | |
34 | |
35 | |
35 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -14.68 | 1.38 | 4.22 | |
Class 2 | 05/03/10 | -14.90 | 1.13 | 3.96 | |
Class 3 | 01/13/92 | -14.80 | 1.26 | 4.09 | |
MSCI EAFE Index (Net) | -14.45 | 1.54 | 4.67 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 3 |
(Unaudited)
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 4.6 |
Consumer Discretionary | 8.8 |
Consumer Staples | 12.6 |
Energy | 9.4 |
Financials | 14.9 |
Health Care | 15.8 |
Industrials | 12.0 |
Information Technology | 11.6 |
Materials | 7.2 |
Real Estate | 1.8 |
Utilities | 1.3 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2022) | |
Australia | 4.8 |
Austria | 0.5 |
Brazil | 0.5 |
Canada | 5.6 |
China | 0.5 |
Denmark | 2.0 |
Finland | 2.0 |
France | 5.2 |
Country breakdown (%) (at December 31, 2022) | |
Germany | 3.2 |
Hong Kong | 0.5 |
Ireland | 1.9 |
Israel | 3.1 |
Japan | 20.2 |
Netherlands | 10.3 |
Norway | 1.5 |
Russian Federation | 0.0(a) |
Singapore | 2.7 |
South Africa | 0.6 |
South Korea | 2.4 |
Spain | 0.5 |
Sweden | 1.1 |
Switzerland | 6.4 |
Taiwan | 3.3 |
United Kingdom | 14.1 |
United States(b) | 7.1 |
Total | 100.0 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
(Unaudited)
• | Stock selection, particularly in several European countries, as well as in the financials, communications services and real estate sectors, drove the Fund’s underperformance of its benchmark. |
• | Notable individual detractors included: |
○ | Swedish real estate developer Samhällsbyggnadsbolaget i Norden AB, which was a top performer in the previous year, fell on worries over a weaker-than-expected cash position amid declining liquidity in the country’s real estate market. |
○ | Taiwanese semiconductor maker Parade Technologies, another top performer from the previous year, fell after a series of revenue shortfalls and an expected drop in demand for its products. |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 5 |
(Unaudited)
○ | German warehouse equipment and truck manufacturer Kion Group fell sharply shortly after mid-year, when the company said it expected to post a net loss due to supply-chain issues and high energy and material costs. |
○ | U.K. clothing and equipment retailer JD Sports Fashion struggled with uncertainty after its highly influential executive chairman unexpectedly left the company in mid-year. |
○ | Japanese investment banking consultant Nihon M&A Center continued to face headwinds related to an investigation into inappropriate sales bookings that raised concerns over the company’s internal controls. |
• | Strong overall stock selection from a country perspective, as well as in the health care, consumer staples and materials sectors, helped relative results but proved insufficient in offsetting detractors. |
• | Other positives during the period included an overweight to energy stocks, based on a belief that oil prices will remain elevated given inventory shortages and a lack of new exploration. |
• | Top individual contributors included: |
○ | U.K. pharmaceutical maker AstraZeneca reversed the downward trajectory of its share price after announcing positive results from trials of its breast cancer treatments. |
○ | London-based oil and gas producer Shell reported above-expectation results that pleased investors, particularly robust free cash flow. |
○ | Japanese drugstore MatsukiyoCocokara & Co. rose as the company’s relative earnings stability was valued by investors and the prospects of relaxed COVID-19-related restrictions on foreign travelers boosted prospects for the company. |
○ | Canadian independent convenience stores operator Alimentation Couche-Tard advanced as investors considered the company’s potential acquisition of Suncor Energy’s gas-station chain and sustained historically high margins on fuel margins surprised investors. |
○ | Canadian mining company Yamana Gold reported in-line results that investors viewed positively against a back drop of sustained higher inflation. Shares also received a boost late in the period after South African mining company Gold Fields terminated its takeover offer. The Fund exited its position in Yamana Gold. |
6 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 1,058.50 | 1,021.11 | 4.08 | 4.00 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 1,058.10 | 1,019.85 | 5.37 | 5.27 | 1.04 |
Class 3 | 1,000.00 | 1,000.00 | 1,058.70 | 1,020.46 | 4.75 | 4.66 | 0.92 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 98.3% | ||
Issuer | Shares | Value ($) |
Australia 4.8% | ||
Ansell Ltd. | 1,672,298 | 32,121,394 |
Northern Star Resources Ltd. | 8,659,755 | 64,803,692 |
Paladin Energy Ltd.(a) | 28,919,366 | 13,646,060 |
Santos Ltd. | 11,440,443 | 56,266,320 |
Total | 166,837,466 | |
Austria 0.5% | ||
Kontron AG | 1,135,921 | 18,516,101 |
Brazil 0.5% | ||
JBS SA | 3,982,654 | 16,587,634 |
Canada 5.6% | ||
Alimentation Couche-Tard, Inc. | 1,483,457 | 65,188,842 |
Cameco Corp. | 2,029,504 | 46,008,856 |
Pan American Silver Corp. | 618,496 | 10,106,225 |
Vermilion Energy, Inc. | 330,977 | 5,858,293 |
West Fraser Timber Co., Ltd. | 226,591 | 16,361,744 |
Whitecap Resources, Inc. | 6,670,624 | 52,911,744 |
Total | 196,435,704 | |
China 0.5% | ||
Li Ning Co., Ltd. | 2,011,000 | 17,292,600 |
Denmark 2.0% | ||
Novo Nordisk A/S, Class B | 509,843 | 69,244,614 |
Finland 2.0% | ||
UPM-Kymmene OYJ | 1,832,941 | 68,591,199 |
France 5.2% | ||
DBV Technologies SA, ADR(a) | 657,166 | 1,005,464 |
Eiffage SA | 731,124 | 71,916,397 |
Sanofi | 463,599 | 44,703,269 |
TotalEnergies SE | 766,708 | 48,128,718 |
Worldline SA(a) | 404,758 | 15,851,322 |
Total | 181,605,170 | |
Germany 3.2% | ||
Covestro AG | 427,605 | 16,657,803 |
Duerr AG | 737,488 | 24,707,792 |
E.ON SE | 4,541,230 | 45,148,949 |
KION Group AG | 556,629 | 15,853,676 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
TeamViewer AG(a) | 771,483 | 9,896,215 |
Total | 112,264,435 | |
Hong Kong 0.5% | ||
WH Group Ltd. | 29,483,750 | 17,196,051 |
Ireland 1.8% | ||
Amarin Corp. PLC, ADR(a) | 492,851 | 596,350 |
Flutter Entertainment PLC(a) | 468,664 | 64,221,682 |
Total | 64,818,032 | |
Israel 3.1% | ||
Bank Hapoalim BM | 4,287,655 | 38,605,711 |
Check Point Software Technologies Ltd.(a) | 555,505 | 70,082,511 |
Total | 108,688,222 | |
Japan 20.1% | ||
Amano Corp. | 1,344,000 | 24,688,895 |
BayCurrent Consulting, Inc. | 1,972,900 | 61,416,377 |
COMSYS Holdings Corp. | 1,217,900 | 21,369,404 |
Denso Corp. | 615,600 | 30,188,917 |
Invincible Investment Corp. | 84,106 | 32,590,380 |
ITOCHU Corp. | 2,425,200 | 76,085,203 |
JustSystems Corp. | 447,100 | 9,558,388 |
Kinden Corp. | 1,405,700 | 15,304,186 |
MatsukiyoCocokara & Co. | 1,346,500 | 67,680,244 |
Meitec Corp. | 853,600 | 15,484,348 |
Mitsubishi UFJ Financial Group, Inc. | 6,543,700 | 43,930,584 |
Nihon M&A Center Holdings, Inc. | 2,534,100 | 31,181,471 |
Nippon Telegraph & Telephone Corp. | 648,600 | 18,497,106 |
ORIX Corp. | 2,945,400 | 47,145,999 |
Round One Corp. | 8,131,200 | 29,429,194 |
Ship Healthcare Holdings, Inc. | 2,214,000 | 45,025,233 |
Takeda Pharmaceutical Co., Ltd. | 2,764,985 | 86,396,643 |
Takuma Co., Ltd. | 1,035,800 | 9,653,508 |
Uchida Yoko Co., Ltd. | 387,800 | 13,741,839 |
USS Co., Ltd. | 1,228,800 | 19,497,465 |
ValueCommerce Co., Ltd. | 587,100 | 8,030,091 |
Total | 706,895,475 |
8 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Netherlands 10.2% | ||
ABN AMRO Bank NV | 2,924,596 | 40,499,732 |
Adyen NV(a) | 14,388 | 19,974,139 |
ASR Nederland NV | 914,146 | 43,434,762 |
ING Groep NV | 3,992,676 | 48,635,447 |
Koninklijke Ahold Delhaize NV | 2,174,322 | 62,514,552 |
Prosus NV(a) | 699,190 | 48,274,487 |
Shell PLC | 3,024,539 | 85,768,030 |
Signify NV | 309,253 | 10,410,245 |
Total | 359,511,394 | |
Norway 1.5% | ||
SalMar ASA | 648,598 | 25,435,672 |
Yara International ASA | 616,026 | 27,054,002 |
Total | 52,489,674 | |
Russian Federation —% | ||
Lukoil PJSC(a),(b),(c),(d) | 133,228 | — |
Singapore 2.6% | ||
BW LPG Ltd. | 1,205,807 | 9,348,183 |
DBS Group Holdings Ltd. | 1,134,000 | 28,703,358 |
Venture Corp., Ltd. | 4,305,600 | 54,879,977 |
Total | 92,931,518 | |
South Africa 0.6% | ||
Impala Platinum Holdings Ltd. | 1,588,831 | 19,966,630 |
South Korea 2.4% | ||
Hyundai Home Shopping Network Corp.(a) | 264,807 | 11,323,782 |
Samsung Electronics Co., Ltd. | 923,507 | 40,535,718 |
Youngone Corp.(a) | 844,524 | 31,520,310 |
Total | 83,379,810 | |
Spain 0.5% | ||
ACS Actividades de Construccion y Servicios SA | 670,796 | 19,193,876 |
Sweden 1.1% | ||
Amasten Fastighets AB(a),(b),(d) | 1,632,182 | 3,057,941 |
Samhallsbyggnadsbolaget i Norden AB | 16,321,819 | 27,221,208 |
Stillfront Group AB(a) | 5,311,345 | 8,946,225 |
Total | 39,225,374 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Switzerland 6.4% | ||
Landis+Gyr Group AG(a) | 434,376 | 30,701,871 |
Nestlé SA, Registered Shares | 329,435 | 38,052,850 |
Novartis AG, Registered Shares | 281,893 | 25,510,599 |
Roche Holding AG, Genusschein Shares | 171,297 | 53,827,951 |
UBS AG | 4,026,854 | 74,844,019 |
Total | 222,937,290 | |
Taiwan 3.3% | ||
Fubon Financial Holding Co., Ltd. | 30,488,955 | 55,765,192 |
Parade Technologies Ltd. | 1,901,000 | 47,633,860 |
Tripod Technology Corp. | 4,438,000 | 13,541,215 |
Total | 116,940,267 | |
United Kingdom 14.1% | ||
AstraZeneca PLC, ADR | 1,801,856 | 122,165,837 |
British American Tobacco PLC | 2,177,649 | 86,143,773 |
Crest Nicholson Holdings PLC | 3,310,933 | 9,425,718 |
DCC PLC | 813,586 | 40,005,607 |
Intermediate Capital Group PLC | 1,057,033 | 14,594,647 |
JD Sports Fashion PLC | 26,569,870 | 40,376,297 |
John Wood Group PLC(a) | 4,172,137 | 6,761,415 |
Just Group PLC | 14,519,511 | 14,360,915 |
Liberty Global PLC, Class C(a) | 2,910,115 | 56,543,534 |
TP Icap Group PLC | 17,683,179 | 37,304,748 |
Vodafone Group PLC | 65,569,924 | 66,403,847 |
Total | 494,086,338 | |
United States 5.8% | ||
ACADIA Pharmaceuticals, Inc.(a) | 111,332 | 1,772,406 |
Broadcom, Inc. | 56,738 | 31,723,918 |
Burford Capital Ltd. | 3,367,352 | 27,443,919 |
Insmed, Inc.(a) | 383,796 | 7,668,244 |
Jazz Pharmaceuticals PLC(a) | 321,207 | 51,171,487 |
Livent Corp.(a) | 1,203,498 | 23,913,505 |
Primo Water Corp. | 3,618,459 | 56,230,853 |
Quotient Ltd.(a) | 37,777 | 14,355 |
Sage Therapeutics, Inc.(a) | 134,551 | 5,131,775 |
Total | 205,070,462 | |
Total Common Stocks (Cost $3,824,744,012) | 3,450,705,336 | |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 9 |
December 31, 2022
Exchange-Traded Equity Funds 1.0% | ||
Shares | Value ($) | |
United States 1.0% | ||
iShares MSCI EAFE ETF | 531,005 | 34,855,168 |
Total Exchange-Traded Equity Funds (Cost $34,934,128) | 34,855,168 |
Options Purchased Calls 0.0% | |||||
Value ($) | |||||
(Cost $715,385) | 311,823 |
Money Market Funds 0.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(e),(f) | 8,507,954 | 8,505,402 |
Total Money Market Funds (Cost $8,505,402) | 8,505,402 | |
Total Investments in Securities (Cost $3,868,898,927) | 3,494,377,729 | |
Other Assets & Liabilities, Net | 15,886,706 | |
Net Assets | $3,510,264,435 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
205,923,000 CAD | 153,233,392 USD | State Street | 01/18/2023 | 1,137,973 | — |
7,376,710,000 JPY | 53,760,622 USD | State Street | 01/18/2023 | — | (2,556,989) |
79,375,814,000 KRW | 60,903,717 USD | State Street | 01/18/2023 | — | (2,005,029) |
348,852,000 NOK | 35,528,213 USD | State Street | 01/18/2023 | — | (102,110) |
585,817,000 SEK | 56,565,781 USD | State Street | 01/18/2023 | 376,902 | — |
5,176,798,000 TWD | 170,693,682 USD | State Street | 01/18/2023 | 1,993,665 | — |
35,970,204 USD | 52,817,000 AUD | State Street | 01/18/2023 | 12,433 | — |
60,055,545 USD | 81,903,000 CAD | State Street | 01/18/2023 | 438,286 | — |
28,538,844 USD | 26,833,000 CHF | State Street | 01/18/2023 | 528,700 | — |
24,953,617 USD | 177,268,000 DKK | State Street | 01/18/2023 | 593,757 | — |
188,652,186 USD | 180,354,000 EUR | State Street | 01/18/2023 | 4,604,700 | — |
53,523,674 USD | 44,333,000 GBP | State Street | 01/18/2023 | 94,222 | — |
13,937,618 USD | 1,837,316,000 JPY | State Street | 01/18/2023 | 89,401 | — |
57,589,525 USD | 91,249,000 NZD | State Street | 01/18/2023 | 357,240 | — |
78,434,183 USD | 819,598,000 SEK | State Street | 01/18/2023 | 177,896 | — |
42,820,266 USD | 58,243,000 SGD | State Street | 01/18/2023 | 675,651 | — |
Total | 11,080,826 | (4,664,128) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
CBOE Volatility Index | Morgan Stanley | USD | 7,226,945 | 3,335 | 25.00 | 01/18/2023 | 715,385 | 311,823 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2022, the total value of these securities amounted to $3,057,941, which represents 0.09% of total net assets. |
(c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures established by the Fund’s Board of Trustees. At December 31, 2022, the total market value of these securities amounted to $0, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Lukoil PJSC | 01/25/2022-01/26/2022 | 133,228 | 10,912,642 | — |
10 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
December 31, 2022
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
22,731,087 | 610,767,996 | (624,993,681) | — | 8,505,402 | (2,581) | 419,665 | 8,507,954 |
ADR | American Depositary Receipt |
AUD | Australian Dollar |
CAD | Canada Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
KRW | South Korean Won |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TWD | New Taiwan 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 | Annual Report 2022 | 11 |
December 31, 2022
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 | ||||
Australia | — | 166,837,466 | — | 166,837,466 |
Austria | — | 18,516,101 | — | 18,516,101 |
Brazil | 16,587,634 | — | — | 16,587,634 |
Canada | 196,435,704 | — | — | 196,435,704 |
China | — | 17,292,600 | — | 17,292,600 |
Denmark | — | 69,244,614 | — | 69,244,614 |
Finland | — | 68,591,199 | — | 68,591,199 |
France | 1,005,464 | 180,599,706 | — | 181,605,170 |
Germany | — | 112,264,435 | — | 112,264,435 |
Hong Kong | — | 17,196,051 | — | 17,196,051 |
Ireland | 596,350 | 64,221,682 | — | 64,818,032 |
Israel | 70,082,511 | 38,605,711 | — | 108,688,222 |
Japan | — | 706,895,475 | — | 706,895,475 |
Netherlands | — | 359,511,394 | — | 359,511,394 |
Norway | — | 52,489,674 | — | 52,489,674 |
Russian Federation | — | — | — | — |
Singapore | — | 92,931,518 | — | 92,931,518 |
South Africa | — | 19,966,630 | — | 19,966,630 |
South Korea | — | 83,379,810 | — | 83,379,810 |
Spain | — | 19,193,876 | — | 19,193,876 |
Sweden | — | 36,167,433 | 3,057,941 | 39,225,374 |
Switzerland | — | 222,937,290 | — | 222,937,290 |
Taiwan | — | 116,940,267 | — | 116,940,267 |
United Kingdom | 178,709,371 | 315,376,967 | — | 494,086,338 |
United States | 205,070,462 | — | — | 205,070,462 |
Total Common Stocks | 668,487,496 | 2,779,159,899 | 3,057,941 | 3,450,705,336 |
Exchange-Traded Equity Funds | 34,855,168 | — | — | 34,855,168 |
Options Purchased Calls | 311,823 | — | — | 311,823 |
Money Market Funds | 8,505,402 | — | — | 8,505,402 |
Total Investments in Securities | 712,159,889 | 2,779,159,899 | 3,057,941 | 3,494,377,729 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 11,080,826 | — | 11,080,826 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (4,664,128) | — | (4,664,128) |
Total | 712,159,889 | 2,785,576,597 | 3,057,941 | 3,500,794,427 |
12 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
December 31, 2022
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 – Overseas Core Fund | Annual Report 2022 | 13 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,859,678,140) | $3,485,560,504 |
Affiliated issuers (cost $8,505,402) | 8,505,402 |
Options purchased (cost $715,385) | 311,823 |
Cash | 14,112 |
Unrealized appreciation on forward foreign currency exchange contracts | 11,080,826 |
Receivable for: | |
Investments sold | 5,925,246 |
Capital shares sold | 9,691 |
Dividends | 6,451,665 |
Foreign tax reclaims | 4,728,195 |
Prepaid expenses | 24,137 |
Total assets | 3,522,611,601 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 4,664,128 |
Payable for: | |
Investments purchased | 31,275 |
Capital shares purchased | 7,205,918 |
Foreign capital gains taxes deferred | 1,899 |
Management services fees | 73,448 |
Distribution and/or service fees | 1,190 |
Service fees | 28,968 |
Compensation of board members | 191,475 |
Compensation of chief compliance officer | 635 |
Other expenses | 148,230 |
Total liabilities | 12,347,166 |
Net assets applicable to outstanding capital stock | $3,510,264,435 |
Represented by | |
Paid in capital | 3,946,290,034 |
Total distributable earnings (loss) | (436,025,599) |
Total - representing net assets applicable to outstanding capital stock | $3,510,264,435 |
Class 1 | |
Net assets | $3,242,142,819 |
Shares outstanding | 275,435,153 |
Net asset value per share | $11.77 |
Class 2 | |
Net assets | $77,447,368 |
Shares outstanding | 6,643,437 |
Net asset value per share | $11.66 |
Class 3 | |
Net assets | $190,674,248 |
Shares outstanding | 16,255,765 |
Net asset value per share | $11.73 |
14 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $116,084,044 |
Dividends — affiliated issuers | 419,665 |
European Union tax reclaim | 184,637 |
Foreign taxes withheld | (14,118,848) |
Total income | 102,569,498 |
Expenses: | |
Management services fees | 27,569,804 |
Distribution and/or service fees | |
Class 2 | 195,748 |
Class 3 | 251,251 |
Service fees | 228,387 |
Compensation of board members | 54,938 |
Custodian fees | 470,109 |
Printing and postage fees | 49,206 |
Audit fees | 99,250 |
Legal fees | 57,703 |
Interest on interfund lending | 40 |
Compensation of chief compliance officer | 481 |
Other | 137,257 |
Total expenses | 29,114,174 |
Net investment income | 73,455,324 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (120,379,248) |
Investments — affiliated issuers | (2,581) |
Foreign currency translations | (1,785,994) |
Forward foreign currency exchange contracts | 290,517 |
Options purchased | 240,672 |
Options contracts written | 4,041,694 |
Net realized loss | (117,594,940) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (587,456,915) |
Foreign currency translations | (28,421) |
Forward foreign currency exchange contracts | 5,395,574 |
Options purchased | (403,562) |
Foreign capital gains tax | (1,899) |
Net change in unrealized appreciation (depreciation) | (582,495,223) |
Net realized and unrealized loss | (700,090,163) |
Net decrease in net assets resulting from operations | $(626,634,839) |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 15 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $73,455,324 | $76,376,161 |
Net realized gain (loss) | (117,594,940) | 257,831,908 |
Net change in unrealized appreciation (depreciation) | (582,495,223) | (183,503) |
Net increase (decrease) in net assets resulting from operations | (626,634,839) | 334,024,566 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (277,530,934) | (128,172,640) |
Class 2 | (6,228,789) | (2,236,696) |
Class 3 | (16,564,749) | (8,105,983) |
Total distributions to shareholders | (300,324,472) | (138,515,319) |
Increase in net assets from capital stock activity | 122,892,216 | 1,340,753,040 |
Total increase (decrease) in net assets | (804,067,095) | 1,536,262,287 |
Net assets at beginning of year | 4,314,331,530 | 2,778,069,243 |
Net assets at end of year | $3,510,264,435 | $4,314,331,530 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,204,794 | 14,466,627 | 89,123,190 | 1,331,060,455 |
Distributions reinvested | 24,165,063 | 277,530,934 | 8,495,689 | 128,172,640 |
Redemptions | (13,923,873) | (176,559,819) | (8,246,594) | (129,386,621) |
Net increase | 11,445,984 | 115,437,742 | 89,372,285 | 1,329,846,474 |
Class 2 | ||||
Subscriptions | 1,118,157 | 13,173,148 | 2,178,116 | 32,619,525 |
Distributions reinvested | 547,986 | 6,228,789 | 149,237 | 2,236,696 |
Redemptions | (995,837) | (12,079,788) | (678,738) | (10,282,727) |
Net increase | 670,306 | 7,322,149 | 1,648,615 | 24,573,494 |
Class 3 | ||||
Subscriptions | 76,258 | 848,707 | 43,097 | 656,261 |
Distributions reinvested | 1,448,223 | 16,564,749 | 538,351 | 8,105,983 |
Redemptions | (1,403,048) | (17,281,131) | (1,484,276) | (22,429,172) |
Net increase (decrease) | 121,433 | 132,325 | (902,828) | (13,666,928) |
Total net increase | 12,237,723 | 122,892,216 | 90,118,072 | 1,340,753,040 |
16 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 17 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $15.08 | 0.25 | (2.50) | (2.25) | (0.10) | (0.96) | (1.06) |
Year Ended 12/31/2021 | $14.18 | 0.29 | 1.12 | 1.41 | (0.19) | (0.32) | (0.51) |
Year Ended 12/31/2020 | $13.40 | 0.19 | 0.95 | 1.14 | (0.21) | (0.15) | (0.36) |
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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $14.98 | 0.22 | (2.49) | (2.27) | (0.09) | (0.96) | (1.05) |
Year Ended 12/31/2021 | $14.09 | 0.23 | 1.14 | 1.37 | (0.16) | (0.32) | (0.48) |
Year Ended 12/31/2020 | $13.32 | 0.17 | 0.93 | 1.10 | (0.18) | (0.15) | (0.33) |
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) |
Class 3 | |||||||
Year Ended 12/31/2022 | $15.05 | 0.24 | (2.50) | (2.26) | (0.10) | (0.96) | (1.06) |
Year Ended 12/31/2021 | $14.15 | 0.26 | 1.14 | 1.40 | (0.18) | (0.32) | (0.50) |
Year Ended 12/31/2020 | $13.38 | 0.18 | 0.93 | 1.11 | (0.19) | (0.15) | (0.34) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
18 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $11.77 | (14.68%) | 0.79%(c) | 0.79%(c) | 2.03% | 35% | $3,242,143 |
Year Ended 12/31/2021 | $15.08 | 9.96% | 0.78%(d) | 0.78%(d) | 1.91% | 29% | $3,982,053 |
Year Ended 12/31/2020 | $14.18 | 9.12% | 0.84% | 0.84% | 1.56% | 26% | $2,476,011 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $11.66 | (14.90%) | 1.04%(c) | 1.04%(c) | 1.77% | 35% | $77,447 |
Year Ended 12/31/2021 | $14.98 | 9.74% | 1.03%(d) | 1.03%(d) | 1.55% | 29% | $89,465 |
Year Ended 12/31/2020 | $14.09 | 8.83% | 1.10% | 1.10% | 1.39% | 26% | $60,936 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $11.73 | (14.80%) | 0.91%(c) | 0.91%(c) | 1.90% | 35% | $190,674 |
Year Ended 12/31/2021 | $15.05 | 9.88% | 0.91%(d) | 0.91%(d) | 1.72% | 29% | $242,813 |
Year Ended 12/31/2020 | $14.15 | 8.92% | 0.97% | 0.97% | 1.50% | 26% | $241,122 |
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% | $228,786 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Investments, at value — Options Purchased | 311,823 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 11,080,826 |
Total | 11,392,649 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 23 |
December 31, 2022
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 4,664,128 |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | 4,041,694 | 240,672 | 4,282,366 |
Foreign exchange risk | 290,517 | — | — | 290,517 |
Total | 290,517 | 4,041,694 | 240,672 | 4,572,883 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | (403,562) | (403,562) |
Foreign exchange risk | 5,395,574 | — | 5,395,574 |
Total | 5,395,574 | (403,562) | 4,992,012 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 802,176 |
Options contracts — written | (132,398) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 19,472,739 | (15,033,151) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
24 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
December 31, 2022
Morgan Stanley ($) | State Street ($) | Total ($) | |
Assets | |||
Forward foreign currency exchange contracts | — | 11,080,826 | 11,080,826 |
Options purchased calls | 311,823 | — | 311,823 |
Total assets | 311,823 | 11,080,826 | 11,392,649 |
Liabilities | |||
Forward foreign currency exchange contracts | — | 4,664,128 | 4,664,128 |
Total financial and derivative net assets | 311,823 | 6,416,698 | 6,728,521 |
Total collateral received (pledged) (a) | — | — | — |
Net amount (b) | 311,823 | 6,416,698 | 6,728,521 |
(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 | Annual Report 2022 | 25 |
December 31, 2022
26 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 27 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.86% | 0.89% |
Class 2 | 1.11 | 1.14 |
Class 3 | 0.985 | 1.015 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(2,323,252) | 2,138,616 | 184,636 |
28 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
December 31, 2022
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
172,776,133 | 127,548,339 | 300,324,472 | 79,757,775 | 58,757,544 | 138,515,319 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
68,223,361 | — | (107,782,227) | (396,156,576) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
3,896,951,002 | 229,436,373 | (625,592,949) | (396,156,576) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(21,304,604) | (86,477,623) | (107,782,227) | — |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 29 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 1,700,000 | 0.86 | 1 |
30 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 31 |
December 31, 2022
32 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 33 |
34 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
Qualified dividend income | Dividends received deduction | Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
8.05% | 0.50% | $14,340,557 | $0.05 | $114,563,240 | $0.38 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 35 |
(Unaudited)
Independent trustees
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
36 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 37 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
38 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 39 |
(Unaudited)
The Statement of Additional Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your financial intermediary.
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
40 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2022 | 41 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
19 | |
20 | |
21 | |
22 | |
24 | |
33 | |
34 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | ||||||
Inception | 1 Year | 5 Years | 10 Years | |||
Class 1 | 05/03/10 | -10.54 | 2.42 | 3.89 | ||
Class 2 | 05/03/10 | -10.78 | 2.14 | 3.61 | ||
Class 3 | 05/01/96 | -10.70 | 2.25 | 3.74 | ||
ICE BofA US Cash Pay High Yield Constrained Index | -11.10 | 2.12 | 3.93 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Convertible Bonds | 0.9 |
Corporate Bonds & Notes | 92.0 |
Foreign Government Obligations | 0.6 |
Money Market Funds | 3.4 |
Senior Loans | 3.1 |
Total | 100.0 |
Quality breakdown (%) (at December 31, 2022) | |
BBB rating | 1.9 |
BB rating | 42.5 |
B rating | 43.3 |
CCC rating | 11.9 |
Not rated | 0.4 |
Total | 100.0 |
4 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
(Unaudited)
• | Positive results, relative to the benchmark, were driven both by security selection and industry allocation over the year. |
• | The Fund began the period with slightly defensive positioning, as compared to the benchmark, with a modestly lower yield and credit sensitivity. |
○ | Positioning became more defensive over the course of the year, with both relative yield and credit sensitivity decreasing. |
○ | We remain comfortable maintaining the Fund’s conservative positioning while continuing to look for dislocations in the market that provide idiosyncratic buying opportunities. That said, we continue to believe that should a recession materialize, it should not cause default rates to spike to levels seen in previous recessions. |
• | Security selection was strongest within support services, with notable contributions driven by overweight allocations to ratings measurement firm Nielsen, heavy equipment auctioneer Ritchie Brothers and used car auction company KAR Auction Services, in addition to smaller contributions from several other issuers within the sector. |
• | Defensive positioning within specialty retail, in addition to an underweight allocation, was also among the year’s top contributors. |
• | A zero-weight allocation to Carvana was the largest individual contributor. |
• | Selection was also positive within pharmaceuticals, driven by an underweight allocation to, and higher quality positioning within, the capital structure of Canadian pharmaceutical company Bausch Health. |
• | An underweight allocation to Endo Pharmaceuticals also proved additive. |
• | Selection within technology hardware and equipment contributed, driven by an overweight allocation to headset manufacturer Plantronics, which saw its bonds move sharply higher on the announcement that the company would be acquired by Hewlett-Packard. |
• | Finally, an underweight allocation to, and selection within, media content aided relative results, driven primarily by a lack of exposure to distressed issuers Diamond Sports Group and Audacy Capital. |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 5 |
(Unaudited)
• | From a quality perspective, defensive selection within the CCC-rated portion of the market contributed, most notably within the retail, services, health care, insurance brokerage and media sectors. |
• | Selection within cable and satellite TV was the largest detractor from performance relative to the benchmark, most notably overweight allocations to Radiate and Dish Corp. |
• | Within energy, underweight allocations to oil field equipment and services and refining detracted as these segments benefited from higher commodity prices. |
• | Selection detracted within energy exploration and production, with underperformance driven largely by overweight allocations to higher quality, more interest rate sensitive “rising stars” rather than credit deterioration. |
• | In this vein, overweight positions in Occidental Petroleum and Apache Corporation, both candidates for ratings upgrades, were the two largest individual detractors. |
6 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 1,036.80 | 1,021.76 | 3.37 | 3.35 | 0.66 |
Class 2 | 1,000.00 | 1,000.00 | 1,034.30 | 1,020.51 | 4.64 | 4.61 | 0.91 |
Class 3 | 1,000.00 | 1,000.00 | 1,035.50 | 1,021.16 | 3.98 | 3.95 | 0.78 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 7 |
December 31, 2022
Convertible Bonds 0.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.9% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 3,794,000 | 2,376,941 | |
Total Convertible Bonds (Cost $3,305,429) | 2,376,941 | |||
Corporate Bonds & Notes 90.7% | ||||
Aerospace & Defense 2.2% | ||||
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 542,000 | 527,672 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 440,000 | 406,482 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 306,000 | 322,472 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 688,000 | 696,945 | |
03/15/2026 | 6.250% | 2,101,000 | 2,076,466 | |
TransDigm, Inc. | ||||
11/15/2027 | 5.500% | 1,619,000 | 1,520,330 | |
01/15/2029 | 4.625% | 386,000 | 339,170 | |
Total | 5,889,537 | |||
Airlines 2.4% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 718,000 | 637,867 | |
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 170,000 | 182,892 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 2,834,603 | 2,725,932 | |
04/20/2029 | 5.750% | 54,529 | 49,886 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 997,610 | 902,632 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a) | ||||
06/20/2027 | 6.500% | 1,250,115 | 1,245,548 | |
Spirit Loyalty Cayman Ltd.(a) | ||||
09/20/2025 | 8.000% | 530,000 | 528,125 | |
Total | 6,272,882 | |||
Automotive 3.5% | ||||
American Axle & Manufacturing, Inc. | ||||
03/15/2026 | 6.250% | 306,000 | 287,227 | |
04/01/2027 | 6.500% | 44,000 | 39,892 | |
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 700,000 | 703,338 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 573,000 | 431,152 | |
01/15/2043 | 4.750% | 790,000 | 571,556 | |
Ford Motor Credit Co. LLC | ||||
11/01/2024 | 4.063% | 400,000 | 385,450 | |
06/16/2025 | 5.125% | 414,000 | 399,115 | |
11/13/2025 | 3.375% | 728,000 | 659,404 | |
05/28/2027 | 4.950% | 256,000 | 239,109 | |
08/17/2027 | 4.125% | 689,000 | 615,693 | |
11/04/2027 | 7.350% | 483,000 | 494,930 | |
02/16/2028 | 2.900% | 410,000 | 338,783 | |
02/10/2029 | 2.900% | 657,000 | 524,489 | |
11/13/2030 | 4.000% | 838,000 | 688,266 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 278,000 | 231,893 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 747,000 | 725,959 | |
IHO Verwaltungs GmbH(a),(b) | ||||
09/15/2026 | 4.750% | 155,000 | 134,341 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 1,024,000 | 1,001,002 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 761,000 | 744,501 | |
Total | 9,216,100 | |||
Brokerage/Asset Managers/Exchanges 1.8% | ||||
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 29,000 | 26,721 | |
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 986,000 | 995,217 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 736,000 | 616,097 | |
NFP Corp(a) | ||||
10/01/2030 | 7.500% | 778,000 | 731,320 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 744,000 | 633,443 | |
08/15/2028 | 6.875% | 2,036,000 | 1,685,788 | |
Total | 4,688,586 | |||
Building Materials 1.3% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 1,259,000 | 1,122,395 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 514,000 | 481,775 | |
Interface, Inc.(a) | ||||
12/01/2028 | 5.500% | 119,000 | 98,008 |
8 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 1,022,000 | 912,897 | |
12/01/2029 | 6.000% | 686,000 | 548,651 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 316,000 | 275,349 | |
Total | 3,439,075 | |||
Cable and Satellite 5.9% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
02/01/2028 | 5.000% | 666,000 | 605,223 | |
06/01/2029 | 5.375% | 749,000 | 677,040 | |
03/01/2030 | 4.750% | 1,876,000 | 1,620,279 | |
08/15/2030 | 4.500% | 1,354,000 | 1,121,139 | |
02/01/2032 | 4.750% | 764,000 | 619,382 | |
CSC Holdings LLC(a) | ||||
02/15/2031 | 3.375% | 3,972,000 | 2,591,131 | |
DISH DBS Corp. | ||||
06/01/2029 | 5.125% | 1,902,000 | 1,227,002 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 532,000 | 547,075 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 1,562,000 | 1,147,981 | |
09/15/2028 | 6.500% | 942,000 | 394,805 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 607,000 | 538,941 | |
08/01/2027 | 5.000% | 299,000 | 276,677 | |
07/01/2030 | 4.125% | 1,100,000 | 908,754 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 676,000 | 571,544 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 1,426,000 | 1,162,660 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 2,067,000 | 1,728,326 | |
Total | 15,737,959 | |||
Chemicals 3.5% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 528,000 | 519,347 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 509,000 | 422,395 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 642,000 | 593,255 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 706,000 | 673,235 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 1,110,000 | 947,477 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 596,000 | 524,678 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 740,000 | 591,815 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 781,000 | 673,728 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 755,000 | 740,232 | |
Iris Holdings, Inc.(a),(b) | ||||
02/15/2026 | 8.750% | 353,000 | 307,363 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 824,000 | 675,152 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 301,000 | 260,468 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 303,000 | 244,004 | |
09/30/2029 | 7.500% | 170,000 | 108,008 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 1,688,000 | 1,495,390 | |
08/15/2029 | 5.625% | 803,000 | 649,639 | |
Total | 9,426,186 | |||
Construction Machinery 1.1% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 2,018,000 | 1,718,004 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 782,000 | 729,056 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 455,000 | 448,648 | |
Total | 2,895,708 | |||
Consumer Cyclical Services 2.6% | ||||
APX Group, Inc.(a) | ||||
02/15/2027 | 6.750% | 466,000 | 448,920 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 1,129,000 | 885,494 | |
12/01/2028 | 6.125% | 688,000 | 552,088 | |
Match Group, Inc.(a) | ||||
06/01/2028 | 4.625% | 511,000 | 456,999 | |
02/15/2029 | 5.625% | 276,000 | 254,458 | |
Prime Security Services Borrower LLC/Finance, Inc.(a) | ||||
04/15/2026 | 5.750% | 454,000 | 437,469 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 479,000 | 412,336 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 647,000 | 647,923 | |
08/15/2029 | 4.500% | 3,193,000 | 2,783,723 | |
Total | 6,879,410 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 9 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Products 1.6% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 1,207,000 | 1,041,009 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 671,000 | 658,182 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 218,000 | 216,444 | |
09/15/2029 | 6.625% | 308,000 | 303,998 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 335,000 | 316,432 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 365,000 | 280,285 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 511,000 | 505,710 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 694,000 | 607,066 | |
07/15/2030 | 5.500% | 46,000 | 40,831 | |
Tempur Sealy International, Inc.(a) | ||||
10/15/2031 | 3.875% | 488,000 | 382,025 | |
Total | 4,351,982 | |||
Diversified Manufacturing 1.7% | ||||
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 364,000 | 365,511 | |
01/01/2031 | 9.500% | 125,000 | 128,198 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 998,000 | 831,098 | |
06/30/2029 | 5.875% | 333,000 | 229,050 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 569,000 | 459,070 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 257,000 | 228,612 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 740,000 | 750,123 | |
06/15/2028 | 7.250% | 1,417,000 | 1,436,631 | |
Total | 4,428,293 | |||
Electric 5.1% | ||||
Atlantica Sustainable Infrastructure PLC(a) | ||||
06/15/2028 | 4.125% | 470,000 | 417,583 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 1,228,000 | 1,138,612 | |
02/15/2031 | 3.750% | 1,770,000 | 1,477,404 | |
01/15/2032 | 3.750% | 1,003,000 | 810,504 | |
FirstEnergy Corp. | ||||
11/15/2031 | 7.375% | 225,000 | 254,119 | |
FirstEnergy Corp.(c) | ||||
07/15/2047 | 5.100% | 338,000 | 302,089 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 943,000 | 816,687 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 495,000 | 481,056 | |
09/15/2027 | 4.500% | 2,263,000 | 2,083,163 | |
NRG Energy, Inc. | ||||
01/15/2028 | 5.750% | 440,000 | 413,371 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 1,846,000 | 1,630,930 | |
02/15/2031 | 3.625% | 332,000 | 254,023 | |
Pattern Energy Operations LP/Inc.(a) | ||||
08/15/2028 | 4.500% | 259,000 | 232,458 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 360,000 | 329,427 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 1,207,000 | 1,086,289 | |
01/15/2030 | 4.750% | 624,000 | 545,554 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 653,000 | 623,634 | |
07/31/2027 | 5.000% | 277,000 | 257,779 | |
05/01/2029 | 4.375% | 495,000 | 427,092 | |
Total | 13,581,774 | |||
Environmental 1.2% | ||||
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 1,195,000 | 1,149,054 | |
08/01/2025 | 3.750% | 633,000 | 597,794 | |
12/15/2026 | 5.125% | 405,000 | 389,258 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 1,251,000 | 1,108,565 | |
Total | 3,244,671 | |||
Finance Companies 1.9% | ||||
Navient Corp. | ||||
03/25/2024 | 6.125% | 437,000 | 430,063 | |
06/25/2025 | 6.750% | 445,000 | 427,771 | |
OneMain Finance Corp. | ||||
09/15/2030 | 4.000% | 45,000 | 33,637 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 1,140,000 | 1,007,066 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2031 | 3.875% | 869,000 | 671,119 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 2,121,000 | 1,586,515 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 974,000 | 942,117 | |
Total | 5,098,288 |
10 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Food and Beverage 2.4% | ||||
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 683,000 | 666,188 | |
06/15/2030 | 6.000% | 504,000 | 493,962 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 2,257,000 | 2,117,911 | |
Performance Food Group, Inc.(a) | ||||
05/01/2025 | 6.875% | 170,000 | 170,245 | |
Pilgrim’s Pride Corp.(a) | ||||
04/15/2031 | 4.250% | 379,000 | 322,596 | |
03/01/2032 | 3.500% | 167,000 | 130,537 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 591,000 | 572,289 | |
01/15/2028 | 5.625% | 440,000 | 415,866 | |
04/15/2030 | 4.625% | 324,000 | 279,527 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 498,000 | 430,092 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 649,000 | 531,034 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 366,000 | 296,503 | |
Total | 6,426,750 | |||
Gaming 3.8% | ||||
Boyd Gaming Corp. | ||||
12/01/2027 | 4.750% | 675,000 | 628,532 | |
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 157,000 | 136,648 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 808,000 | 657,065 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 1,197,000 | 1,173,063 | |
07/01/2025 | 6.250% | 918,000 | 893,142 | |
07/01/2027 | 8.125% | 1,394,000 | 1,370,938 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 362,000 | 364,767 | |
04/15/2026 | 4.125% | 339,000 | 317,213 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 1,001,000 | 855,324 | |
Penn National Gaming, Inc.(a) | ||||
07/01/2029 | 4.125% | 376,000 | 297,452 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 845,000 | 713,524 | |
Scientific Games International, Inc.(a) | ||||
05/15/2028 | 7.000% | 369,000 | 352,830 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
VICI Properties LP/Note Co., Inc.(a) | ||||
05/01/2024 | 5.625% | 480,000 | 476,740 | |
06/15/2025 | 4.625% | 400,000 | 383,528 | |
12/01/2026 | 4.250% | 561,000 | 523,534 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 874,000 | 832,787 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 159,000 | 158,307 | |
Total | 10,135,394 | |||
Health Care 5.7% | ||||
180 Medical, Inc.(a) | ||||
10/15/2029 | 3.875% | 200,000 | 171,860 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 138,000 | 131,008 | |
04/15/2029 | 5.000% | 184,000 | 169,705 | |
AdaptHealth LLC(a) | ||||
08/01/2029 | 4.625% | 170,000 | 142,494 | |
03/01/2030 | 5.125% | 989,000 | 841,756 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 764,000 | 693,737 | |
11/01/2029 | 3.875% | 1,334,000 | 1,120,940 | |
Catalent Pharma Solutions, Inc.(a) | ||||
04/01/2030 | 3.500% | 581,000 | 458,258 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 249,000 | 229,121 | |
03/15/2029 | 3.750% | 249,000 | 220,152 | |
03/15/2031 | 4.000% | 291,000 | 251,807 | |
CHS/Community Health Systems, Inc.(a) | ||||
04/15/2029 | 6.875% | 654,000 | 339,095 | |
05/15/2030 | 5.250% | 1,433,000 | 1,082,323 | |
Indigo Merger Sub, Inc.(a) | ||||
07/15/2026 | 2.875% | 297,000 | 268,925 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
10/01/2029 | 5.250% | 808,000 | 642,182 | |
Owens & Minor, Inc.(a) | ||||
04/01/2030 | 6.625% | 299,000 | 257,106 | |
RP Escrow Issuer LLC(a) | ||||
12/15/2025 | 5.250% | 1,831,000 | 1,400,304 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 1,190,000 | 1,134,122 | |
Surgery Center Holdings, Inc.(a) | ||||
07/01/2025 | 6.750% | 42,000 | 41,626 | |
04/15/2027 | 10.000% | 348,000 | 353,724 | |
Teleflex, Inc. | ||||
11/15/2027 | 4.625% | 693,000 | 660,880 | |
Teleflex, Inc.(a) | ||||
06/01/2028 | 4.250% | 223,000 | 203,786 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 11 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 886,000 | 851,009 | |
11/01/2027 | 5.125% | 1,522,000 | 1,420,231 | |
10/01/2028 | 6.125% | 834,000 | 748,403 | |
01/15/2030 | 4.375% | 328,000 | 284,177 | |
06/15/2030 | 6.125% | 446,000 | 424,777 | |
US Acute Care Solutions LLC(a) | ||||
03/01/2026 | 6.375% | 750,000 | 665,633 | |
Total | 15,209,141 | |||
Home Construction 0.6% | ||||
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 349,000 | 296,181 | |
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 432,000 | 377,497 | |
04/01/2029 | 4.750% | 102,000 | 85,978 | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
03/01/2024 | 5.625% | 848,000 | 842,777 | |
Total | 1,602,433 | |||
Independent Energy 5.4% | ||||
Apache Corp. | ||||
09/01/2040 | 5.100% | 170,000 | 141,178 | |
02/01/2042 | 5.250% | 171,000 | 140,220 | |
04/15/2043 | 4.750% | 571,000 | 430,670 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 1,002,000 | 942,490 | |
Callon Petroleum Co.(a) | ||||
06/15/2030 | 7.500% | 287,000 | 263,472 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 71,000 | 70,783 | |
01/15/2029 | 6.000% | 342,000 | 315,661 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 975,000 | 839,486 | |
Comstock Resources, Inc.(a) | ||||
03/01/2029 | 6.750% | 336,000 | 303,356 | |
CrownRock LP/Finance, Inc.(a) | ||||
05/01/2029 | 5.000% | 249,000 | 223,204 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 1,936,000 | 1,756,412 | |
02/01/2029 | 5.750% | 418,000 | 373,512 | |
04/15/2030 | 6.000% | 268,000 | 239,836 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 1,155,000 | 1,114,700 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 1,099,000 | 1,135,580 | |
01/01/2031 | 6.125% | 1,520,000 | 1,538,228 | |
05/01/2031 | 7.500% | 300,000 | 321,324 | |
09/15/2036 | 6.450% | 1,786,000 | 1,822,071 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SM Energy Co. | ||||
07/15/2028 | 6.500% | 663,000 | 633,670 | |
Southwestern Energy Co. | ||||
02/01/2032 | 4.750% | 1,922,000 | 1,641,065 | |
Total | 14,246,918 | |||
Leisure 2.8% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 481,000 | 384,165 | |
03/01/2027 | 5.750% | 1,062,000 | 757,727 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 642,000 | 659,004 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 464,000 | 458,489 | |
Cinemark USA, Inc.(a) | ||||
03/15/2026 | 5.875% | 1,548,000 | 1,287,825 | |
07/15/2028 | 5.250% | 68,000 | 50,509 | |
Live Nation Entertainment, Inc.(a) | ||||
10/15/2027 | 4.750% | 297,000 | 264,762 | |
NCL Corp., Ltd.(a) | ||||
02/15/2027 | 5.875% | 426,000 | 368,730 | |
Royal Caribbean Cruises Ltd.(a) | ||||
06/01/2025 | 11.500% | 976,000 | 1,048,374 | |
07/01/2026 | 4.250% | 807,000 | 653,417 | |
08/31/2026 | 5.500% | 1,475,000 | 1,240,977 | |
07/15/2027 | 5.375% | 325,000 | 264,385 | |
Total | 7,438,364 | |||
Lodging 0.2% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 310,000 | 307,328 | |
05/01/2028 | 5.750% | 140,000 | 136,210 | |
Total | 443,538 | |||
Media and Entertainment 2.7% | ||||
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 625,000 | 596,464 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 1,585,000 | 1,163,286 | |
06/01/2029 | 7.500% | 135,000 | 98,195 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 1,039,000 | 900,293 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 435,000 | 400,133 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 604,000 | 511,271 |
12 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 239,000 | 215,981 | |
01/15/2029 | 4.250% | 278,000 | 230,595 | |
03/15/2030 | 4.625% | 877,000 | 727,298 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 1,327,000 | 1,041,354 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 861,000 | 678,218 | |
Univision Communications, Inc.(a) | ||||
06/30/2030 | 7.375% | 573,000 | 548,305 | |
Total | 7,111,393 | |||
Metals and Mining 3.3% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 212,000 | 187,269 | |
10/01/2031 | 5.125% | 886,000 | 777,387 | |
Constellium NV(a) | ||||
02/15/2026 | 5.875% | 438,000 | 422,340 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 303,000 | 280,180 | |
04/15/2029 | 3.750% | 2,594,000 | 2,112,161 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2026 | 4.500% | 595,000 | 543,243 | |
04/01/2029 | 6.125% | 2,376,000 | 2,165,476 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 116,000 | 101,694 | |
06/01/2031 | 4.500% | 930,000 | 747,178 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 421,000 | 377,317 | |
01/30/2030 | 4.750% | 1,043,000 | 922,141 | |
08/15/2031 | 3.875% | 267,000 | 218,480 | |
Total | 8,854,866 | |||
Midstream 4.7% | ||||
Cheniere Energy Partners LP | ||||
01/31/2032 | 3.250% | 430,000 | 342,500 | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 651,000 | 537,382 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 624,000 | 580,169 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 885,000 | 856,212 | |
EQM Midstream Partners LP | ||||
08/01/2024 | 4.000% | 170,000 | 163,583 | |
07/15/2028 | 5.500% | 1,005,000 | 897,768 | |
07/15/2048 | 6.500% | 1,183,000 | 887,267 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 860,000 | 835,429 | |
06/01/2027 | 7.500% | 226,000 | 221,409 | |
07/01/2027 | 6.500% | 503,000 | 480,892 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 330,000 | 325,665 | |
02/01/2028 | 5.000% | 861,000 | 789,019 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 1,237,000 | 1,194,964 | |
06/01/2026 | 6.000% | 522,000 | 504,163 | |
04/28/2027 | 5.625% | 124,000 | 116,566 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 1,237,000 | 1,075,910 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 902,000 | 789,723 | |
08/15/2031 | 4.125% | 1,415,000 | 1,206,300 | |
11/01/2033 | 3.875% | 769,000 | 627,819 | |
Total | 12,432,740 | |||
Oil Field Services 0.8% | ||||
Nabors Industries Ltd.(a) | ||||
01/15/2028 | 7.500% | 284,000 | 258,830 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 305,000 | 298,851 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 1,626,046 | 1,613,129 | |
Total | 2,170,810 | |||
Other REIT 1.5% | ||||
Blackstone Mortgage Trust, Inc.(a) | ||||
01/15/2027 | 3.750% | 869,000 | 741,004 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
02/01/2027 | 4.250% | 2,141,000 | 1,802,829 | |
06/15/2029 | 4.750% | 322,000 | 259,986 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 501,000 | 424,082 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 346,000 | 307,961 | |
Service Properties Trust | ||||
03/15/2024 | 4.650% | 326,000 | 312,930 | |
10/01/2024 | 4.350% | 152,000 | 138,497 | |
Total | 3,987,289 | |||
Packaging 1.8% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 249,000 | 243,963 | |
09/01/2029 | 4.000% | 1,314,000 | 1,042,297 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 13 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
04/30/2025 | 5.250% | 368,000 | 352,019 | |
08/15/2026 | 4.125% | 641,000 | 555,668 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 551,000 | 536,099 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 1,139,000 | 901,841 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 623,000 | 582,347 | |
08/15/2027 | 8.500% | 530,000 | 487,332 | |
Total | 4,701,566 | |||
Pharmaceuticals 1.6% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 84,000 | 81,832 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 574,000 | 394,874 | |
06/01/2028 | 4.875% | 871,000 | 557,239 | |
09/30/2028 | 11.000% | 151,000 | 118,415 | |
10/15/2030 | 14.000% | 30,000 | 17,821 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(d) | ||||
06/30/2028 | 0.000% | 302,000 | 17,215 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 478,000 | 413,567 | |
Jazz Securities DAC(a) | ||||
01/15/2029 | 4.375% | 363,000 | 325,845 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 1,508,000 | 1,335,212 | |
04/30/2031 | 5.125% | 1,216,000 | 1,053,329 | |
Total | 4,315,349 | |||
Property & Casualty 2.9% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 567,000 | 510,730 | |
10/15/2027 | 6.750% | 1,234,000 | 1,111,884 | |
11/01/2029 | 5.875% | 471,000 | 387,815 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 740,000 | 719,423 | |
01/15/2029 | 5.625% | 686,000 | 569,909 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 1,106,000 | 950,745 | |
GTCR AP Finance, Inc.(a) | ||||
05/15/2027 | 8.000% | 186,000 | 178,317 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 1,374,000 | 1,348,738 | |
12/01/2029 | 5.625% | 882,000 | 773,480 | |
MGIC Investment Corp. | ||||
08/15/2028 | 5.250% | 101,000 | 93,281 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Radian Group, Inc. | ||||
03/15/2025 | 6.625% | 40,000 | 39,582 | |
03/15/2027 | 4.875% | 235,000 | 215,353 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 738,000 | 708,385 | |
Total | 7,607,642 | |||
Restaurants 0.9% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 551,000 | 548,233 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2029 | 4.625% | 130,000 | 110,042 | |
01/15/2030 | 6.750% | 505,000 | 407,656 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 650,000 | 648,234 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 660,000 | 611,475 | |
Total | 2,325,640 | |||
Retailers 1.6% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 201,000 | 169,588 | |
02/15/2032 | 5.000% | 201,000 | 165,817 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 440,000 | 374,088 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 200,000 | 214,329 | |
10/01/2030 | 6.625% | 719,000 | 674,370 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 145,000 | 143,014 | |
LCM Investments Holdings II LLC(a) | ||||
05/01/2029 | 4.875% | 814,000 | 657,481 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 325,000 | 266,705 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 1,432,000 | 1,297,644 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 357,000 | 270,322 | |
Total | 4,233,358 | |||
Supermarkets 0.2% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 7.500% | 420,000 | 429,957 | |
SEG Holding LLC/Finance Corp.(a) | ||||
10/15/2028 | 5.625% | 169,000 | 157,656 | |
Total | 587,613 |
14 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 7.4% | ||||
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 1,480,000 | 1,290,556 | |
Block, Inc. | ||||
06/01/2031 | 3.500% | 318,000 | 253,821 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 212,000 | 207,918 | |
03/01/2026 | 9.125% | 129,000 | 121,922 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 501,000 | 471,008 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 811,000 | 703,552 | |
07/01/2029 | 4.875% | 963,000 | 818,821 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 628,000 | 507,163 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 701,000 | 641,160 | |
06/15/2030 | 5.950% | 787,000 | 726,046 | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 637,000 | 594,421 | |
06/15/2029 | 3.625% | 304,000 | 266,483 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 823,000 | 731,177 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 765,000 | 582,267 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 798,000 | 666,109 | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 912,000 | 839,832 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 1,684,000 | 908,939 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 1,223,000 | 906,034 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 716,000 | 614,360 | |
04/15/2029 | 5.125% | 1,471,000 | 1,230,189 | |
10/01/2030 | 5.250% | 46,000 | 37,922 | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 439,000 | 413,645 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 825,000 | 698,567 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 178,000 | 169,782 | |
02/15/2028 | 4.000% | 256,000 | 231,702 | |
Sabre GLBL, Inc.(a) | ||||
12/15/2027 | 11.250% | 99,000 | 101,894 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 503,000 | 476,454 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 1,177,000 | 1,110,282 | |
Synaptics, Inc.(a) | ||||
06/15/2029 | 4.000% | 635,000 | 531,410 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 344,000 | 345,107 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 1,020,000 | 999,152 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 1,627,000 | 1,371,042 | |
Total | 19,568,737 | |||
Wireless 2.8% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 687,000 | 405,630 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 847,000 | 773,212 | |
07/15/2029 | 5.125% | 1,760,000 | 1,316,367 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 2,101,000 | 2,184,924 | |
03/15/2032 | 8.750% | 471,000 | 560,286 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 1,539,000 | 1,246,670 | |
07/15/2031 | 4.750% | 1,182,000 | 962,521 | |
Total | 7,449,610 | |||
Wirelines 1.8% | ||||
CenturyLink, Inc.(a) | ||||
02/15/2027 | 4.000% | 330,000 | 281,128 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 944,000 | 699,611 | |
Frontier Communications Holdings LLC(a) | ||||
10/15/2027 | 5.875% | 495,000 | 460,700 | |
05/15/2030 | 8.750% | 597,000 | 609,545 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 1,931,000 | 1,793,467 | |
10/15/2028 | 7.000% | 1,173,000 | 1,063,884 | |
Total | 4,908,335 | |||
Total Corporate Bonds & Notes (Cost $269,410,530) | 240,907,937 | |||
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 15 |
December 31, 2022
Foreign Government Obligations(e) 0.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.6% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 1,514,000 | 1,360,088 | |
05/15/2029 | 4.250% | 225,000 | 183,776 | |
Total | 1,543,864 | |||
Total Foreign Government Obligations (Cost $1,718,924) | 1,543,864 | |||
Senior Loans 3.1% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.5% | ||||
8th Avenue Food & Provisions, Inc.(f),(g) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% 10/01/2025 | 8.134% | 1,127,138 | 934,115 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% 10/01/2026 | 12.134% | 752,935 | 408,091 | |
Total | 1,342,206 | |||
Health Care 0.2% | ||||
Surgery Center Holdings, Inc.(f),(g) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 08/31/2026 | 8.050% | 573,536 | 565,587 | |
Media and Entertainment 1.2% | ||||
Cengage Learning, Inc.(f),(g) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 7.814% | 3,402,998 | 3,053,136 | |
Technology 1.2% | ||||
Applied Systems, Inc.(f),(g) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.500% Floor 0.500% 09/18/2026 | 9.080% | 382,271 | 380,073 | |
Ascend Learning LLC(f),(g) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/11/2028 | 7.884% | 579,150 | 546,573 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% Floor 0.500% 12/10/2029 | 10.134% | 348,000 | 297,105 | |
DCert Buyer, Inc.(f),(g) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.000% 02/19/2029 | 11.696% | 478,000 | 434,502 | |
Epicore Software Corp.(f),(g) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% Floor 1.000% 07/31/2028 | 12.134% | 228,000 | 224,238 | |
UKG, Inc.(f),(g) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 05/04/2026 | 8.134% | 423,765 | 407,874 | |
1-month USD LIBOR + 3.250% Floor 0.500% 05/04/2026 | 6.998% | 347,560 | 330,182 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.250% Floor 0.500% 05/03/2027 | 8.998% | 677,000 | 619,793 | |
Total | 3,240,340 | |||
Total Senior Loans (Cost $9,091,128) | 8,201,269 |
Money Market Funds 3.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(h),(i) | 8,810,960 | 8,808,317 |
Total Money Market Funds (Cost $8,807,447) | 8,808,317 | |
Total Investments in Securities (Cost: $292,333,458) | 261,838,328 | |
Other Assets & Liabilities, Net | 3,716,376 | |
Net Assets | 265,554,704 |
16 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
December 31, 2022
(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 December 31, 2022, the total value of these securities amounted to $204,343,494, which represents 76.95% of total net assets. |
(b) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(c) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(d) | Represents a security in default. |
(e) | Principal and interest may not be guaranteed by a governmental entity. |
(f) | The stated interest rate represents the weighted average interest rate at December 31, 2022 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 December 31, 2022. |
(h) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(i) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 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, 4.318% | ||||||||
8,638,506 | 83,429,724 | (83,261,193) | 1,280 | 8,808,317 | (3,870) | 136,873 | 8,810,960 |
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 – High Yield Bond Fund | Annual Report 2022 | 17 |
December 31, 2022
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 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. Representatives of Columbia Management Investment Advisers, LLC report to the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Convertible Bonds | — | 2,376,941 | — | 2,376,941 |
Corporate Bonds & Notes | — | 240,907,937 | — | 240,907,937 |
Foreign Government Obligations | — | 1,543,864 | — | 1,543,864 |
Senior Loans | — | 8,201,269 | — | 8,201,269 |
Money Market Funds | 8,808,317 | — | — | 8,808,317 |
Total Investments in Securities | 8,808,317 | 253,030,011 | — | 261,838,328 |
18 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $283,526,011) | $253,030,011 |
Affiliated issuers (cost $8,807,447) | 8,808,317 |
Cash | 41,454 |
Receivable for: | |
Capital shares sold | 12,337 |
Dividends | 32,466 |
Interest | 4,124,132 |
Foreign tax reclaims | 4,165 |
Expense reimbursement due from Investment Manager | 866 |
Prepaid expenses | 7,599 |
Total assets | 266,061,347 |
Liabilities | |
Payable for: | |
Investments purchased | 154,662 |
Capital shares purchased | 207,812 |
Management services fees | 4,794 |
Distribution and/or service fees | 1,147 |
Service fees | 22,811 |
Compensation of board members | 86,842 |
Compensation of chief compliance officer | 53 |
Other expenses | 28,522 |
Total liabilities | 506,643 |
Net assets applicable to outstanding capital stock | $265,554,704 |
Represented by | |
Paid in capital | 290,852,139 |
Total distributable earnings (loss) | (25,297,435) |
Total - representing net assets applicable to outstanding capital stock | $265,554,704 |
Class 1 | |
Net assets | $2,313,784 |
Shares outstanding | 401,945 |
Net asset value per share | $5.76 |
Class 2 | |
Net assets | $71,927,763 |
Shares outstanding | 12,640,823 |
Net asset value per share | $5.69 |
Class 3 | |
Net assets | $191,313,157 |
Shares outstanding | 33,338,545 |
Net asset value per share | $5.74 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 19 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $136,873 |
Interest | 16,500,804 |
Interfund lending | 426 |
Total income | 16,638,103 |
Expenses: | |
Management services fees | 1,894,459 |
Distribution and/or service fees | |
Class 2 | 191,200 |
Class 3 | 262,047 |
Service fees | 204,352 |
Compensation of board members | 12,220 |
Custodian fees | 10,190 |
Printing and postage fees | 34,720 |
Audit fees | 39,500 |
Legal fees | 15,793 |
Compensation of chief compliance officer | 42 |
Other | 9,692 |
Total expenses | 2,674,215 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (310,308) |
Total net expenses | 2,363,907 |
Net investment income | 14,274,196 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (8,638,842) |
Investments — affiliated issuers | (3,870) |
Net realized loss | (8,642,712) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (40,646,397) |
Investments — affiliated issuers | 1,280 |
Net change in unrealized appreciation (depreciation) | (40,645,117) |
Net realized and unrealized loss | (49,287,829) |
Net decrease in net assets resulting from operations | $(35,013,633) |
20 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $14,274,196 | $14,467,850 |
Net realized gain (loss) | (8,642,712) | 9,024,608 |
Net change in unrealized appreciation (depreciation) | (40,645,117) | (7,795,917) |
Net increase (decrease) in net assets resulting from operations | (35,013,633) | 15,696,541 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (113,321) | (43,812) |
Class 2 | (4,354,480) | (3,984,203) |
Class 3 | (12,119,118) | (12,275,701) |
Total distributions to shareholders | (16,586,919) | (16,303,716) |
Increase (decrease) in net assets from capital stock activity | (13,833,790) | 5,203,256 |
Total increase (decrease) in net assets | (65,434,342) | 4,596,081 |
Net assets at beginning of year | 330,989,046 | 326,392,965 |
Net assets at end of year | $265,554,704 | $330,989,046 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 207,094 | 1,272,766 | 123,916 | 849,744 |
Distributions reinvested | 19,305 | 113,321 | 6,491 | 43,812 |
Redemptions | (21,457) | (133,155) | (15,366) | (106,146) |
Net increase | 204,942 | 1,252,932 | 115,041 | 787,410 |
Class 2 | ||||
Subscriptions | 5,238,813 | 32,291,853 | 3,193,456 | 21,722,428 |
Distributions reinvested | 749,480 | 4,354,480 | 596,437 | 3,984,203 |
Redemptions | (6,045,771) | (36,963,368) | (1,688,700) | (11,489,599) |
Net increase (decrease) | (57,478) | (317,035) | 2,101,193 | 14,217,032 |
Class 3 | ||||
Subscriptions | 64,495 | 391,004 | 364,124 | 2,504,478 |
Distributions reinvested | 2,071,644 | 12,119,117 | 1,821,321 | 12,275,701 |
Redemptions | (4,483,278) | (27,279,808) | (3,582,683) | (24,581,365) |
Net decrease | (2,347,139) | (14,769,687) | (1,397,238) | (9,801,186) |
Total net increase (decrease) | (2,199,675) | (13,833,790) | 818,996 | 5,203,256 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 21 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $6.85 | 0.31 | (1.03) | (0.72) | (0.33) | (0.04) | (0.37) |
Year Ended 12/31/2021 | $6.87 | 0.31 | 0.03 | 0.34 | (0.36) | — | (0.36) |
Year Ended 12/31/2020 | $6.83 | 0.34 | 0.09 | 0.43 | (0.39) | — | (0.39) |
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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $6.77 | 0.29 | (1.01) | (0.72) | (0.32) | (0.04) | (0.36) |
Year Ended 12/31/2021 | $6.79 | 0.29 | 0.03 | 0.32 | (0.34) | — | (0.34) |
Year Ended 12/31/2020 | $6.76 | 0.32 | 0.09 | 0.41 | (0.38) | — | (0.38) |
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) |
Class 3 | |||||||
Year Ended 12/31/2022 | $6.83 | 0.30 | (1.02) | (0.72) | (0.33) | (0.04) | (0.37) |
Year Ended 12/31/2021 | $6.85 | 0.30 | 0.03 | 0.33 | (0.35) | — | (0.35) |
Year Ended 12/31/2020 | $6.81 | 0.33 | 0.09 | 0.42 | (0.38) | — | (0.38) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
22 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $5.76 | (10.54%) | 0.78% | 0.66% | 5.21% | 40% | $2,314 |
Year Ended 12/31/2021 | $6.85 | 4.98% | 0.77% | 0.67% | 4.52% | 60% | $1,349 |
Year Ended 12/31/2020 | $6.87 | 6.67% | 0.78% | 0.67% | 5.17% | 59% | $563 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $5.69 | (10.78%) | 1.02% | 0.91% | 4.87% | 40% | $71,928 |
Year Ended 12/31/2021 | $6.77 | 4.79% | 1.02% | 0.92% | 4.28% | 60% | $85,990 |
Year Ended 12/31/2020 | $6.79 | 6.31% | 1.02% | 0.92% | 4.89% | 59% | $71,989 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $5.74 | (10.70%) | 0.90% | 0.79% | 4.99% | 40% | $191,313 |
Year Ended 12/31/2021 | $6.83 | 4.86% | 0.89% | 0.80% | 4.42% | 60% | $243,649 |
Year Ended 12/31/2020 | $6.85 | 6.55% | 0.89% | 0.80% | 5.03% | 59% | $253,841 |
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% | $279,157 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 27 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.66% | 0.67% |
Class 2 | 0.91 | 0.92 |
Class 3 | 0.785 | 0.795 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
127,616 | (127,616) | — |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
14,614,249 | 1,972,670 | 16,586,919 | 16,303,716 | — | 16,303,716 |
28 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
December 31, 2022
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
14,317,032 | — | (8,848,948) | (30,679,933) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
292,518,262 | 278,013 | (30,957,946) | (30,679,933) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(3,958,924) | (4,890,024) | (8,848,948) | — |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 29 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,800,000 | 2.84 | 3 |
30 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 31 |
December 31, 2022
32 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 33 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
34 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 35 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
36 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 37 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
38 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2022 | 39 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
11 | |
12 | |
13 | |
14 | |
16 | |
23 | |
24 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -31.38 | 9.21 | 12.60 | |
Class 2 | 05/03/10 | -31.53 | 8.94 | 12.31 | |
Class 3 | 09/15/99 | -31.44 | 9.07 | 12.46 | |
Russell 1000 Growth Index | -29.14 | 10.96 | 14.10 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 97.4 |
Money Market Funds | 2.6 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 8.7 |
Consumer Discretionary | 12.4 |
Consumer Staples | 6.3 |
Energy | 1.6 |
Financials | 2.0 |
Health Care | 17.6 |
Industrials | 9.9 |
Information Technology | 40.1 |
Real Estate | 1.4 |
Total | 100.0 |
Equity sub-industry breakdown (%) (at December 31, 2022) | |
Information Technology | |
Application Software | 2.4 |
Data Processing & Outsourced Services | 4.4 |
Electronic Equipment & Instruments | 1.4 |
Electronic Manufacturing Services | 1.4 |
Semiconductor Equipment | 1.6 |
Semiconductors | 7.0 |
Systems Software | 12.9 |
Technology Hardware, Storage & Peripherals | 9.0 |
Total | 40.1 |
4 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
(Unaudited)
• | Stock selection within the information technology, consumer discretionary and financials sectors weighed most heavily on the Fund’s return during the period. |
• | Within information technology, shares of Adobe, Inc. dropped after the company announced its acquisition of Figma, a software application that enables online collaborative design. The market reacted negatively to the price paid for Figma given the uncertain macro backdrop, and questions arose about Adobe’s underlying growth trajectory. We continue to believe Adobe has a strong product “moat” with a good growth opportunity going forward, reinforced by the company’s positive growth update at its following Analyst Day. We also think it is likely that over time the integration of Figma will prove to be significantly accretive to Adobe’s earnings and expand the company’s growth avenues. |
• | Cloud-based payments platform Bill.com Holdings, Inc. was another laggard on market concerns that the company’s growth may be slowing. The stock was also caught up in the steep compression of multiples for high-growth companies due to rising interest rates. We exited our position in Bill.com during the year. |
• | Shares of digital payments company Block, Inc. (formerly Square) also declined notably following a poorly received investor day. While we believed Block has strong growth prospects, margins may be pressured by the company’s investments, and we exited the position. |
• | Semiconductor company NVIDIA Corp. has been challenged by an inventory correction across certain end markets, most notably gaming. While the highly cyclical semiconductor group has faced negative earnings revisions, we believe NVIDIA remains one of the best positioned companies in the group. |
• | Within consumer discretionary, Target Corp. was a leading laggard on disappointing quarterly results and a weaker outlook as consumer preferences shifted from more discretionary pandemic-driven categories toward less discretionary categories. Target was forced to pursue markdowns against an excess of inventory in those more discretionary categories as customers began to rotate away from them as the effects of the pandemic waned. These markdowns created significant pressure on margins that we believe is likely to continue in 2023. We exited our position in Target during the year. |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Shares of Amazon.com, Inc. lagged, along with other growth-oriented stocks, against the backdrop of rising interest rates. Amazon has been investing heavily to meet demand, which has weighed on margins. As with prior investment cycles, while creating near term pressure on margins, we expect Amazon’s elevated investment will leave the company even better positioned to continue to grow and take market share. |
• | Within financials, results for debt rating service S&P Global, Inc. have been negatively impacted by a weak new issuance market. An uncertain economic backdrop and market volatility have led to a significant decrease in new credit issuances and accompanying ratings volume that continued through the entire year. |
• | Stock selection within the health care and industrials sectors led positive contributions to the Fund’s performance during the period. |
○ | Shares of Eli Lily & Co. were boosted as competitor Biogen reported trial results for its Alzheimer’s drug that showed significant slowing in disease progression. Eli Lily has a similar drug in development and the results from Biogen bode well for its efficacy. In addition, Eli Lily’s diabetes drug Tirzepatide has shown positive indications as a weight loss drug. |
○ | Vertex Pharmacetuticals, Inc. also outperformed as a relatively defensive holding within the biotechnology segment, given its solid free cash flow based on existing drugs, on top of several promising drugs in its pipeline. |
○ | Shares of Horizon Therapeutics PLC moved sharply higher on the announcement that the biopharmaceutical company would be acquired by Amgen. |
• | Within industrials, engineering and construction company MasTec, Inc. reported better-than-expected earnings, supported by improving margins as the year progressed in the clean energy and infrastructure segment. The company also reported a record backlog of business. |
• | An overweight to employee uniform and cleaning supplies provider Cintas Corp. also contributed positively as the stock was viewed as a relatively defensive holding within industrials during a period of macroeconomic uncertainty while the business recovered from pandemic-related sales declines. |
6 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 975.30 | 1,021.46 | 3.57 | 3.65 | 0.72 |
Class 2 | 1,000.00 | 1,000.00 | 974.10 | 1,020.21 | 4.80 | 4.91 | 0.97 |
Class 3 | 1,000.00 | 1,000.00 | 974.90 | 1,020.81 | 4.21 | 4.31 | 0.85 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 97.4% | ||
Issuer | Shares | Value ($) |
Communication Services 8.5% | ||
Entertainment 1.4% | ||
Electronic Arts, Inc. | 231,139 | 28,240,563 |
Interactive Media & Services 7.1% | ||
Alphabet, Inc., Class A(a) | 574,540 | 50,691,664 |
Alphabet, Inc., Class C(a) | 794,220 | 70,471,141 |
ZoomInfo Technologies, Inc.(a) | 569,344 | 17,142,948 |
Total | 138,305,753 | |
Total Communication Services | 166,546,316 | |
Consumer Discretionary 12.1% | ||
Automobiles 1.2% | ||
Tesla, Inc.(a) | 198,992 | 24,511,835 |
Hotels, Restaurants & Leisure 1.5% | ||
Hilton Worldwide Holdings, Inc. | 237,080 | 29,957,429 |
Internet & Direct Marketing Retail 4.7% | ||
Amazon.com, Inc.(a) | 1,098,780 | 92,297,520 |
Specialty Retail 2.4% | ||
Home Depot, Inc. (The) | 146,976 | 46,423,839 |
Textiles, Apparel & Luxury Goods 2.3% | ||
NIKE, Inc., Class B | 383,818 | 44,910,544 |
Total Consumer Discretionary | 238,101,167 | |
Consumer Staples 6.2% | ||
Beverages 2.1% | ||
Coca-Cola Co. (The) | 639,575 | 40,683,366 |
Food & Staples Retailing 2.1% | ||
Costco Wholesale Corp. | 89,039 | 40,646,303 |
Household Products 2.0% | ||
Procter & Gamble Co. (The) | 260,334 | 39,456,221 |
Total Consumer Staples | 120,785,890 | |
Energy 1.5% | ||
Oil, Gas & Consumable Fuels 1.5% | ||
ConocoPhillips Co. | 254,822 | 30,068,996 |
Total Energy | 30,068,996 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 1.9% | ||
Capital Markets 1.9% | ||
S&P Global, Inc. | 112,161 | 37,567,205 |
Total Financials | 37,567,205 | |
Health Care 17.1% | ||
Biotechnology 4.0% | ||
BioMarin Pharmaceutical, Inc.(a) | 139,521 | 14,439,028 |
Exact Sciences Corp.(a) | 256,119 | 12,680,452 |
Horizon Therapeutics PLC(a) | 188,695 | 21,473,491 |
Vertex Pharmaceuticals, Inc.(a) | 102,966 | 29,734,521 |
Total | 78,327,492 | |
Health Care Equipment & Supplies 4.8% | ||
Boston Scientific Corp.(a) | 651,548 | 30,147,126 |
DexCom, Inc.(a) | 254,851 | 28,859,327 |
Intuitive Surgical, Inc.(a) | 133,741 | 35,488,175 |
Total | 94,494,628 | |
Health Care Providers & Services 4.1% | ||
UnitedHealth Group, Inc. | 152,833 | 81,029,000 |
Life Sciences Tools & Services 1.2% | ||
Charles River Laboratories International, Inc.(a) | 104,438 | 22,757,040 |
Pharmaceuticals 3.0% | ||
Eli Lilly & Co. | 162,768 | 59,547,045 |
Total Health Care | 336,155,205 | |
Industrials 9.7% | ||
Aerospace & Defense 1.5% | ||
Raytheon Technologies Corp. | 296,467 | 29,919,450 |
Building Products 1.6% | ||
Trane Technologies PLC | 188,628 | 31,706,480 |
Commercial Services & Supplies 1.6% | ||
Cintas Corp. | 67,932 | 30,679,450 |
Construction & Engineering 1.3% | ||
MasTec, Inc.(a) | 300,889 | 25,674,858 |
Electrical Equipment 1.5% | ||
AMETEK, Inc. | 205,769 | 28,750,045 |
Road & Rail 2.2% |
8 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Union Pacific Corp. | 207,632 | 42,994,358 |
Total Industrials | 189,724,641 | |
Information Technology 39.0% | ||
Electronic Equipment, Instruments & Components 2.7% | ||
TE Connectivity Ltd. | 235,706 | 27,059,049 |
Zebra Technologies Corp., Class A(a) | 100,988 | 25,894,333 |
Total | 52,953,382 | |
IT Services 4.3% | ||
Visa, Inc., Class A | 403,830 | 83,899,721 |
Semiconductors & Semiconductor Equipment 8.4% | ||
Advanced Micro Devices, Inc.(a) | 424,266 | 27,479,709 |
Applied Materials, Inc. | 305,326 | 29,732,646 |
Broadcom, Inc. | 85,599 | 47,860,969 |
NVIDIA Corp. | 407,118 | 59,496,224 |
Total | 164,569,548 | |
Software 14.8% | ||
Adobe, Inc.(a) | 136,262 | 45,856,251 |
Crowdstrike Holdings, Inc., Class A(a) | 167,142 | 17,598,381 |
Microsoft Corp. | 696,484 | 167,030,793 |
Palo Alto Networks, Inc.(a) | 180,174 | 25,141,480 |
ServiceNow, Inc.(a) | 93,354 | 36,246,558 |
Total | 291,873,463 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Technology Hardware, Storage & Peripherals 8.8% | ||
Apple, Inc. | 1,328,838 | 172,655,921 |
Total Information Technology | 765,952,035 | |
Real Estate 1.4% | ||
Equity Real Estate Investment Trusts (REITS) 1.4% | ||
Prologis, Inc. | 236,450 | 26,655,008 |
Total Real Estate | 26,655,008 | |
Total Common Stocks (Cost $1,491,604,390) | 1,911,556,463 | |
Money Market Funds 2.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 51,499,222 | 51,483,773 |
Total Money Market Funds (Cost $51,478,644) | 51,483,773 | |
Total Investments in Securities (Cost: $1,543,083,034) | 1,963,040,236 | |
Other Assets & Liabilities, Net | 47,671 | |
Net Assets | 1,963,087,907 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
11,791,414 | 462,465,597 | (422,778,367) | 5,129 | 51,483,773 | (603) | 709,018 | 51,499,222 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 9 |
December 31, 2022
Fair value inputs are summarized in the three broad levels listed below:
■ | 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 | 166,546,316 | — | — | 166,546,316 |
Consumer Discretionary | 238,101,167 | — | — | 238,101,167 |
Consumer Staples | 120,785,890 | — | — | 120,785,890 |
Energy | 30,068,996 | — | — | 30,068,996 |
Financials | 37,567,205 | — | — | 37,567,205 |
Health Care | 336,155,205 | — | — | 336,155,205 |
Industrials | 189,724,641 | — | — | 189,724,641 |
Information Technology | 765,952,035 | — | — | 765,952,035 |
Real Estate | 26,655,008 | — | — | 26,655,008 |
Total Common Stocks | 1,911,556,463 | — | — | 1,911,556,463 |
Money Market Funds | 51,483,773 | — | — | 51,483,773 |
Total Investments in Securities | 1,963,040,236 | — | — | 1,963,040,236 |
10 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,491,604,390) | $1,911,556,463 |
Affiliated issuers (cost $51,478,644) | 51,483,773 |
Receivable for: | |
Capital shares sold | 726,475 |
Dividends | 355,456 |
Foreign tax reclaims | 31,595 |
Prepaid expenses | 19,431 |
Total assets | 1,964,173,193 |
Liabilities | |
Due to custodian | 31,595 |
Payable for: | |
Capital shares purchased | 675,861 |
Management services fees | 37,534 |
Distribution and/or service fees | 1,645 |
Service fees | 48,492 |
Compensation of board members | 256,224 |
Compensation of chief compliance officer | 398 |
Other expenses | 33,537 |
Total liabilities | 1,085,286 |
Net assets applicable to outstanding capital stock | $1,963,087,907 |
Represented by | |
Trust capital | $1,963,087,907 |
Total - representing net assets applicable to outstanding capital stock | $1,963,087,907 |
Class 1 | |
Net assets | $1,624,014,391 |
Shares outstanding | 62,362,926 |
Net asset value per share | $26.04 |
Class 2 | |
Net assets | $140,088,432 |
Shares outstanding | 5,553,031 |
Net asset value per share | $25.23 |
Class 3 | |
Net assets | $198,985,084 |
Shares outstanding | 7,755,623 |
Net asset value per share | $25.66 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 11 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $18,061,124 |
Dividends — affiliated issuers | 709,018 |
Interfund lending | 7,251 |
Total income | 18,777,393 |
Expenses: | |
Management services fees | 14,965,578 |
Distribution and/or service fees | |
Class 2 | 395,759 |
Class 3 | 299,664 |
Service fees | 503,985 |
Compensation of board members | 29,040 |
Custodian fees | 15,628 |
Printing and postage fees | 32,240 |
Audit fees | 40,814 |
Legal fees | 39,907 |
Compensation of chief compliance officer | 323 |
Other | 36,263 |
Total expenses | 16,359,201 |
Net investment income | 2,418,192 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (57,760,107) |
Investments — affiliated issuers | (603) |
Net realized loss | (57,760,710) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (814,171,558) |
Investments — affiliated issuers | 5,129 |
Net change in unrealized appreciation (depreciation) | (814,166,429) |
Net realized and unrealized loss | (871,927,139) |
Net decrease in net assets resulting from operations | $(869,508,947) |
12 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income (loss) | $2,418,192 | $(27,507) |
Net realized gain (loss) | (57,760,710) | 408,554,718 |
Net change in unrealized appreciation (depreciation) | (814,166,429) | 271,550,109 |
Net increase (decrease) in net assets resulting from operations | (869,508,947) | 680,077,320 |
Increase (decrease) in net assets from capital stock activity | 97,785,079 | (335,520,007) |
Total increase (decrease) in net assets | (771,723,868) | 344,557,313 |
Net assets at beginning of year | 2,734,811,775 | 2,390,254,462 |
Net assets at end of year | $1,963,087,907 | $2,734,811,775 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 7,516,629 | 218,725,533 | 3,662,272 | 110,089,652 |
Redemptions | (3,275,553) | (93,546,436) | (11,469,683) | (405,470,939) |
Net increase (decrease) | 4,241,076 | 125,179,097 | (7,807,411) | (295,381,287) |
Class 2 | ||||
Subscriptions | 814,666 | 23,258,825 | 729,388 | 24,141,618 |
Redemptions | (726,188) | (21,027,671) | (896,164) | (29,713,741) |
Net increase (decrease) | 88,478 | 2,231,154 | (166,776) | (5,572,123) |
Class 3 | ||||
Subscriptions | 40,178 | 1,158,546 | 79,093 | 2,449,173 |
Redemptions | (1,041,187) | (30,783,718) | (1,100,569) | (37,015,770) |
Net decrease | (1,001,009) | (29,625,172) | (1,021,476) | (34,566,597) |
Total net increase (decrease) | 3,328,545 | 97,785,079 | (8,995,663) | (335,520,007) |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $37.95 | 0.04 | (11.95) | (11.91) |
Year Ended 12/31/2021 | $29.48 | 0.01 | 8.46 | 8.47 |
Year Ended 12/31/2020 | $21.88 | 0.06 | 7.54 | 7.60 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $36.85 | (0.03) | (11.59) | (11.62) |
Year Ended 12/31/2021 | $28.71 | (0.07) | 8.21 | 8.14 |
Year Ended 12/31/2020 | $21.36 | 0.00(d) | 7.35 | 7.35 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $37.43 | 0.00(d) | (11.77) | (11.77) |
Year Ended 12/31/2021 | $29.12 | (0.03) | 8.34 | 8.31 |
Year Ended 12/31/2020 | $21.64 | 0.03 | 7.45 | 7.48 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Rounds to zero. |
14 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $26.04 | (31.38%) | 0.72% | 0.72% | 0.15% | 46% | $1,624,014 |
Year Ended 12/31/2021 | $37.95 | 28.73% | 0.71%(c) | 0.71%(c) | 0.03% | 46% | $2,205,624 |
Year Ended 12/31/2020 | $29.48 | 34.74% | 0.73% | 0.73% | 0.26% | 57% | $1,943,859 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $25.23 | (31.53%) | 0.97% | 0.97% | (0.12%) | 46% | $140,088 |
Year Ended 12/31/2021 | $36.85 | 28.35% | 0.96%(c) | 0.96%(c) | (0.21%) | 46% | $201,389 |
Year Ended 12/31/2020 | $28.71 | 34.41% | 0.98% | 0.98% | 0.02% | 57% | $161,648 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $25.66 | (31.44%) | 0.85% | 0.85% | 0.00%(d) | 46% | $198,985 |
Year Ended 12/31/2021 | $37.43 | 28.54% | 0.83%(c) | 0.83%(c) | (0.09%) | 46% | $327,799 |
Year Ended 12/31/2020 | $29.12 | 34.57% | 0.85% | 0.85% | 0.14% | 57% | $284,747 |
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% | $196,874 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 15 |
December 31, 2022
16 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Contractual expense cap July 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.75% | 0.75% | 0.75% |
Class 2 | 1.00 | 1.00 | 1.00 |
Class 3 | 0.875 | 0.875 | 0.875 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 19 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 6,416,667 | 2.50 | 12 |
20 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 23 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
24 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 25 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
26 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 27 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
28 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2022 | 29 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
18 | |
25 | |
26 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -1.11 | 8.10 | 10.06 | |
Class 2 | 05/03/10 | -1.39 | 7.82 | 9.79 | |
Class 3 | 09/15/99 | -1.24 | 7.96 | 9.93 | |
MSCI USA High Dividend Yield Index (Net) | -4.60 | 6.36 | 10.40 | ||
Russell 1000 Value Index | -7.54 | 6.67 | 10.29 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 95.7 |
Convertible Preferred Stocks | 4.1 |
Money Market Funds | 0.2 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 4.2 |
Consumer Discretionary | 5.5 |
Consumer Staples | 13.5 |
Energy | 11.8 |
Financials | 18.2 |
Health Care | 15.3 |
Industrials | 7.6 |
Information Technology | 9.2 |
Materials | 2.0 |
Real Estate | 6.2 |
Utilities | 6.5 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
(Unaudited)
• | Fund positioning in the energy sector was a prime example of our process at work. We found a number of energy stocks to be particularly compelling investments in mid-2020, when they were trading with discounted valuations and above-average dividends. |
○ | We established a position in the sector that was much higher than its weighting in the benchmark, which paid off in 2022 as energy stocks posted a gain well in excess of the broader market. |
○ | Exxon Mobil Corp., Chevron Corp., and Valero Energy Corp. were the leading contributors in both the sector and the Fund as a whole in the annual period. We believe this underscores the merits of an approach that seeks value anywhere rather than attempting to mirror a particular index. |
• | The Fund’s other top contributors came from a wide range of sectors. |
○ | Shares of the aerospace company Raytheon Technologies Corp. rallied on expectations that increased geopolitical tensions would lead to rising defense spending. |
○ | The agriculture-related stocks Nutrien Ltd., AGCO Corp., and Bunge Ltd. were also strong performers. We identified a number of companies in the agribusiness space as being attractively valued early in the year, and the industry indeed proved to be a source of outperformance. |
○ | Positions in the insurance stocks Principal Financial Group, Inc. and MetLife, Inc. also performed well on expectations that rising rates will help boost returns in their investment portfolios. While we didn’t buy the stocks for this reason, higher rates were a catalyst for their value to be recognized by the market. |
○ | Consumer staples stocks, such as Kraft Heinz Co. and J.M. Smucker Co., also added to the Fund’s return as investors gravitated toward companies seen as being less vulnerable to slowing economic growth. |
• | The Fund’s positions in the real estate sector detracted from results. The category lagged on concerns about weakness in the property market and the adverse impact of rising rates on real estate companies’ cost of capital. |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 5 |
(Unaudited)
○ | Holdings in Crown Castle, Inc., Medical Properties Trust, Inc., and AvalonBay Communities, Inc., none of which are represented in the benchmark, were key detractors. We continued to hold all three at year-end on the belief that their yields were attractive and that their valuations had largely discounted the headwinds facing the sector. |
• | A number of bank stocks detracted from performance as well. JPMorgan Chase & Co., Bank of America Corp., and Wells Fargo & Company all finished among the Fund’s largest detractors for the year amid worries about declining net interest margins (the difference between the rates at which the banks borrow and lend). Believing this concern was exaggerated and that these stocks offered compelling valuations, we maintained the positions. |
6 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,058.10 | 1,021.71 | 3.46 | 3.40 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 1,056.70 | 1,020.46 | 4.74 | 4.66 | 0.92 |
Class 3 | 1,000.00 | 1,000.00 | 1,057.60 | 1,021.11 | 4.07 | 4.00 | 0.79 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 95.5% | ||
Issuer | Shares | Value ($) |
Communication Services 4.1% | ||
Diversified Telecommunication Services 2.6% | ||
AT&T, Inc. | 635,000 | 11,690,350 |
Verizon Communications, Inc. | 305,000 | 12,017,000 |
Total | 23,707,350 | |
Media 1.5% | ||
Comcast Corp., Class A | 400,000 | 13,988,000 |
Total Communication Services | 37,695,350 | |
Consumer Discretionary 5.0% | ||
Hotels, Restaurants & Leisure 1.3% | ||
Darden Restaurants, Inc. | 50,000 | 6,916,500 |
McDonald’s Corp. | 17,500 | 4,611,775 |
Total | 11,528,275 | |
Multiline Retail 0.9% | ||
Target Corp. | 52,500 | 7,824,600 |
Specialty Retail 2.3% | ||
Home Depot, Inc. (The) | 67,500 | 21,320,550 |
Textiles, Apparel & Luxury Goods 0.5% | ||
Tapestry, Inc. | 125,000 | 4,760,000 |
Total Consumer Discretionary | 45,433,425 | |
Consumer Staples 13.4% | ||
Beverages 5.5% | ||
Coca-Cola Co. (The) | 400,000 | 25,444,000 |
PepsiCo, Inc. | 137,500 | 24,840,750 |
Total | 50,284,750 | |
Food Products 2.5% | ||
Bunge Ltd. | 47,500 | 4,739,075 |
ConAgra Foods, Inc. | 120,000 | 4,644,000 |
JM Smucker Co. (The) | 30,000 | 4,753,800 |
Kraft Heinz Co. (The) | 225,000 | 9,159,750 |
Total | 23,296,625 | |
Household Products 3.0% | ||
Procter & Gamble Co. (The) | 180,000 | 27,280,800 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 2.4% | ||
Altria Group, Inc. | 145,000 | 6,627,950 |
Philip Morris International, Inc. | 147,500 | 14,928,475 |
Total | 21,556,425 | |
Total Consumer Staples | 122,418,600 | |
Energy 11.8% | ||
Oil, Gas & Consumable Fuels 11.8% | ||
Chesapeake Energy Corp. | 45,000 | 4,246,650 |
Chevron Corp. | 120,000 | 21,538,800 |
ConocoPhillips Co. | 85,000 | 10,030,000 |
EOG Resources, Inc. | 75,000 | 9,714,000 |
Exxon Mobil Corp. | 410,000 | 45,223,000 |
Valero Energy Corp. | 75,000 | 9,514,500 |
Williams Companies, Inc. (The) | 210,000 | 6,909,000 |
Total | 107,175,950 | |
Total Energy | 107,175,950 | |
Financials 18.1% | ||
Banks 10.8% | ||
Bank of America Corp. | 760,000 | 25,171,200 |
Citizens Financial Group, Inc. | 165,000 | 6,496,050 |
JPMorgan Chase & Co. | 210,000 | 28,161,000 |
M&T Bank Corp. | 55,000 | 7,978,300 |
PNC Financial Services Group, Inc. (The) | 82,500 | 13,030,050 |
Wells Fargo & Co. | 435,000 | 17,961,150 |
Total | 98,797,750 | |
Capital Markets 5.1% | ||
Ares Capital Corp. | 250,000 | 4,617,500 |
BlackRock, Inc. | 13,500 | 9,566,505 |
Blackstone, Inc. | 70,000 | 5,193,300 |
Morgan Stanley | 192,500 | 16,366,350 |
State Street Corp. | 137,500 | 10,665,875 |
Total | 46,409,530 | |
Insurance 1.7% | ||
MetLife, Inc. | 150,000 | 10,855,500 |
Prudential Financial, Inc. | 45,000 | 4,475,700 |
Total | 15,331,200 |
8 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Mortgage Real Estate Investment Trusts (REITS) 0.5% | ||
Starwood Property Trust, Inc. | 250,000 | 4,582,500 |
Total Financials | 165,120,980 | |
Health Care 13.9% | ||
Biotechnology 3.3% | ||
AbbVie, Inc. | 160,000 | 25,857,600 |
Amgen, Inc. | 16,500 | 4,333,560 |
Total | 30,191,160 | |
Health Care Equipment & Supplies 0.6% | ||
Medtronic PLC | 65,000 | 5,051,800 |
Pharmaceuticals 10.0% | ||
Bristol-Myers Squibb Co. | 180,000 | 12,951,000 |
Johnson & Johnson | 160,000 | 28,264,000 |
Merck & Co., Inc. | 235,000 | 26,073,250 |
Pfizer, Inc. | 475,000 | 24,339,000 |
Total | 91,627,250 | |
Total Health Care | 126,870,210 | |
Industrials 7.2% | ||
Aerospace & Defense 1.9% | ||
Huntington Ingalls Industries, Inc. | 20,000 | 4,613,600 |
Raytheon Technologies Corp. | 125,000 | 12,615,000 |
Total | 17,228,600 | |
Air Freight & Logistics 1.8% | ||
United Parcel Service, Inc., Class B | 95,000 | 16,514,800 |
Electrical Equipment 0.8% | ||
Emerson Electric Co. | 70,000 | 6,724,200 |
Machinery 2.2% | ||
AGCO Corp. | 37,500 | 5,200,874 |
Caterpillar, Inc. | 35,000 | 8,384,600 |
Stanley Black & Decker, Inc. | 87,500 | 6,573,000 |
Total | 20,158,474 | |
Road & Rail 0.5% | ||
Union Pacific Corp. | 22,500 | 4,659,075 |
Total Industrials | 65,285,149 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 9.1% | ||
Communications Equipment 2.4% | ||
Cisco Systems, Inc. | 360,000 | 17,150,400 |
Juniper Networks, Inc. | 155,000 | 4,953,800 |
Total | 22,104,200 | |
Electronic Equipment, Instruments & Components 0.5% | ||
Corning, Inc. | 135,000 | 4,311,900 |
IT Services 1.5% | ||
International Business Machines Corp. | 100,000 | 14,089,000 |
Semiconductors & Semiconductor Equipment 4.2% | ||
Broadcom, Inc. | 33,500 | 18,730,855 |
Intel Corp. | 165,000 | 4,360,950 |
QUALCOMM, Inc. | 40,000 | 4,397,600 |
Texas Instruments, Inc. | 65,000 | 10,739,300 |
Total | 38,228,705 | |
Technology Hardware, Storage & Peripherals 0.5% | ||
HP, Inc. | 165,000 | 4,433,550 |
Total Information Technology | 83,167,355 | |
Materials 2.0% | ||
Chemicals 1.5% | ||
Dow, Inc. | 185,000 | 9,322,150 |
Nutrien Ltd. | 62,500 | 4,564,375 |
Total | 13,886,525 | |
Metals & Mining 0.5% | ||
Newmont Corp. | 100,000 | 4,720,000 |
Total Materials | 18,606,525 | |
Real Estate 6.2% | ||
Equity Real Estate Investment Trusts (REITS) 6.2% | ||
AvalonBay Communities, Inc. | 30,000 | 4,845,600 |
Crown Castle, Inc. | 67,500 | 9,155,700 |
Invitation Homes, Inc. | 150,000 | 4,446,000 |
Kimco Realty Corp. | 315,000 | 6,671,700 |
Life Storage, Inc. | 45,000 | 4,432,500 |
Prologis, Inc. | 77,500 | 8,736,575 |
Simon Property Group, Inc. | 60,000 | 7,048,800 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
VICI Properties, Inc. | 200,000 | 6,480,000 |
Welltower, Inc. | 70,000 | 4,588,500 |
Total | 56,405,375 | |
Total Real Estate | 56,405,375 | |
Utilities 4.7% | ||
Electric Utilities 3.9% | ||
American Electric Power Co., Inc. | 100,000 | 9,495,000 |
Duke Energy Corp. | 100,000 | 10,299,000 |
Entergy Corp. | 77,500 | 8,718,750 |
FirstEnergy Corp. | 175,000 | 7,339,500 |
Total | 35,852,250 | |
Multi-Utilities 0.8% | ||
DTE Energy Co. | 57,500 | 6,757,975 |
Total Utilities | 42,610,225 | |
Total Common Stocks (Cost $774,986,445) | 870,789,144 |
Convertible Preferred Stocks 4.1% | |||
Issuer | Shares | Value ($) | |
Consumer Discretionary 0.5% | |||
Auto Components 0.5% | |||
Aptiv PLC | 5.500% | 42,500 | 4,563,171 |
Total Consumer Discretionary | 4,563,171 | ||
Health Care 1.4% | |||
Health Care Equipment & Supplies 1.4% | |||
Becton Dickinson and Co. | 6.000% | 100,000 | 5,010,000 |
Boston Scientific Corp. | 5.500% | 65,000 | 7,465,409 |
Total | 12,475,409 | ||
Total Health Care | 12,475,409 |
Convertible Preferred Stocks (continued) | |||
Issuer | Shares | Value ($) | |
Industrials 0.4% | |||
Professional Services 0.4% | |||
Clarivate PLC | 5.250% | 100,000 | 3,782,184 |
Total Industrials | 3,782,184 | ||
Utilities 1.8% | |||
Electric Utilities 0.8% | |||
NextEra Energy, Inc. | 6.219% | 85,000 | 4,259,350 |
NextEra Energy, Inc. | 6.926% | 55,000 | 2,760,450 |
Total | 7,019,800 | ||
Multi-Utilities 1.0% | |||
NiSource, Inc. | 7.750% | 90,000 | 9,382,500 |
Total Utilities | 16,402,300 | ||
Total Convertible Preferred Stocks (Cost $41,975,411) | 37,223,064 |
Money Market Funds 0.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(a),(b) | 2,120,536 | 2,119,900 |
Total Money Market Funds (Cost $2,119,900) | 2,119,900 | |
Total Investments in Securities (Cost: $819,081,756) | 910,132,108 | |
Other Assets & Liabilities, Net | 1,844,336 | |
Net Assets | 911,976,444 |
(a) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
4,104,527 | 162,582,276 | (164,566,903) | — | 2,119,900 | 2,002 | 94,840 | 2,120,536 |
10 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
December 31, 2022
■ | 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 | 37,695,350 | — | — | 37,695,350 |
Consumer Discretionary | 45,433,425 | — | — | 45,433,425 |
Consumer Staples | 122,418,600 | — | — | 122,418,600 |
Energy | 107,175,950 | — | — | 107,175,950 |
Financials | 165,120,980 | — | — | 165,120,980 |
Health Care | 126,870,210 | — | — | 126,870,210 |
Industrials | 65,285,149 | — | — | 65,285,149 |
Information Technology | 83,167,355 | — | — | 83,167,355 |
Materials | 18,606,525 | — | — | 18,606,525 |
Real Estate | 56,405,375 | — | — | 56,405,375 |
Utilities | 42,610,225 | — | — | 42,610,225 |
Total Common Stocks | 870,789,144 | — | — | 870,789,144 |
Convertible Preferred Stocks | ||||
Consumer Discretionary | — | 4,563,171 | — | 4,563,171 |
Health Care | — | 12,475,409 | — | 12,475,409 |
Industrials | — | 3,782,184 | — | 3,782,184 |
Utilities | — | 16,402,300 | — | 16,402,300 |
Total Convertible Preferred Stocks | — | 37,223,064 | — | 37,223,064 |
Money Market Funds | 2,119,900 | — | — | 2,119,900 |
Total Investments in Securities | 872,909,044 | 37,223,064 | — | 910,132,108 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 11 |
December 31, 2022
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.
12 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $816,961,856) | $908,012,208 |
Affiliated issuers (cost $2,119,900) | 2,119,900 |
Cash | 4 |
Receivable for: | |
Investments sold | 12,464,385 |
Capital shares sold | 2,902 |
Dividends | 1,309,787 |
Foreign tax reclaims | 174,734 |
Expense reimbursement due from Investment Manager | 2,885 |
Prepaid expenses | 12,171 |
Total assets | 924,098,976 |
Liabilities | |
Payable for: | |
Investments purchased | 10,552,964 |
Capital shares purchased | 1,195,709 |
Management services fees | 17,486 |
Distribution and/or service fees | 3,395 |
Service fees | 55,074 |
Compensation of board members | 273,599 |
Compensation of chief compliance officer | 169 |
Other expenses | 24,136 |
Total liabilities | 12,122,532 |
Net assets applicable to outstanding capital stock | $911,976,444 |
Represented by | |
Trust capital | $911,976,444 |
Total - representing net assets applicable to outstanding capital stock | $911,976,444 |
Class 1 | |
Net assets | $47,618,195 |
Shares outstanding | 1,275,378 |
Net asset value per share | $37.34 |
Class 2 | |
Net assets | $123,528,679 |
Shares outstanding | 3,416,913 |
Net asset value per share | $36.15 |
Class 3 | |
Net assets | $740,829,570 |
Shares outstanding | 20,165,912 |
Net asset value per share | $36.74 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $34,406,351 |
Dividends — affiliated issuers | 94,840 |
European Union tax reclaim | 331,824 |
Foreign taxes withheld | (162,035) |
Total income | 34,670,980 |
Expenses: | |
Management services fees | 6,366,954 |
Distribution and/or service fees | |
Class 2 | 275,730 |
Class 3 | 943,455 |
Service fees | 604,327 |
Compensation of board members | 6,783 |
Custodian fees | 8,456 |
Printing and postage fees | 47,216 |
Audit fees | 35,201 |
Legal fees | 23,657 |
Interest on interfund lending | 7 |
Compensation of chief compliance officer | 143 |
Other | 19,789 |
Total expenses | 8,331,718 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (994,564) |
Total net expenses | 7,337,154 |
Net investment income | 27,333,826 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 46,567,282 |
Investments — affiliated issuers | 2,002 |
Foreign currency translations | (32,444) |
Net realized gain | 46,536,840 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (85,802,439) |
Foreign currency translations | 12,207 |
Net change in unrealized appreciation (depreciation) | (85,790,232) |
Net realized and unrealized loss | (39,253,392) |
Net decrease in net assets resulting from operations | $(11,919,566) |
14 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $27,333,826 | $26,564,140 |
Net realized gain | 46,536,840 | 169,833,120 |
Net change in unrealized appreciation (depreciation) | (85,790,232) | 26,514,573 |
Net increase (decrease) in net assets resulting from operations | (11,919,566) | 222,911,833 |
Decrease in net assets from capital stock activity | (33,981,615) | (689,576,334) |
Total decrease in net assets | (45,901,181) | (466,664,501) |
Net assets at beginning of year | 957,877,625 | 1,424,542,126 |
Net assets at end of year | $911,976,444 | $957,877,625 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 119,195 | 4,358,688 | 112,523 | 3,955,037 |
Redemptions | (203,003) | (7,515,140) | (19,847,962) | (609,516,543) |
Net decrease | (83,808) | (3,156,452) | (19,735,439) | (605,561,506) |
Class 2 | ||||
Subscriptions | 808,816 | 28,600,555 | 349,447 | 11,713,774 |
Redemptions | (194,156) | (6,837,104) | (204,566) | (6,771,182) |
Net increase | 614,660 | 21,763,451 | 144,881 | 4,942,592 |
Class 3 | ||||
Subscriptions | 80,183 | 2,835,418 | 19,959 | 681,359 |
Redemptions | (1,519,893) | (55,424,032) | (2,663,937) | (89,638,779) |
Net decrease | (1,439,710) | (52,588,614) | (2,643,978) | (88,957,420) |
Total net decrease | (908,858) | (33,981,615) | (22,234,536) | (689,576,334) |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $37.76 | 1.15(c) | (1.57) | (0.42) |
Year Ended 12/31/2021 | $29.93 | 0.97 | 6.86 | 7.83 |
Year Ended 12/31/2020 | $29.59 | 1.04 | (0.70) | 0.34 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $36.66 | 1.03(c) | (1.54) | (0.51) |
Year Ended 12/31/2021 | $29.12 | 0.89 | 6.65 | 7.54 |
Year Ended 12/31/2020 | $28.86 | 0.95 | (0.69) | 0.26 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $37.20 | 1.09(c) | (1.55) | (0.46) |
Year Ended 12/31/2021 | $29.52 | 0.94 | 6.74 | 7.68 |
Year Ended 12/31/2020 | $29.22 | 1.00 | (0.70) | 0.30 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Net investment income per share includes European Union tax reclaims. The effect of these reclaims amounted to $0.01 per share. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $37.34 | (1.11%) | 0.78%(d) | 0.67%(d) | 3.12% | 44% | $47,618 |
Year Ended 12/31/2021 | $37.76 | 26.16% | 0.76%(d) | 0.71%(d) | 2.92% | 38% | $51,329 |
Year Ended 12/31/2020 | $29.93 | 1.15% | 0.74% | 0.73% | 3.88% | 54% | $631,347 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $36.15 | (1.39%) | 1.03%(d) | 0.92%(d) | 2.90% | 44% | $123,529 |
Year Ended 12/31/2021 | $36.66 | 25.89% | 1.04%(d) | 0.94%(d) | 2.66% | 38% | $102,724 |
Year Ended 12/31/2020 | $29.12 | 0.90% | 0.99% | 0.98% | 3.64% | 54% | $77,386 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $36.74 | (1.24%) | 0.90%(d) | 0.79%(d) | 3.00% | 44% | $740,830 |
Year Ended 12/31/2021 | $37.20 | 26.02% | 0.92%(d) | 0.82%(d) | 2.78% | 38% | $803,825 |
Year Ended 12/31/2020 | $29.52 | 1.03% | 0.86% | 0.85% | 3.77% | 54% | $715,809 |
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% | $749,273 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 21 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.67% |
Class 2 | 0.92 |
Class 3 | 0.795 |
22 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 300,000 | 0.85 | 1 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 25 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
26 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
28 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 29 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
30 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2022 | 31 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
19 | |
20 | |
21 | |
22 | |
24 | |
40 | |
41 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -14.14 | -0.57 | 0.83 | |
Class 2 | 05/03/10 | -14.32 | -0.81 | 0.59 | |
Class 3 | 09/15/99 | -14.26 | -0.70 | 0.71 | |
Bloomberg U.S. Mortgage-Backed Securities Index | -11.81 | -0.53 | 0.74 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Asset-Backed Securities — Non-Agency | 3.6 |
Commercial Mortgage-Backed Securities - Agency | 3.7 |
Commercial Mortgage-Backed Securities - Non-Agency | 4.2 |
Money Market Funds | 3.2 |
Options Purchased Calls | 0.1 |
Residential Mortgage-Backed Securities - Agency | 78.8 |
Residential Mortgage-Backed Securities - Non-Agency | 6.4 |
Total | 100.0 |
Quality breakdown (%) (at December 31, 2022) | |
AAA rating | 86.7 |
AA rating | 2.7 |
A rating | 3.4 |
BBB rating | 4.2 |
BB rating | 1.0 |
B rating | 0.9 |
Not rated | 1.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
(Unaudited)
• | The Fund’s tactical positioning with respect to duration and corresponding interest rate sensitivity was the most significant factor in underperformance relative to the benchmark. |
• | The Fund entered the period underweight duration, in anticipation of a relatively modest series of Fed rate hikes in 2022, and extended duration when the Fed implemented its initial increases and we saw signs of the economy slowing. |
• | However, this shift proved disadvantageous, as inflation spiked over the first half of the year and the Fed engaged in nearly unprecedented aggressive tightening, which was accompanied by a dramatic upward move in the Treasury yield curve. |
• | The Fund’s allocation to off-benchmark, credit-oriented securitized assets also weighed on relative return. |
• | In this vein, performance for non-agency mortgage-backed securities (MBS) suffered from a volatile interest rate backdrop and rising Treasury yields that led to extended durations as housing turnover came to a virtual standstill. |
• | Performance for commercial mortgage-backed securities was negatively impacted by credit concerns, given a slowing economy and tighter financing conditions. |
• | The Fund’s performance, relative to the benchmark, for the 12-month period was helped by its positioning within agency MBS. |
• | Specifically, the Fund was underweight the lower coupon “to-be-announced” pools, which were negatively impacted by the prospect of the Fed beginning to reduce its balance sheet via sales of previously purchased MBS. |
• | In addition, exposure to interest-only securities – collateralized mortgage obligations structured to perform well in an environment of rising interest rates and slowing mortgage prepayments – proved beneficial. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 5 |
(Unaudited)
6 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 948.50 | 1,022.76 | 2.25 | 2.33 | 0.46 |
Class 2 | 1,000.00 | 1,000.00 | 947.80 | 1,021.51 | 3.47 | 3.60 | 0.71 |
Class 3 | 1,000.00 | 1,000.00 | 948.10 | 1,022.16 | 2.83 | 2.94 | 0.58 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 7 |
December 31, 2022
Asset-Backed Securities — Non-Agency 4.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 01/20/2031 | 5.943% | 4,125,000 | 3,897,700 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class BR | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 10/15/2030 | 5.779% | 2,750,000 | 2,547,116 | |
Series 2013-4A Class BRR | ||||
3-month USD LIBOR + 1.420% Floor 1.420% 01/15/2031 | 5.499% | 6,500,000 | 6,210,386 | |
Madison Park Funding XVIII Ltd.(a),(b) | ||||
Series 2015-18A Class CRR | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 10/21/2030 | 4.632% | 8,000,000 | 7,506,104 | |
OZLM Funding IV Ltd.(a),(b) | ||||
Series 2013-4A Class D2R | ||||
3-month USD LIBOR + 7.250% Floor 7.250% 10/22/2030 | 11.575% | 2,000,000 | 1,675,508 | |
OZLM XI Ltd.(a),(b) | ||||
Series 2015-11A Class A2R | ||||
3-month USD LIBOR + 1.750% 10/30/2030 | 6.165% | 3,000,000 | 2,891,025 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 2,251,392 | 2,171,349 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2021-4A Class B | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 10/15/2029 | 5.829% | 5,250,000 | 4,940,964 | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A2R2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/15/2030 | 5.479% | 3,750,000 | 3,638,850 | |
Sound Point IV-R CLO Ltd.(a),(b) | ||||
Series 2013-3RA Class B | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/18/2031 | 5.944% | 5,000,000 | 4,704,195 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST2 Class A | ||||
04/20/2027 | 2.500% | 728,627 | 681,197 | |
Total Asset-Backed Securities — Non-Agency (Cost $43,355,019) | 40,864,394 | |||
Commercial Mortgage-Backed Securities - Agency 4.9% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) | ||||
Series K063 Class A2 | ||||
01/25/2027 | 3.430% | 4,362,000 | 4,186,722 | |
Federal National Mortgage Association(c) | ||||
Series 2017-M15 Class ATS2 | ||||
11/25/2027 | 3.158% | 5,997,465 | 5,684,030 | |
Series 2018-M7 Class A2 | ||||
03/25/2028 | 3.033% | 23,064,452 | 21,546,712 | |
Federal National Mortgage Association | ||||
Series 2017-T1 Class A | ||||
06/25/2027 | 2.898% | 3,975,775 | 3,720,900 | |
FRESB Mortgage Trust(c) | ||||
Series 2018-SB45 Class A10F (FHLMC) | ||||
11/25/2027 | 3.160% | 3,803,046 | 3,611,919 | |
Government National Mortgage Association(c),(d) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.834% | 6,738,756 | 391,170 | |
Series 2019-109 Class IO | ||||
04/16/2060 | 0.803% | 12,241,124 | 695,970 | |
Series 2019-118 Class IO | ||||
06/16/2061 | 0.811% | 9,725,865 | 480,183 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.802% | 12,994,537 | 724,751 | |
Series 2019-134 Class IO | ||||
08/16/2061 | 0.652% | 8,720,544 | 391,820 | |
Series 2019-139 Class IO | ||||
11/16/2061 | 0.646% | 10,198,464 | 465,618 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 0.694% | 9,521,950 | 509,488 | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.620% | 9,988,723 | 477,299 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $52,292,483) | 42,886,582 | |||
8 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency 5.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BAMLL Commercial Mortgage Securities Trust(a),(b) | ||||
Series 2018-DSNY Class A | ||||
1-month USD LIBOR + 0.850% Floor 0.850% 09/15/2034 | 5.168% | 4,000,000 | 3,924,346 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Subordinated Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 6.118% | 3,500,000 | 3,351,739 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 4,200,000 | 2,328,070 | |
Hilton USA Trust(a),(c) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 7,500,000 | 6,307,534 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 1,000,000 | 933,255 | |
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 2,000,000 | 1,848,497 | |
Home Partners of America Trust(a) | ||||
Subordinated Series 2021-2 Class B | ||||
12/17/2026 | 2.302% | 8,750,065 | 7,474,614 | |
Morgan Stanley Capital I Trust(a),(c) | ||||
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.283% | 2,917,500 | 2,523,015 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class E | ||||
04/17/2037 | 3.032% | 4,000,000 | 3,627,493 | |
Series 2020-SFR3 Class B | ||||
10/17/2027 | 1.495% | 3,000,000 | 2,647,072 | |
Series 2022-SFR1 Class A | ||||
02/17/2041 | 2.709% | 4,990,490 | 4,179,510 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Series 2021-555 Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 05/15/2038 | 5.468% | 5,000,000 | 4,581,763 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 02/15/2032 | 5.818% | 2,500,000 | 2,396,419 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-SMP Class D | ||||
1-month USD LIBOR + 1.775% Floor 1.650% 12/15/2034 | 6.093% | 3,000,000 | 2,715,823 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $54,486,113) | 48,839,150 | |||
Residential Mortgage-Backed Securities - Agency 102.7% | ||||
Fannie Mae REMICS | ||||
CMO Series 2018-7 Class CD | ||||
02/25/2048 | 3.000% | 10,965,665 | 9,879,926 | |
Federal Home Loan Mortgage Corp. | ||||
10/01/2023- 06/01/2039 | 5.000% | 1,310,029 | 1,336,661 | |
08/01/2035- 08/01/2051 | 2.000% | 36,894,031 | 31,485,532 | |
08/01/2041- 06/01/2048 | 4.500% | 5,931,279 | 5,834,690 | |
10/01/2041- 11/01/2048 | 4.000% | 25,341,826 | 24,327,902 | |
07/01/2042- 04/01/2047 | 3.500% | 31,996,825 | 29,907,123 | |
11/01/2042- 08/01/2052 | 3.000% | 71,524,097 | 63,642,865 | |
02/01/2051- 03/01/2052 | 2.500% | 43,289,459 | 36,921,290 | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.618% Cap 11.006% 01/01/2037 | 2.621% | 36,497 | 36,555 | |
12-month USD LIBOR + 1.910% Cap 10.449% 09/01/2037 | 4.002% | 54,686 | 55,043 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 264 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 07/15/2042 | 1.632% | 3,500,068 | 324,053 | |
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 1.632% | 7,388,504 | 736,184 | |
CMO Series 4286 Class NS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 12/15/2043 | 1.582% | 2,405,564 | 296,279 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 9 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4594 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 06/15/2046 | 1.632% | 5,636,349 | 634,969 | |
CMO Series 4965 Class KS | ||||
1-month USD LIBOR + 5.850% Cap 5.850% 04/25/2050 | 1.461% | 3,238,716 | 307,013 | |
CMO Series 4987 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 1.691% | 6,680,933 | 918,267 | |
CMO Series 4993 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2050 | 1.661% | 8,056,538 | 1,145,669 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 1-month USD LIBOR + 5.970% Cap 5.970% 08/15/2043 | 1.652% | 2,063,239 | 194,614 | |
CMO STRIPS Series 326 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 03/15/2044 | 1.682% | 848,257 | 81,492 | |
Federal Home Loan Mortgage Corp.(d) | ||||
CMO Series 266 | ||||
07/15/2042 | 4.000% | 2,135,642 | 356,201 | |
CMO Series 267 | ||||
08/15/2042 | 4.000% | 1,654,868 | 275,400 | |
CMO Series 4122 Class JI | ||||
12/15/2040 | 4.000% | 77,404 | 496 | |
CMO Series 4139 Class CI | ||||
05/15/2042 | 3.500% | 1,178,625 | 113,325 | |
CMO Series 4147 Class CI | ||||
01/15/2041 | 3.500% | 1,352,833 | 66,005 | |
CMO Series 4148 Class BI | ||||
02/15/2041 | 4.000% | 7,299 | 5 | |
CMO Series 4177 Class IY | ||||
03/15/2043 | 4.000% | 4,157,500 | 683,572 | |
Federal Home Loan Mortgage Corp.(c),(d) | ||||
CMO Series 4068 Class GI | ||||
09/15/2036 | 0.000% | 1,714,327 | 89,287 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. REMICS(b),(d) | ||||
CMO Series 4983 Class SY | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 05/25/2050 | 1.711% | 8,847,306 | 969,098 | |
Federal Home Loan Mortgage Corp. REMICS(d) | ||||
CMO Series 5105 Class ID | ||||
05/25/2051 | 3.000% | 10,400,654 | 1,977,578 | |
Federal National Mortgage Association | ||||
09/01/2023- 11/01/2023 | 5.500% | 82,542 | 82,176 | |
03/01/2027- 01/01/2052 | 2.500% | 97,784,103 | 85,213,450 | |
03/01/2027- 07/01/2048 | 3.500% | 55,738,545 | 52,173,882 | |
05/01/2027- 11/01/2050 | 3.000% | 77,173,504 | 69,321,465 | |
06/01/2036- 05/01/2051 | 2.000% | 79,913,967 | 66,299,325 | |
12/01/2037 | 5.000% | 3,299,894 | 3,375,037 | |
05/01/2039- 08/01/2047 | 4.500% | 3,342,779 | 3,296,734 | |
11/01/2043- 08/01/2052 | 4.000% | 43,694,209 | 41,601,508 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 2,628,705 | 2,372,193 | |
Federal National Mortgage Association(b) | ||||
6-month USD LIBOR + 1.383% Floor 1.383%, Cap 9.383% 02/01/2033 | 2.758% | 9,111 | 8,904 | |
12-month USD LIBOR + 1.694% Floor 1.694%, Cap 8.944% 12/01/2033 | 4.069% | 1,035 | 1,030 | |
12-month USD LIBOR + 1.587% Floor 1.587%, Cap 9.158% 06/01/2034 | 3.337% | 13,492 | 13,258 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2003-W11 Class A1 | ||||
06/25/2033 | 4.447% | 601 | 603 | |
Federal National Mortgage Association(c),(d) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 1,838,668 | 18 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2012-129 Class IC | ||||
01/25/2041 | 3.500% | 968,438 | 47,175 | |
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 227,394 | 4,711 | |
CMO Series 2012-134 Class AI | ||||
07/25/2040 | 3.500% | 419,319 | 7,168 | |
CMO Series 2012-144 Class HI | ||||
07/25/2042 | 3.500% | 1,104,775 | 118,159 |
10 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2012-40 Class IP | ||||
09/25/2040 | 4.000% | 2,654,042 | 180,242 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 1,012,727 | 141,336 | |
CMO Series 2013-10 Class AI | ||||
11/25/2041 | 3.500% | 3,823,147 | 258,995 | |
CMO Series 2013-16 | ||||
01/25/2040 | 3.500% | 854,024 | 28,792 | |
CMO Series 2013-6 Class MI | ||||
02/25/2040 | 3.500% | 12,077 | 1 | |
CMO Series 2020-55 Class MI | ||||
08/25/2050 | 2.500% | 11,153,997 | 1,760,567 | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 22,084,639 | 3,605,527 | |
Federal National Mortgage Association(b),(d) | ||||
CMO Series 2012-99 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.620% Cap 6.620% 09/25/2042 | 2.231% | 4,502,811 | 664,988 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 1.761% | 2,495,253 | 282,037 | |
CMO Series 2016-37 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.850% Cap 5.850% 06/25/2046 | 1.461% | 3,474,144 | 401,727 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 07/25/2046 | 1.611% | 8,853,909 | 1,037,619 | |
CMO Series 2017-3 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/25/2047 | 1.611% | 5,966,768 | 643,241 | |
CMO Series 2017-51 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 1.761% | 6,749,637 | 754,528 | |
CMO Series 2017-72 Class S | ||||
-1.0 x 1-month USD LIBOR + 3.950% Cap 2.750% 09/25/2047 | 0.000% | 14,711,452 | 570,591 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-90 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/25/2047 | 1.761% | 3,532,387 | 381,462 | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 1.661% | 10,386,554 | 1,105,804 | |
CMO Series 2019-34 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 1.661% | 8,816,841 | 1,197,555 | |
CMO Series 2020-40 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 1.691% | 9,403,719 | 1,347,370 | |
Federal National Mortgage Association REMICS(d) | ||||
CMO Series 2021-13 Class IO | ||||
03/25/2051 | 3.000% | 7,235,513 | 1,329,117 | |
CMO Series 2021-54 Class LI | ||||
04/25/2049 | 2.500% | 11,302,441 | 1,525,741 | |
Freddie Mac REMICS | ||||
CMO Series 4633 Class ZM | ||||
11/15/2046 | 3.000% | 3,935,806 | 3,476,105 | |
CMO Series 5104 Class LH | ||||
06/25/2049 | 2.000% | 3,306,526 | 2,777,487 | |
Government National Mortgage Association | ||||
08/20/2040 | 5.000% | 1,805,115 | 1,835,871 | |
07/20/2041 | 4.500% | 2,411,917 | 2,407,199 | |
04/20/2051- 05/20/2051 | 2.500% | 23,477,723 | 19,648,427 | |
Government National Mortgage Association(e) | ||||
04/20/2048 | 4.500% | 4,275,792 | 4,208,063 | |
Government National Mortgage Association(d) | ||||
CMO Series 2012-121 Class PI | ||||
09/16/2042 | 4.500% | 1,730,008 | 267,791 | |
CMO Series 2012-129 Class AI | ||||
08/20/2037 | 3.000% | 437,663 | 5,162 | |
CMO Series 2014-131 Class EI | ||||
09/16/2039 | 4.000% | 2,303,204 | 215,234 | |
CMO Series 2020-104 Class IY | ||||
07/20/2050 | 3.000% | 10,297,638 | 1,533,145 | |
CMO Series 2020-138 Class IN | ||||
09/20/2050 | 2.500% | 6,630,103 | 977,667 | |
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 17,772,290 | 2,368,598 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 11 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-142 Class GI | ||||
09/20/2050 | 3.000% | 4,122,966 | 583,598 | |
CMO Series 2020-144 Class KI | ||||
09/20/2050 | 2.500% | 7,725,982 | 964,384 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 12,701,017 | 1,780,716 | |
CMO Series 2020-191 Class UC | ||||
12/20/2050 | 4.000% | 11,514,649 | 1,821,756 | |
CMO Series 2021-1 Class IB | ||||
01/20/2051 | 2.500% | 11,671,271 | 1,538,117 | |
CMO Series 2021-1 Class QI | ||||
01/20/2051 | 2.500% | 13,440,054 | 1,835,854 | |
CMO Series 2021-122 Class HI | ||||
11/20/2050 | 2.500% | 9,162,850 | 1,308,460 | |
CMO Series 2021-142 Class IX | ||||
08/20/2051 | 2.500% | 12,773,457 | 1,854,615 | |
CMO Series 2021-146 Class IK | ||||
08/20/2051 | 3.500% | 11,288,252 | 1,914,053 | |
CMO Series 2021-158 Class VI | ||||
09/20/2051 | 3.000% | 9,394,338 | 1,545,374 | |
CMO Series 2021-159 Class IP | ||||
09/20/2051 | 3.000% | 7,239,678 | 1,073,961 | |
CMO Series 2021-175 Class IJ | ||||
10/20/2051 | 3.000% | 12,324,829 | 1,941,232 | |
CMO Series 2021-228 Class IJ | ||||
12/20/2051 | 2.500% | 14,442,430 | 2,107,643 | |
CMO Series 2021-27 Class IN | ||||
02/20/2051 | 2.500% | 7,572,116 | 982,016 | |
CMO Series 2021-67 Class GI | ||||
04/20/2051 | 3.000% | 11,885,864 | 1,813,630 | |
CMO Series 2021-8 Class BI | ||||
01/20/2051 | 2.500% | 11,916,202 | 1,862,583 | |
CMO Series 2021-8 Class IO | ||||
01/20/2051 | 3.000% | 21,510,086 | 3,365,212 | |
Government National Mortgage Association(b),(d) | ||||
CMO Series 2014-131 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/16/2044 | 1.874% | 2,038,543 | 247,540 | |
CMO Series 2017-170 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 11/20/2047 | 1.847% | 3,428,634 | 317,441 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-1 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 01/20/2048 | 1.847% | 2,371,006 | 225,977 | |
CMO Series 2018-105 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 1.847% | 3,032,607 | 247,827 | |
CMO Series 2018-139 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2048 | 1.797% | 5,053,707 | 443,714 | |
CMO Series 2018-147 Class SA | ||||
1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2048 | 1.847% | 6,295,385 | 582,926 | |
CMO Series 2018-155 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 1.797% | 4,296,683 | 417,561 | |
CMO Series 2018-21 Class WS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 02/20/2048 | 1.847% | 3,838,992 | 426,987 | |
CMO Series 2018-40 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 03/20/2048 | 1.847% | 2,096,633 | 181,981 | |
CMO Series 2018-63 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 04/20/2048 | 1.847% | 2,924,256 | 259,930 | |
CMO Series 2018-94 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 1.847% | 3,915,323 | 435,880 | |
CMO Series 2018-97 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 1.847% | 3,359,929 | 286,195 |
12 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-117 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 09/20/2049 | 1.747% | 8,863,141 | 940,447 | |
CMO Series 2019-23 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 1.697% | 3,474,551 | 450,110 | |
CMO Series 2019-43 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/20/2049 | 1.747% | 6,940,519 | 676,713 | |
CMO Series 2019-52 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 04/16/2049 | 1.724% | 8,229,551 | 1,396,920 | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/20/2049 | 1.747% | 17,180,964 | 1,882,018 | |
CMO Series 2020-104 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% 07/20/2050 | 1.847% | 7,301,779 | 809,318 | |
CMO Series 2020-125 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 08/20/2050 | 1.897% | 8,749,319 | 975,188 | |
CMO Series 2020-133 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2050 | 1.947% | 15,549,809 | 1,875,434 | |
CMO Series 2021-161 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2051 | 1.947% | 14,254,082 | 1,713,181 | |
CMO Series 2021-193 Class ES | ||||
30-day Average SOFR + 1.700% 11/20/2051 | 0.000% | 79,568,856 | 407,217 | |
CMO Series 2021-46 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 03/20/2051 | 1.947% | 14,943,142 | 1,551,364 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association TBA(f) | ||||
01/23/2053 | 3.000% | 17,000,000 | 15,133,090 | |
01/23/2053 | 4.000% | 40,000,000 | 37,843,898 | |
01/23/2053 | 4.500% | 40,000,000 | 38,796,502 | |
01/23/2053 | 5.500% | 19,000,000 | 19,106,240 | |
Uniform Mortgage-Backed Security TBA(f) | ||||
01/12/2053 | 3.500% | 50,000,000 | 45,415,136 | |
01/12/2053 | 4.000% | 31,000,000 | 29,067,458 | |
01/12/2053 | 4.500% | 33,000,000 | 31,754,458 | |
01/12/2053 | 5.000% | 54,000,000 | 53,201,956 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,019,384,326) | 908,835,690 | |||
Residential Mortgage-Backed Securities - Non-Agency 8.3% | ||||
American Mortgage Trust(c),(g),(h) | ||||
CMO Series 2093-3 Class 3A | ||||
07/27/2023 | 8.188% | 10 | 6 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2018-3A Class M1B | ||||
1-month USD LIBOR + 1.850% Floor 1.850% 10/25/2028 | 6.239% | 709,319 | 708,752 | |
CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 1.750% Floor 1.750% 01/26/2032 | 5.762% | 4,550,000 | 4,520,259 | |
BVRT Financing Trust(a),(b),(g),(h) | ||||
CMO Series 2021-CRT1 Class M3 | ||||
1-month USD LIBOR + 2.750% Floor 3.000% 01/10/2033 | 3.000% | 2,393,608 | 2,287,930 | |
CHNGE Mortgage Trust(a),(c) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 3.007% | 3,702,526 | 3,377,944 | |
CMO Series 2022-2 Class A1 | ||||
03/25/2067 | 3.757% | 3,923,333 | 3,688,781 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2014-A Class B2 | ||||
01/25/2035 | 5.480% | 922,904 | 888,196 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class B2 | ||||
01/25/2053 | 4.250% | 2,122,693 | 1,997,074 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2022-R01 Class 1M2 | ||||
30-day Average SOFR + 1.900% 12/25/2041 | 5.828% | 5,500,000 | 5,228,132 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2021-NQM1 Class A2 | ||||
05/25/2065 | 0.994% | 1,240,044 | 1,040,795 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 13 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ellington Financial Mortgage Trust(a),(c) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 1,200,000 | 987,763 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2022-DNA2 Class M1B | ||||
30-day Average SOFR + 2.400% 02/25/2042 | 6.328% | 3,500,000 | 3,402,580 | |
GCAT LLC(a),(c) | ||||
CMO Series 2021-CM1 Class A1 | ||||
04/25/2065 | 1.469% | 997,741 | 935,593 | |
GCAT Trust(a),(c) | ||||
CMO Series 2022-NQM2 Class A3 | ||||
02/25/2067 | 4.210% | 3,302,379 | 2,911,302 | |
Home Re Ltd.(a),(b) | ||||
Subordinated CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 2.850% 10/25/2034 | 6.371% | 2,600,000 | 2,589,749 | |
Legacy Mortgage Asset Trust(a),(c) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 4,001,077 | 3,648,725 | |
Loan Revolving Advance Investment Trust(a),(b),(h) | ||||
CMO Series 2021-2 Class A1X | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 06/30/2023 | 7.042% | 725,460 | 725,460 | |
New Residential Mortgage Loan Trust(a),(c),(d) | ||||
CMO Series 2014-1A Class AIO | ||||
01/25/2054 | 2.284% | 9,506,651 | 469,975 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 7.239% | 11,500,000 | 11,239,404 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 6.694% | 10,500,000 | 10,305,925 | |
Pretium Mortgage Credit Partners(a),(c) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 2,446,589 | 2,184,797 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2019-2 Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 06/25/2029 | 6.139% | 323,211 | 322,864 | |
CMO Series 2020-1 Class M1B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 01/25/2030 | 5.839% | 3,750,000 | 3,630,544 | |
SG Residential Mortgage Trust(a),(c) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 2,200,000 | 1,940,934 | |
Stanwich Mortgage Loan Co. LLC(a),(c) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 1,870,185 | 1,627,813 | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
12/26/2050 | 2.289% | 2,976,222 | 2,805,750 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $76,464,349) | 73,467,047 |
Options Purchased Calls 0.2% | ||||
Value ($) | ||||
(Cost $2,712,640) | 1,603,814 |
Money Market Funds 4.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(i),(j) | 36,695,701 | 36,684,692 |
Total Money Market Funds (Cost $36,681,347) | 36,684,692 | |
Total Investments in Securities (Cost: $1,285,376,277) | 1,153,181,369 | |
Other Assets & Liabilities, Net | (267,863,691) | |
Net Assets | 885,317,678 |
14 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 5 | 03/2023 | USD | 1,025,391 | 1,290 | — |
U.S. Treasury 5-Year Note | 260 | 03/2023 | USD | 28,061,719 | 3,530 | — |
U.S. Treasury Ultra Bond | 91 | 03/2023 | USD | 12,222,438 | — | (283,405) |
Total | 4,820 | (283,405) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | (12) | 03/2023 | USD | (1,504,125) | — | (214) |
U.S. Treasury 10-Year Note | (758) | 03/2023 | USD | (85,121,031) | 706,107 | — |
Total | 706,107 | (214) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 41,020,000 | 41,020,000 | 3.30 | 11/14/2023 | 1,312,640 | 1,434,855 |
10-Year OTC interest rate swap with JPMorgan to receive exercise rate and pay SOFR | JPMorgan | USD | 70,000,000 | 70,000,000 | 2.25 | 05/26/2023 | 1,400,000 | 168,959 |
Total | 2,712,640 | 1,603,814 |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | (36,300,000) | (36,300,000) | 3.90 | 01/27/2023 | (680,625) | (91,854) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 5,000,000 | (864,844) | 2,500 | — | (846,166) | — | (16,178) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 2,500,000 | (432,422) | 1,250 | — | (402,923) | — | (28,249) |
Markit CMBX North America Index, Series 7 BBB- | Morgan Stanley | 01/17/2047 | 3.000 | Monthly | 34.426 | USD | 2,500,000 | (535,156) | 1,250 | — | (133,639) | — | (400,267) |
Total | (1,832,422) | 5,000 | — | (1,382,728) | — | (444,694) |
* | 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. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 15 |
December 31, 2022
(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 December 31, 2022, the total value of these securities amounted to $163,170,585, which represents 18.43% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2022. |
(d) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(e) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2022, the total value of these securities amounted to $2,287,936, which represents 0.26% of total net assets. |
(h) | Valuation based on significant unobservable inputs. |
(i) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(j) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
81,664,439 | 274,428,257 | (319,416,690) | 8,686 | 36,684,692 | (13,255) | 702,250 | 36,695,701 |
CMO | Collateralized Mortgage Obligation |
FHLMC | Federal Home Loan Mortgage Corporation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing 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). |
16 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 40,864,394 | — | 40,864,394 |
Commercial Mortgage-Backed Securities - Agency | — | 42,886,582 | — | 42,886,582 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 48,839,150 | — | 48,839,150 |
Residential Mortgage-Backed Securities - Agency | — | 908,835,690 | — | 908,835,690 |
Residential Mortgage-Backed Securities - Non-Agency | — | 70,453,651 | 3,013,396 | 73,467,047 |
Options Purchased Calls | — | 1,603,814 | — | 1,603,814 |
Money Market Funds | 36,684,692 | — | — | 36,684,692 |
Total Investments in Securities | 36,684,692 | 1,113,483,281 | 3,013,396 | 1,153,181,369 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 710,927 | — | — | 710,927 |
Liability | ||||
Futures Contracts | (283,619) | — | — | (283,619) |
Options Contracts Written | — | (91,854) | — | (91,854) |
Swap Contracts | — | (444,694) | — | (444,694) |
Total | 37,112,000 | 1,112,946,733 | 3,013,396 | 1,153,072,129 |
Balance as of 12/31/2021 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 12/31/2022 ($) | |
Asset-Backed Securities — Non-Agency | 4,506,003 | — | — | — | — | — | — | (4,506,003) | — |
Residential Mortgage-Backed Securities — Agency | 2,138,935 | — | — | — | — | — | — | (2,138,935) | — |
Residential Mortgage-Backed Securities — Non-Agency | 21,136,006 | — | 43,022 | (184,708) | — | (17,980,924) | — | — | 3,013,396 |
Total | 27,780,944 | — | 43,022 | (184,708) | — | (17,980,924) | — | (6,664,938) | 3,013,396 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 17 |
December 31, 2022
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential mortgage backed securities classified as Level 3 securities are valued using the market approach. To determine fair value for these securities, management considered various factors which may have included, but were not limited to, estimated cash flows of the securities, single market quotations, observable transactions for identical or similar assets in the market and the distressed nature of the security. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price reviews and other control procedures. Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value measurement.
18 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,245,982,290) | $1,114,892,863 |
Affiliated issuers (cost $36,681,347) | 36,684,692 |
Options purchased (cost $2,712,640) | 1,603,814 |
Cash | 457,465 |
Cash collateral held at broker for: | |
Swap contracts | 780,000 |
TBA | 2,641,000 |
Other(a) | 1,004,000 |
Receivable for: | |
Investments sold | 596 |
Investments sold on a delayed delivery basis | 33,069,984 |
Capital shares sold | 65,753 |
Dividends | 160,896 |
Interest | 3,746,116 |
Variation margin for futures contracts | 108,469 |
Prepaid expenses | 12,210 |
Total assets | 1,195,227,858 |
Liabilities | |
Option contracts written, at value (premiums received $680,625) | 91,854 |
Unrealized depreciation on swap contracts | 444,694 |
Upfront receipts on swap contracts | 1,382,728 |
Payable for: | |
Investments purchased on a delayed delivery basis | 307,378,393 |
Capital shares purchased | 363,539 |
Variation margin for futures contracts | 68,625 |
Management services fees | 10,436 |
Distribution and/or service fees | 392 |
Service fees | 6,336 |
Compensation of board members | 129,193 |
Compensation of chief compliance officer | 173 |
Other expenses | 33,817 |
Total liabilities | 309,910,180 |
Net assets applicable to outstanding capital stock | $885,317,678 |
Represented by | |
Paid in capital | 1,054,231,170 |
Total distributable earnings (loss) | (168,913,492) |
Total - representing net assets applicable to outstanding capital stock | $885,317,678 |
Class 1 | |
Net assets | $795,136,094 |
Shares outstanding | 91,459,005 |
Net asset value per share | $8.69 |
Class 2 | |
Net assets | $23,833,818 |
Shares outstanding | 2,748,947 |
Net asset value per share | $8.67 |
Class 3 | |
Net assets | $66,347,766 |
Shares outstanding | 7,630,963 |
Net asset value per share | $8.69 |
(a) | Includes collateral related to options written and swap contracts. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 19 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $702,250 |
Interest | 28,277,552 |
Interfund lending | 1,003 |
Total income | 28,980,805 |
Expenses: | |
Management services fees | 4,137,210 |
Distribution and/or service fees | |
Class 2 | 61,167 |
Class 3 | 93,539 |
Service fees | 81,367 |
Compensation of board members | 19,246 |
Custodian fees | 28,248 |
Printing and postage fees | 18,065 |
Audit fees | 39,500 |
Legal fees | 24,386 |
Interest on collateral | 21,579 |
Compensation of chief compliance officer | 136 |
Other | 19,373 |
Total expenses | 4,543,816 |
Net investment income | 24,436,989 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (26,842,094) |
Investments — affiliated issuers | (13,255) |
Foreign currency translations | 51 |
Futures contracts | (21,321,474) |
Options purchased | 4,859,860 |
Options contracts written | (8,169,850) |
Swap contracts | 1,700,450 |
Net realized loss | (49,786,312) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (123,827,876) |
Investments — affiliated issuers | 8,686 |
Futures contracts | (255,087) |
Options purchased | 917,269 |
Options contracts written | 89,212 |
Swap contracts | (3,223,439) |
Net change in unrealized appreciation (depreciation) | (126,291,235) |
Net realized and unrealized loss | (176,077,547) |
Net decrease in net assets resulting from operations | $(151,640,558) |
20 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $24,436,989 | $20,895,270 |
Net realized loss | (49,786,312) | (5,154,315) |
Net change in unrealized appreciation (depreciation) | (126,291,235) | (27,409,738) |
Net decrease in net assets resulting from operations | (151,640,558) | (11,668,783) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (18,641,016) | (36,370,983) |
Class 2 | (438,338) | (1,010,883) |
Class 3 | (1,483,948) | (3,261,776) |
Total distributions to shareholders | (20,563,302) | (40,643,642) |
Increase (decrease) in net assets from capital stock activity | (49,338,414) | 128,396,410 |
Total increase (decrease) in net assets | (221,542,274) | 76,083,985 |
Net assets at beginning of year | 1,106,859,952 | 1,030,775,967 |
Net assets at end of year | $885,317,678 | $1,106,859,952 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 463,317 | 4,204,040 | 11,577,438 | 125,938,508 |
Distributions reinvested | 1,983,087 | 18,641,016 | 3,454,035 | 36,370,983 |
Redemptions | (6,716,612) | (62,858,001) | (2,905,221) | (31,442,584) |
Net increase (decrease) | (4,270,208) | (40,012,945) | 12,126,252 | 130,866,907 |
Class 2 | ||||
Subscriptions | 603,458 | 5,378,299 | 860,971 | 9,250,188 |
Distributions reinvested | 46,731 | 438,338 | 96,183 | 1,010,883 |
Redemptions | (729,381) | (6,860,686) | (736,889) | (7,881,802) |
Net increase (decrease) | (79,192) | (1,044,049) | 220,265 | 2,379,269 |
Class 3 | ||||
Subscriptions | 142,360 | 1,378,679 | 476,822 | 5,134,602 |
Distributions reinvested | 157,867 | 1,483,948 | 309,760 | 3,261,776 |
Redemptions | (1,185,016) | (11,144,047) | (1,234,747) | (13,246,144) |
Net decrease | (884,789) | (8,281,420) | (448,165) | (4,849,766) |
Total net increase (decrease) | (5,234,189) | (49,338,414) | 11,898,352 | 128,396,410 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 21 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $10.34 | 0.24 | (1.69) | (1.45) | (0.20) | — | (0.20) |
Year Ended 12/31/2021 | $10.83 | 0.20 | (0.30) | (0.10) | (0.22) | (0.17) | (0.39) |
Year Ended 12/31/2020 | $10.62 | 0.25 | 0.29 | 0.54 | (0.29) | (0.04) | (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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $10.31 | 0.21 | (1.67) | (1.46) | (0.18) | — | (0.18) |
Year Ended 12/31/2021 | $10.80 | 0.17 | (0.29) | (0.12) | (0.20) | (0.17) | (0.37) |
Year Ended 12/31/2020 | $10.59 | 0.22 | 0.29 | 0.51 | (0.26) | (0.04) | (0.30) |
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) |
Class 3 | |||||||
Year Ended 12/31/2022 | $10.34 | 0.22 | (1.68) | (1.46) | (0.19) | — | (0.19) |
Year Ended 12/31/2021 | $10.83 | 0.19 | (0.30) | (0.11) | (0.21) | (0.17) | (0.38) |
Year Ended 12/31/2020 | $10.62 | 0.24 | 0.28 | 0.52 | (0.27) | (0.04) | (0.31) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 12/31/2022 | 12/31/2021 | 12/31/2020 | 12/31/2019 | 12/31/2018 |
Class 1 | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% | less than 0.01% |
Class 2 | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% | less than 0.01% |
Class 3 | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% | less than 0.01% |
22 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $8.69 | (14.14%) | 0.45%(c) | 0.45%(c) | 2.54% | 301% | $795,136 |
Year Ended 12/31/2021 | $10.34 | (0.95%) | 0.45%(c) | 0.45%(c) | 1.88% | 302% | $989,683 |
Year Ended 12/31/2020 | $10.83 | 5.09% | 0.46%(c) | 0.46%(c) | 2.32% | 332% | $905,531 |
Year Ended 12/31/2019 | $10.62 | 6.73% | 0.46%(c) | 0.46%(c) | 2.83% | 335% | $888,047 |
Year Ended 12/31/2018 | $10.23 | 1.85% | 0.46%(c) | 0.46%(c) | 2.91% | 286% | $847,752 |
Class 2 | |||||||
Year Ended 12/31/2022 | $8.67 | (14.32%) | 0.70%(c) | 0.70%(c) | 2.29% | 301% | $23,834 |
Year Ended 12/31/2021 | $10.31 | (1.20%) | 0.70%(c) | 0.70%(c) | 1.62% | 302% | $29,150 |
Year Ended 12/31/2020 | $10.80 | 4.85% | 0.71%(c) | 0.71%(c) | 2.07% | 332% | $28,163 |
Year Ended 12/31/2019 | $10.59 | 6.50% | 0.71%(c) | 0.71%(c) | 2.57% | 335% | $25,616 |
Year Ended 12/31/2018 | $10.20 | 1.60% | 0.71%(c) | 0.71%(c) | 2.66% | 286% | $22,932 |
Class 3 | |||||||
Year Ended 12/31/2022 | $8.69 | (14.26%) | 0.58%(c) | 0.58%(c) | 2.41% | 301% | $66,348 |
Year Ended 12/31/2021 | $10.34 | (1.07%) | 0.58%(c) | 0.58%(c) | 1.74% | 302% | $88,027 |
Year Ended 12/31/2020 | $10.83 | 4.96% | 0.58%(c) | 0.58%(c) | 2.20% | 332% | $97,082 |
Year Ended 12/31/2019 | $10.62 | 6.61% | 0.59%(c) | 0.59%(c) | 2.71% | 335% | $94,876 |
Year Ended 12/31/2018 | $10.23 | 1.72% | 0.58%(c) | 0.58%(c) | 2.78% | 286% | $99,204 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 710,927* |
Interest rate risk | Investments, at value — Options purchased | 1,603,814 |
Total | 2,314,741 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 444,694* |
Credit risk | Upfront receipts on swap contracts | 1,382,728 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 283,619* |
Interest rate risk | Options contracts written, at value | 91,854 |
Total | 2,202,895 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 1,700,450 | 1,700,450 |
Interest rate risk | (21,321,474) | (8,169,850) | 4,859,860 | — | (24,631,464) |
Total | (21,321,474) | (8,169,850) | 4,859,860 | 1,700,450 | (22,931,014) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | (3,223,439) | (3,223,439) |
Interest rate risk | (255,087) | 89,212 | 917,269 | — | 751,394 |
Total | (255,087) | 89,212 | 917,269 | (3,223,439) | (2,472,045) |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 29 |
December 31, 2022
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 73,804,107 |
Futures contracts — short | 45,951,664 |
Credit default swap contracts — sell protection | 20,575,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 1,944,250 |
Options contracts — written | 2,624,741 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
30 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Citi ($) | JPMorgan ($)(a) | JPMorgan ($)(a) | Morgan Stanley ($) | Total ($) | |
Assets | |||||
Options purchased calls | 1,434,855 | 168,959 | - | - | 1,603,814 |
Total assets | 1,434,855 | 168,959 | - | - | 1,603,814 |
Liabilities | |||||
Options contracts written | - | - | - | 91,854 | 91,854 |
OTC credit default swap contracts (b) | - | - | 862,344 | 965,078 | 1,827,422 |
Total liabilities | - | - | 862,344 | 1,056,932 | 1,919,276 |
Total financial and derivative net assets | 1,434,855 | 168,959 | (862,344) | (1,056,932) | (315,462) |
Total collateral received (pledged) (c) | 1,422,000 | 168,959 | (780,000) | (1,004,000) | (193,041) |
Net amount (d) | 12,855 | - | (82,344) | (52,932) | (122,421) |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 31 |
December 31, 2022
32 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 33 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.57% | 0.58% |
Class 2 | 0.82 | 0.83 |
Class 3 | 0.695 | 0.705 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
3,529 | (3,530) | 1 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
20,563,302 | — | 20,563,302 | 38,957,952 | 1,685,690 | 40,643,642 |
34 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
24,122,025 | — | (60,935,439) | (131,972,217) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,283,661,619 | 7,005,829 | (138,978,046) | (131,972,217) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(35,030,151) | (25,905,288) | (60,935,439) | — |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 35 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,680,000 | 4.30 | 5 |
36 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 37 |
December 31, 2022
38 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 39 |
40 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 41 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
42 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 43 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
44 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 | 45 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
46 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
19 | |
20 | |
21 | |
22 | |
24 | |
34 | |
35 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 04/25/11 | -18.34 | 9.12 | 12.22 | |
Class 2 | 04/25/11 | -18.54 | 8.83 | 11.94 | |
Class 3 | 05/01/00 | -18.45 | 8.97 | 12.07 | |
S&P 500 Index | -18.11 | 9.42 | 12.56 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 99.0 |
Money Market Funds | 1.0 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 7.3 |
Consumer Discretionary | 9.8 |
Consumer Staples | 7.2 |
Energy | 5.2 |
Financials | 11.7 |
Health Care | 15.8 |
Industrials | 8.7 |
Information Technology | 25.7 |
Materials | 2.7 |
Real Estate | 2.7 |
Utilities | 3.2 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
(Unaudited)
• | The information technology, consumer discretionary and communication services sectors were the weakest sectors both from a total return perspective and on the basis of impact. |
• | The worst performing industries for the annual period were automobiles; Internet and direct marketing retail; interactive media and services; entertainment; and leisure products. |
• | Top individual detractors from the S&P 500 Index were information technology giant Apple Inc., e-commerce retailing behemoth Amazon.com, Inc., software leader Microsoft Corp., electric vehicle maker Tesla, Inc. and social media conglomerate and Facebook parent company Meta Platforms, Inc. (Class A). |
• | Only two of the 11 sectors of the S&P 500 Index posted positive returns during the 12 months ended December 31, 2022. |
• | In terms of total return, the energy sector was by far the best relative performer, followed at some distance by the utilities sector. |
• | Similarly, on the basis of impact, which takes weightings and total returns into account, energy contributed most to the S&P 500 Index returns, followed at some distance by utilities. |
• | The top performing industries for the annual period were oil, gas and consumable fuels; energy equipment and services; construction and engineering; independent power and renewable electricity producers; and wireless telecommunication services. |
• | The top individual contributors within the S&P 500 Index were integrated energy companies Exxon Mobil Corp., Chevron Corp. and ConocoPhillips and pharmaceuticals companies Merck & Co., Inc. and Eli Lilly & Co. |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Information technology remained the largest sector by weighting in the S&P 500 Index as of December 31, 2022, with a weighting of 25.74%. |
• | As always, each sector and stock in the S&P 500 Index was represented in the Fund with approximately the same weighting as in the S&P 500 Index and therefore had a similar effect. |
6 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,021.70 | 1,023.82 | 1.27 | 1.27 | 0.25 |
Class 2 | 1,000.00 | 1,000.00 | 1,020.60 | 1,022.56 | 2.53 | 2.54 | 0.50 |
Class 3 | 1,000.00 | 1,000.00 | 1,021.00 | 1,023.16 | 1.93 | 1.93 | 0.38 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 99.0% | ||
Issuer | Shares | Value ($) |
Communication Services 7.2% | ||
Diversified Telecommunication Services 0.9% | ||
AT&T, Inc. | 334,802 | 6,163,705 |
Lumen Technologies, Inc. | 44,713 | 233,402 |
Verizon Communications, Inc. | 197,293 | 7,773,344 |
Total | 14,170,451 | |
Entertainment 1.3% | ||
Activision Blizzard, Inc. | 33,456 | 2,561,057 |
Electronic Arts, Inc. | 12,321 | 1,505,380 |
Live Nation Entertainment, Inc.(a) | 6,710 | 467,955 |
Netflix, Inc.(a) | 20,906 | 6,164,761 |
Take-Two Interactive Software, Inc.(a) | 7,411 | 771,708 |
Walt Disney Co. (The)(a) | 85,641 | 7,440,490 |
Warner Bros Discovery, Inc.(a) | 103,811 | 984,128 |
Total | 19,895,479 | |
Interactive Media & Services 3.9% | ||
Alphabet, Inc., Class A(a) | 280,591 | 24,756,544 |
Alphabet, Inc., Class C(a) | 248,733 | 22,070,079 |
Match Group, Inc.(a) | 13,121 | 544,390 |
Meta Platforms, Inc., Class A(a) | 105,635 | 12,712,116 |
Total | 60,083,129 | |
Media 0.8% | ||
Charter Communications, Inc., Class A(a) | 5,046 | 1,711,099 |
Comcast Corp., Class A | 202,655 | 7,086,845 |
DISH Network Corp., Class A(a) | 11,808 | 165,784 |
Fox Corp., Class A | 14,209 | 431,527 |
Fox Corp., Class B | 6,545 | 186,205 |
Interpublic Group of Companies, Inc. (The) | 18,252 | 607,974 |
News Corp., Class A | 17,962 | 326,909 |
News Corp., Class B | 5,538 | 102,121 |
Omnicom Group, Inc. | 9,579 | 781,359 |
Paramount Global, Class B | 23,725 | 400,478 |
Total | 11,800,301 | |
Wireless Telecommunication Services 0.3% | ||
T-Mobile US, Inc.(a) | 28,054 | 3,927,560 |
Total Communication Services | 109,876,920 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Discretionary 9.7% | ||
Auto Components 0.1% | ||
Aptiv PLC(a) | 12,728 | 1,185,359 |
BorgWarner, Inc. | 11,000 | 442,750 |
Total | 1,628,109 | |
Automobiles 1.3% | ||
Ford Motor Co. | 185,541 | 2,157,842 |
General Motors Co. | 66,740 | 2,245,133 |
Tesla, Inc.(a) | 126,089 | 15,531,643 |
Total | 19,934,618 | |
Distributors 0.2% | ||
Genuine Parts Co. | 6,622 | 1,148,983 |
LKQ Corp. | 11,923 | 636,808 |
Pool Corp. | 1,834 | 554,473 |
Total | 2,340,264 | |
Hotels, Restaurants & Leisure 2.0% | ||
Booking Holdings, Inc.(a) | 1,822 | 3,671,840 |
Caesars Entertainment, Inc.(a) | 10,080 | 419,328 |
Carnival Corp.(a) | 47,044 | 379,174 |
Chipotle Mexican Grill, Inc.(a) | 1,302 | 1,806,512 |
Darden Restaurants, Inc. | 5,749 | 795,259 |
Domino’s Pizza, Inc. | 1,663 | 576,063 |
Expedia Group, Inc.(a) | 7,073 | 619,595 |
Hilton Worldwide Holdings, Inc. | 12,705 | 1,605,404 |
Las Vegas Sands Corp.(a) | 15,436 | 742,008 |
Marriott International, Inc., Class A | 12,639 | 1,881,821 |
McDonald’s Corp. | 34,407 | 9,067,277 |
MGM Resorts International | 14,973 | 502,045 |
Norwegian Cruise Line Holdings Ltd.(a) | 19,796 | 242,303 |
Royal Caribbean Cruises Ltd.(a) | 10,309 | 509,574 |
Starbucks Corp. | 53,924 | 5,349,261 |
Wynn Resorts Ltd.(a) | 4,844 | 399,485 |
Yum! Brands, Inc. | 13,233 | 1,694,882 |
Total | 30,261,831 |
8 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Durables 0.3% | ||
D.R. Horton, Inc. | 14,704 | 1,310,715 |
Garmin Ltd. | 7,203 | 664,765 |
Lennar Corp., Class A | 11,968 | 1,083,104 |
Mohawk Industries, Inc.(a) | 2,477 | 253,199 |
Newell Brands, Inc. | 17,681 | 231,267 |
NVR, Inc.(a) | 141 | 650,374 |
PulteGroup, Inc. | 10,702 | 487,262 |
Whirlpool Corp. | 2,559 | 361,996 |
Total | 5,042,682 | |
Internet & Direct Marketing Retail 2.4% | ||
Amazon.com, Inc.(a) | 416,938 | 35,022,792 |
eBay, Inc. | 25,492 | 1,057,153 |
Etsy, Inc.(a) | 5,904 | 707,181 |
Total | 36,787,126 | |
Leisure Products 0.0% | ||
Hasbro, Inc. | 6,099 | 372,100 |
Multiline Retail 0.5% | ||
Dollar General Corp. | 10,597 | 2,609,511 |
Dollar Tree, Inc.(a) | 9,889 | 1,398,700 |
Target Corp. | 21,622 | 3,222,543 |
Total | 7,230,754 | |
Specialty Retail 2.4% | ||
Advance Auto Parts, Inc. | 2,824 | 415,213 |
AutoZone, Inc.(a) | 892 | 2,199,833 |
Bath & Body Works, Inc. | 10,728 | 452,078 |
Best Buy Co., Inc. | 9,413 | 755,017 |
CarMax, Inc.(a) | 7,423 | 451,987 |
Home Depot, Inc. (The) | 48,091 | 15,190,023 |
Lowe’s Companies, Inc. | 29,158 | 5,809,440 |
O’Reilly Automotive, Inc.(a) | 2,940 | 2,481,448 |
Ross Stores, Inc. | 16,304 | 1,892,405 |
TJX Companies, Inc. (The) | 54,542 | 4,341,543 |
Tractor Supply Co. | 5,189 | 1,167,369 |
Ulta Beauty, Inc.(a) | 2,406 | 1,128,582 |
Total | 36,284,938 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 0.5% | ||
NIKE, Inc., Class B | 59,176 | 6,924,184 |
Ralph Lauren Corp. | 1,930 | 203,943 |
Tapestry, Inc. | 11,320 | 431,066 |
VF Corp. | 15,515 | 428,369 |
Total | 7,987,562 | |
Total Consumer Discretionary | 147,869,984 | |
Consumer Staples 7.1% | ||
Beverages 1.9% | ||
Brown-Forman Corp., Class B | 8,590 | 564,191 |
Coca-Cola Co. (The) | 182,836 | 11,630,198 |
Constellation Brands, Inc., Class A | 7,626 | 1,767,325 |
Keurig Dr. Pepper, Inc. | 39,918 | 1,423,476 |
Molson Coors Beverage Co., Class B | 8,832 | 455,025 |
Monster Beverage Corp.(a) | 17,892 | 1,816,575 |
PepsiCo, Inc. | 64,720 | 11,692,315 |
Total | 29,349,105 | |
Food & Staples Retailing 1.5% | ||
Costco Wholesale Corp. | 20,792 | 9,491,548 |
Kroger Co. (The) | 30,600 | 1,364,148 |
Sysco Corp. | 23,806 | 1,819,969 |
Walgreens Boots Alliance, Inc. | 33,720 | 1,259,779 |
Walmart, Inc. | 66,303 | 9,401,102 |
Total | 23,336,546 | |
Food Products 1.2% | ||
Archer-Daniels-Midland Co. | 25,806 | 2,396,087 |
Campbell Soup Co. | 9,435 | 535,436 |
ConAgra Foods, Inc. | 22,514 | 871,292 |
General Mills, Inc. | 27,882 | 2,337,906 |
Hershey Co. (The) | 6,904 | 1,598,759 |
Hormel Foods Corp. | 13,599 | 619,434 |
JM Smucker Co. (The) | 5,006 | 793,251 |
Kellogg Co. | 12,024 | 856,590 |
Kraft Heinz Co. (The) | 37,403 | 1,522,676 |
Lamb Weston Holdings, Inc. | 6,757 | 603,806 |
McCormick & Co., Inc. | 11,772 | 975,781 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Mondelez International, Inc., Class A | 64,152 | 4,275,731 |
Tyson Foods, Inc., Class A | 13,605 | 846,911 |
Total | 18,233,660 | |
Household Products 1.6% | ||
Church & Dwight Co., Inc. | 11,456 | 923,468 |
Clorox Co. (The) | 5,796 | 813,353 |
Colgate-Palmolive Co. | 39,236 | 3,091,404 |
Kimberly-Clark Corp. | 15,854 | 2,152,181 |
Procter & Gamble Co. (The) | 111,321 | 16,871,811 |
Total | 23,852,217 | |
Personal Products 0.2% | ||
Estee Lauder Companies, Inc. (The), Class A | 10,864 | 2,695,467 |
Tobacco 0.7% | ||
Altria Group, Inc. | 84,190 | 3,848,325 |
Philip Morris International, Inc. | 72,823 | 7,370,416 |
Total | 11,218,741 | |
Total Consumer Staples | 108,685,736 | |
Energy 5.2% | ||
Energy Equipment & Services 0.4% | ||
Baker Hughes Co. | 47,046 | 1,389,268 |
Halliburton Co. | 42,657 | 1,678,553 |
Schlumberger Ltd. | 66,613 | 3,561,131 |
Total | 6,628,952 | |
Oil, Gas & Consumable Fuels 4.8% | ||
APA Corp. | 15,104 | 705,055 |
Chevron Corp. | 83,569 | 14,999,800 |
ConocoPhillips Co. | 58,536 | 6,907,248 |
Coterra Energy, Inc. | 37,040 | 910,073 |
Devon Energy Corp. | 30,709 | 1,888,911 |
Diamondback Energy, Inc. | 8,268 | 1,130,897 |
EOG Resources, Inc. | 27,594 | 3,573,975 |
EQT Corp. | 17,243 | 583,331 |
Exxon Mobil Corp. | 193,464 | 21,339,079 |
Hess Corp. | 13,035 | 1,848,624 |
Kinder Morgan, Inc. | 92,920 | 1,679,994 |
Marathon Oil Corp. | 29,833 | 807,579 |
Marathon Petroleum Corp. | 22,016 | 2,562,442 |
Occidental Petroleum Corp. | 34,158 | 2,151,612 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
ONEOK, Inc. | 20,996 | 1,379,437 |
Phillips 66 | 22,203 | 2,310,888 |
Pioneer Natural Resources Co. | 11,162 | 2,549,289 |
Targa Resources Corp. | 10,634 | 781,599 |
Valero Energy Corp. | 18,111 | 2,297,561 |
Williams Companies, Inc. (The) | 57,218 | 1,882,472 |
Total | 72,289,866 | |
Total Energy | 78,918,818 | |
Financials 11.5% | ||
Banks 3.8% | ||
Bank of America Corp. | 327,874 | 10,859,187 |
Citigroup, Inc. | 90,987 | 4,115,342 |
Citizens Financial Group, Inc. | 23,136 | 910,864 |
Comerica, Inc. | 6,152 | 411,261 |
Fifth Third Bancorp | 32,245 | 1,057,958 |
First Republic Bank | 8,593 | 1,047,401 |
Huntington Bancshares, Inc. | 67,775 | 955,628 |
JPMorgan Chase & Co. | 137,792 | 18,477,907 |
KeyCorp | 43,828 | 763,484 |
M&T Bank Corp. | 8,109 | 1,176,292 |
PNC Financial Services Group, Inc. (The) | 18,947 | 2,992,489 |
Regions Financial Corp. | 43,897 | 946,419 |
Signature Bank | 2,956 | 340,590 |
SVB Financial Group(a) | 2,777 | 639,099 |
Truist Financial Corp. | 62,327 | 2,681,931 |
U.S. Bancorp | 63,517 | 2,769,976 |
Wells Fargo & Co. | 179,004 | 7,391,075 |
Zions Bancorp | 7,029 | 345,546 |
Total | 57,882,449 | |
Capital Markets 3.1% | ||
Ameriprise Financial, Inc.(b) | 4,999 | 1,556,539 |
Bank of New York Mellon Corp. (The) | 34,553 | 1,572,853 |
BlackRock, Inc. | 7,056 | 5,000,093 |
Cboe Global Markets, Inc. | 4,983 | 625,217 |
Charles Schwab Corp. (The) | 71,654 | 5,965,912 |
CME Group, Inc. | 16,899 | 2,841,736 |
Factset Research Systems, Inc. | 1,790 | 718,166 |
Franklin Resources, Inc. | 13,344 | 352,015 |
Goldman Sachs Group, Inc. (The) | 15,908 | 5,462,489 |
10 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Intercontinental Exchange, Inc. | 26,239 | 2,691,859 |
Invesco Ltd. | 21,365 | 384,356 |
MarketAxess Holdings, Inc. | 1,768 | 493,077 |
Moody’s Corp. | 7,401 | 2,062,067 |
Morgan Stanley | 61,929 | 5,265,204 |
MSCI, Inc. | 3,756 | 1,747,178 |
Nasdaq, Inc. | 15,924 | 976,937 |
Northern Trust Corp. | 9,791 | 866,406 |
Raymond James Financial, Inc. | 9,094 | 971,694 |
S&P Global, Inc. | 15,643 | 5,239,466 |
State Street Corp. | 17,238 | 1,337,152 |
T. Rowe Price Group, Inc. | 10,498 | 1,144,912 |
Total | 47,275,328 | |
Consumer Finance 0.5% | ||
American Express Co. | 28,082 | 4,149,115 |
Capital One Financial Corp. | 17,931 | 1,666,866 |
Discover Financial Services | 12,835 | 1,255,648 |
Synchrony Financial | 21,165 | 695,482 |
Total | 7,767,111 | |
Diversified Financial Services 1.7% | ||
Berkshire Hathaway, Inc., Class B(a) | 84,639 | 26,144,987 |
Insurance 2.4% | ||
Aflac, Inc. | 26,581 | 1,912,237 |
Allstate Corp. (The) | 12,459 | 1,689,440 |
American International Group, Inc. | 34,903 | 2,207,266 |
Aon PLC, Class A | 9,717 | 2,916,460 |
Arch Capital Group Ltd.(a) | 17,375 | 1,090,802 |
Arthur J Gallagher & Co. | 9,905 | 1,867,489 |
Assurant, Inc. | 2,482 | 310,399 |
Brown & Brown, Inc. | 11,043 | 629,120 |
Chubb Ltd. | 19,498 | 4,301,259 |
Cincinnati Financial Corp. | 7,384 | 756,048 |
Everest Re Group Ltd. | 1,840 | 609,537 |
Globe Life, Inc. | 4,250 | 512,338 |
Hartford Financial Services Group, Inc. (The) | 14,943 | 1,133,128 |
Lincoln National Corp. | 7,234 | 222,228 |
Loews Corp. | 9,257 | 539,961 |
Marsh & McLennan Companies, Inc. | 23,301 | 3,855,849 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
MetLife, Inc. | 30,961 | 2,240,648 |
Principal Financial Group, Inc. | 10,690 | 897,105 |
Progressive Corp. (The) | 27,485 | 3,565,079 |
Prudential Financial, Inc. | 17,287 | 1,719,365 |
Travelers Companies, Inc. (The) | 11,009 | 2,064,077 |
Willis Towers Watson PLC | 5,085 | 1,243,689 |
WR Berkley Corp. | 9,603 | 696,890 |
Total | 36,980,414 | |
Total Financials | 176,050,289 | |
Health Care 15.7% | ||
Biotechnology 2.5% | ||
AbbVie, Inc. | 83,077 | 13,426,074 |
Amgen, Inc. | 25,066 | 6,583,334 |
Biogen, Inc.(a) | 6,765 | 1,873,364 |
Gilead Sciences, Inc. | 58,920 | 5,058,282 |
Incyte Corp.(a) | 8,674 | 696,696 |
Moderna, Inc.(a) | 15,521 | 2,787,882 |
Regeneron Pharmaceuticals, Inc.(a) | 5,030 | 3,629,095 |
Vertex Pharmaceuticals, Inc.(a) | 12,058 | 3,482,109 |
Total | 37,536,836 | |
Health Care Equipment & Supplies 2.8% | ||
Abbott Laboratories | 81,907 | 8,992,569 |
Align Technology, Inc.(a) | 3,413 | 719,802 |
Baxter International, Inc. | 23,682 | 1,207,072 |
Becton Dickinson and Co. | 13,398 | 3,407,111 |
Boston Scientific Corp.(a) | 67,285 | 3,113,277 |
Cooper Companies, Inc. (The) | 2,318 | 766,493 |
Dentsply Sirona, Inc. | 10,096 | 321,457 |
DexCom, Inc.(a) | 18,145 | 2,054,740 |
Edwards Lifesciences Corp.(a) | 29,044 | 2,166,973 |
Hologic, Inc.(a) | 11,728 | 877,372 |
IDEXX Laboratories, Inc.(a) | 3,890 | 1,586,964 |
Intuitive Surgical, Inc.(a) | 16,601 | 4,405,075 |
Medtronic PLC | 62,439 | 4,852,759 |
ResMed, Inc. | 6,881 | 1,432,143 |
STERIS PLC | 4,689 | 866,011 |
Stryker Corp. | 15,822 | 3,868,321 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 11 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Teleflex, Inc. | 2,203 | 549,935 |
Zimmer Biomet Holdings, Inc. | 9,858 | 1,256,895 |
Total | 42,444,969 | |
Health Care Providers & Services 3.7% | ||
AmerisourceBergen Corp. | 7,608 | 1,260,722 |
Cardinal Health, Inc. | 12,314 | 946,577 |
Centene Corp.(a) | 26,601 | 2,181,548 |
Cigna Corp. | 14,363 | 4,759,036 |
CVS Health Corp. | 61,726 | 5,752,246 |
DaVita, Inc.(a) | 2,582 | 192,798 |
Elevance Health, Inc. | 11,219 | 5,755,010 |
HCA Healthcare, Inc. | 9,961 | 2,390,242 |
Henry Schein, Inc.(a) | 6,368 | 508,612 |
Humana, Inc. | 5,947 | 3,045,994 |
Laboratory Corp. of America Holdings | 4,162 | 980,068 |
McKesson Corp. | 6,661 | 2,498,674 |
Molina Healthcare, Inc.(a) | 2,743 | 905,794 |
Quest Diagnostics, Inc. | 5,350 | 836,954 |
UnitedHealth Group, Inc. | 43,893 | 23,271,191 |
Universal Health Services, Inc., Class B | 3,014 | 424,642 |
Total | 55,710,108 | |
Life Sciences Tools & Services 1.9% | ||
Agilent Technologies, Inc. | 13,907 | 2,081,182 |
Bio-Rad Laboratories, Inc., Class A(a) | 1,011 | 425,115 |
Bio-Techne Corp. | 7,374 | 611,157 |
Charles River Laboratories International, Inc.(a) | 2,390 | 520,781 |
Danaher Corp. | 30,778 | 8,169,097 |
Illumina, Inc.(a) | 7,389 | 1,494,056 |
IQVIA Holdings, Inc.(a) | 8,725 | 1,787,665 |
Mettler-Toledo International, Inc.(a) | 1,047 | 1,513,386 |
PerkinElmer, Inc. | 5,930 | 831,505 |
Thermo Fisher Scientific, Inc. | 18,424 | 10,145,913 |
Waters Corp.(a) | 2,791 | 956,141 |
West Pharmaceutical Services, Inc. | 3,478 | 818,547 |
Total | 29,354,545 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 4.8% | ||
Bristol-Myers Squibb Co. | 99,880 | 7,186,366 |
Catalent, Inc.(a) | 8,454 | 380,514 |
Eli Lilly & Co. | 37,048 | 13,553,640 |
Johnson & Johnson | 122,820 | 21,696,153 |
Merck & Co., Inc. | 119,104 | 13,214,589 |
Organon & Co. | 11,949 | 333,735 |
Pfizer, Inc. | 263,695 | 13,511,732 |
Viatris, Inc. | 56,968 | 634,054 |
Zoetis, Inc. | 21,894 | 3,208,566 |
Total | 73,719,349 | |
Total Health Care | 238,765,807 | |
Industrials 8.6% | ||
Aerospace & Defense 1.9% | ||
Boeing Co. (The)(a) | 26,317 | 5,013,125 |
General Dynamics Corp. | 10,576 | 2,624,011 |
Howmet Aerospace, Inc. | 17,297 | 681,675 |
Huntington Ingalls Industries, Inc. | 1,875 | 432,525 |
L3Harris Technologies, Inc. | 8,944 | 1,862,230 |
Lockheed Martin Corp. | 10,957 | 5,330,471 |
Northrop Grumman Corp. | 6,796 | 3,707,966 |
Raytheon Technologies Corp. | 69,059 | 6,969,434 |
Textron, Inc. | 9,807 | 694,336 |
TransDigm Group, Inc. | 2,427 | 1,528,161 |
Total | 28,843,934 | |
Air Freight & Logistics 0.6% | ||
CH Robinson Worldwide, Inc. | 5,530 | 506,327 |
Expeditors International of Washington, Inc. | 7,476 | 776,906 |
FedEx Corp. | 11,246 | 1,947,807 |
United Parcel Service, Inc., Class B | 34,285 | 5,960,104 |
Total | 9,191,144 | |
Airlines 0.2% | ||
Alaska Air Group, Inc.(a) | 5,958 | 255,836 |
American Airlines Group, Inc.(a) | 30,530 | 388,342 |
Delta Air Lines, Inc.(a) | 30,121 | 989,776 |
Southwest Airlines Co.(a) | 27,892 | 939,124 |
United Airlines Holdings, Inc.(a) | 15,358 | 578,997 |
Total | 3,152,075 |
12 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 0.5% | ||
Allegion PLC | 4,127 | 434,408 |
AO Smith Corp. | 5,960 | 341,150 |
Carrier Global Corp. | 39,285 | 1,620,506 |
Johnson Controls International PLC | 32,353 | 2,070,592 |
Masco Corp. | 10,595 | 494,469 |
Trane Technologies PLC | 10,819 | 1,818,566 |
Total | 6,779,691 | |
Commercial Services & Supplies 0.5% | ||
Cintas Corp. | 4,055 | 1,831,319 |
Copart, Inc.(a) | 20,131 | 1,225,777 |
Republic Services, Inc. | 9,649 | 1,244,625 |
Rollins, Inc. | 10,873 | 397,299 |
Waste Management, Inc. | 17,547 | 2,752,773 |
Total | 7,451,793 | |
Construction & Engineering 0.1% | ||
Jacobs Solutions, Inc. | 5,994 | 719,700 |
Quanta Services, Inc. | 6,713 | 956,602 |
Total | 1,676,302 | |
Electrical Equipment 0.6% | ||
AMETEK, Inc. | 10,788 | 1,507,299 |
Eaton Corp. PLC | 18,683 | 2,932,297 |
Emerson Electric Co. | 27,777 | 2,668,259 |
Generac Holdings, Inc.(a) | 2,976 | 299,564 |
Rockwell Automation, Inc. | 5,395 | 1,389,590 |
Total | 8,797,009 | |
Industrial Conglomerates 0.9% | ||
3M Co. | 25,966 | 3,113,843 |
General Electric Co. | 51,330 | 4,300,940 |
Honeywell International, Inc. | 31,583 | 6,768,237 |
Total | 14,183,020 | |
Machinery 1.9% | ||
Caterpillar, Inc. | 24,447 | 5,856,523 |
Cummins, Inc. | 6,625 | 1,605,171 |
Deere & Co. | 12,902 | 5,531,861 |
Dover Corp. | 6,593 | 892,758 |
Fortive Corp. | 16,621 | 1,067,899 |
IDEX Corp. | 3,543 | 808,973 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Illinois Tool Works, Inc. | 13,132 | 2,892,980 |
Ingersoll Rand, Inc. | 19,022 | 993,899 |
Nordson Corp. | 2,526 | 600,481 |
Otis Worldwide Corp. | 19,570 | 1,532,527 |
PACCAR, Inc. | 16,337 | 1,616,873 |
Parker-Hannifin Corp. | 6,032 | 1,755,312 |
Pentair PLC | 7,728 | 347,605 |
Snap-On, Inc. | 2,497 | 570,540 |
Stanley Black & Decker, Inc. | 6,950 | 522,084 |
Westinghouse Air Brake Technologies Corp. | 8,544 | 852,777 |
Xylem, Inc. | 8,466 | 936,086 |
Total | 28,384,349 | |
Professional Services 0.3% | ||
CoStar Group, Inc.(a) | 19,105 | 1,476,434 |
Equifax, Inc. | 5,752 | 1,117,959 |
Leidos Holdings, Inc. | 6,421 | 675,425 |
Robert Half International, Inc. | 5,097 | 376,311 |
Verisk Analytics, Inc. | 7,347 | 1,296,158 |
Total | 4,942,287 | |
Road & Rail 0.9% | ||
CSX Corp. | 98,764 | 3,059,709 |
JB Hunt Transport Services, Inc. | 3,891 | 678,435 |
Norfolk Southern Corp. | 10,876 | 2,680,064 |
Old Dominion Freight Line, Inc. | 4,256 | 1,207,768 |
Union Pacific Corp. | 28,881 | 5,980,388 |
Total | 13,606,364 | |
Trading Companies & Distributors 0.2% | ||
Fastenal Co. | 26,906 | 1,273,192 |
United Rentals, Inc.(a) | 3,256 | 1,157,248 |
W.W. Grainger, Inc. | 2,113 | 1,175,356 |
Total | 3,605,796 | |
Total Industrials | 130,613,764 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 13 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 25.5% | ||
Communications Equipment 0.9% | ||
Arista Networks, Inc.(a) | 11,627 | 1,410,937 |
Cisco Systems, Inc. | 192,885 | 9,189,041 |
F5, Inc.(a) | 2,812 | 403,550 |
Juniper Networks, Inc. | 15,247 | 487,294 |
Motorola Solutions, Inc. | 7,855 | 2,024,312 |
Total | 13,515,134 | |
Electronic Equipment, Instruments & Components 0.6% | ||
Amphenol Corp., Class A | 27,956 | 2,128,570 |
CDW Corp. | 6,360 | 1,135,769 |
Corning, Inc. | 35,760 | 1,142,174 |
Keysight Technologies, Inc.(a) | 8,399 | 1,436,817 |
TE Connectivity Ltd. | 14,942 | 1,715,342 |
Teledyne Technologies, Inc.(a) | 2,202 | 880,602 |
Trimble Navigation Ltd.(a) | 11,586 | 585,788 |
Zebra Technologies Corp., Class A(a) | 2,425 | 621,794 |
Total | 9,646,856 | |
IT Services 4.4% | ||
Accenture PLC, Class A | 29,599 | 7,898,197 |
Akamai Technologies, Inc.(a) | 7,387 | 622,724 |
Automatic Data Processing, Inc. | 19,487 | 4,654,665 |
Broadridge Financial Solutions, Inc. | 5,527 | 741,337 |
Cognizant Technology Solutions Corp., Class A | 24,142 | 1,380,681 |
DXC Technology Co.(a) | 10,808 | 286,412 |
EPAM Systems, Inc.(a) | 2,702 | 885,553 |
Fidelity National Information Services, Inc. | 27,875 | 1,891,319 |
Fiserv, Inc.(a) | 29,831 | 3,015,019 |
FleetCor Technologies, Inc.(a) | 3,465 | 636,451 |
Gartner, Inc.(a) | 3,712 | 1,247,752 |
Global Payments, Inc. | 12,703 | 1,261,662 |
International Business Machines Corp. | 42,473 | 5,984,021 |
Jack Henry & Associates, Inc. | 3,427 | 601,644 |
MasterCard, Inc., Class A | 39,878 | 13,866,777 |
Paychex, Inc. | 15,068 | 1,741,258 |
PayPal Holdings, Inc.(a) | 53,555 | 3,814,187 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
VeriSign, Inc.(a) | 4,333 | 890,172 |
Visa, Inc., Class A | 76,807 | 15,957,422 |
Total | 67,377,253 | |
Semiconductors & Semiconductor Equipment 5.1% | ||
Advanced Micro Devices, Inc.(a) | 75,743 | 4,905,874 |
Analog Devices, Inc. | 24,162 | 3,963,293 |
Applied Materials, Inc. | 40,414 | 3,935,515 |
Broadcom, Inc. | 19,026 | 10,638,007 |
Enphase Energy, Inc.(a) | 6,385 | 1,691,770 |
First Solar, Inc.(a) | 4,657 | 697,572 |
Intel Corp. | 193,873 | 5,124,063 |
KLA Corp. | 6,657 | 2,509,889 |
Lam Research Corp. | 6,407 | 2,692,862 |
Microchip Technology, Inc. | 25,838 | 1,815,120 |
Micron Technology, Inc. | 51,072 | 2,552,579 |
Monolithic Power Systems, Inc. | 2,095 | 740,813 |
NVIDIA Corp. | 116,972 | 17,094,288 |
NXP Semiconductors NV | 12,173 | 1,923,699 |
ON Semiconductor Corp.(a) | 20,314 | 1,266,984 |
Qorvo, Inc.(a) | 4,763 | 431,718 |
QUALCOMM, Inc. | 52,661 | 5,789,550 |
Skyworks Solutions, Inc. | 7,537 | 686,847 |
SolarEdge Technologies, Inc.(a) | 2,626 | 743,867 |
Teradyne, Inc. | 7,317 | 639,140 |
Texas Instruments, Inc. | 42,635 | 7,044,155 |
Total | 76,887,605 | |
Software 8.3% | ||
Adobe, Inc.(a) | 21,839 | 7,349,479 |
ANSYS, Inc.(a) | 4,092 | 988,586 |
Autodesk, Inc.(a) | 10,140 | 1,894,862 |
Cadence Design Systems, Inc.(a) | 12,886 | 2,070,007 |
Ceridian HCM Holding, Inc.(a) | 7,215 | 462,842 |
Fortinet, Inc.(a) | 30,461 | 1,489,238 |
Gen Digital, Inc. | 27,233 | 583,603 |
Intuit, Inc. | 13,241 | 5,153,662 |
Microsoft Corp. | 350,186 | 83,981,607 |
Oracle Corp. | 72,194 | 5,901,138 |
Paycom Software, Inc.(a) | 2,283 | 708,438 |
PTC, Inc.(a) | 4,966 | 596,119 |
14 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Roper Technologies, Inc. | 4,982 | 2,152,672 |
Salesforce, Inc.(a) | 46,977 | 6,228,680 |
ServiceNow, Inc.(a) | 9,489 | 3,684,294 |
Synopsys, Inc.(a) | 7,183 | 2,293,460 |
Tyler Technologies, Inc.(a) | 1,956 | 630,634 |
Total | 126,169,321 | |
Technology Hardware, Storage & Peripherals 6.2% | ||
Apple, Inc.(c) | 702,471 | 91,272,057 |
Hewlett Packard Enterprise Co. | 60,445 | 964,702 |
HP, Inc. | 41,585 | 1,117,389 |
NetApp, Inc. | 10,211 | 613,273 |
Seagate Technology Holdings PLC | 9,020 | 474,542 |
Western Digital Corp.(a) | 14,922 | 470,789 |
Total | 94,912,752 | |
Total Information Technology | 388,508,921 | |
Materials 2.7% | ||
Chemicals 1.9% | ||
Air Products & Chemicals, Inc. | 10,419 | 3,211,761 |
Albemarle Corp. | 5,503 | 1,193,381 |
Celanese Corp., Class A | 4,686 | 479,097 |
CF Industries Holdings, Inc. | 9,216 | 785,203 |
Corteva, Inc. | 33,564 | 1,972,892 |
Dow, Inc. | 33,060 | 1,665,893 |
DuPont de Nemours, Inc. | 23,337 | 1,601,618 |
Eastman Chemical Co. | 5,637 | 459,077 |
Ecolab, Inc. | 11,641 | 1,694,464 |
FMC Corp. | 5,917 | 738,442 |
International Flavors & Fragrances, Inc. | 11,977 | 1,255,669 |
Linde PLC | 23,224 | 7,575,204 |
LyondellBasell Industries NV, Class A | 11,931 | 990,631 |
Mosaic Co. (The) | 15,995 | 701,701 |
PPG Industries, Inc. | 11,041 | 1,388,295 |
Sherwin-Williams Co. (The) | 11,078 | 2,629,142 |
Total | 28,342,470 | |
Construction Materials 0.1% | ||
Martin Marietta Materials, Inc. | 2,917 | 985,858 |
Vulcan Materials Co. | 6,244 | 1,093,387 |
Total | 2,079,245 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Containers & Packaging 0.3% | ||
Amcor PLC | 69,949 | 833,093 |
Avery Dennison Corp. | 3,804 | 688,524 |
Ball Corp. | 14,747 | 754,162 |
International Paper Co. | 16,708 | 578,598 |
Packaging Corp. of America | 4,347 | 556,025 |
Sealed Air Corp. | 6,796 | 338,984 |
WestRock Co. | 11,946 | 420,021 |
Total | 4,169,407 | |
Metals & Mining 0.4% | ||
Freeport-McMoRan, Inc. | 67,145 | 2,551,510 |
Newmont Corp. | 37,287 | 1,759,946 |
Nucor Corp. | 12,052 | 1,588,574 |
Steel Dynamics, Inc. | 7,835 | 765,480 |
Total | 6,665,510 | |
Total Materials | 41,256,632 | |
Real Estate 2.7% | ||
Equity Real Estate Investment Trusts (REITS) 2.6% | ||
Alexandria Real Estate Equities, Inc. | 7,015 | 1,021,875 |
American Tower Corp. | 21,873 | 4,634,014 |
AvalonBay Communities, Inc. | 6,572 | 1,061,509 |
Boston Properties, Inc. | 6,701 | 452,854 |
Camden Property Trust | 5,004 | 559,848 |
Crown Castle, Inc. | 20,343 | 2,759,325 |
Digital Realty Trust, Inc. | 13,507 | 1,354,347 |
Equinix, Inc. | 4,347 | 2,847,415 |
Equity Residential | 15,978 | 942,702 |
Essex Property Trust, Inc. | 3,042 | 644,661 |
Extra Space Storage, Inc. | 6,291 | 925,909 |
Federal Realty Investment Trust | 3,433 | 346,870 |
Healthpeak Properties, Inc. | 25,252 | 633,068 |
Host Hotels & Resorts, Inc. | 33,590 | 539,119 |
Invitation Homes, Inc. | 27,286 | 808,757 |
Iron Mountain, Inc. | 13,657 | 680,801 |
Kimco Realty Corp. | 29,053 | 615,343 |
Mid-America Apartment Communities, Inc. | 5,425 | 851,671 |
Prologis, Inc. | 43,363 | 4,888,311 |
Public Storage | 7,426 | 2,080,691 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 15 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Realty Income Corp. | 29,462 | 1,868,775 |
Regency Centers Corp. | 7,235 | 452,188 |
SBA Communications Corp. | 5,072 | 1,421,732 |
Simon Property Group, Inc. | 15,359 | 1,804,375 |
UDR, Inc. | 14,375 | 556,744 |
Ventas, Inc. | 18,777 | 845,904 |
VICI Properties, Inc. | 45,243 | 1,465,873 |
Vornado Realty Trust | 7,568 | 157,490 |
Welltower, Inc. | 22,197 | 1,455,013 |
Weyerhaeuser Co. | 34,571 | 1,071,701 |
Total | 39,748,885 | |
Real Estate Management & Development 0.1% | ||
CBRE Group, Inc., Class A(a) | 14,842 | 1,142,240 |
Total Real Estate | 40,891,125 | |
Utilities 3.1% | ||
Electric Utilities 2.1% | ||
Alliant Energy Corp. | 11,792 | 651,036 |
American Electric Power Co., Inc. | 24,140 | 2,292,093 |
Constellation Energy Corp. | 15,362 | 1,324,358 |
Duke Energy Corp. | 36,175 | 3,725,663 |
Edison International | 17,939 | 1,141,279 |
Entergy Corp. | 9,559 | 1,075,388 |
Evergy, Inc. | 10,783 | 678,574 |
Eversource Energy | 16,362 | 1,371,790 |
Exelon Corp. | 46,683 | 2,018,106 |
FirstEnergy Corp. | 25,517 | 1,070,183 |
NextEra Energy, Inc. | 93,350 | 7,804,060 |
NRG Energy, Inc. | 10,823 | 344,388 |
PG&E Corp.(a) | 75,634 | 1,229,809 |
Pinnacle West Capital Corp. | 5,315 | 404,153 |
PPL Corp. | 34,590 | 1,010,720 |
Southern Co. (The) | 51,142 | 3,652,050 |
Xcel Energy, Inc. | 25,708 | 1,802,388 |
Total | 31,596,038 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Gas Utilities 0.0% | ||
Atmos Energy Corp. | 6,572 | 736,524 |
Independent Power and Renewable Electricity Producers 0.0% | ||
AES Corp. (The) | 31,378 | 902,431 |
Multi-Utilities 0.9% | ||
Ameren Corp. | 12,144 | 1,079,844 |
CenterPoint Energy, Inc. | 29,574 | 886,924 |
CMS Energy Corp. | 13,635 | 863,505 |
Consolidated Edison, Inc. | 16,670 | 1,588,818 |
Dominion Energy, Inc. | 39,144 | 2,400,310 |
DTE Energy Co. | 9,101 | 1,069,640 |
NiSource, Inc. | 19,079 | 523,146 |
Public Service Enterprise Group, Inc. | 23,439 | 1,436,107 |
Sempra Energy | 14,766 | 2,281,938 |
WEC Energy Group, Inc. | 14,818 | 1,389,336 |
Total | 13,519,568 | |
Water Utilities 0.1% | ||
American Water Works Co., Inc. | 8,542 | 1,301,972 |
Total Utilities | 48,056,533 | |
Total Common Stocks (Cost $987,430,851) | 1,509,494,529 | |
Money Market Funds 1.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(d) | 15,174,660 | 15,170,108 |
Total Money Market Funds (Cost $15,168,768) | 15,170,108 | |
Total Investments in Securities (Cost: $1,002,599,619) | 1,524,664,637 | |
Other Assets & Liabilities, Net | 275,857 | |
Net Assets | 1,524,940,494 |
16 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 84 | 03/2023 | USD | 16,216,200 | — | (538,198) |
(a) | Non-income producing investment. |
(b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Ameriprise Financial, Inc. | ||||||||
1,530,924 | 19,258 | (4,693) | 11,050 | 1,556,539 | 37,755 | 24,662 | 4,999 | |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
20,253,872 | 93,805,714 | (98,892,337) | 2,859 | 15,170,108 | (1,077) | 325,406 | 15,174,660 | |
Total | 21,784,796 | 13,909 | 16,726,647 | 36,678 | 350,068 |
(c) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 17 |
December 31, 2022
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 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. Representatives of Columbia Management Investment Advisers, LLC report to the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 109,876,920 | — | — | 109,876,920 |
Consumer Discretionary | 147,869,984 | — | — | 147,869,984 |
Consumer Staples | 108,685,736 | — | — | 108,685,736 |
Energy | 78,918,818 | — | — | 78,918,818 |
Financials | 176,050,289 | — | — | 176,050,289 |
Health Care | 238,765,807 | — | — | 238,765,807 |
Industrials | 130,613,764 | — | — | 130,613,764 |
Information Technology | 388,508,921 | — | — | 388,508,921 |
Materials | 41,256,632 | — | — | 41,256,632 |
Real Estate | 40,891,125 | — | — | 40,891,125 |
Utilities | 48,056,533 | — | — | 48,056,533 |
Total Common Stocks | 1,509,494,529 | — | — | 1,509,494,529 |
Money Market Funds | 15,170,108 | — | — | 15,170,108 |
Total Investments in Securities | 1,524,664,637 | — | — | 1,524,664,637 |
Investments in Derivatives | ||||
Liability | ||||
Futures Contracts | (538,198) | — | — | (538,198) |
Total | 1,524,126,439 | — | — | 1,524,126,439 |
18 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $986,860,588) | $1,507,937,990 |
Affiliated issuers (cost $15,739,031) | 16,726,647 |
Receivable for: | |
Capital shares sold | 28,682 |
Dividends | 1,372,835 |
Foreign tax reclaims | 18,238 |
Prepaid expenses | 14,911 |
Total assets | 1,526,099,303 |
Liabilities | |
Due to custodian | 2,213 |
Payable for: | |
Capital shares purchased | 911,272 |
Variation margin for futures contracts | 45,150 |
Management services fees | 8,383 |
Distribution and/or service fees | 2,793 |
Service fees | 38,351 |
Compensation of board members | 86,030 |
Compensation of chief compliance officer | 292 |
Other expenses | 64,325 |
Total liabilities | 1,158,809 |
Net assets applicable to outstanding capital stock | $1,524,940,494 |
Represented by | |
Trust capital | $1,524,940,494 |
Total - representing net assets applicable to outstanding capital stock | $1,524,940,494 |
Class 1 | |
Net assets | $781,573,554 |
Shares outstanding | 24,387,348 |
Net asset value per share | $32.05 |
Class 2 | |
Net assets | $69,384,649 |
Shares outstanding | 2,227,619 |
Net asset value per share | $31.15 |
Class 3 | |
Net assets | $673,982,291 |
Shares outstanding | 21,321,241 |
Net asset value per share | $31.61 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 19 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $25,529,838 |
Dividends — affiliated issuers | 350,068 |
Foreign taxes withheld | (6,137) |
Total income | 25,873,769 |
Expenses: | |
Management services fees | 3,207,265 |
Distribution and/or service fees | |
Class 2 | 143,072 |
Class 3 | 903,869 |
Service fees | 485,381 |
Compensation of board members | 31,988 |
Custodian fees | 28,919 |
Printing and postage fees | 24,283 |
Licensing fees and expenses | 163,745 |
Audit fees | 29,500 |
Legal fees | 32,512 |
Interest on collateral | 462 |
Compensation of chief compliance officer | 254 |
Other | 27,074 |
Total expenses | 5,078,324 |
Net investment income | 20,795,445 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 19,318,618 |
Investments — affiliated issuers | 36,678 |
Foreign currency translations | (42) |
Futures contracts | (4,510,092) |
Net realized gain | 14,845,162 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (374,415,745) |
Investments — affiliated issuers | 13,909 |
Futures contracts | (918,712) |
Net change in unrealized appreciation (depreciation) | (375,320,548) |
Net realized and unrealized loss | (360,475,386) |
Net decrease in net assets resulting from operations | $(339,679,941) |
20 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $20,795,445 | $17,924,858 |
Net realized gain | 14,845,162 | 55,971,736 |
Net change in unrealized appreciation (depreciation) | (375,320,548) | 339,448,712 |
Net increase (decrease) in net assets resulting from operations | (339,679,941) | 413,345,306 |
Increase (decrease) in net assets from capital stock activity | 14,682,657 | (7,697,181) |
Total increase (decrease) in net assets | (324,997,284) | 405,648,125 |
Net assets at beginning of year | 1,849,937,778 | 1,444,289,653 |
Net assets at end of year | $1,524,940,494 | $1,849,937,778 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,277,557 | 41,750,318 | 2,105,624 | 67,315,819 |
Redemptions | (1,045,214) | (35,602,655) | (2,253,317) | (77,945,667) |
Net increase (decrease) | 232,343 | 6,147,663 | (147,693) | (10,629,848) |
Class 2 | ||||
Subscriptions | 1,209,861 | 40,293,552 | 809,905 | 29,060,982 |
Redemptions | (111,912) | (3,687,478) | (60,643) | (2,064,383) |
Net increase | 1,097,949 | 36,606,074 | 749,262 | 26,996,599 |
Class 3 | ||||
Subscriptions | 708,135 | 23,521,650 | 1,028,836 | 34,349,923 |
Redemptions | (1,544,160) | (51,592,730) | (1,695,529) | (58,413,855) |
Net decrease | (836,025) | (28,071,080) | (666,693) | (24,063,932) |
Total net increase (decrease) | 494,267 | 14,682,657 | (65,124) | (7,697,181) |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 21 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $39.25 | 0.46 | (7.66) | (7.20) |
Year Ended 12/31/2021 | $30.57 | 0.40 | 8.28 | 8.68 |
Year Ended 12/31/2020 | $25.90 | 0.45 | 4.22 | 4.67 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $38.24 | 0.37 | (7.46) | (7.09) |
Year Ended 12/31/2021 | $29.86 | 0.31 | 8.07 | 8.38 |
Year Ended 12/31/2020 | $25.36 | 0.37 | 4.13 | 4.50 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $38.76 | 0.41 | (7.56) | (7.15) |
Year Ended 12/31/2021 | $30.23 | 0.35 | 8.18 | 8.53 |
Year Ended 12/31/2020 | $25.65 | 0.41 | 4.17 | 4.58 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
22 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $32.05 | (18.34%) | 0.25%(c) | 0.25%(c) | 1.36% | 2% | $781,574 |
Year Ended 12/31/2021 | $39.25 | 28.39% | 0.25%(c) | 0.25%(c) | 1.14% | 5% | $947,973 |
Year Ended 12/31/2020 | $30.57 | 18.03% | 0.26%(d) | 0.26%(d) | 1.72% | 9% | $742,971 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $31.15 | (18.54%) | 0.50%(c) | 0.50%(c) | 1.15% | 2% | $69,385 |
Year Ended 12/31/2021 | $38.24 | 28.07% | 0.50%(c) | 0.50%(c) | 0.89% | 5% | $43,195 |
Year Ended 12/31/2020 | $29.86 | 17.74% | 0.51%(d) | 0.51%(d) | 1.48% | 9% | $11,359 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $31.61 | (18.45%) | 0.38%(c) | 0.38%(c) | 1.23% | 2% | $673,982 |
Year Ended 12/31/2021 | $38.76 | 28.22% | 0.38%(c) | 0.38%(c) | 1.01% | 5% | $858,770 |
Year Ended 12/31/2020 | $30.23 | 17.85% | 0.38%(d) | 0.38%(d) | 1.59% | 9% | $689,960 |
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% | $442,813 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 538,198* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (4,510,092) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (918,712) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 18,823,666 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 29 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.26% |
Class 2 | 0.51 |
Class 3 | 0.385 |
30 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 31 |
December 31, 2022
32 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 33 |
34 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 35 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
36 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 37 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
38 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 | 39 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
40 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
26 | |
27 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -30.84 | 7.05 | 10.16 | |
Class 2 | 05/03/10 | -31.01 | 6.78 | 9.89 | |
Class 3 | 05/01/01 | -30.92 | 6.92 | 10.02 | |
Russell Midcap Growth Index | -26.72 | 7.64 | 11.41 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 97.2 |
Money Market Funds | 2.8 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 3.6 |
Consumer Discretionary | 18.4 |
Energy | 3.8 |
Financials | 7.8 |
Health Care | 21.0 |
Industrials | 14.6 |
Information Technology | 28.4 |
Materials | 2.4 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
(Unaudited)
• | Overall stock selection in the information technology sector (both in software and services as well as semiconductors) hurt performance during the period. |
• | Within software and services, the biggest detractor was The Trade Desk, Inc., a technology platform company enabling real-time programmatic advertising designed to personalize digital content delivery to users. This company has been vulnerable to higher interest rates because of having cash flows further out into the future. Fears that a recession would disproportionately hurt programmatic advertising also weighed on investor sentiment. |
• | Again, in the information technology sector, software and services company, Zscaler, Inc. was also a detractor. Zscaler is a cybersecurity technology company that provides a cloud-based integrated platform of services that acts as an intelligent switchboard to secure user-to-app, app-to-app and machine-to-machine communications over any network |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 5 |
(Unaudited)
and location. We believe this is a high-quality software company with a long duration growth story that is well positioned in the long term. However, in the fourth quarter, Zscaler faced short term headwinds, despite a strong earnings report, from bigger deals in their pipeline that have to undergo greater scrutiny, thus unfavorably increasing the duration of their sell-cycle. | |
• | Roblox Corp. is the world’s largest mobile gaming platform that connects independent video game developers with players. During the period, the stock was pressured by the broader weakness in growth stocks, as well as difficult comparisons to 2021 daily user growth numbers. |
• | Stock selection in the consumer discretionary sector was the largest positive contributor. Some of the names that did well were Planet Fitness, Inc, Five Below, Inc. and Churchill Downs, Inc. |
• | In the health care sector, Intuitive Surgical, Inc., a global leader and pioneer of robotic-assisted surgery, had strong performance driven by better-than-expected system placements and procedures revenue, as well as positive 2023 management commentary regarding moderating expense growth. |
• | Booz Allen Hamilton Holding Corp. is an American management and information technology consulting firm with a reputation for being one of the highest quality names in the defense services sector. We believe investors have been positive about the company’s strong organic growth, ability to positively maneuver COVID-related disruptions and staffing/productivity challenges, and are optimistic over their prospects to continue to grow market share given that its defense capabilities are well aligned with customer priorities now and into the future. |
• | CoStar Group, Inc. is a company that provides commercial real estate information, analytics and online marketplaces. The company’s top three products, CoStar, Apartments.com and LoopNet, had strong sales growth (based off consistent, subscription based recurring revenues) that beat expectations. We believe CoStar has done a good job of articulating its strategy for moving into the residential marketplace business. Improving multi-family market conditions also provided tailwinds for CoStar during the year. |
6 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 1,060.00 | 1,020.86 | 4.34 | 4.26 | 0.84 |
Class 2 | 1,000.00 | 1,000.00 | 1,058.70 | 1,019.60 | 5.63 | 5.52 | 1.09 |
Class 3 | 1,000.00 | 1,000.00 | 1,059.40 | 1,020.26 | 4.96 | 4.86 | 0.96 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 97.3% | ||
Issuer | Shares | Value ($) |
Communication Services 3.5% | ||
Entertainment 1.8% | ||
Take-Two Interactive Software, Inc.(a) | 72,232 | 7,521,518 |
Media 1.7% | ||
Trade Desk, Inc. (The), Class A(a) | 154,484 | 6,925,518 |
Total Communication Services | 14,447,036 | |
Consumer Discretionary 17.9% | ||
Distributors 1.0% | ||
Pool Corp. | 13,501 | 4,081,757 |
Diversified Consumer Services 1.3% | ||
Bright Horizons Family Solutions, Inc.(a) | 84,917 | 5,358,263 |
Hotels, Restaurants & Leisure 7.9% | ||
Chipotle Mexican Grill, Inc.(a) | 9,965 | 13,826,338 |
Churchill Downs, Inc. | 34,824 | 7,362,839 |
Planet Fitness, Inc., Class A(a) | 144,189 | 11,362,093 |
Total | 32,551,270 | |
Internet & Direct Marketing Retail 1.5% | ||
Etsy, Inc.(a) | 50,096 | 6,000,499 |
Specialty Retail 6.2% | ||
Five Below, Inc.(a) | 68,674 | 12,146,370 |
Tractor Supply Co. | 45,678 | 10,276,180 |
Williams-Sonoma, Inc. | 27,310 | 3,138,465 |
Total | 25,561,015 | |
Total Consumer Discretionary | 73,552,804 | |
Energy 3.7% | ||
Oil, Gas & Consumable Fuels 3.7% | ||
Antero Resources Corp.(a) | 64,957 | 2,013,017 |
Hess Corp. | 93,619 | 13,277,047 |
Total | 15,290,064 | |
Total Energy | 15,290,064 | |
Financials 7.6% | ||
Banks 1.6% | ||
Pinnacle Financial Partners, Inc. | 90,765 | 6,662,151 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 4.9% | ||
Ares Management Corp., Class A | 151,068 | 10,339,094 |
MSCI, Inc. | 20,537 | 9,553,196 |
Total | 19,892,290 | |
Insurance 1.1% | ||
Ryan Specialty Holdings, Inc., Class A(a) | 111,273 | 4,618,942 |
Total Financials | 31,173,383 | |
Health Care 20.5% | ||
Biotechnology 0.8% | ||
Horizon Therapeutics PLC(a) | 26,919 | 3,063,382 |
Health Care Equipment & Supplies 8.5% | ||
DexCom, Inc.(a) | 114,998 | 13,022,373 |
Insulet Corp.(a) | 29,704 | 8,744,561 |
Intuitive Surgical, Inc.(a) | 49,833 | 13,223,187 |
Total | 34,990,121 | |
Health Care Providers & Services 1.0% | ||
Amedisys, Inc.(a) | 50,394 | 4,209,915 |
Life Sciences Tools & Services 10.2% | ||
Bio-Techne Corp. | 169,113 | 14,016,085 |
IQVIA Holdings, Inc.(a) | 22,436 | 4,596,912 |
Repligen Corp.(a) | 62,012 | 10,499,252 |
West Pharmaceutical Services, Inc. | 54,095 | 12,731,258 |
Total | 41,843,507 | |
Total Health Care | 84,106,925 | |
Industrials 14.2% | ||
Commercial Services & Supplies 4.1% | ||
Cintas Corp. | 21,826 | 9,857,058 |
Rollins, Inc. | 192,657 | 7,039,687 |
Total | 16,896,745 | |
Electrical Equipment 2.6% | ||
AMETEK, Inc. | 45,806 | 6,400,015 |
Generac Holdings, Inc.(a) | 42,523 | 4,280,365 |
Total | 10,680,380 |
8 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 2.5% | ||
Ingersoll Rand, Inc. | 80,058 | 4,183,031 |
Middleby Corp. (The)(a) | 43,915 | 5,880,218 |
Total | 10,063,249 | |
Professional Services 3.5% | ||
CoStar Group, Inc.(a) | 185,911 | 14,367,202 |
Trading Companies & Distributors 1.5% | ||
SiteOne Landscape Supply, Inc.(a) | 53,298 | 6,252,921 |
Total Industrials | 58,260,497 | |
Information Technology 27.6% | ||
Electronic Equipment, Instruments & Components 4.1% | ||
Amphenol Corp., Class A | 111,561 | 8,494,254 |
CDW Corp. | 46,850 | 8,366,473 |
Total | 16,860,727 | |
IT Services 4.2% | ||
EPAM Systems, Inc.(a) | 25,714 | 8,427,507 |
MongoDB, Inc.(a) | 16,623 | 3,272,071 |
VeriSign, Inc.(a) | 26,530 | 5,450,323 |
Total | 17,149,901 | |
Semiconductors & Semiconductor Equipment 3.6% | ||
Marvell Technology, Inc. | 176,775 | 6,547,746 |
Monolithic Power Systems, Inc. | 15,979 | 5,650,334 |
Wolfspeed, Inc.(a) | 36,018 | 2,486,683 |
Total | 14,684,763 | |
Software 15.7% | ||
ANSYS, Inc.(a) | 26,585 | 6,422,670 |
Atlassian Corp., Class A(a) | 45,264 | 5,824,572 |
Cadence Design Systems, Inc.(a) | 68,925 | 11,072,112 |
Crowdstrike Holdings, Inc., Class A(a) | 81,096 | 8,538,598 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Datadog, Inc., Class A(a) | 59,595 | 4,380,233 |
HubSpot, Inc.(a) | 17,415 | 5,035,199 |
Paycom Software, Inc.(a) | 30,208 | 9,373,844 |
ServiceNow, Inc.(a) | 24,873 | 9,657,440 |
Zscaler, Inc.(a) | 39,856 | 4,459,886 |
Total | 64,764,554 | |
Total Information Technology | 113,459,945 | |
Materials 2.3% | ||
Chemicals 1.3% | ||
Albemarle Corp. | 24,790 | 5,375,959 |
Construction Materials 1.0% | ||
Vulcan Materials Co. | 23,404 | 4,098,275 |
Total Materials | 9,474,234 | |
Total Common Stocks (Cost $430,453,575) | 399,764,888 | |
Money Market Funds 2.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 11,388,416 | 11,384,999 |
Total Money Market Funds (Cost $11,384,877) | 11,384,999 | |
Total Investments in Securities (Cost: $441,838,452) | 411,149,887 | |
Other Assets & Liabilities, Net | (280,875) | |
Net Assets | 410,869,012 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 9 |
December 31, 2022
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
19,792,615 | 168,194,629 | (176,602,367) | 122 | 11,384,999 | (365) | 185,632 | 11,388,416 |
■ | 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 | 14,447,036 | — | — | 14,447,036 |
Consumer Discretionary | 73,552,804 | — | — | 73,552,804 |
Energy | 15,290,064 | — | — | 15,290,064 |
Financials | 31,173,383 | — | — | 31,173,383 |
Health Care | 84,106,925 | — | — | 84,106,925 |
Industrials | 58,260,497 | — | — | 58,260,497 |
10 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | 113,459,945 | — | — | 113,459,945 |
Materials | 9,474,234 | — | — | 9,474,234 |
Total Common Stocks | 399,764,888 | — | — | 399,764,888 |
Money Market Funds | 11,384,999 | — | — | 11,384,999 |
Total Investments in Securities | 411,149,887 | — | — | 411,149,887 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $430,453,575) | $399,764,888 |
Affiliated issuers (cost $11,384,877) | 11,384,999 |
Receivable for: | |
Capital shares sold | 14,948 |
Dividends | 122,839 |
Expense reimbursement due from Investment Manager | 542 |
Prepaid expenses | 9,108 |
Total assets | 411,297,324 |
Liabilities | |
Payable for: | |
Capital shares purchased | 265,562 |
Management services fees | 9,285 |
Distribution and/or service fees | 976 |
Service fees | 14,141 |
Compensation of board members | 116,103 |
Compensation of chief compliance officer | 81 |
Other expenses | 22,164 |
Total liabilities | 428,312 |
Net assets applicable to outstanding capital stock | $410,869,012 |
Represented by | |
Trust capital | $410,869,012 |
Total - representing net assets applicable to outstanding capital stock | $410,869,012 |
Class 1 | |
Net assets | $162,077,975 |
Shares outstanding | 4,470,690 |
Net asset value per share | $36.25 |
Class 2 | |
Net assets | $34,453,452 |
Shares outstanding | 980,161 |
Net asset value per share | $35.15 |
Class 3 | |
Net assets | $214,337,585 |
Shares outstanding | 6,006,585 |
Net asset value per share | $35.68 |
12 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,827,864 |
Dividends — affiliated issuers | 185,632 |
Interfund lending | 990 |
Total income | 2,014,486 |
Expenses: | |
Management services fees | 3,687,795 |
Distribution and/or service fees | |
Class 2 | 93,665 |
Class 3 | 304,951 |
Service fees | 175,314 |
Compensation of board members | 13,015 |
Custodian fees | 9,637 |
Printing and postage fees | 34,006 |
Audit fees | 29,500 |
Legal fees | 17,875 |
Compensation of chief compliance officer | 60 |
Other | 13,108 |
Total expenses | 4,378,926 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (199,846) |
Total net expenses | 4,179,080 |
Net investment loss | (2,164,594) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (24,003,755) |
Investments — affiliated issuers | (365) |
Net realized loss | (24,004,120) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (158,851,043) |
Investments — affiliated issuers | 122 |
Net change in unrealized appreciation (depreciation) | (158,850,921) |
Net realized and unrealized loss | (182,855,041) |
Net decrease in net assets resulting from operations | $(185,019,635) |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment loss | $(2,164,594) | $(3,856,061) |
Net realized gain (loss) | (24,004,120) | 132,462,791 |
Net change in unrealized appreciation (depreciation) | (158,850,921) | (34,316,298) |
Net increase (decrease) in net assets resulting from operations | (185,019,635) | 94,290,432 |
Decrease in net assets from capital stock activity | (13,193,801) | (99,809,027) |
Total decrease in net assets | (198,213,436) | (5,518,595) |
Net assets at beginning of year | 609,082,448 | 614,601,043 |
Net assets at end of year | $410,869,012 | $609,082,448 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 547,523 | 19,218,032 | 59,863 | 3,034,482 |
Redemptions | (188,964) | (7,439,868) | (1,402,981) | (68,652,519) |
Net increase (decrease) | 358,559 | 11,778,164 | (1,343,118) | (65,618,037) |
Class 2 | ||||
Subscriptions | 126,812 | 4,887,387 | 191,146 | 9,305,333 |
Redemptions | (123,753) | (4,692,951) | (144,156) | (6,877,414) |
Net increase | 3,059 | 194,436 | 46,990 | 2,427,919 |
Class 3 | ||||
Subscriptions | 13,407 | 492,790 | 15,003 | 734,550 |
Redemptions | (662,447) | (25,659,191) | (764,385) | (37,353,459) |
Net decrease | (649,040) | (25,166,401) | (749,382) | (36,618,909) |
Total net decrease | (287,422) | (13,193,801) | (2,045,510) | (99,809,027) |
14 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $52.41 | (0.15) | (16.01) | (16.16) |
Year Ended 12/31/2021 | $44.96 | (0.27) | 7.72 | 7.45 |
Year Ended 12/31/2020 | $33.20 | (0.11) | 11.87 | 11.76 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $50.95 | (0.24) | (15.56) | (15.80) |
Year Ended 12/31/2021 | $43.82 | (0.38) | 7.51 | 7.13 |
Year Ended 12/31/2020 | $32.44 | (0.20) | 11.58 | 11.38 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $51.65 | (0.20) | (15.77) | (15.97) |
Year Ended 12/31/2021 | $44.37 | (0.33) | 7.61 | 7.28 |
Year Ended 12/31/2020 | $32.80 | (0.16) | 11.73 | 11.57 |
Year Ended 12/31/2019 | $24.30 | (0.02) | 8.52 | 8.50 |
Year Ended 12/31/2018 | $25.54 | (0.00)(d) | (1.24) | (1.24) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Rounds to zero. |
16 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $36.25 | (30.84%) | 0.88% | 0.84% | (0.39%) | 73% | $162,078 |
Year Ended 12/31/2021 | $52.41 | 16.57% | 0.88% | 0.82% | (0.54%) | 75% | $215,521 |
Year Ended 12/31/2020 | $44.96 | 35.42% | 0.88%(c) | 0.77%(c) | (0.32%) | 84% | $245,292 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $35.15 | (31.01%) | 1.13% | 1.09% | (0.64%) | 73% | $34,453 |
Year Ended 12/31/2021 | $50.95 | 16.27% | 1.13% | 1.07% | (0.79%) | 75% | $49,778 |
Year Ended 12/31/2020 | $43.82 | 35.08% | 1.13%(c) | 1.02%(c) | (0.58%) | 84% | $40,754 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $35.68 | (30.92%) | 1.01% | 0.96% | (0.52%) | 73% | $214,338 |
Year Ended 12/31/2021 | $51.65 | 16.41% | 1.00% | 0.94% | (0.66%) | 75% | $343,782 |
Year Ended 12/31/2020 | $44.37 | 35.28% | 1.01%(c) | 0.90%(c) | (0.45%) | 84% | $328,556 |
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% | $227,630 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 21 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.84% |
Class 2 | 1.09 |
Class 3 | 0.965 |
22 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,614,286 | 2.35 | 7 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 25 |
26 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
28 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 29 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
30 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 | 31 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
32 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
11 | |
12 | |
13 | |
14 | |
16 | |
23 | |
24 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -1.84 | 8.11 | 12.11 | |
Class 2 | 05/03/10 | -2.06 | 7.84 | 11.83 | |
Class 3 | 02/04/04 | -1.95 | 7.98 | 11.97 | |
Russell 1000 Value Index | -7.54 | 6.67 | 10.29 | ||
S&P 500 Index | -18.11 | 9.42 | 12.56 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 97.9 |
Money Market Funds | 2.0 |
Preferred Stocks | 0.1 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 3.7 |
Consumer Discretionary | 3.6 |
Consumer Staples | 3.5 |
Energy | 11.3 |
Financials | 18.1 |
Health Care | 14.5 |
Industrials | 9.7 |
Information Technology | 13.9 |
Materials | 10.7 |
Utilities | 11.0 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
• | Strong broad-based stock selection was the key driver of outperformance during the period, with the Fund benefitting from robust stock-picking across every economic sector with the exception of the consumer discretionary sector. |
• | An overweight to the energy sector and underweights to the real estate and communication services sectors also helped relative results. Sector exposures are a byproduct of the portfolio’s longstanding bottom-up investment process. |
• | Diversification among the Fund’s top 10 performers during the period further illustrates the breadth of the year’s success with security selection. Top contributors represented six of the 11 sectors in the benchmark. Notable holdings included: |
○ | Refiner Marathon Petroleum Corp., which is in the midst of buying back effectively 60% of outstanding shares, delivered strong performance thanks in part to the sale of Speedway gas stations, but also due to widening refining spreads (the price difference between crude oil and refined products), refinery efficiencies and production issues in other countries. |
○ | Subsea equipment and services provider TechnipFMC PLC also had a strong period of performance amid big contract wins, as offshore production entered what we believed to be its sweet spot in the cycle and capital investments started to pay off. |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 5 |
(Unaudited)
○ | California electric utility PG&E Corp. continued to execute and become what we believe to be a better company while delivering strong earnings growth. Another milestone for the utility came on the last day of the third quarter of 2022, when the stock was added as a constituent of the S&P 500 Index. |
○ | Managed care provider Cigna Corp. rose due to continuing positive sentiment driven by solid results and expectations for sustained long-term demand. |
• | Security selection in health care was a key detractor for the year. |
• | Notable individual detractors included chip maker QUALCOMM, Inc. and semiconductor equipment maker Applied Materials, Inc., which were adversely affected by headwinds that buffeted most of the technology sector as investors focused on slowdowns in global growth and demand that largely centered on the COVID-19 lockdown in China. |
• | An additional noteworthy detractor was multi-channel retailer Qurate Retail, Inc., which suffered from a bad retail environment, opacity in terms of a new business model and concerns about negative cash flow related to supply chain issues, a warehouse fire and tepid demand. |
6 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,105.00 | 1,021.56 | 3.69 | 3.55 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,103.80 | 1,020.31 | 5.01 | 4.81 | 0.95 |
Class 3 | 1,000.00 | 1,000.00 | 1,104.20 | 1,020.96 | 4.33 | 4.15 | 0.82 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 98.0% | ||
Issuer | Shares | Value ($) |
Communication Services 3.6% | ||
Diversified Telecommunication Services 3.6% | ||
Verizon Communications, Inc. | 1,856,040 | 73,127,976 |
Total Communication Services | 73,127,976 | |
Consumer Discretionary 3.4% | ||
Internet & Direct Marketing Retail 0.3% | ||
Qurate Retail, Inc.(a) | 3,388,236 | 5,522,825 |
Specialty Retail 3.1% | ||
Lowe’s Companies, Inc. | 322,618 | 64,278,410 |
Total Consumer Discretionary | 69,801,235 | |
Consumer Staples 3.5% | ||
Tobacco 3.5% | ||
Philip Morris International, Inc. | 701,087 | 70,957,015 |
Total Consumer Staples | 70,957,015 | |
Energy 11.1% | ||
Energy Equipment & Services 2.2% | ||
TechnipFMC PLC(a) | 3,638,906 | 44,358,264 |
Oil, Gas & Consumable Fuels 8.9% | ||
Chevron Corp. | 259,640 | 46,602,784 |
Marathon Petroleum Corp. | 629,069 | 73,217,341 |
Williams Companies, Inc. (The) | 1,893,836 | 62,307,204 |
Total | 182,127,329 | |
Total Energy | 226,485,593 | |
Financials 17.8% | ||
Banks 10.0% | ||
Bank of America Corp. | 1,557,643 | 51,589,136 |
Citigroup, Inc. | 947,767 | 42,867,502 |
JPMorgan Chase & Co. | 360,491 | 48,341,843 |
Wells Fargo & Co. | 1,481,430 | 61,168,245 |
Total | 203,966,726 | |
Capital Markets 1.9% | ||
Morgan Stanley | 449,497 | 38,216,235 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 5.9% | ||
American International Group, Inc. | 885,440 | 55,995,225 |
MetLife, Inc. | 891,199 | 64,496,072 |
Total | 120,491,297 | |
Total Financials | 362,674,258 | |
Health Care 14.2% | ||
Health Care Equipment & Supplies 1.8% | ||
Baxter International, Inc. | 717,773 | 36,584,890 |
Health Care Providers & Services 9.5% | ||
Centene Corp.(a) | 689,753 | 56,566,643 |
Cigna Corp. | 251,908 | 83,467,197 |
Humana, Inc. | 106,094 | 54,340,286 |
Total | 194,374,126 | |
Pharmaceuticals 2.9% | ||
Bristol-Myers Squibb Co. | 826,000 | 59,430,700 |
Total Health Care | 290,389,716 | |
Industrials 9.5% | ||
Aerospace & Defense 3.1% | ||
Raytheon Technologies Corp. | 635,252 | 64,109,632 |
Airlines 2.2% | ||
Southwest Airlines Co.(a) | 1,353,986 | 45,588,709 |
Machinery 1.6% | ||
Caterpillar, Inc. | 134,843 | 32,302,989 |
Road & Rail 2.6% | ||
CSX Corp. | 1,010,278 | 31,298,412 |
Union Pacific Corp. | 101,273 | 20,970,600 |
Total | 52,269,012 | |
Total Industrials | 194,270,342 | |
Information Technology 13.6% | ||
Communications Equipment 3.3% | ||
Cisco Systems, Inc. | 1,428,756 | 68,065,936 |
Electronic Equipment, Instruments & Components 3.0% | ||
Corning, Inc. | 1,912,127 | 61,073,336 |
8 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 5.3% | ||
Applied Materials, Inc. | 597,774 | 58,211,232 |
QUALCOMM, Inc. | 458,974 | 50,459,602 |
Total | 108,670,834 | |
Software 2.0% | ||
Teradata Corp.(a) | 1,204,740 | 40,551,549 |
Total Information Technology | 278,361,655 | |
Materials 10.5% | ||
Chemicals 3.9% | ||
FMC Corp. | 637,201 | 79,522,685 |
Metals & Mining 6.6% | ||
Barrick Gold Corp. | 3,265,975 | 56,109,450 |
Freeport-McMoRan, Inc. | 2,099,217 | 79,770,246 |
Total | 135,879,696 | |
Total Materials | 215,402,381 | |
Utilities 10.8% | ||
Electric Utilities 8.1% | ||
FirstEnergy Corp. | 2,011,915 | 84,379,715 |
PG&E Corp.(a) | 5,018,495 | 81,600,729 |
Total | 165,980,444 | |
Independent Power and Renewable Electricity Producers 2.7% | ||
AES Corp. (The) | 1,889,221 | 54,333,995 |
Total Utilities | 220,314,439 | |
Total Common Stocks (Cost $1,604,610,759) | 2,001,784,610 |
Preferred Stocks 0.1% | |||
Issuer | Shares | Value ($) | |
Consumer Discretionary 0.1% | |||
Internet & Direct Marketing Retail 0.1% | |||
Qurate Retail, Inc. | 8.000% | 77,461 | 2,653,814 |
Total Consumer Discretionary | 2,653,814 | ||
Total Preferred Stocks (Cost $10,833,818) | 2,653,814 |
Money Market Funds 2.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 40,499,891 | 40,487,742 |
Total Money Market Funds (Cost $40,483,945) | 40,487,742 | |
Total Investments in Securities (Cost: $1,655,928,522) | 2,044,926,166 | |
Other Assets & Liabilities, Net | (1,945,370) | |
Net Assets | 2,042,980,796 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
45,107,980 | 362,000,421 | (366,626,186) | 5,527 | 40,487,742 | (13,404) | 673,605 | 40,499,891 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 9 |
December 31, 2022
■ | 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 | 73,127,976 | — | — | 73,127,976 |
Consumer Discretionary | 69,801,235 | — | — | 69,801,235 |
Consumer Staples | 70,957,015 | — | — | 70,957,015 |
Energy | 226,485,593 | — | — | 226,485,593 |
Financials | 362,674,258 | — | — | 362,674,258 |
Health Care | 290,389,716 | — | — | 290,389,716 |
Industrials | 194,270,342 | — | — | 194,270,342 |
Information Technology | 278,361,655 | — | — | 278,361,655 |
Materials | 215,402,381 | — | — | 215,402,381 |
Utilities | 220,314,439 | — | — | 220,314,439 |
Total Common Stocks | 2,001,784,610 | — | — | 2,001,784,610 |
Preferred Stocks | ||||
Consumer Discretionary | 2,653,814 | — | — | 2,653,814 |
Total Preferred Stocks | 2,653,814 | — | — | 2,653,814 |
Money Market Funds | 40,487,742 | — | — | 40,487,742 |
Total Investments in Securities | 2,044,926,166 | — | — | 2,044,926,166 |
10 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,615,444,577) | $2,004,438,424 |
Affiliated issuers (cost $40,483,945) | 40,487,742 |
Receivable for: | |
Capital shares sold | 12,901 |
Dividends | 1,691,317 |
Prepaid expenses | 19,589 |
Total assets | 2,046,649,973 |
Liabilities | |
Payable for: | |
Capital shares purchased | 3,469,975 |
Management services fees | 38,028 |
Distribution and/or service fees | 905 |
Service fees | 24,701 |
Compensation of board members | 106,110 |
Compensation of chief compliance officer | 383 |
Other expenses | 29,075 |
Total liabilities | 3,669,177 |
Net assets applicable to outstanding capital stock | $2,042,980,796 |
Represented by | |
Trust capital | $2,042,980,796 |
Total - representing net assets applicable to outstanding capital stock | $2,042,980,796 |
Class 1 | |
Net assets | $1,866,511,406 |
Shares outstanding | 50,812,624 |
Net asset value per share | $36.73 |
Class 2 | |
Net assets | $87,697,109 |
Shares outstanding | 2,462,199 |
Net asset value per share | $35.62 |
Class 3 | |
Net assets | $88,772,281 |
Shares outstanding | 2,456,397 |
Net asset value per share | $36.14 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 11 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $50,873,698 |
Dividends — affiliated issuers | 673,605 |
Interfund lending | 1,719 |
Foreign taxes withheld | (331,998) |
Total income | 51,217,024 |
Expenses: | |
Management services fees | 15,059,584 |
Distribution and/or service fees | |
Class 2 | 193,495 |
Class 3 | 104,237 |
Service fees | 168,747 |
Compensation of board members | 40,070 |
Custodian fees | 13,000 |
Printing and postage fees | 14,464 |
Audit fees | 30,938 |
Legal fees | 40,275 |
Compensation of chief compliance officer | 304 |
Other | 36,032 |
Total expenses | 15,701,146 |
Net investment income | 35,515,878 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 234,524,492 |
Investments — affiliated issuers | (13,404) |
Net realized gain | 234,511,088 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (324,897,786) |
Investments — affiliated issuers | 5,527 |
Net change in unrealized appreciation (depreciation) | (324,892,259) |
Net realized and unrealized loss | (90,381,171) |
Net decrease in net assets resulting from operations | $(54,865,293) |
12 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $35,515,878 | $53,584,215 |
Net realized gain | 234,511,088 | 180,145,174 |
Net change in unrealized appreciation (depreciation) | (324,892,259) | 333,856,941 |
Net increase (decrease) in net assets resulting from operations | (54,865,293) | 567,586,330 |
Increase (decrease) in net assets from capital stock activity | (517,403,308) | 46,923,953 |
Total increase (decrease) in net assets | (572,268,601) | 614,510,283 |
Net assets at beginning of year | 2,615,249,397 | 2,000,739,114 |
Net assets at end of year | $2,042,980,796 | $2,615,249,397 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 477,652 | 17,149,837 | 14,676,863 | 471,764,199 |
Redemptions | (15,457,963) | (560,216,793) | (13,484,829) | (466,074,224) |
Net increase (decrease) | (14,980,311) | (543,066,956) | 1,192,034 | 5,689,975 |
Class 2 | ||||
Subscriptions | 682,648 | 24,067,748 | 851,603 | 29,232,738 |
Redemptions | (164,030) | (5,764,146) | (86,334) | (2,917,352) |
Net increase | 518,618 | 18,303,602 | 765,269 | 26,315,386 |
Class 3 | ||||
Subscriptions | 335,088 | 11,855,188 | 552,863 | 18,697,162 |
Redemptions | (126,093) | (4,495,142) | (109,634) | (3,778,570) |
Net increase | 208,995 | 7,360,046 | 443,229 | 14,918,592 |
Total net increase (decrease) | (14,252,698) | (517,403,308) | 2,400,532 | 46,923,953 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $37.42 | 0.58 | (1.27) | (0.69) |
Year Ended 12/31/2021 | $29.63 | 0.74 | 7.05 | 7.79 |
Year Ended 12/31/2020 | $27.67 | 0.64 | 1.32 | 1.96 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $36.37 | 0.47 | (1.22) | (0.75) |
Year Ended 12/31/2021 | $28.87 | 0.66 | 6.84 | 7.50 |
Year Ended 12/31/2020 | $27.03 | 0.56 | 1.28 | 1.84 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $36.86 | 0.52 | (1.24) | (0.72) |
Year Ended 12/31/2021 | $29.22 | 0.71 | 6.93 | 7.64 |
Year Ended 12/31/2020 | $27.32 | 0.59 | 1.31 | 1.90 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $36.73 | (1.84%) | 0.69% | 0.69% | 1.60% | 7% | $1,866,511 |
Year Ended 12/31/2021 | $37.42 | 26.29% | 0.68% | 0.68% | 2.12% | 21% | $2,461,727 |
Year Ended 12/31/2020 | $29.63 | 7.08% | 0.71%(c) | 0.71%(c) | 2.59% | 29% | $1,913,998 |
Year Ended 12/31/2019 | $27.67 | 26.75% | 0.73%(c) | 0.73%(c) | 1.73% | 11% | $1,241,829 |
Year Ended 12/31/2018 | $21.83 | (12.22%) | 0.73% | 0.73% | 1.60% | 16% | $1,102,434 |
Class 2 | |||||||
Year Ended 12/31/2022 | $35.62 | (2.06%) | 0.94% | 0.94% | 1.36% | 7% | $87,697 |
Year Ended 12/31/2021 | $36.37 | 25.98% | 0.93% | 0.93% | 1.93% | 21% | $70,689 |
Year Ended 12/31/2020 | $28.87 | 6.81% | 0.96%(c) | 0.96%(c) | 2.32% | 29% | $34,020 |
Year Ended 12/31/2019 | $27.03 | 26.43% | 0.98%(c) | 0.98%(c) | 1.48% | 11% | $32,815 |
Year Ended 12/31/2018 | $21.38 | (12.45%) | 0.98% | 0.98% | 1.36% | 16% | $24,610 |
Class 3 | |||||||
Year Ended 12/31/2022 | $36.14 | (1.95%) | 0.81% | 0.81% | 1.48% | 7% | $88,772 |
Year Ended 12/31/2021 | $36.86 | 26.15% | 0.80% | 0.80% | 2.04% | 21% | $82,833 |
Year Ended 12/31/2020 | $29.22 | 6.95% | 0.83%(c) | 0.83%(c) | 2.40% | 29% | $52,721 |
Year Ended 12/31/2019 | $27.32 | 26.54% | 0.86%(c) | 0.86%(c) | 1.61% | 11% | $56,957 |
Year Ended 12/31/2018 | $21.59 | (12.31%) | 0.85% | 0.85% | 1.48% | 16% | $48,804 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 15 |
December 31, 2022
16 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.72% |
Class 2 | 0.97 |
Class 3 | 0.845 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 19 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 5,716,667 | 2.22 | 6 |
20 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 23 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
24 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 25 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
26 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 27 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
28 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2022 | 29 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
17 | |
26 | |
27 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Columbia Variable Portfolio — Core Equity Fund | 09/10/04 | -18.54 | 8.50 | 12.38 | |
S&P 500 Index | -18.11 | 9.42 | 12.56 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 99.2 |
Money Market Funds | 0.8 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 7.0 |
Consumer Discretionary | 10.5 |
Consumer Staples | 6.9 |
Energy | 5.5 |
Financials | 11.2 |
Health Care | 15.7 |
Industrials | 8.7 |
Information Technology | 26.2 |
Materials | 2.5 |
Real Estate | 3.0 |
Utilities | 2.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
(Unaudited)
• | As usual, the Fund maintained a relatively neutral stance on sector allocation, though sector allocation did detract, albeit modestly, from relative performance during the period. |
• | Stock selection in the information technology, communication services and financials sectors detracted most from the Fund’s relative performance during the period. |
• | Among the individual stocks detracting most from relative performance was Meta Platforms, Inc., the social media giant and parent company of Facebook, whose share price plummeted amid several headwinds. First, the company reported a sharp decline in profits and said it lost about a million daily users globally. Second, in October 2022, the company forecast higher capital expenditures and no headcount reductions, which contributed to a significantly growing year-over-year operating loss. Further, the company faced increased competition during the annual period from TikTok, less advertising due to a slowing macroeconomic environment and pressures driven by Apple’s privacy changes restricting the sharing of information. The portfolio’s overweight in Meta Platforms was based on its attractive value theme score and in-line quality score, but the models delivered negative stock selection guidance. |
• | Advanced Micro Devices, Inc., a semiconductor company, saw its shares decline in price as the highly cyclical semiconductor industry faced negative earnings revisions and signs of higher inventory. While the company reported |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 5 |
(Unaudited)
earnings in line with consensus expectations, it lowered its forward guidance on weakness in the personal computer industry. The decision to overweight the portfolio’s position in Advanced Micro Devices was based on strong scores across all three of our investment themes — quality, value and catalyst, but the models provided negative guidance. | |
• | Under Armour Inc. (Class A) is an American sports clothing, footwear and accessories company. Under Armour announced a significant earnings shortfall for its March 2022 quarter and lowered its full-year forward guidance. The earnings shortfall was driven by supply-chain issues, increased freight costs and COVID-19-related lockdowns in China, which resulted in restricted store hours, low inventory and store closures in China. Shortly after this earnings miss, Under Armour’s Chief Executive Officer unexpectedly announced he was stepping down from management of the company, further pressuring its shares. The portfolio’s overweight in Under Armour (Class A) was established based on an attractive quality investment theme score, but the model provided negative guidance. |
• | Stock selection overall contributed positively to the Fund’s performance relative to the benchmark during the period. |
• | Stock selection in the consumer discretionary, health care and industrials sectors contributed most positively to the Fund’s relative performance. |
• | Among the Fund’s greatest individual positive contributors was EOG Resources, Inc., an oil and natural gas exploration and production company, whose shares rose on strong earnings given the elevated price of oil. For investors, a key focus within the exploration and production industry of the energy sector was on companies, like EOG Resources, that have been accelerating the return of cash to equity holders. This focus, in turn, resulted in these companies outperforming exploration and production companies which emphasized debt reduction instead. The portfolio’s overweight in EOG Resources was driven by our quality and catalyst themes, and the models delivered effective stock selection guidance. |
• | McKesson Corp., a drug distributor and medical services provider, performed well after reporting strong results wherein the company’s profits jumped due to falling expenses and smaller charges for litigation, claims, restructuring and impairment than incurred in prior periods. The portfolio’s overweight in McKesson was based on attractive scores in our catalyst theme, and the model provided positive guidance. |
• | Exxon Mobil Corp., the integrated energy producer, generated strong returns during the year, as energy stocks broadly were among the few bright spots in the market turmoil of 2022. Ongoing demand, along with elevated energy prices, boosted returns for Exxon Mobil. The portfolio’s overweight in Exxon Mobil was driven by an attractive catalyst score and an in-line value score, and the models delivered effective stock selection guidance. |
6 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Columbia Variable Portfolio – Core Equity Fund | 1,000.00 | 1,000.00 | 1,011.90 | 1,023.06 | 2.02 | 2.03 | 0.40 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 99.2% | ||
Issuer | Shares | Value ($) |
Communication Services 6.9% | ||
Entertainment 0.9% | ||
Electronic Arts, Inc. | 13,721 | 1,676,432 |
Interactive Media & Services 5.7% | ||
Alphabet, Inc., Class A(a) | 83,515 | 7,368,528 |
Meta Platforms, Inc., Class A(a) | 21,119 | 2,541,461 |
Total | 9,909,989 | |
Media 0.3% | ||
Fox Corp., Class A | 18,800 | 570,956 |
Total Communication Services | 12,157,377 | |
Consumer Discretionary 10.4% | ||
Automobiles 0.5% | ||
Tesla, Inc.(a) | 7,137 | 879,136 |
Hotels, Restaurants & Leisure 1.3% | ||
Expedia Group, Inc.(a) | 24,989 | 2,189,037 |
Household Durables 2.0% | ||
Lennar Corp., Class A | 21,425 | 1,938,962 |
PulteGroup, Inc. | 36,013 | 1,639,672 |
Total | 3,578,634 | |
Internet & Direct Marketing Retail 1.1% | ||
Amazon.com, Inc.(a) | 23,616 | 1,983,744 |
Specialty Retail 4.5% | ||
AutoZone, Inc.(a) | 1,052 | 2,594,421 |
Bath & Body Works, Inc. | 32,700 | 1,377,978 |
O’Reilly Automotive, Inc.(a) | 3,431 | 2,895,867 |
Ulta Beauty, Inc.(a) | 2,084 | 977,542 |
Total | 7,845,808 | |
Textiles, Apparel & Luxury Goods 1.0% | ||
PVH Corp. | 4,367 | 308,267 |
Ralph Lauren Corp. | 13,450 | 1,421,261 |
Total | 1,729,528 | |
Total Consumer Discretionary | 18,205,887 | |
Consumer Staples 6.9% | ||
Food & Staples Retailing 1.6% | ||
Kroger Co. (The) | 62,442 | 2,783,664 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Food Products 1.1% | ||
General Mills, Inc. | 23,412 | 1,963,096 |
Household Products 1.7% | ||
Procter & Gamble Co. (The) | 19,656 | 2,979,064 |
Tobacco 2.5% | ||
Altria Group, Inc. | 59,203 | 2,706,169 |
Philip Morris International, Inc. | 15,441 | 1,562,784 |
Total | 4,268,953 | |
Total Consumer Staples | 11,994,777 | |
Energy 5.5% | ||
Oil, Gas & Consumable Fuels 5.5% | ||
EQT Corp. | 6,001 | 203,014 |
Exxon Mobil Corp. | 39,367 | 4,342,180 |
Marathon Petroleum Corp. | 20,113 | 2,340,952 |
Valero Energy Corp. | 21,239 | 2,694,379 |
Total | 9,580,525 | |
Total Energy | 9,580,525 | |
Financials 11.1% | ||
Banks 2.8% | ||
Citigroup, Inc. | 28,606 | 1,293,849 |
Wells Fargo & Co. | 88,772 | 3,665,396 |
Total | 4,959,245 | |
Capital Markets 2.8% | ||
Bank of New York Mellon Corp. (The) | 8,150 | 370,988 |
CME Group, Inc. | 8,042 | 1,352,342 |
Morgan Stanley | 32,792 | 2,787,976 |
State Street Corp. | 4,900 | 380,093 |
Total | 4,891,399 | |
Consumer Finance 1.3% | ||
Capital One Financial Corp. | 23,536 | 2,187,907 |
8 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 4.2% | ||
Aon PLC, Class A | 1,569 | 470,920 |
Lincoln National Corp. | 23,937 | 735,344 |
Marsh & McLennan Companies, Inc. | 20,479 | 3,388,865 |
MetLife, Inc. | 38,083 | 2,756,067 |
Total | 7,351,196 | |
Total Financials | 19,389,747 | |
Health Care 15.5% | ||
Biotechnology 2.8% | ||
AbbVie, Inc. | 12,575 | 2,032,246 |
Amgen, Inc. | 712 | 187,000 |
BioMarin Pharmaceutical, Inc.(a) | 6,323 | 654,367 |
Regeneron Pharmaceuticals, Inc.(a) | 1,143 | 824,663 |
Vertex Pharmaceuticals, Inc.(a) | 4,135 | 1,194,105 |
Total | 4,892,381 | |
Health Care Equipment & Supplies 1.9% | ||
Abbott Laboratories | 21,637 | 2,375,526 |
Hologic, Inc.(a) | 11,982 | 896,374 |
Total | 3,271,900 | |
Health Care Providers & Services 3.8% | ||
Cardinal Health, Inc. | 19,401 | 1,491,355 |
Centene Corp.(a) | 7,600 | 623,276 |
CVS Health Corp. | 23,838 | 2,221,463 |
Humana, Inc. | 1,690 | 865,601 |
McKesson Corp. | 4,180 | 1,568,002 |
Total | 6,769,697 | |
Life Sciences Tools & Services 2.0% | ||
Agilent Technologies, Inc. | 1,918 | 287,029 |
IQVIA Holdings, Inc.(a) | 15,559 | 3,187,883 |
Total | 3,474,912 | |
Pharmaceuticals 5.0% | ||
Bristol-Myers Squibb Co. | 51,989 | 3,740,609 |
Pfizer, Inc. | 92,931 | 4,761,784 |
Viatris, Inc. | 28,485 | 317,038 |
Total | 8,819,431 | |
Total Health Care | 27,228,321 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 8.7% | ||
Aerospace & Defense 3.8% | ||
General Dynamics Corp. | 14,338 | 3,557,401 |
Lockheed Martin Corp. | 5,303 | 2,579,857 |
Textron, Inc. | 7,728 | 547,142 |
Total | 6,684,400 | |
Air Freight & Logistics 0.8% | ||
United Parcel Service, Inc., Class B | 7,626 | 1,325,704 |
Airlines 0.2% | ||
Delta Air Lines, Inc.(a) | 5,077 | 166,830 |
Southwest Airlines Co.(a) | 4,707 | 158,485 |
Total | 325,315 | |
Building Products 0.3% | ||
Masco Corp. | 12,100 | 564,707 |
Commercial Services & Supplies 1.3% | ||
Cintas Corp. | 5,101 | 2,303,714 |
Electrical Equipment 0.3% | ||
Emerson Electric Co. | 6,363 | 611,230 |
Machinery 1.5% | ||
Fortive Corp. | 4,100 | 263,425 |
Otis Worldwide Corp. | 3,278 | 256,700 |
Parker-Hannifin Corp. | 4,692 | 1,365,372 |
Snap-On, Inc. | 2,907 | 664,220 |
Total | 2,549,717 | |
Professional Services 0.2% | ||
Robert Half International, Inc. | 3,613 | 266,748 |
Road & Rail 0.3% | ||
CSX Corp. | 17,195 | 532,701 |
Total Industrials | 15,164,236 | |
Information Technology 26.0% | ||
Communications Equipment 2.2% | ||
Cisco Systems, Inc. | 81,791 | 3,896,523 |
IT Services 2.5% | ||
MasterCard, Inc., Class A | 12,697 | 4,415,128 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 4.5% | ||
Advanced Micro Devices, Inc.(a) | 40,059 | 2,594,622 |
Lam Research Corp. | 4,508 | 1,894,712 |
QUALCOMM, Inc. | 30,368 | 3,338,658 |
Total | 7,827,992 | |
Software 10.2% | ||
Adobe, Inc.(a) | 5,242 | 1,764,090 |
Autodesk, Inc.(a) | 4,688 | 876,047 |
Fortinet, Inc.(a) | 60,653 | 2,965,325 |
Microsoft Corp. | 51,276 | 12,297,010 |
Total | 17,902,472 | |
Technology Hardware, Storage & Peripherals 6.6% | ||
Apple, Inc.(b) | 88,685 | 11,522,842 |
Total Information Technology | 45,564,957 | |
Materials 2.5% | ||
Chemicals 1.1% | ||
CF Industries Holdings, Inc. | 8,718 | 742,774 |
Mosaic Co. (The) | 28,499 | 1,250,251 |
Total | 1,993,025 | |
Metals & Mining 1.4% | ||
Nucor Corp. | 18,226 | 2,402,369 |
Total Materials | 4,395,394 | |
Real Estate 3.0% | ||
Equity Real Estate Investment Trusts (REITS) 3.0% | ||
Host Hotels & Resorts, Inc. | 94,869 | 1,522,647 |
SBA Communications Corp. | 2,468 | 691,805 |
Weyerhaeuser Co. | 98,183 | 3,043,673 |
Total | 5,258,125 | |
Total Real Estate | 5,258,125 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 2.7% | ||
Electric Utilities 2.7% | ||
American Electric Power Co., Inc. | 33,353 | 3,166,867 |
Evergy, Inc. | 25,407 | 1,598,863 |
Total | 4,765,730 | |
Total Utilities | 4,765,730 | |
Total Common Stocks (Cost $156,838,171) | 173,705,076 | |
Money Market Funds 0.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(c),(d) | 1,480,659 | 1,480,215 |
Total Money Market Funds (Cost $1,480,106) | 1,480,215 | |
Total Investments in Securities (Cost: $158,318,277) | 175,185,291 | |
Other Assets & Liabilities, Net | (48,941) | |
Net Assets | 175,136,350 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 9 | 03/2023 | USD | 1,737,450 | — | (61,556) |
10 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
December 31, 2022
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
3,047,987 | 19,667,396 | (21,235,339) | 171 | 1,480,215 | (1,161) | 32,222 | 1,480,659 |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 11 |
December 31, 2022
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2022:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 12,157,377 | — | — | 12,157,377 |
Consumer Discretionary | 18,205,887 | — | — | 18,205,887 |
Consumer Staples | 11,994,777 | — | — | 11,994,777 |
Energy | 9,580,525 | — | — | 9,580,525 |
Financials | 19,389,747 | — | — | 19,389,747 |
Health Care | 27,228,321 | — | — | 27,228,321 |
Industrials | 15,164,236 | — | — | 15,164,236 |
Information Technology | 45,564,957 | — | — | 45,564,957 |
Materials | 4,395,394 | — | — | 4,395,394 |
Real Estate | 5,258,125 | — | — | 5,258,125 |
Utilities | 4,765,730 | — | — | 4,765,730 |
Total Common Stocks | 173,705,076 | — | — | 173,705,076 |
Money Market Funds | 1,480,215 | — | — | 1,480,215 |
Total Investments in Securities | 175,185,291 | — | — | 175,185,291 |
Investments in Derivatives | ||||
Liability | ||||
Futures Contracts | (61,556) | — | — | (61,556) |
Total | 175,123,735 | — | — | 175,123,735 |
12 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $156,838,171) | $173,705,076 |
Affiliated issuers (cost $1,480,106) | 1,480,215 |
Receivable for: | |
Dividends | 198,803 |
Expense reimbursement due from Investment Manager | 278 |
Prepaid expenses | 6,946 |
Total assets | 175,391,318 |
Liabilities | |
Payable for: | |
Capital shares purchased | 169,645 |
Variation margin for futures contracts | 4,837 |
Management services fees | 1,925 |
Compensation of board members | 57,771 |
Compensation of chief compliance officer | 35 |
Audit fees | 14,750 |
Other expenses | 6,005 |
Total liabilities | 254,968 |
Net assets applicable to outstanding capital stock | $175,136,350 |
Represented by | |
Trust capital | $175,136,350 |
Total - representing net assets applicable to outstanding capital stock | $175,136,350 |
Shares outstanding | 5,694,933 |
Net asset value per share | 30.75 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,365,086 |
Dividends — affiliated issuers | 32,222 |
Total income | 3,397,308 |
Expenses: | |
Management services fees | 787,605 |
Compensation of board members | 13,174 |
Custodian fees | 10,884 |
Printing and postage fees | 8,459 |
Audit fees | 29,500 |
Legal fees | 14,637 |
Compensation of chief compliance officer | 29 |
Other | 8,447 |
Total expenses | 872,735 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (84,963) |
Total net expenses | 787,772 |
Net investment income | 2,609,536 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 11,673,728 |
Investments — affiliated issuers | (1,161) |
Futures contracts | (651,368) |
Net realized gain | 11,021,199 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (56,295,177) |
Investments — affiliated issuers | 171 |
Futures contracts | (150,797) |
Net change in unrealized appreciation (depreciation) | (56,445,803) |
Net realized and unrealized loss | (45,424,604) |
Net decrease in net assets resulting from operations | $(42,815,068) |
14 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $2,609,536 | $2,768,633 |
Net realized gain | 11,021,199 | 36,116,585 |
Net change in unrealized appreciation (depreciation) | (56,445,803) | 24,376,005 |
Net increase (decrease) in net assets resulting from operations | (42,815,068) | 63,261,223 |
Decrease in net assets from capital stock activity | (20,320,318) | (25,991,912) |
Total increase (decrease) in net assets | (63,135,386) | 37,269,311 |
Net assets at beginning of year | 238,271,736 | 201,002,425 |
Net assets at end of year | $175,136,350 | $238,271,736 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Subscriptions | 3,613 | 115,298 | 13,540 | 433,903 |
Redemptions | (621,141) | (20,435,616) | (792,952) | (26,425,815) |
Total net decrease | (617,528) | (20,320,318) | (779,412) | (25,991,912) |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 15 |
Year Ended December 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Per share data | |||||
Net asset value, beginning of period | $37.75 | $28.34 | $24.76 | $19.78 | $20.45 |
Income from investment operations: | |||||
Net investment income | 0.43 | 0.41 | 0.40 | 0.38 | 0.36 |
Net realized and unrealized gain (loss) | (7.43) | 9.00 | 3.18 | 4.60 | (1.03) |
Total from investment operations | (7.00) | 9.41 | 3.58 | 4.98 | (0.67) |
Net asset value, end of period | $30.75 | $37.75 | $28.34 | $24.76 | $19.78 |
Total return | (18.54%) | 33.20% | 14.46% | 25.18% | (3.28%) |
Ratios to average net assets | |||||
Total gross expenses(a) | 0.44% | 0.45% | 0.45% | 0.45% | 0.44% |
Total net expenses(a),(b) | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% |
Net investment income | 1.33% | 1.24% | 1.63% | 1.67% | 1.67% |
Supplemental data | |||||
Portfolio turnover | 48% | 56% | 72% | 66% | 73% |
Net assets, end of period (in thousands) | $175,136 | $238,272 | $201,002 | $196,278 | $178,338 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
16 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 19 |
December 31, 2022
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 61,556* |
* | 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 ($) |
Equity risk | (651,368) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (150,797) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,790,431 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
20 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 25 |
26 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
28 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 29 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
30 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 | 31 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
32 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
18 | |
19 | |
20 | |
22 | |
24 | |
34 | |
35 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -10.01 | 2.22 | 3.63 | |
Class 2 | 05/03/10 | -10.22 | 1.97 | 3.39 | |
Class 3 | 06/01/04 | -10.21 | 2.08 | 3.50 | |
ICE BofA BB-B US Cash Pay High Yield Constrained Index | -10.59 | 2.31 | 3.93 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 0.0(a) |
Convertible Bonds | 0.8 |
Corporate Bonds & Notes | 90.9 |
Foreign Government Obligations | 0.6 |
Money Market Funds | 4.5 |
Senior Loans | 3.2 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at December 31, 2022) | |
BBB rating | 2.5 |
BB rating | 43.5 |
B rating | 49.3 |
CCC rating | 3.9 |
Not rated | 0.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
(Unaudited)
• | Positive results, relative to the benchmark, were driven both by security selection and industry allocation over the year. |
• | The Fund began the period with slightly defensive positioning, as compared to the benchmark, with a modestly lower yield and credit sensitivity. |
○ | Positioning became more defensive over the course of the year, with both relative yield and credit sensitivity decreasing. |
○ | We remain comfortable maintaining the Fund’s conservative positioning while continuing to look for what we believe to be dislocations in the market that provide idiosyncratic buying opportunities. That said, we continue to believe that, should a recession materialize, it should not cause default rates to spike to levels seen in previous recessions. |
• | Security selection was strongest within support services, with notable contributions driven by overweight allocations to ratings measurement firm Nielsen, heavy equipment auctioneer Ritchie Brothers and used car auction company KAR Auction Services, in addition to smaller contributions from several other issuers within the sector. |
• | Selection was also positive within pharmaceuticals, driven by an underweight allocation to and higher quality positioning within the capital structure of Canadian pharmaceutical company Bausch Health. |
• | Positive selection within telecommunications-wireline was driven by shorter dated positioning within the capital structure of Lumen Technologies. |
• | Selection within technology hardware and equipment also contributed, driven by an overweight allocation to headset manufacturer Plantronics, which saw its bonds move sharply higher on the announcement that the company would be acquired by Hewlett-Packard. |
• | In terms of sector allocation, underweights to banking and specialty retail led positive contributions. |
• | Selection within cable and satellite TV was the largest detractor from performance relative to the benchmark, most notably an overweight allocation to Dish Corp. |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Selection also detracted within energy exploration and production, with underperformance driven largely by overweight allocations to higher quality, more interest rate sensitive “rising stars” rather than credit deterioration. |
• | In this vein, overweight positions in Occidental Petroleum and Apache Corporation, both candidates for ratings upgrades, were the two largest individual detractors. |
• | Also within energy, an underweight allocation to refiners detracted, as this segment benefited from higher commodity prices. |
• | Finally, selection within recreation and travel weighed on performance, with overweight allocations to cruise line operators Carnival, Royal Caribbean, and NCL Corp driving negative results. |
6 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,037.10 | 1,021.86 | 3.27 | 3.24 | 0.64 |
Class 2 | 1,000.00 | 1,000.00 | 1,036.10 | 1,020.61 | 4.54 | 4.51 | 0.89 |
Class 3 | 1,000.00 | 1,000.00 | 1,035.40 | 1,021.26 | 3.88 | 3.85 | 0.76 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Communication Services 0.0% | ||
Media 0.0% | ||
Haights Cross Communications, Inc.(a),(b),(c) | 27,056 | 0 |
Telesat Corp.(b) | 6 | 45 |
Ziff Davis Holdings, Inc.(a),(b),(c) | 553 | 6 |
Total | 51 | |
Total Communication Services | 51 | |
Consumer Discretionary 0.0% | ||
Auto Components 0.0% | ||
Lear Corp. | 216 | 26,788 |
Total Consumer Discretionary | 26,788 | |
Industrials 0.0% | ||
Commercial Services & Supplies 0.0% | ||
Quad/Graphics, Inc.(b) | 1,277 | 5,210 |
Total Industrials | 5,210 | |
Utilities —% | ||
Independent Power and Renewable Electricity Producers —% | ||
Calpine Corp. Escrow(a),(b),(c) | 6,049,000 | 0 |
Total Utilities | 0 | |
Total Common Stocks (Cost $331,985) | 32,049 |
Convertible Bonds 0.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.8% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 1,901,000 | 1,190,976 | |
Total Convertible Bonds (Cost $1,686,309) | 1,190,976 | |||
Corporate Bonds & Notes 89.7% | ||||
Aerospace & Defense 2.3% | ||||
Bombardier, Inc.(d) | ||||
04/15/2027 | 7.875% | 230,000 | 223,920 | |
Moog, Inc.(d) | ||||
12/15/2027 | 4.250% | 447,000 | 412,948 | |
Spirit AeroSystems, Inc.(d) | ||||
11/30/2029 | 9.375% | 168,000 | 177,044 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TransDigm, Inc.(d) | ||||
03/15/2026 | 6.250% | 1,488,000 | 1,470,624 | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 997,000 | 971,610 | |
11/15/2027 | 5.500% | 27,000 | 25,354 | |
01/15/2029 | 4.625% | 69,000 | 60,629 | |
Total | 3,342,129 | |||
Airlines 2.4% | ||||
Air Canada(d) | ||||
08/15/2026 | 3.875% | 400,000 | 355,358 | |
American Airlines, Inc.(d) | ||||
07/15/2025 | 11.750% | 176,000 | 189,347 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(d) | ||||
04/20/2026 | 5.500% | 1,353,605 | 1,301,711 | |
04/20/2029 | 5.750% | 30,469 | 27,875 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(d) | ||||
01/20/2026 | 5.750% | 552,635 | 500,021 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(d) | ||||
06/20/2027 | 6.500% | 782,126 | 779,269 | |
Spirit Loyalty Cayman Ltd.(d) | ||||
09/20/2025 | 8.000% | 290,000 | 288,974 | |
Total | 3,442,555 | |||
Automotive 4.3% | ||||
American Axle & Manufacturing, Inc. | ||||
03/15/2026 | 6.250% | 163,000 | 153,000 | |
04/01/2027 | 6.500% | 50,000 | 45,332 | |
Clarios Global LP(d) | ||||
05/15/2025 | 6.750% | 279,000 | 280,330 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 317,000 | 238,525 | |
01/15/2043 | 4.750% | 446,000 | 322,676 | |
Ford Motor Credit Co. LLC | ||||
03/18/2024 | 5.584% | 513,000 | 507,225 | |
11/01/2024 | 4.063% | 178,000 | 171,525 | |
06/16/2025 | 5.125% | 512,000 | 493,592 | |
11/13/2025 | 3.375% | 734,000 | 664,839 | |
05/28/2027 | 4.950% | 143,000 | 133,565 | |
08/17/2027 | 4.125% | 712,000 | 636,246 | |
11/04/2027 | 7.350% | 263,000 | 269,496 | |
02/16/2028 | 2.900% | 237,000 | 195,833 | |
11/13/2030 | 4.000% | 359,000 | 294,854 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 151,000 | 125,956 | |
IAA Spinco, Inc.(d) | ||||
06/15/2027 | 5.500% | 410,000 | 398,451 |
8 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
IHO Verwaltungs GmbH(d),(e) | ||||
09/15/2026 | 4.750% | 85,000 | 73,671 | |
KAR Auction Services, Inc.(d) | ||||
06/01/2025 | 5.125% | 630,000 | 615,851 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(d) | ||||
05/15/2026 | 6.250% | 300,000 | 293,554 | |
05/15/2027 | 8.500% | 344,000 | 336,542 | |
Total | 6,251,063 | |||
Brokerage/Asset Managers/Exchanges 1.3% | ||||
AG Issuer LLC(d) | ||||
03/01/2028 | 6.250% | 30,000 | 27,642 | |
AG TTMT Escrow Issuer LLC(d) | ||||
09/30/2027 | 8.625% | 549,000 | 554,132 | |
NFP Corp(d) | ||||
10/01/2030 | 7.500% | 418,000 | 392,920 | |
NFP Corp.(d) | ||||
08/15/2028 | 4.875% | 1,112,000 | 946,758 | |
Total | 1,921,452 | |||
Building Materials 1.0% | ||||
American Builders & Contractors Supply Co., Inc.(d) | ||||
01/15/2028 | 4.000% | 420,000 | 374,429 | |
Beacon Roofing Supply, Inc.(d) | ||||
11/15/2026 | 4.500% | 514,000 | 481,775 | |
Interface, Inc.(d) | ||||
12/01/2028 | 5.500% | 134,000 | 110,361 | |
SRS Distribution, Inc.(d) | ||||
07/01/2028 | 4.625% | 609,000 | 543,987 | |
Total | 1,510,552 | |||
Cable and Satellite 6.0% | ||||
CCO Holdings LLC/Capital Corp.(d) | ||||
05/01/2027 | 5.125% | 886,000 | 826,741 | |
06/01/2029 | 5.375% | 243,000 | 219,654 | |
03/01/2030 | 4.750% | 1,041,000 | 899,099 | |
08/15/2030 | 4.500% | 370,000 | 306,367 | |
02/01/2031 | 4.250% | 178,000 | 142,912 | |
02/01/2032 | 4.750% | 419,000 | 339,687 | |
CSC Holdings LLC(d) | ||||
02/01/2028 | 5.375% | 689,000 | 555,392 | |
02/15/2031 | 3.375% | 680,000 | 443,598 | |
DISH DBS Corp. | ||||
06/01/2029 | 5.125% | 1,038,000 | 669,626 | |
DISH Network Corp.(d) | ||||
11/15/2027 | 11.750% | 288,000 | 296,161 | |
Radiate Holdco LLC/Finance, Inc.(d) | ||||
09/15/2026 | 4.500% | 792,000 | 582,075 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sirius XM Radio, Inc.(d) | ||||
09/01/2026 | 3.125% | 338,000 | 300,102 | |
07/01/2030 | 4.125% | 539,000 | 445,290 | |
Videotron Ltd.(d) | ||||
06/15/2029 | 3.625% | 370,000 | 312,827 | |
Virgin Media Finance PLC(d) | ||||
07/15/2030 | 5.000% | 790,000 | 634,701 | |
Virgin Media Secured Finance PLC(d) | ||||
05/15/2029 | 5.500% | 172,000 | 154,571 | |
VZ Secured Financing BV(d) | ||||
01/15/2032 | 5.000% | 780,000 | 635,957 | |
Ziggo BV(d) | ||||
01/15/2030 | 4.875% | 1,140,000 | 953,213 | |
Total | 8,717,973 | |||
Chemicals 4.1% | ||||
Avient Corp.(d) | ||||
08/01/2030 | 7.125% | 287,000 | 282,297 | |
Axalta Coating Systems LLC(d) | ||||
02/15/2029 | 3.375% | 571,000 | 473,846 | |
Cheever Escrow Issuer LLC(d) | ||||
10/01/2027 | 7.125% | 343,000 | 327,082 | |
Element Solutions, Inc.(d) | ||||
09/01/2028 | 3.875% | 539,000 | 460,081 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 398,000 | 350,372 | |
Herens Holdco Sarl(d) | ||||
05/15/2028 | 4.750% | 413,000 | 330,297 | |
Illuminate Buyer LLC/Holdings IV, Inc.(d) | ||||
07/01/2028 | 9.000% | 247,000 | 207,876 | |
Ingevity Corp.(d) | ||||
11/01/2028 | 3.875% | 872,000 | 752,229 | |
Innophos Holdings, Inc.(d) | ||||
02/15/2028 | 9.375% | 462,000 | 452,963 | |
Olympus Water US Holding Corp.(d) | ||||
10/01/2028 | 4.250% | 441,000 | 361,337 | |
SPCM SA(d) | ||||
03/15/2027 | 3.125% | 35,000 | 30,287 | |
Unifrax Escrow Issuer Corp.(d) | ||||
09/30/2028 | 5.250% | 168,000 | 135,289 | |
WR Grace Holdings LLC(d) | ||||
10/01/2024 | 5.625% | 746,000 | 737,198 | |
06/15/2027 | 4.875% | 642,000 | 568,744 | |
08/15/2029 | 5.625% | 637,000 | 515,343 | |
Total | 5,985,241 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 9 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Construction Machinery 1.3% | ||||
H&E Equipment Services, Inc.(d) | ||||
12/15/2028 | 3.875% | 1,085,000 | 923,704 | |
Herc Holdings, Inc.(d) | ||||
07/15/2027 | 5.500% | 607,000 | 565,904 | |
Ritchie Bros. Auctioneers, Inc.(d) | ||||
01/15/2025 | 5.375% | 351,000 | 346,100 | |
Total | 1,835,708 | |||
Consumer Cyclical Services 2.1% | ||||
APX Group, Inc.(d) | ||||
02/15/2027 | 6.750% | 269,000 | 259,141 | |
Arches Buyer, Inc.(d) | ||||
06/01/2028 | 4.250% | 609,000 | 477,649 | |
Match Group, Inc.(d) | ||||
06/01/2028 | 4.625% | 222,000 | 198,540 | |
02/15/2029 | 5.625% | 211,000 | 194,531 | |
Staples, Inc.(d) | ||||
04/15/2026 | 7.500% | 265,000 | 228,119 | |
Uber Technologies, Inc.(d) | ||||
05/15/2025 | 7.500% | 429,000 | 429,612 | |
08/15/2029 | 4.500% | 1,520,000 | 1,325,167 | |
Total | 3,112,759 | |||
Consumer Products 1.3% | ||||
CD&R Smokey Buyer, Inc.(d) | ||||
07/15/2025 | 6.750% | 660,000 | 569,234 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 118,000 | 117,158 | |
09/15/2029 | 6.625% | 166,000 | 163,843 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 200,000 | 153,581 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 524,000 | 518,575 | |
Spectrum Brands, Inc.(d) | ||||
10/01/2029 | 5.000% | 201,000 | 175,822 | |
07/15/2030 | 5.500% | 25,000 | 22,191 | |
Tempur Sealy International, Inc.(d) | ||||
10/15/2031 | 3.875% | 266,000 | 208,235 | |
Total | 1,928,639 | |||
Diversified Manufacturing 1.2% | ||||
Chart Industries, Inc.(d) | ||||
01/01/2030 | 7.500% | 199,000 | 199,826 | |
01/01/2031 | 9.500% | 69,000 | 70,765 | |
Madison IAQ LLC(d) | ||||
06/30/2028 | 4.125% | 294,000 | 244,833 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Resideo Funding, Inc.(d) | ||||
09/01/2029 | 4.000% | 317,000 | 255,756 | |
Vertical US Newco, Inc.(d) | ||||
07/15/2027 | 5.250% | 282,000 | 250,851 | |
WESCO Distribution, Inc.(d) | ||||
06/15/2028 | 7.250% | 773,000 | 783,709 | |
Total | 1,805,740 | |||
Electric 5.6% | ||||
Atlantica Sustainable Infrastructure PLC(d) | ||||
06/15/2028 | 4.125% | 265,000 | 235,446 | |
Clearway Energy Operating LLC(d) | ||||
03/15/2028 | 4.750% | 1,006,000 | 932,772 | |
02/15/2031 | 3.750% | 1,017,000 | 848,881 | |
01/15/2032 | 3.750% | 552,000 | 446,060 | |
FirstEnergy Corp. | ||||
11/15/2031 | 7.375% | 134,000 | 151,342 | |
FirstEnergy Corp.(f) | ||||
07/15/2047 | 5.100% | 153,000 | 136,744 | |
Leeward Renewable Energy Operations LLC(d) | ||||
07/01/2029 | 4.250% | 527,000 | 456,410 | |
NextEra Energy Operating Partners LP(d) | ||||
09/15/2027 | 4.500% | 2,127,000 | 1,957,971 | |
NRG Energy, Inc.(d) | ||||
06/15/2029 | 5.250% | 684,000 | 604,310 | |
02/15/2031 | 3.625% | 613,000 | 469,024 | |
Pattern Energy Operations LP/Inc.(d) | ||||
08/15/2028 | 4.500% | 286,000 | 256,691 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 241,000 | 220,533 | |
TerraForm Power Operating LLC(d) | ||||
01/31/2028 | 5.000% | 566,000 | 509,395 | |
01/15/2030 | 4.750% | 660,000 | 577,029 | |
Vistra Operations Co. LLC(d) | ||||
07/31/2027 | 5.000% | 154,000 | 143,314 | |
05/01/2029 | 4.375% | 279,000 | 240,724 | |
Total | 8,186,646 | |||
Environmental 1.1% | ||||
GFL Environmental, Inc.(d) | ||||
06/01/2025 | 4.250% | 700,000 | 673,086 | |
08/01/2028 | 4.000% | 410,000 | 356,693 | |
Waste Pro USA, Inc.(d) | ||||
02/15/2026 | 5.500% | 683,000 | 605,236 | |
Total | 1,635,015 |
10 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Finance Companies 2.2% | ||||
Navient Corp. | ||||
06/25/2025 | 6.750% | 490,000 | 471,029 | |
Provident Funding Associates LP/Finance Corp.(d) | ||||
06/15/2025 | 6.375% | 1,323,000 | 1,168,726 | |
Quicken Loans LLC/Co-Issuer, Inc.(d) | ||||
03/01/2029 | 3.625% | 380,000 | 301,518 | |
03/01/2031 | 3.875% | 90,000 | 69,506 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(d) | ||||
10/15/2033 | 4.000% | 1,267,000 | 947,720 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 220,000 | 212,799 | |
Total | 3,171,298 | |||
Food and Beverage 2.6% | ||||
Darling Ingredients, Inc.(d) | ||||
04/15/2027 | 5.250% | 374,000 | 364,794 | |
06/15/2030 | 6.000% | 270,000 | 264,622 | |
FAGE International SA/USA Dairy Industry, Inc.(d) | ||||
08/15/2026 | 5.625% | 1,233,000 | 1,157,016 | |
Performance Food Group, Inc.(d) | ||||
05/01/2025 | 6.875% | 185,000 | 185,267 | |
Pilgrim’s Pride Corp.(d) | ||||
04/15/2031 | 4.250% | 316,000 | 268,972 | |
03/01/2032 | 3.500% | 93,000 | 72,694 | |
Post Holdings, Inc.(d) | ||||
03/01/2027 | 5.750% | 154,000 | 149,124 | |
01/15/2028 | 5.625% | 431,000 | 407,359 | |
04/15/2030 | 4.625% | 175,000 | 150,979 | |
Primo Water Holdings, Inc.(d) | ||||
04/30/2029 | 4.375% | 282,000 | 243,546 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(d) | ||||
03/01/2029 | 4.625% | 353,000 | 288,837 | |
US Foods, Inc.(d) | ||||
06/01/2030 | 4.625% | 276,000 | 243,883 | |
Total | 3,797,093 | |||
Gaming 3.3% | ||||
Boyd Gaming Corp.(d) | ||||
06/15/2031 | 4.750% | 177,000 | 154,055 | |
Colt Merger Sub, Inc.(d) | ||||
07/01/2025 | 5.750% | 702,000 | 687,962 | |
07/01/2025 | 6.250% | 759,000 | 738,447 | |
International Game Technology PLC(d) | ||||
02/15/2025 | 6.500% | 827,000 | 833,321 | |
04/15/2026 | 4.125% | 200,000 | 187,147 | |
Midwest Gaming Borrower LLC(d) | ||||
05/01/2029 | 4.875% | 550,000 | 469,958 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Penn National Gaming, Inc.(d) | ||||
07/01/2029 | 4.125% | 211,000 | 166,922 | |
Scientific Games Holdings LP/US FinCo, Inc.(d) | ||||
03/01/2030 | 6.625% | 462,000 | 390,116 | |
Scientific Games International, Inc.(d) | ||||
05/15/2028 | 7.000% | 349,000 | 333,706 | |
VICI Properties LP/Note Co., Inc.(d) | ||||
12/01/2026 | 4.250% | 569,000 | 530,999 | |
Wynn Las Vegas LLC/Capital Corp.(d) | ||||
03/01/2025 | 5.500% | 357,000 | 340,166 | |
Total | 4,832,799 | |||
Health Care 7.4% | ||||
Acadia Healthcare Co., Inc.(d) | ||||
07/01/2028 | 5.500% | 151,000 | 143,349 | |
04/15/2029 | 5.000% | 205,000 | 189,074 | |
AdaptHealth LLC(d) | ||||
08/01/2029 | 4.625% | 95,000 | 79,629 | |
03/01/2030 | 5.125% | 549,000 | 467,264 | |
Avantor Funding, Inc.(d) | ||||
07/15/2028 | 4.625% | 348,000 | 315,996 | |
11/01/2029 | 3.875% | 736,000 | 618,450 | |
Catalent Pharma Solutions, Inc.(d) | ||||
07/15/2027 | 5.000% | 187,000 | 174,670 | |
04/01/2030 | 3.500% | 222,000 | 175,100 | |
Charles River Laboratories International, Inc.(d) | ||||
05/01/2028 | 4.250% | 251,000 | 230,962 | |
03/15/2029 | 3.750% | 143,000 | 126,432 | |
03/15/2031 | 4.000% | 163,000 | 141,046 | |
CHS/Community Health Systems, Inc.(d) | ||||
05/15/2030 | 5.250% | 779,000 | 588,367 | |
02/15/2031 | 4.750% | 212,000 | 154,296 | |
Hologic, Inc.(d) | ||||
02/01/2028 | 4.625% | 290,000 | 273,738 | |
Indigo Merger Sub, Inc.(d) | ||||
07/15/2026 | 2.875% | 200,000 | 181,094 | |
IQVIA, Inc.(d) | ||||
05/15/2027 | 5.000% | 669,000 | 638,358 | |
Mozart Debt Merger Sub, Inc.(d) | ||||
10/01/2029 | 5.250% | 442,000 | 351,293 | |
Owens & Minor, Inc.(d) | ||||
04/01/2030 | 6.625% | 164,000 | 141,021 | |
RP Escrow Issuer LLC(d) | ||||
12/15/2025 | 5.250% | 988,000 | 755,598 | |
Select Medical Corp.(d) | ||||
08/15/2026 | 6.250% | 1,033,000 | 984,494 | |
Teleflex, Inc. | ||||
11/15/2027 | 4.625% | 599,000 | 571,237 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 11 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Teleflex, Inc.(d) | ||||
06/01/2028 | 4.250% | 246,000 | 224,804 | |
Tenet Healthcare Corp.(d) | ||||
01/01/2026 | 4.875% | 1,205,000 | 1,148,037 | |
02/01/2027 | 6.250% | 1,288,000 | 1,237,133 | |
11/01/2027 | 5.125% | 304,000 | 283,673 | |
01/15/2030 | 4.375% | 180,000 | 155,951 | |
US Acute Care Solutions LLC(d) | ||||
03/01/2026 | 6.375% | 416,000 | 369,205 | |
Total | 10,720,271 | |||
Home Construction 0.4% | ||||
Meritage Homes Corp.(d) | ||||
04/15/2029 | 3.875% | 197,000 | 167,185 | |
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 400,000 | 349,534 | |
Total | 516,719 | |||
Independent Energy 5.2% | ||||
Apache Corp. | ||||
09/01/2040 | 5.100% | 92,000 | 76,402 | |
02/01/2042 | 5.250% | 189,000 | 154,980 | |
04/15/2043 | 4.750% | 516,000 | 389,186 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 338,000 | 317,926 | |
Callon Petroleum Co.(d) | ||||
06/15/2030 | 7.500% | 156,000 | 143,211 | |
CNX Resources Corp.(d) | ||||
03/14/2027 | 7.250% | 32,000 | 31,902 | |
01/15/2029 | 6.000% | 416,000 | 383,962 | |
Colgate Energy Partners III LLC(d) | ||||
07/01/2029 | 5.875% | 533,000 | 458,919 | |
Comstock Resources, Inc.(d) | ||||
03/01/2029 | 6.750% | 194,000 | 175,152 | |
CrownRock LP/Finance, Inc.(d) | ||||
05/01/2029 | 5.000% | 141,000 | 126,393 | |
Hilcorp Energy I LP/Finance Co.(d) | ||||
11/01/2028 | 6.250% | 630,000 | 571,560 | |
02/01/2029 | 5.750% | 505,000 | 451,252 | |
04/15/2030 | 6.000% | 147,000 | 131,552 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 547,000 | 527,914 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 817,000 | 844,194 | |
01/01/2031 | 6.125% | 464,000 | 469,565 | |
05/01/2031 | 7.500% | 165,000 | 176,728 | |
09/15/2036 | 6.450% | 614,000 | 626,401 | |
SM Energy Co. | ||||
07/15/2028 | 6.500% | 629,000 | 601,174 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Southwestern Energy Co. | ||||
02/01/2032 | 4.750% | 1,048,000 | 894,816 | |
Total | 7,553,189 | |||
Leisure 2.2% | ||||
Carnival Corp.(d) | ||||
03/01/2026 | 7.625% | 158,000 | 126,191 | |
03/01/2027 | 5.750% | 695,000 | 495,876 | |
Carnival Holdings Bermuda Ltd.(d) | ||||
05/01/2028 | 10.375% | 354,000 | 363,376 | |
Cinemark USA, Inc.(d) | ||||
03/15/2026 | 5.875% | 678,000 | 564,048 | |
07/15/2028 | 5.250% | 40,000 | 29,711 | |
Live Nation Entertainment, Inc.(d) | ||||
10/15/2027 | 4.750% | 165,000 | 147,090 | |
NCL Corp., Ltd.(d) | ||||
02/15/2027 | 5.875% | 234,000 | 202,542 | |
Royal Caribbean Cruises Ltd.(d) | ||||
06/01/2025 | 11.500% | 93,000 | 99,896 | |
07/01/2026 | 4.250% | 408,000 | 330,352 | |
08/31/2026 | 5.500% | 809,000 | 680,644 | |
07/15/2027 | 5.375% | 178,000 | 144,802 | |
Total | 3,184,528 | |||
Lodging 0.3% | ||||
Hilton Domestic Operating Co., Inc.(d) | ||||
05/01/2028 | 5.750% | 380,000 | 369,712 | |
Media and Entertainment 2.6% | ||||
Clear Channel International BV(d) | ||||
08/01/2025 | 6.625% | 346,000 | 330,203 | |
Clear Channel Worldwide Holdings, Inc.(d) | ||||
08/15/2027 | 5.125% | 1,089,000 | 943,618 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 164,285 | 151,117 | |
iHeartCommunications, Inc.(d) | ||||
08/15/2027 | 5.250% | 65,000 | 55,021 | |
01/15/2028 | 4.750% | 266,000 | 216,345 | |
Outfront Media Capital LLC/Corp.(d) | ||||
01/15/2029 | 4.250% | 154,000 | 127,739 | |
03/15/2030 | 4.625% | 891,000 | 738,908 | |
Playtika Holding Corp.(d) | ||||
03/15/2029 | 4.250% | 728,000 | 571,293 | |
Roblox Corp.(d) | ||||
05/01/2030 | 3.875% | 473,000 | 372,587 | |
Univision Communications, Inc.(d) | ||||
06/30/2030 | 7.375% | 309,000 | 295,683 | |
Total | 3,802,514 |
12 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Metals and Mining 3.1% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 116,000 | 102,468 | |
10/01/2031 | 5.125% | 488,000 | 428,177 | |
Constellium SE(d) | ||||
06/15/2028 | 5.625% | 334,000 | 308,846 | |
04/15/2029 | 3.750% | 1,431,000 | 1,165,190 | |
Hudbay Minerals, Inc.(d) | ||||
04/01/2026 | 4.500% | 277,000 | 252,905 | |
04/01/2029 | 6.125% | 1,567,000 | 1,428,157 | |
Kaiser Aluminum Corp.(d) | ||||
03/01/2028 | 4.625% | 63,000 | 55,231 | |
06/01/2031 | 4.500% | 524,000 | 420,990 | |
Novelis Corp.(d) | ||||
11/15/2026 | 3.250% | 284,000 | 254,532 | |
08/15/2031 | 3.875% | 143,000 | 117,013 | |
Total | 4,533,509 | |||
Midstream 6.3% | ||||
Cheniere Energy Partners LP | ||||
01/31/2032 | 3.250% | 201,000 | 160,099 | |
Cheniere Energy, Inc. | ||||
10/15/2028 | 4.625% | 814,000 | 738,165 | |
CNX Midstream Partners LP(d) | ||||
04/15/2030 | 4.750% | 360,000 | 297,170 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 336,000 | 312,398 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 383,000 | 370,542 | |
DT Midstream, Inc.(d) | ||||
06/15/2029 | 4.125% | 283,000 | 242,792 | |
EQM Midstream Partners LP(d) | ||||
07/01/2025 | 6.000% | 148,000 | 143,771 | |
06/01/2027 | 7.500% | 124,000 | 121,481 | |
07/01/2027 | 6.500% | 539,000 | 515,309 | |
01/15/2029 | 4.500% | 547,000 | 462,769 | |
01/15/2031 | 4.750% | 330,000 | 271,931 | |
EQM Midstream Partners LP | ||||
12/01/2026 | 4.125% | 170,000 | 151,366 | |
07/15/2028 | 5.500% | 155,000 | 138,462 | |
07/15/2048 | 6.500% | 611,000 | 458,259 | |
Holly Energy Partners LP/Finance Corp.(d) | ||||
04/15/2027 | 6.375% | 179,000 | 176,649 | |
02/01/2028 | 5.000% | 545,000 | 499,437 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 596,000 | 575,746 | |
06/01/2026 | 6.000% | 430,000 | 415,307 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 979,000 | 851,509 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Venture Global Calcasieu Pass LLC(d) | ||||
08/15/2029 | 3.875% | 496,000 | 434,260 | |
08/15/2031 | 4.125% | 773,000 | 658,989 | |
11/01/2033 | 3.875% | 423,000 | 345,341 | |
Western Gas Partners LP | ||||
07/01/2026 | 4.650% | 908,000 | 864,027 | |
Total | 9,205,779 | |||
Oil Field Services 0.7% | ||||
Nabors Industries, Inc.(d) | ||||
05/15/2027 | 7.375% | 167,000 | 163,633 | |
Transocean Sentry Ltd.(d) | ||||
05/15/2023 | 5.375% | 834,854 | 828,222 | |
Total | 991,855 | |||
Other REIT 1.2% | ||||
Blackstone Mortgage Trust, Inc.(d) | ||||
01/15/2027 | 3.750% | 480,000 | 409,300 | |
Ladder Capital Finance Holdings LLLP/Corp.(d) | ||||
02/01/2027 | 4.250% | 843,000 | 709,848 | |
06/15/2029 | 4.750% | 173,000 | 139,682 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(d) | ||||
05/15/2029 | 4.875% | 283,000 | 239,552 | |
RLJ Lodging Trust LP(d) | ||||
07/01/2026 | 3.750% | 194,000 | 172,672 | |
Total | 1,671,054 | |||
Packaging 2.0% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(d) | ||||
06/15/2027 | 6.000% | 155,000 | 151,864 | |
09/01/2029 | 4.000% | 757,000 | 600,471 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(d) | ||||
04/30/2025 | 5.250% | 399,000 | 381,673 | |
BWAY Holding Co.(d) | ||||
04/15/2024 | 5.500% | 291,000 | 283,130 | |
Canpack SA/US LLC(d) | ||||
11/15/2029 | 3.875% | 627,000 | 496,448 | |
Trivium Packaging Finance BV(d) | ||||
08/15/2026 | 5.500% | 1,051,000 | 982,419 | |
Total | 2,896,005 | |||
Pharmaceuticals 1.5% | ||||
Bausch Health Companies, Inc.(d) | ||||
02/01/2027 | 6.125% | 313,000 | 215,324 | |
06/01/2028 | 4.875% | 476,000 | 304,530 | |
Grifols Escrow Issuer SA(d) | ||||
10/15/2028 | 4.750% | 142,000 | 122,859 | |
Jazz Securities DAC(d) | ||||
01/15/2029 | 4.375% | 205,000 | 184,017 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 13 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Organon Finance 1 LLC(d) | ||||
04/30/2028 | 4.125% | 848,000 | 750,835 | |
04/30/2031 | 5.125% | 690,000 | 597,695 | |
Total | 2,175,260 | |||
Property & Casualty 1.1% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(d) | ||||
10/15/2027 | 4.250% | 1,379,000 | 1,242,146 | |
Lumbermens Mutual Casualty Co.(d),(g) | ||||
12/01/2097 | 0.000% | 30,000 | 18 | |
Lumbermens Mutual Casualty Co.(g) | ||||
Subordinated | ||||
07/01/2026 | 0.000% | 645,000 | 378 | |
MGIC Investment Corp. | ||||
08/15/2028 | 5.250% | 112,000 | 103,440 | |
Radian Group, Inc. | ||||
03/15/2025 | 6.625% | 44,000 | 43,540 | |
03/15/2027 | 4.875% | 262,000 | 240,096 | |
Total | 1,629,618 | |||
Restaurants 1.4% | ||||
IRB Holding Corp.(d) | ||||
06/15/2025 | 7.000% | 1,723,000 | 1,718,319 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 361,000 | 334,458 | |
Total | 2,052,777 | |||
Retailers 1.4% | ||||
Asbury Automotive Group, Inc.(d) | ||||
11/15/2029 | 4.625% | 111,000 | 93,653 | |
02/15/2032 | 5.000% | 111,000 | 91,571 | |
Group 1 Automotive, Inc.(d) | ||||
08/15/2028 | 4.000% | 131,000 | 111,376 | |
L Brands, Inc.(d) | ||||
07/01/2025 | 9.375% | 110,000 | 117,881 | |
10/01/2030 | 6.625% | 398,000 | 373,295 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 80,000 | 78,904 | |
LCM Investments Holdings II LLC(d) | ||||
05/01/2029 | 4.875% | 443,000 | 357,818 | |
Lithia Motors, Inc.(d) | ||||
01/15/2031 | 4.375% | 175,000 | 143,611 | |
Penske Automotive Group, Inc. | ||||
09/01/2025 | 3.500% | 208,000 | 193,756 | |
PetSmart, Inc./Finance Corp.(d) | ||||
02/15/2028 | 4.750% | 375,000 | 339,816 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wolverine World Wide, Inc.(d) | ||||
08/15/2029 | 4.000% | 197,000 | 149,169 | |
Total | 2,050,850 | |||
Supermarkets 0.1% | ||||
SEG Holding LLC/Finance Corp.(d) | ||||
10/15/2028 | 5.625% | 189,000 | 176,313 | |
Technology 5.8% | ||||
Black Knight InfoServ LLC(d) | ||||
09/01/2028 | 3.625% | 500,000 | 435,999 | |
Block, Inc. | ||||
06/01/2031 | 3.500% | 175,000 | 139,681 | |
Boxer Parent Co., Inc.(d) | ||||
10/02/2025 | 7.125% | 233,000 | 228,514 | |
Camelot Finance SA(d) | ||||
11/01/2026 | 4.500% | 505,000 | 474,768 | |
Clarivate Science Holdings Corp.(d) | ||||
07/01/2028 | 3.875% | 225,000 | 195,190 | |
Entegris Escrow Corp.(d) | ||||
04/15/2029 | 4.750% | 382,000 | 349,391 | |
06/15/2030 | 5.950% | 430,000 | 396,696 | |
Gartner, Inc.(d) | ||||
06/15/2029 | 3.625% | 171,000 | 149,897 | |
HealthEquity, Inc.(d) | ||||
10/01/2029 | 4.500% | 455,000 | 404,235 | |
Helios Software Holdings, Inc.(d) | ||||
05/01/2028 | 4.625% | 432,000 | 328,809 | |
ION Trading Technologies Sarl(d) | ||||
05/15/2028 | 5.750% | 436,000 | 363,939 | |
Iron Mountain, Inc.(d) | ||||
09/15/2027 | 4.875% | 268,000 | 246,793 | |
Logan Merger Sub, Inc.(d) | ||||
09/01/2027 | 5.500% | 912,000 | 492,252 | |
NCR Corp.(d) | ||||
10/01/2028 | 5.000% | 424,000 | 363,811 | |
04/15/2029 | 5.125% | 755,000 | 631,402 | |
10/01/2030 | 5.250% | 26,000 | 21,434 | |
Neptune Bidco US, Inc.(d) | ||||
04/15/2029 | 9.290% | 239,000 | 225,196 | |
Picard Midco, Inc.(d) | ||||
03/31/2029 | 6.500% | 449,000 | 380,190 | |
PTC, Inc.(d) | ||||
02/15/2028 | 4.000% | 262,000 | 237,133 | |
Sabre GLBL, Inc.(d) | ||||
12/15/2027 | 11.250% | 54,000 | 55,579 | |
Sensata Technologies BV(d) | ||||
09/01/2030 | 5.875% | 270,000 | 255,751 |
14 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Shift4 Payments LLC/Finance Sub, Inc.(d) | ||||
11/01/2026 | 4.625% | 648,000 | 611,268 | |
Synaptics, Inc.(d) | ||||
06/15/2029 | 4.000% | 345,000 | 288,719 | |
Tempo Acquisition LLC/Finance Corp.(d) | ||||
06/01/2025 | 5.750% | 377,000 | 378,213 | |
ZoomInfo Technologies LLC/Finance Corp.(d) | ||||
02/01/2029 | 3.875% | 827,000 | 696,897 | |
Total | 8,351,757 | |||
Wireless 3.1% | ||||
Altice France SA(d) | ||||
02/01/2027 | 8.125% | 661,000 | 603,416 | |
01/15/2028 | 5.500% | 821,000 | 644,595 | |
07/15/2029 | 5.125% | 456,000 | 341,059 | |
SBA Communications Corp. | ||||
02/15/2027 | 3.875% | 922,000 | 834,634 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 1,009,000 | 1,049,304 | |
03/15/2032 | 8.750% | 120,000 | 142,748 | |
Vmed O2 UK Financing I PLC(d) | ||||
01/31/2031 | 4.250% | 438,000 | 354,803 | |
07/15/2031 | 4.750% | 665,000 | 541,520 | |
Total | 4,512,079 | |||
Wirelines 1.8% | ||||
Front Range BidCo, Inc.(d) | ||||
03/01/2027 | 4.000% | 654,000 | 484,688 | |
Frontier Communications Holdings LLC(d) | ||||
10/15/2027 | 5.875% | 265,000 | 246,638 | |
05/15/2030 | 8.750% | 324,000 | 330,808 | |
Iliad Holding SAS(d) | ||||
10/15/2026 | 6.500% | 1,042,000 | 967,785 | |
10/15/2028 | 7.000% | 638,000 | 578,651 | |
Total | 2,608,570 | |||
Total Corporate Bonds & Notes (Cost $145,882,457) | 130,479,021 | |||
Foreign Government Obligations(h) 0.6% | ||||
Canada 0.6% | ||||
NOVA Chemicals Corp.(d) | ||||
06/01/2027 | 5.250% | 771,000 | 692,621 | |
05/15/2029 | 4.250% | 124,000 | 101,281 | |
Total | 793,902 | |||
Total Foreign Government Obligations (Cost $893,417) | 793,902 | |||
Senior Loans 3.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.7% | ||||
8th Avenue Food & Provisions, Inc.(i),(j) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% 10/01/2025 | 8.134% | 1,289,082 | 1,068,327 | |
Health Care 0.5% | ||||
Surgery Center Holdings, Inc.(i),(j) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 08/31/2026 | 8.050% | 643,430 | 634,512 | |
Media and Entertainment 0.5% | ||||
Cengage Learning, Inc.(i),(j) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 7.814% | 817,032 | 733,033 | |
Technology 1.5% | ||||
Ascend Learning LLC(i),(j) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/11/2028 | 7.884% | 796,950 | 752,122 | |
UKG, Inc.(i),(j) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 05/04/2026 | 8.134% | 408,285 | 392,974 | |
1-month USD LIBOR + 3.250% Floor 0.500% 05/04/2026 | 6.998% | 1,132,703 | 1,076,068 | |
Total | 2,221,164 | |||
Total Senior Loans (Cost $5,080,015) | 4,657,036 |
Money Market Funds 4.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(k),(l) | 6,449,774 | 6,447,839 |
Total Money Market Funds (Cost $6,447,204) | 6,447,839 | |
Total Investments in Securities (Cost: $160,321,387) | 143,600,823 | |
Other Assets & Liabilities, Net | 1,841,181 | |
Net Assets | 145,442,004 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 15 |
December 31, 2022
(a) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2022, 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 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 December 31, 2022, the total value of these securities amounted to $107,918,426, which represents 74.20% of total net assets. |
(e) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(f) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(g) | Represents a security in default. |
(h) | Principal and interest may not be guaranteed by a governmental entity. |
(i) | The stated interest rate represents the weighted average interest rate at December 31, 2022 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 December 31, 2022. |
(k) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(l) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 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, 4.318% | ||||||||
4,419,370 | 31,964,151 | (29,936,458) | 776 | 6,447,839 | (1,106) | 95,784 | 6,449,774 |
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 | Annual Report 2022 |
December 31, 2022
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 45 | — | 6 | 51 |
Consumer Discretionary | 26,788 | — | — | 26,788 |
Industrials | 5,210 | — | — | 5,210 |
Utilities | — | — | 0* | 0* |
Total Common Stocks | 32,043 | — | 6 | 32,049 |
Convertible Bonds | — | 1,190,976 | — | 1,190,976 |
Corporate Bonds & Notes | — | 130,479,021 | — | 130,479,021 |
Foreign Government Obligations | — | 793,902 | — | 793,902 |
Senior Loans | — | 4,657,036 | — | 4,657,036 |
Money Market Funds | 6,447,839 | — | — | 6,447,839 |
Total Investments in Securities | 6,479,882 | 137,120,935 | 6 | 143,600,823 |
* | Rounds to zero. |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 17 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $153,874,183) | $137,152,984 |
Affiliated issuers (cost $6,447,204) | 6,447,839 |
Cash | 27,569 |
Receivable for: | |
Capital shares sold | 21,825 |
Dividends | 23,302 |
Interest | 2,144,152 |
Foreign tax reclaims | 1,712 |
Expense reimbursement due from Investment Manager | 596 |
Prepaid expenses | 6,793 |
Total assets | 145,826,772 |
Liabilities | |
Payable for: | |
Investments purchased | 26,027 |
Capital shares purchased | 143,007 |
Management services fees | 2,629 |
Distribution and/or service fees | 554 |
Service fees | 11,125 |
Compensation of board members | 178,027 |
Compensation of chief compliance officer | 29 |
Other expenses | 23,370 |
Total liabilities | 384,768 |
Net assets applicable to outstanding capital stock | $145,442,004 |
Represented by | |
Paid in capital | 158,353,162 |
Total distributable earnings (loss) | (12,911,158) |
Total - representing net assets applicable to outstanding capital stock | $145,442,004 |
Class 1 | |
Net assets | $15,940,139 |
Shares outstanding | 2,656,174 |
Net asset value per share | $6.00 |
Class 2 | |
Net assets | $32,299,881 |
Shares outstanding | 5,427,662 |
Net asset value per share | $5.95 |
Class 3 | |
Net assets | $97,201,984 |
Shares outstanding | 16,081,089 |
Net asset value per share | $6.04 |
18 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $95,784 |
Interest | 8,423,206 |
Total income | 8,518,990 |
Expenses: | |
Management services fees | 1,035,307 |
Distribution and/or service fees | |
Class 2 | 82,662 |
Class 3 | 133,303 |
Service fees | 107,389 |
Compensation of board members | 3,537 |
Custodian fees | 8,570 |
Printing and postage fees | 28,070 |
Audit fees | 29,500 |
Legal fees | 14,127 |
Compensation of chief compliance officer | 23 |
Other | 8,211 |
Total expenses | 1,450,699 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (230,695) |
Total net expenses | 1,220,004 |
Net investment income | 7,298,986 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (3,090,566) |
Investments — affiliated issuers | (1,106) |
Net realized loss | (3,091,672) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (22,177,521) |
Investments — affiliated issuers | 776 |
Net change in unrealized appreciation (depreciation) | (22,176,745) |
Net realized and unrealized loss | (25,268,417) |
Net decrease in net assets resulting from operations | $(17,969,431) |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 19 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $7,298,986 | $8,027,357 |
Net realized gain (loss) | (3,091,672) | 14,227,477 |
Net change in unrealized appreciation (depreciation) | (22,176,745) | (14,291,797) |
Net increase (decrease) in net assets resulting from operations | (17,969,431) | 7,963,037 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (1,514,214) | (1,831,278) |
Class 2 | (2,901,842) | (3,203,673) |
Class 3 | (9,245,559) | (11,422,235) |
Total distributions to shareholders | (13,661,615) | (16,457,186) |
Decrease in net assets from capital stock activity | (3,896,840) | (173,186,005) |
Total decrease in net assets | (35,527,886) | (181,680,154) |
Net assets at beginning of year | 180,969,890 | 362,650,044 |
Net assets at end of year | $145,442,004 | $180,969,890 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 109,761 | 715,344 | 164,755 | 1,245,705 |
Distributions reinvested | 248,231 | 1,514,214 | 253,289 | 1,831,278 |
Redemptions | (415,637) | (2,713,004) | (22,961,477) | (177,027,879) |
Net decrease | (57,645) | (483,446) | (22,543,433) | (173,950,896) |
Class 2 | ||||
Subscriptions | 523,046 | 3,394,478 | 450,789 | 3,367,312 |
Distributions reinvested | 478,852 | 2,901,842 | 446,194 | 3,203,673 |
Redemptions | (557,326) | (3,608,498) | (577,468) | (4,319,689) |
Net increase | 444,572 | 2,687,822 | 319,515 | 2,251,296 |
Class 3 | ||||
Subscriptions | 42,500 | 291,923 | 339,536 | 2,628,629 |
Distributions reinvested | 1,503,343 | 9,245,559 | 1,568,988 | 11,422,235 |
Redemptions | (2,389,613) | (15,638,698) | (2,047,398) | (15,537,269) |
Net decrease | (843,770) | (6,101,216) | (138,874) | (1,486,405) |
Total net decrease | (456,843) | (3,896,840) | (22,362,792) | (173,186,005) |
20 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 21 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $7.33 | 0.31 | (1.03) | (0.72) | (0.37) | (0.24) | (0.61) |
Year Ended 12/31/2021 | $7.71 | 0.33 | 0.01(c) | 0.34 | (0.72) | — | (0.72) |
Year Ended 12/31/2020 | $7.64 | 0.35 | 0.08 | 0.43 | (0.36) | — | (0.36) |
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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $7.27 | 0.29 | (1.02) | (0.73) | (0.35) | (0.24) | (0.59) |
Year Ended 12/31/2021 | $7.66 | 0.30 | 0.01(c) | 0.31 | (0.70) | — | (0.70) |
Year Ended 12/31/2020 | $7.59 | 0.33 | 0.08 | 0.41 | (0.34) | — | (0.34) |
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) |
Class 3 | |||||||
Year Ended 12/31/2022 | $7.38 | 0.30 | (1.04) | (0.74) | (0.36) | (0.24) | (0.60) |
Year Ended 12/31/2021 | $7.75 | 0.32 | 0.02(c) | 0.34 | (0.71) | — | (0.71) |
Year Ended 12/31/2020 | $7.68 | 0.34 | 0.08 | 0.42 | (0.35) | — | (0.35) |
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) |
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. |
22 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $6.00 | (10.01%) | 0.79% | 0.64% | 4.79% | 26% | $15,940 |
Year Ended 12/31/2021 | $7.33 | 4.50% | 0.77% | 0.66% | 4.26% | 50% | $19,891 |
Year Ended 12/31/2020 | $7.71 | 5.90% | 0.73% | 0.67% | 4.74% | 58% | $194,656 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $5.95 | (10.22%) | 1.04% | 0.89% | 4.55% | 26% | $32,300 |
Year Ended 12/31/2021 | $7.27 | 4.14% | 1.05% | 0.90% | 4.07% | 50% | $36,232 |
Year Ended 12/31/2020 | $7.66 | 5.67% | 0.98% | 0.92% | 4.49% | 58% | $35,700 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $6.04 | (10.21%) | 0.91% | 0.76% | 4.66% | 26% | $97,202 |
Year Ended 12/31/2021 | $7.38 | 4.48% | 0.92% | 0.78% | 4.19% | 50% | $124,846 |
Year Ended 12/31/2020 | $7.75 | 5.74% | 0.86% | 0.80% | 4.62% | 58% | $132,293 |
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% | $146,078 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 27 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.64% |
Class 2 | 0.89 |
Class 3 | 0.765 |
28 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
December 31, 2022
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
51,229 | (51,230) | 1 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
9,942,886 | 3,718,729 | 13,661,615 | 16,457,186 | — | 16,457,186 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
7,270,211 | — | (3,131,831) | (16,872,753) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
160,473,576 | 155,938 | (17,028,691) | (16,872,753) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(1,354,914) | (1,776,917) | (3,131,831) | — |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 29 |
December 31, 2022
30 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 31 |
December 31, 2022
32 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 33 |
34 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 35 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
36 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 37 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
38 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 | 39 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
40 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -9.44 | 8.01 | 10.86 | |
Class 2 | 05/03/10 | -9.66 | 7.74 | 10.60 | |
Class 3 | 05/02/05 | -9.56 | 7.87 | 10.74 | |
Russell Midcap Value Index | -12.03 | 5.72 | 10.11 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 98.6 |
Money Market Funds | 1.4 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 5.7 |
Consumer Discretionary | 11.1 |
Consumer Staples | 2.9 |
Energy | 5.4 |
Financials | 16.6 |
Health Care | 9.0 |
Industrials | 15.4 |
Information Technology | 8.3 |
Materials | 7.8 |
Real Estate | 9.1 |
Utilities | 8.7 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
(Unaudited)
• | Strong stock selection within the consumer discretionary, materials and real estate sectors was the key driver of outperformance during the year, more than offsetting weaker results in the financials and consumer staples sectors. |
• | Two of the Fund’s top performers were within the energy sector, with both Marathon Petroleum Corp. and Devon Energy Corp. delivering robust gains. |
○ | Shares in refining company Marathon climbed as the company is in the midst of buying back effectively 60% of outstanding shares, thanks in part to the sale of Speedway gas stations, but also due to widening refining spreads, refinery efficiencies and production issues in other countries. |
○ | Exploration and production company Devon Energy again reported excellent quarterly results. Further, the company increased their fixed and variable dividend and continued to buy back stock. |
• | Specialty materials maker Allegheny Technologies, Inc. also was a top contributor, rising after reporting results well above consensus expectations and raising forward guidance against the backdrop of recovery in aerospace, a key market for the company. The Fund sold its position in Allegheny Technologies early in the second half of the year. |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 5 |
(Unaudited)
• | The Fund’s holding in power generation company AES Corp. was a standout within utilities. The company reported strong quarterly results with earnings ahead of consensus estimates, driven in part by liquefied natural gas sales, and reaffirmed their annualized growth targets through 2025. The company also continues to focus on its renewables business, unveiling plans to build a green hydrogen production facility in Texas. |
• | Within financials, life and health insurer Reinsurance Group of America rose strongly, fueled by reporting results well above expectations amid an improving industry backdrop and lack of exposure to liabilities causing investor concern. |
• | Overall sector allocation detracted from relative results, most notably a below-benchmark exposure to the utilities sector, which other than energy was the only sector within the benchmark to post a positive return for the period (sector exposures are a byproduct of the portfolio’s longstanding bottom-up investment process). |
• | Adverse stock selection within the financials and consumer staples sectors were notable detractors from relative results during the period. |
• | Individual detractors included two holdings within the financials sector, Lincoln National Corp. and SVB Financial Group. |
○ | Shares in insurer Lincoln National dropped after the company reported a larger-than-expected charge related to an actuarial review that revealed higher persistency in certain life insurance policies. |
○ | Shares in SVB Financial, a firm that primarily provides banking services for the technology and life science industries in California, dropped following lowered forward guidance impacted by lower capital markets activity within the technology and health care sectors amid higher interest rates, as well as an uncertain macroeconomic environment. |
• | In health care, contract research organization Syneos Health, Inc. was a notable detractor. Shares in the company, which provides clinical trial support to the pharmaceutical and biotechnology industries, dropped following below-expectation results driven by a decline in clinical bookings owing to the challenging macroeconomic environment. |
• | In communication services, interactive game maker Take-Two Interactive Software, Inc. struggled throughout the period as investors considered a slowdown in mobile gaming amid weaker economic conditions as well as tough comparisons to the company’s robust results coming out of the pandemic. |
• | In information technology, semiconductor testing equipment maker Teradyne, Inc. fell as investors worried about weakening demand in key end markets such as industrial automation. |
6 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,080.60 | 1,020.91 | 4.33 | 4.20 | 0.83 |
Class 2 | 1,000.00 | 1,000.00 | 1,078.80 | 1,019.65 | 5.63 | 5.47 | 1.08 |
Class 3 | 1,000.00 | 1,000.00 | 1,079.70 | 1,020.31 | 4.95 | 4.81 | 0.95 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Communication Services 5.6% | ||
Entertainment 3.6% | ||
Live Nation Entertainment, Inc.(a) | 58,882 | 4,106,431 |
Take-Two Interactive Software, Inc.(a) | 57,098 | 5,945,615 |
Total | 10,052,046 | |
Media 2.0% | ||
Nexstar Media Group, Inc., Class A | 32,805 | 5,741,859 |
Total Communication Services | 15,793,905 | |
Consumer Discretionary 11.0% | ||
Hotels, Restaurants & Leisure 2.2% | ||
Hyatt Hotels Corp., Class A(a) | 68,259 | 6,174,026 |
Household Durables 1.6% | ||
D.R. Horton, Inc. | 50,297 | 4,483,475 |
Multiline Retail 1.4% | ||
Dollar Tree, Inc.(a) | 27,055 | 3,826,659 |
Specialty Retail 4.2% | ||
Burlington Stores, Inc.(a) | 28,031 | 5,683,566 |
O’Reilly Automotive, Inc.(a) | 7,308 | 6,168,171 |
Total | 11,851,737 | |
Textiles, Apparel & Luxury Goods 1.6% | ||
Capri Holdings Ltd.(a) | 78,234 | 4,484,373 |
Total Consumer Discretionary | 30,820,270 | |
Consumer Staples 2.9% | ||
Food & Staples Retailing 1.6% | ||
U.S. Foods Holding Corp.(a) | 131,023 | 4,457,402 |
Food Products 1.3% | ||
Tyson Foods, Inc., Class A | 58,655 | 3,651,274 |
Total Consumer Staples | 8,108,676 | |
Energy 5.3% | ||
Oil, Gas & Consumable Fuels 5.3% | ||
Devon Energy Corp. | 110,894 | 6,821,090 |
Marathon Petroleum Corp. | 68,744 | 8,001,114 |
Total | 14,822,204 | |
Total Energy | 14,822,204 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 16.4% | ||
Banks 6.2% | ||
Popular, Inc. | 90,189 | 5,981,334 |
Regions Financial Corp. | 329,008 | 7,093,413 |
SVB Financial Group(a) | 19,239 | 4,427,663 |
Total | 17,502,410 | |
Consumer Finance 2.4% | ||
Discover Financial Services | 68,956 | 6,745,966 |
Diversified Financial Services 2.1% | ||
Voya Financial, Inc. | 94,425 | 5,806,193 |
Insurance 5.7% | ||
Hanover Insurance Group, Inc. (The) | 45,709 | 6,176,657 |
Lincoln National Corp. | 139,613 | 4,288,912 |
Reinsurance Group of America, Inc. | 38,022 | 5,402,546 |
Total | 15,868,115 | |
Total Financials | 45,922,684 | |
Health Care 8.9% | ||
Health Care Equipment & Supplies 2.4% | ||
Zimmer Biomet Holdings, Inc. | 51,878 | 6,614,445 |
Health Care Providers & Services 4.1% | ||
Centene Corp.(a) | 72,737 | 5,965,162 |
Quest Diagnostics, Inc. | 36,369 | 5,689,566 |
Total | 11,654,728 | |
Life Sciences Tools & Services 2.4% | ||
Agilent Technologies, Inc. | 30,545 | 4,571,059 |
Syneos Health, Inc.(a) | 57,000 | 2,090,760 |
Total | 6,661,819 | |
Total Health Care | 24,930,992 | |
Industrials 15.2% | ||
Airlines 1.7% | ||
Southwest Airlines Co.(a) | 141,518 | 4,764,911 |
Building Products 2.9% | ||
Trane Technologies PLC | 47,724 | 8,021,927 |
Electrical Equipment 3.5% | ||
AMETEK, Inc. | 69,835 | 9,757,346 |
8 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 5.0% | ||
Ingersoll Rand, Inc. | 120,605 | 6,301,612 |
ITT, Inc. | 94,882 | 7,694,930 |
Total | 13,996,542 | |
Professional Services 2.1% | ||
CACI International, Inc., Class A(a) | 19,755 | 5,938,155 |
Total Industrials | 42,478,881 | |
Information Technology 8.2% | ||
Communications Equipment 2.2% | ||
Motorola Solutions, Inc. | 24,233 | 6,245,086 |
Electronic Equipment, Instruments & Components 2.1% | ||
Corning, Inc. | 178,498 | 5,701,226 |
Semiconductors & Semiconductor Equipment 3.9% | ||
Marvell Technology, Inc. | 72,008 | 2,667,176 |
ON Semiconductor Corp.(a) | 63,022 | 3,930,682 |
Teradyne, Inc. | 49,381 | 4,313,431 |
Total | 10,911,289 | |
Total Information Technology | 22,857,601 | |
Materials 7.7% | ||
Chemicals 4.1% | ||
Chemours Co. LLC (The) | 145,000 | 4,439,900 |
FMC Corp. | 55,374 | 6,910,675 |
Total | 11,350,575 | |
Metals & Mining 3.6% | ||
ATI, Inc.(a) | 148,905 | 4,446,303 |
Freeport-McMoRan, Inc. | 151,853 | 5,770,414 |
Total | 10,216,717 | |
Total Materials | 21,567,292 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate 9.0% | ||
Equity Real Estate Investment Trusts (REITS) 9.0% | ||
First Industrial Realty Trust, Inc. | 129,437 | 6,246,630 |
Gaming and Leisure Properties, Inc. | 123,550 | 6,435,719 |
Lamar Advertising Co., Class A | 67,152 | 6,339,149 |
Welltower, Inc. | 94,785 | 6,213,157 |
Total | 25,234,655 | |
Total Real Estate | 25,234,655 | |
Utilities 8.5% | ||
Electric Utilities 2.6% | ||
Entergy Corp. | 66,185 | 7,445,812 |
Independent Power and Renewable Electricity Producers 2.8% | ||
AES Corp. (The) | 271,075 | 7,796,117 |
Multi-Utilities 3.1% | ||
Ameren Corp. | 98,029 | 8,716,739 |
Total Utilities | 23,958,668 | |
Total Common Stocks (Cost $225,698,858) | 276,495,828 | |
Money Market Funds 1.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 4,007,910 | 4,006,708 |
Total Money Market Funds (Cost $4,006,293) | 4,006,708 | |
Total Investments in Securities (Cost: $229,705,151) | 280,502,536 | |
Other Assets & Liabilities, Net | (298,142) | |
Net Assets | 280,204,394 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 9 |
December 31, 2022
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
3,559,678 | 48,409,052 | (47,962,543) | 521 | 4,006,708 | (308) | 50,368 | 4,007,910 |
■ | 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 | 15,793,905 | — | — | 15,793,905 |
Consumer Discretionary | 30,820,270 | — | — | 30,820,270 |
Consumer Staples | 8,108,676 | — | — | 8,108,676 |
Energy | 14,822,204 | — | — | 14,822,204 |
Financials | 45,922,684 | — | — | 45,922,684 |
Health Care | 24,930,992 | — | — | 24,930,992 |
Industrials | 42,478,881 | — | — | 42,478,881 |
10 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
December 31, 2022
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | 22,857,601 | — | — | 22,857,601 |
Materials | 21,567,292 | — | — | 21,567,292 |
Real Estate | 25,234,655 | — | — | 25,234,655 |
Utilities | 23,958,668 | — | — | 23,958,668 |
Total Common Stocks | 276,495,828 | — | — | 276,495,828 |
Money Market Funds | 4,006,708 | — | — | 4,006,708 |
Total Investments in Securities | 280,502,536 | — | — | 280,502,536 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $225,698,858) | $276,495,828 |
Affiliated issuers (cost $4,006,293) | 4,006,708 |
Cash | 3 |
Receivable for: | |
Capital shares sold | 4,797 |
Dividends | 233,736 |
Expense reimbursement due from Investment Manager | 457 |
Prepaid expenses | 7,689 |
Total assets | 280,749,218 |
Liabilities | |
Payable for: | |
Capital shares purchased | 432,188 |
Management services fees | 6,329 |
Distribution and/or service fees | 558 |
Service fees | 9,331 |
Compensation of board members | 76,370 |
Compensation of chief compliance officer | 54 |
Other expenses | 19,994 |
Total liabilities | 544,824 |
Net assets applicable to outstanding capital stock | $280,204,394 |
Represented by | |
Trust capital | $280,204,394 |
Total - representing net assets applicable to outstanding capital stock | $280,204,394 |
Class 1 | |
Net assets | $166,488,337 |
Shares outstanding | 4,984,685 |
Net asset value per share | $33.40 |
Class 2 | |
Net assets | $48,561,369 |
Shares outstanding | 1,496,828 |
Net asset value per share | $32.44 |
Class 3 | |
Net assets | $65,154,688 |
Shares outstanding | 1,979,687 |
Net asset value per share | $32.91 |
12 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,138,686 |
Dividends — affiliated issuers | 50,368 |
Foreign taxes withheld | (19,842) |
Total income | 5,169,212 |
Expenses: | |
Management services fees | 2,459,041 |
Distribution and/or service fees | |
Class 2 | 118,432 |
Class 3 | 83,622 |
Service fees | 93,322 |
Compensation of board members | 13,241 |
Custodian fees | 5,732 |
Printing and postage fees | 16,046 |
Audit fees | 29,500 |
Legal fees | 15,934 |
Compensation of chief compliance officer | 45 |
Other | 9,820 |
Total expenses | 2,844,735 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (153,314) |
Total net expenses | 2,691,421 |
Net investment income | 2,477,791 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 26,536,324 |
Investments — affiliated issuers | (308) |
Net realized gain | 26,536,016 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (61,235,183) |
Investments — affiliated issuers | 521 |
Net change in unrealized appreciation (depreciation) | (61,234,662) |
Net realized and unrealized loss | (34,698,646) |
Net decrease in net assets resulting from operations | $(32,220,855) |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $2,477,791 | $2,073,651 |
Net realized gain | 26,536,016 | 55,160,550 |
Net change in unrealized appreciation (depreciation) | (61,234,662) | 35,845,364 |
Net increase (decrease) in net assets resulting from operations | (32,220,855) | 93,079,565 |
Decrease in net assets from capital stock activity | (33,053,649) | (78,497,952) |
Total increase (decrease) in net assets | (65,274,504) | 14,581,613 |
Net assets at beginning of year | 345,478,898 | 330,897,285 |
Net assets at end of year | $280,204,394 | $345,478,898 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 101,870 | 3,446,177 | 78,463 | 2,413,133 |
Redemptions | (1,152,445) | (39,237,356) | (2,556,233) | (80,412,074) |
Net decrease | (1,050,575) | (35,791,179) | (2,477,770) | (77,998,941) |
Class 2 | ||||
Subscriptions | 292,808 | 9,704,722 | 232,165 | 7,500,960 |
Redemptions | (174,208) | (5,742,927) | (121,717) | (3,808,407) |
Net increase | 118,600 | 3,961,795 | 110,448 | 3,692,553 |
Class 3 | ||||
Subscriptions | 119,998 | 4,008,253 | 93,222 | 2,965,606 |
Redemptions | (157,218) | (5,232,518) | (222,676) | (7,157,170) |
Net decrease | (37,220) | (1,224,265) | (129,454) | (4,191,564) |
Total net decrease | (969,195) | (33,053,649) | (2,496,776) | (78,497,952) |
14 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $36.88 | 0.30 | (3.78) | (3.48) |
Year Ended 12/31/2021 | $27.87 | 0.22 | 8.79 | 9.01 |
Year Ended 12/31/2020 | $25.93 | 0.23 | 1.71 | 1.94 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $35.91 | 0.22 | (3.69) | (3.47) |
Year Ended 12/31/2021 | $27.21 | 0.14 | 8.56 | 8.70 |
Year Ended 12/31/2020 | $25.37 | 0.17 | 1.67 | 1.84 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $36.39 | 0.26 | (3.74) | (3.48) |
Year Ended 12/31/2021 | $27.54 | 0.18 | 8.67 | 8.85 |
Year Ended 12/31/2020 | $25.64 | 0.20 | 1.70 | 1.90 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
16 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $33.40 | (9.44%) | 0.88% | 0.83% | 0.89% | 24% | $166,488 |
Year Ended 12/31/2021 | $36.88 | 32.33% | 0.88% | 0.82% | 0.68% | 32% | $222,591 |
Year Ended 12/31/2020 | $27.87 | 7.48% | 0.88% | 0.81% | 1.03% | 40% | $237,299 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $32.44 | (9.66%) | 1.13% | 1.08% | 0.66% | 24% | $48,561 |
Year Ended 12/31/2021 | $35.91 | 31.97% | 1.13% | 1.07% | 0.45% | 32% | $49,498 |
Year Ended 12/31/2020 | $27.21 | 7.25% | 1.13% | 1.06% | 0.78% | 40% | $34,497 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $32.91 | (9.56%) | 1.01% | 0.95% | 0.78% | 24% | $65,155 |
Year Ended 12/31/2021 | $36.39 | 32.14% | 1.01% | 0.95% | 0.57% | 32% | $73,390 |
Year Ended 12/31/2020 | $27.54 | 7.41% | 1.01% | 0.94% | 0.91% | 40% | $59,101 |
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 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.83% |
Class 2 | 1.08 |
Class 3 | 0.955 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 25 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
26 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
28 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 29 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
30 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2022 | 31 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
29 | |
30 | |
30 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/01/96 | -31.72 | 14.63 | 18.70 | |
Class 2 | 05/01/00 | -31.86 | 14.35 | 18.39 | |
MSCI World Information Technology Index (Net) | -30.79 | 13.18 | 16.17 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 3 |
(Unaudited)
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 8.5 |
Consumer Discretionary | 2.1 |
Health Care | 0.4 |
Industrials | 2.8 |
Information Technology | 86.2 |
Total | 100.0 |
Equity sub-industry breakdown (%) (at December 31, 2022) | |
Information Technology | |
Application Software | 8.1 |
Communications Equipment | 4.5 |
Data Processing & Outsourced Services | 5.1 |
Electronic Equipment & Instruments | 2.1 |
Internet Services & Infrastructure | 2.7 |
IT Consulting & Other Services | 0.8 |
Semiconductor Equipment | 13.5 |
Semiconductors | 23.9 |
Systems Software | 15.7 |
Technology Hardware, Storage & Peripherals | 9.8 |
Total | 86.2 |
Country breakdown (%) (at December 31, 2022) | |
Canada | 0.3 |
Germany | 0.5 |
Israel | 1.8 |
Japan | 2.4 |
Netherlands | 1.6 |
Sweden | 0.9 |
United States(a) | 92.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
(Unaudited)
• | Selections within the semiconductor, communications equipment and technology hardware industries detracted most from results versus the benchmark during the period. |
• | An overweighted allocation to the semiconductor industry, an out-of-benchmark allocation to interactive media in the communication services sector and an underweight to the technology hardware industry also detracted. |
• | Top individual detractors to relative performance included semiconductor companies Synaptics, Inc., Teradyne, Inc., Marvell Technology, Inc. and Lam Research Corp. |
• | Not owning global payment-processing company Mastercard weighed on relative results. |
• | Allocation decisions, namely an overweight to communication services sector (particularly within the entertainment and media industries) and an out-of-benchmark allocation to the industrials sector contributed to Fund results versus the benchmark. |
• | Within the information technology sector, an underweight to the software industry was also additive. |
• | Selections within the software, IT services and electronic equipment industries contributed positively to Fund results versus the benchmark. |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Top individual holdings that contributed during the period, relative to the benchmark, included software company Synopsis, Inc., semiconductor company Analog Devices, Inc., gaming company Activision Blizzard, Inc. and communications equipment company Plantronics, Inc. During the period, Plantronics was acquired by Hewlett-Packard, and it was announced that Activision Blizzard would be acquired by Microsoft. |
• | Not owning software company NVIDIA Corp., e-commerce company Shopify Inc. and online payments company PayPal Holdings, Inc. also contributed versus the benchmark. |
6 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 967.70 | 1,020.16 | 4.83 | 4.96 | 0.98 |
Class 2 | 1,000.00 | 1,000.00 | 967.10 | 1,018.90 | 6.07 | 6.23 | 1.23 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 98.3% | ||
Issuer | Shares | Value ($) |
Canada 0.3% | ||
Shaw Communications, Inc. | 10,295 | 296,608 |
Germany 0.5% | ||
TeamViewer AG(a) | 45,115 | 578,714 |
Israel 1.8% | ||
Check Point Software Technologies Ltd.(a) | 8,800 | 1,110,208 |
CyberArk Software Ltd.(a) | 4,015 | 520,545 |
Tower Semiconductor Ltd.(a) | 6,459 | 279,029 |
Total | 1,909,782 | |
Japan 2.4% | ||
Renesas Electronics Corp.(a) | 251,000 | 2,218,404 |
Sumco Corp. | 26,300 | 348,438 |
Total | 2,566,842 | |
Netherlands 1.6% | ||
NXP Semiconductors NV | 10,932 | 1,727,584 |
Sweden 0.8% | ||
Telefonaktiebolaget LM Ericsson, ADR | 154,396 | 901,673 |
United States 90.9% | ||
Activision Blizzard, Inc. | 22,201 | 1,699,487 |
Adeia, Inc. | 88,040 | 834,619 |
Advanced Energy Industries, Inc. | 23,201 | 1,990,182 |
Alphabet, Inc., Class A(a) | 45,283 | 3,995,319 |
Alphabet, Inc., Class C(a) | 17,969 | 1,594,389 |
Analog Devices, Inc. | 20,691 | 3,393,945 |
Apple, Inc. | 44,286 | 5,754,080 |
Applied Materials, Inc. | 35,998 | 3,505,485 |
Arista Networks, Inc.(a) | 6,609 | 802,002 |
Bloom Energy Corp., Class A(a) | 141,127 | 2,698,348 |
Broadcom, Inc. | 9,590 | 5,362,057 |
Cerence, Inc.(a) | 16,185 | 299,908 |
Comcast Corp., Class A(b) | 13,188 | 461,184 |
Dell Technologies, Inc. | 27,902 | 1,122,219 |
Dropbox, Inc., Class A(a) | 119,547 | 2,675,462 |
DXC Technology Co.(a) | 20,567 | 545,026 |
eBay, Inc. | 54,180 | 2,246,845 |
Eiger BioPharmaceuticals, Inc.(a) | 74,741 | 88,194 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
F5, Inc.(a),(b) | 10,422 | 1,495,661 |
Fidelity National Information Services, Inc. | 12,410 | 842,019 |
Fiserv, Inc.(a) | 12,879 | 1,301,681 |
Fortinet, Inc.(a) | 39,677 | 1,939,809 |
Gen Digital, Inc. | 98,605 | 2,113,105 |
GlobalFoundries, Inc.(a) | 23,503 | 1,266,577 |
GoDaddy, Inc., Class A(a) | 37,921 | 2,837,249 |
HireRight Holdings Corp.(a) | 20,056 | 237,864 |
Intapp, Inc.(a) | 5,312 | 132,481 |
Lam Research Corp. | 15,407 | 6,475,562 |
Legend Biotech Corp., ADR(a) | 6,532 | 326,077 |
Lumentum Holdings, Inc.(a) | 23,093 | 1,204,762 |
Marvell Technology, Inc. | 53,823 | 1,993,604 |
Match Group, Inc.(a) | 8,145 | 337,936 |
Microchip Technology, Inc. | 25,800 | 1,812,450 |
Micron Technology, Inc.(b) | 10,472 | 523,391 |
Microsoft Corp. | 16,226 | 3,891,319 |
National Instruments Corp. | 5,571 | 205,570 |
NetApp, Inc. | 36,638 | 2,200,478 |
ON Semiconductor Corp.(a) | 1,774 | 110,644 |
Oracle Corp. | 34,080 | 2,785,699 |
Palo Alto Networks, Inc.(a) | 13,865 | 1,934,722 |
Qorvo, Inc.(a) | 18,113 | 1,641,762 |
QUALCOMM, Inc. | 793 | 87,182 |
Rambus, Inc.(a) | 26,779 | 959,224 |
Salesforce, Inc.(a) | 4,437 | 588,302 |
Skyworks Solutions, Inc. | 2,167 | 197,479 |
SMART Global Holdings, Inc.(a) | 46,706 | 694,985 |
Splunk, Inc.(a) | 3,842 | 330,758 |
Synaptics, Inc.(a) | 28,336 | 2,696,454 |
Synopsys, Inc.(a) | 12,173 | 3,886,717 |
Tenable Holdings, Inc.(a) | 8,199 | 312,792 |
Teradyne, Inc. | 44,669 | 3,901,837 |
Thoughtworks Holding, Inc.(a) | 26,673 | 271,798 |
T-Mobile US, Inc.(a) | 3,638 | 509,320 |
Transphorm, Inc.(a) | 26,979 | 146,766 |
Viavi Solutions, Inc.(a) | 30,526 | 320,828 |
8 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Visa, Inc., Class A | 15,563 | 3,233,369 |
VMware, Inc., Class A(a) | 8,629 | 1,059,296 |
Western Digital Corp.(a) | 38,697 | 1,220,890 |
Total | 97,097,170 | |
Total Common Stocks (Cost $92,103,092) | 105,078,373 | |
Money Market Funds 1.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(c),(d) | 1,590,777 | 1,590,299 |
Total Money Market Funds (Cost $1,590,201) | 1,590,299 | |
Total Investments in Securities (Cost $93,693,293) | 106,668,672 | |
Other Assets & Liabilities, Net | 213,014 | |
Net Assets | $106,881,686 |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
Comcast Corp | Morgan Stanley | USD | (444,119) | (127) | 45.00 | 1/19/2024 | (12,275) | (17,336) |
F5, Inc. | Morgan Stanley | USD | (14,351) | (1) | 195.00 | 1/20/2023 | (594) | (150) |
Micron Technology, Inc. | Morgan Stanley | USD | (459,816) | (92) | 70.00 | 6/16/2023 | (26,941) | (8,648) |
Total | (39,810) | (26,134) |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
2,982,402 | 23,779,042 | (25,171,298) | 153 | 1,590,299 | (258) | 28,228 | 1,590,777 |
ADR | American Depositary Receipt |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 9 |
December 31, 2022
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 | ||||
Canada | 296,608 | — | — | 296,608 |
Germany | — | 578,714 | — | 578,714 |
Israel | 1,909,782 | — | — | 1,909,782 |
Japan | — | 2,566,842 | — | 2,566,842 |
Netherlands | 1,727,584 | — | — | 1,727,584 |
Sweden | 901,673 | — | — | 901,673 |
United States | 97,097,170 | — | — | 97,097,170 |
Total Common Stocks | 101,932,817 | 3,145,556 | — | 105,078,373 |
Money Market Funds | 1,590,299 | — | — | 1,590,299 |
Total Investments in Securities | 103,523,116 | 3,145,556 | — | 106,668,672 |
Investments in Derivatives | ||||
Liability | ||||
Options Contracts Written | (26,134) | — | — | (26,134) |
Total | 103,496,982 | 3,145,556 | — | 106,642,538 |
10 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
December 31, 2022
See the Portfolio of Investments for all investment classifications not indicated in the table.
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $92,103,092) | $105,078,373 |
Affiliated issuers (cost $1,590,201) | 1,590,299 |
Receivable for: | |
Investments sold | 297,694 |
Capital shares sold | 11,302 |
Dividends | 47,842 |
Foreign tax reclaims | 2,696 |
Expense reimbursement due from Investment Manager | 584 |
Prepaid expenses | 6,550 |
Total assets | 107,035,340 |
Liabilities | |
Option contracts written, at value (premiums received $39,810) | 26,134 |
Payable for: | |
Capital shares purchased | 7,674 |
Management services fees | 2,679 |
Distribution and/or service fees | 454 |
Service fees | 47,178 |
Compensation of board members | 47,870 |
Compensation of chief compliance officer | 20 |
Audit fees | 14,750 |
Other expenses | 6,895 |
Total liabilities | 153,654 |
Net assets applicable to outstanding capital stock | $106,881,686 |
Represented by | |
Paid in capital | 87,744,495 |
Total distributable earnings (loss) | 19,137,191 |
Total - representing net assets applicable to outstanding capital stock | $106,881,686 |
Class 1 | |
Net assets | $40,656,409 |
Shares outstanding | 1,967,435 |
Net asset value per share | $20.66 |
Class 2 | |
Net assets | $66,225,277 |
Shares outstanding | 3,774,177 |
Net asset value per share | $17.55 |
12 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,002,861 |
Dividends — affiliated issuers | 28,228 |
Foreign taxes withheld | (21,495) |
Total income | 1,009,594 |
Expenses: | |
Management services fees | 1,121,743 |
Distribution and/or service fees | |
Class 2 | 186,449 |
Service fees | 222,692 |
Compensation of board members | 12,853 |
Custodian fees | 16,047 |
Printing and postage fees | 1,846 |
Audit fees | 31,705 |
Legal fees | 13,681 |
Interest on interfund lending | 20 |
Compensation of chief compliance officer | 19 |
Other | 13,846 |
Total expenses | 1,620,901 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (228,091) |
Total net expenses | 1,392,810 |
Net investment loss | (383,216) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 6,630,989 |
Investments — affiliated issuers | (258) |
Foreign currency translations | (4,586) |
Options contracts written | 28,190 |
Net realized gain | 6,654,335 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (58,085,465) |
Investments — affiliated issuers | 153 |
Foreign currency translations | 3 |
Options contracts written | 13,676 |
Net change in unrealized appreciation (depreciation) | (58,071,633) |
Net realized and unrealized loss | (51,417,298) |
Net decrease in net assets resulting from operations | $(51,800,514) |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment loss | $(383,216) | $(273,156) |
Net realized gain | 6,654,335 | 30,061,713 |
Net change in unrealized appreciation (depreciation) | (58,071,633) | 19,456,859 |
Net increase (decrease) in net assets resulting from operations | (51,800,514) | 49,245,416 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (11,069,734) | (6,326,232) |
Class 2 | (18,760,666) | (10,678,214) |
Total distributions to shareholders | (29,830,400) | (17,004,446) |
Increase in net assets from capital stock activity | 14,755,455 | 5,738,398 |
Total increase (decrease) in net assets | (66,875,459) | 37,979,368 |
Net assets at beginning of year | 173,757,145 | 135,777,777 |
Net assets at end of year | $106,881,686 | $173,757,145 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 61,279 | 1,346,007 | 6,303 | 224,752 |
Distributions reinvested | 466,094 | 11,069,734 | 183,475 | 6,326,232 |
Redemptions | (233,114) | (6,564,096) | (374,568) | (13,228,843) |
Net increase (decrease) | 294,259 | 5,851,645 | (184,790) | (6,677,859) |
Class 2 | ||||
Subscriptions | 651,021 | 13,854,015 | 947,366 | 30,645,097 |
Distributions reinvested | 929,206 | 18,760,666 | 350,335 | 10,678,214 |
Redemptions | (914,227) | (23,710,871) | (920,024) | (28,907,054) |
Net increase | 666,000 | 8,903,810 | 377,677 | 12,416,257 |
Total net increase | 960,259 | 14,755,455 | 192,887 | 5,738,398 |
14 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $39.33 | (0.04) | (11.51) | (11.55) | — | (7.12) | (7.12) |
Year Ended 12/31/2021 | $31.55 | (0.01) | 11.76 | 11.75 | (0.15) | (3.82) | (3.97) |
Year Ended 12/31/2020 | $23.36 | 0.15 | 10.03 | 10.18 | — | (1.99) | (1.99) |
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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $34.73 | (0.10) | (10.04) | (10.14) | — | (7.04) | (7.04) |
Year Ended 12/31/2021 | $28.26 | (0.09) | 10.48 | 10.39 | (0.10) | (3.82) | (3.92) |
Year Ended 12/31/2020 | $21.12 | 0.08 | 9.00 | 9.08 | — | (1.94) | (1.94) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $20.66 | (31.72%) | 1.17%(c) | 0.98%(c) | (0.16%) | 15% | $40,656 |
Year Ended 12/31/2021 | $39.33 | 39.03% | 1.17%(c) | 0.99%(c) | (0.04%) | 35% | $65,802 |
Year Ended 12/31/2020 | $31.55 | 46.18% | 1.19%(c),(d) | 0.98%(c),(d) | 0.62% | 46% | $58,611 |
Year Ended 12/31/2019 | $23.36 | 55.31% | 1.18%(c) | 0.97%(c) | 0.09% | 56% | $44,565 |
Year Ended 12/31/2018 | $17.78 | (8.15%) | 1.09%(c),(d) | 1.03%(c),(d) | 0.05% | 44% | $32,129 |
Class 2 | |||||||
Year Ended 12/31/2022 | $17.55 | (31.86%) | 1.42%(c) | 1.23%(c) | (0.41%) | 15% | $66,225 |
Year Ended 12/31/2021 | $34.73 | 38.68% | 1.42%(c) | 1.24%(c) | (0.28%) | 35% | $107,955 |
Year Ended 12/31/2020 | $28.26 | 45.80% | 1.44%(c),(d) | 1.23%(c),(d) | 0.37% | 46% | $77,167 |
Year Ended 12/31/2019 | $21.12 | 54.97% | 1.43%(c) | 1.21%(c) | (0.15%) | 56% | $57,023 |
Year Ended 12/31/2018 | $16.33 | (8.45%) | 1.33%(c),(d) | 1.28%(c),(d) | (0.22%) | 44% | $33,975 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
December 31, 2022
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Options contracts written, at value | 26,134 |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Options contracts written ($) |
Equity risk | 28,190 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Options contracts written ($) |
Equity risk | 13,676 |
Derivative instrument | Average value ($)* |
Options contracts — written | (7,629) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 21 |
December 31, 2022
Morgan Stanley ($) | |
Liabilities | |
Options contracts written | 26,134 |
Total Financial and Derivative Net Assets | (26,134) |
Total collateral received (pledged) (a) | (26,134) |
Net Amount (b) | - |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
22 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 23 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.98% | 0.99% |
Class 2 | 1.23 | 1.24 |
24 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
December 31, 2022
Excess of distributions over net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
383,891 | 4,585 | (388,476) |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
4,022,512 | 25,807,888 | 29,830,400 | 2,502,622 | 14,501,824 | 17,004,446 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
— | 6,626,195 | — | 12,557,496 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
94,085,042 | 21,118,431 | (8,560,935) | 12,557,496 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 25 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 450,000 | 0.73 | 2 |
26 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 29 |
Dividends received deduction | Capital gain dividend |
34.56% | $6,978,553 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
30 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 31 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
32 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 33 |
(Unaudited)
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
34 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2022 | 35 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
18 | |
29 | |
30 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -6.08 | 1.31 | 1.38 | |
Class 2 | 05/07/10 | -6.36 | 1.04 | 1.12 | |
Bloomberg U.S. 1-5 Year Corporate Index | -5.62 | 1.35 | 1.70 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Corporate Bonds & Notes | 92.8 |
Money Market Funds | 2.2 |
U.S. Treasury Obligations | 5.0 |
Total | 100.0 |
Quality breakdown (%) (at December 31, 2022) | |
AAA rating | 5.1 |
AA rating | 0.4 |
A rating | 27.1 |
BBB rating | 62.0 |
BB rating | 5.4 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
(Unaudited)
• | The Fund’s positioning along the yield curve, and slightly overweight stance with respect to duration and corresponding interest rate sensitivity, detracted from performance as interest rates finished the period sharply higher. We generally seek to keep the Fund positioned relatively neutrally with respect to the yield curve and duration, rather than actively manage this exposure. |
• | Security selection within financials weighed on relative performance, although, as noted below, security selection overall was a neutral factor. |
• | Sector allocation was the primary positive contributor to the Fund’s performance relative to the benchmark over the period, highlighted by overweight allocations to life insurance, electric, and aerospace/defense companies. |
• | The Fund’s slightly overweighted stance with respect to credit risk was a neutral-to-marginally positive factor in relative performance, despite the widening of credit spreads seen during the period, due to the concentration of credit exposure within utilities and industrials relative to financials. |
• | While overall security selection was essentially a neutral factor in relative performance, selection within utilities and industrials proved additive. |
• | At period end, the Fund’s largest overweights were to the electric, media and entertainment and life insurance sectors, while the most significant underweights were to banking, technology and pharmaceuticals. |
• | The Fund maintained a modest overweight to credit at period end. |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 5 |
(Unaudited)
6 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 1,005.70 | 1,022.81 | 2.26 | 2.28 | 0.45 |
Class 2 | 1,000.00 | 1,000.00 | 1,004.10 | 1,021.56 | 3.52 | 3.55 | 0.70 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 7 |
December 31, 2022
Corporate Bonds & Notes 92.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 3.8% | ||||
Boeing Co. (The) | ||||
02/01/2026 | 2.750% | 23,500,000 | 21,822,483 | |
02/04/2026 | 2.196% | 5,991,000 | 5,445,349 | |
Howmet Aerospace, Inc. | ||||
01/15/2029 | 3.000% | 9,025,000 | 7,627,767 | |
Total | 34,895,599 | |||
Automotive 0.8% | ||||
General Motors Financial Co., Inc. | ||||
04/09/2027 | 5.000% | 5,287,000 | 5,125,571 | |
04/10/2028 | 2.400% | 2,731,000 | 2,304,736 | |
Total | 7,430,307 | |||
Banking 17.1% | ||||
Bank of America Corp.(a) | ||||
12/20/2028 | 3.419% | 47,437,000 | 43,026,860 | |
HSBC Holdings PLC(a) | ||||
11/22/2027 | 2.251% | 25,853,000 | 22,395,516 | |
JPMorgan Chase & Co.(a) | ||||
06/14/2030 | 4.565% | 33,130,000 | 31,283,549 | |
10/15/2030 | 2.739% | 8,622,000 | 7,240,508 | |
Morgan Stanley(a) | ||||
07/22/2025 | 2.720% | 12,530,000 | 11,986,755 | |
05/04/2027 | 1.593% | 3,793,000 | 3,329,786 | |
01/21/2028 | 2.475% | 18,980,000 | 16,860,710 | |
Wells Fargo & Co.(a) | ||||
06/17/2027 | 3.196% | 8,718,000 | 8,093,137 | |
06/02/2028 | 2.393% | 14,882,000 | 13,124,683 | |
Total | 157,341,504 | |||
Building Materials 0.8% | ||||
Ferguson Finance PLC(b) | ||||
04/20/2027 | 4.250% | 7,842,000 | 7,419,192 | |
Cable and Satellite 3.8% | ||||
Charter Communications Operating LLC/Capital | ||||
01/15/2029 | 2.250% | 26,045,000 | 20,933,962 | |
Sky PLC(b) | ||||
09/16/2024 | 3.750% | 14,515,000 | 14,171,345 | |
Total | 35,105,307 | |||
Diversified Manufacturing 0.3% | ||||
General Electric Co.(c) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 3.330% 12/31/2049 | 8.099% | 2,465,000 | 2,440,975 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Electric 21.3% | ||||
AES Corp. (The) | ||||
01/15/2026 | 1.375% | 27,670,000 | 24,654,728 | |
American Electric Power Co., Inc. | ||||
11/01/2025 | 1.000% | 1,500,000 | 1,341,022 | |
CenterPoint Energy, Inc. | ||||
09/01/2024 | 2.500% | 2,772,000 | 2,659,443 | |
CMS Energy Corp. | ||||
11/15/2025 | 3.600% | 30,396,000 | 28,961,674 | |
08/15/2027 | 3.450% | 2,987,000 | 2,766,525 | |
DTE Energy Co. | ||||
11/01/2024 | 4.220% | 9,414,000 | 9,263,680 | |
03/15/2027 | 3.800% | 6,879,000 | 6,441,357 | |
Edison International | ||||
11/15/2024 | 3.550% | 2,150,000 | 2,076,283 | |
Emera U.S. Finance LP | ||||
06/15/2024 | 0.833% | 2,962,000 | 2,771,488 | |
Emera US Finance LP | ||||
06/15/2026 | 3.550% | 28,398,000 | 26,667,940 | |
Eversource Energy | ||||
08/15/2030 | 1.650% | 11,571,000 | 9,000,287 | |
FirstEnergy Transmission LLC(b) | ||||
01/15/2025 | 4.350% | 11,980,000 | 11,648,171 | |
Georgia Power Co. | ||||
07/30/2023 | 2.100% | 12,915,000 | 12,692,028 | |
NextEra Energy Capital Holdings, Inc.(c) | ||||
SOFR + 0.400% 11/03/2023 | 4.700% | 7,255,000 | 7,226,041 | |
NextEra Energy Operating Partners LP(b) | ||||
07/15/2024 | 4.250% | 9,550,000 | 9,280,973 | |
NRG Energy, Inc.(b) | ||||
12/02/2027 | 2.450% | 12,997,000 | 10,780,097 | |
Pacific Gas and Electric Co. | ||||
06/15/2028 | 3.000% | 13,315,000 | 11,542,032 | |
Pinnacle West Capital Corp. | ||||
06/15/2025 | 1.300% | 2,403,000 | 2,189,256 | |
Public Service Enterprise Group, Inc. | ||||
11/08/2023 | 0.841% | 3,045,000 | 2,932,809 | |
Southern California Edison Co. | ||||
11/01/2027 | 5.850% | 5,495,000 | 5,673,862 | |
WEC Energy Group, Inc. | ||||
09/15/2023 | 0.550% | 2,990,000 | 2,893,922 | |
06/15/2025 | 3.550% | 2,212,000 | 2,115,759 | |
Total | 195,579,377 |
8 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Environmental 0.6% | ||||
GFL Environmental, Inc.(b) | ||||
08/01/2025 | 3.750% | 5,450,000 | 5,146,883 | |
Food and Beverage 3.7% | ||||
Bacardi Ltd.(b) | ||||
05/15/2028 | 4.700% | 35,171,000 | 33,785,881 | |
Health Care 6.5% | ||||
GE Healthcare Holding LLC(b) | ||||
11/15/2027 | 5.650% | 19,805,000 | 20,095,513 | |
HCA, Inc. | ||||
06/15/2026 | 5.250% | 23,535,000 | 23,259,851 | |
HCA, Inc.(b) | ||||
03/15/2027 | 3.125% | 2,933,000 | 2,667,993 | |
Thermo Fisher Scientific, Inc.(c) | ||||
SOFR + 0.390% 10/18/2023 | 4.690% | 14,166,000 | 14,097,940 | |
Total | 60,121,297 | |||
Healthcare Insurance 2.7% | ||||
Aetna, Inc. | ||||
11/15/2024 | 3.500% | 2,425,000 | 2,357,772 | |
Centene Corp. | ||||
12/15/2027 | 4.250% | 4,407,000 | 4,138,384 | |
07/15/2028 | 2.450% | 22,050,000 | 18,604,291 | |
Total | 25,100,447 | |||
Independent Energy 0.7% | ||||
Canadian Natural Resources Ltd. | ||||
07/15/2025 | 2.050% | 4,224,000 | 3,931,165 | |
Occidental Petroleum Corp. | ||||
09/01/2028 | 6.375% | 2,504,000 | 2,535,949 | |
Total | 6,467,114 | |||
Life Insurance 7.8% | ||||
CoreBridge Financial, Inc.(b) | ||||
04/05/2027 | 3.650% | 1,508,000 | 1,404,790 | |
Five Corners Funding Trust(b) | ||||
11/15/2023 | 4.419% | 15,160,000 | 15,015,636 | |
Metropolitan Life Global Funding I(b) | ||||
08/25/2025 | 4.050% | 3,603,000 | 3,525,245 | |
Peachtree Corners Funding Trust(b) | ||||
02/15/2025 | 3.976% | 20,087,000 | 19,414,338 | |
Principal Life Global Funding II(b) | ||||
11/21/2024 | 2.250% | 17,640,000 | 16,678,912 | |
08/16/2026 | 1.250% | 15,227,000 | 13,209,592 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Voya Financial, Inc. | ||||
06/15/2026 | 3.650% | 2,245,000 | 2,129,000 | |
Total | 71,377,513 | |||
Media and Entertainment 4.9% | ||||
Magallanes, Inc.(b) | ||||
03/15/2029 | 4.054% | 33,215,000 | 28,787,686 | |
Netflix, Inc.(b) | ||||
11/15/2029 | 5.375% | 16,705,000 | 16,355,041 | |
Total | 45,142,727 | |||
Metals and Mining 0.4% | ||||
Alcoa Nederland Holding BV(b) | ||||
12/15/2027 | 5.500% | 3,860,000 | 3,719,188 | |
Midstream 3.4% | ||||
Colorado Interstate Gas Co. LLC/Issuing Corp.(b) | ||||
08/15/2026 | 4.150% | 4,685,000 | 4,477,621 | |
MPLX LP | ||||
12/01/2027 | 4.250% | 3,880,000 | 3,664,906 | |
Plains All American Pipeline LP/Finance Corp. | ||||
12/15/2026 | 4.500% | 16,055,000 | 15,436,143 | |
Western Gas Partners LP | ||||
07/01/2026 | 4.650% | 7,609,000 | 7,240,512 | |
Total | 30,819,182 | |||
Natural Gas 0.8% | ||||
NiSource, Inc. | ||||
09/01/2029 | 2.950% | 8,370,000 | 7,270,617 | |
Packaging 1.7% | ||||
Berry Global, Inc. | ||||
01/15/2026 | 1.570% | 17,869,000 | 15,955,358 | |
Technology 5.5% | ||||
Fidelity National Information Services, Inc. | ||||
03/01/2024 | 0.600% | 1,734,000 | 1,641,864 | |
07/15/2025 | 4.500% | 8,264,000 | 8,111,247 | |
Microchip Technology, Inc. | ||||
09/01/2023 | 2.670% | 12,140,000 | 11,899,900 | |
02/15/2024 | 0.972% | 6,364,000 | 6,050,331 | |
09/01/2024 | 0.983% | 11,387,000 | 10,560,619 | |
NXP BV/Funding LLC/USA, Inc. | ||||
06/01/2027 | 4.400% | 6,697,000 | 6,418,488 | |
VeriSign, Inc. | ||||
04/01/2025 | 5.250% | 5,935,000 | 5,924,884 | |
Total | 50,607,333 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 9 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tobacco 1.8% | ||||
BAT Capital Corp. | ||||
08/15/2027 | 3.557% | 12,055,000 | 10,977,122 | |
Philip Morris International, Inc. | ||||
11/17/2029 | 5.625% | 5,413,000 | 5,512,868 | |
Total | 16,489,990 | |||
Wireless 3.7% | ||||
Sprint Spectrum Co. I/II/III LLC(b) | ||||
03/20/2028 | 5.152% | 16,427,000 | 16,207,600 | |
T-Mobile US, Inc. | ||||
02/15/2026 | 2.250% | 13,753,000 | 12,525,175 | |
04/15/2027 | 3.750% | 5,368,000 | 5,061,225 | |
Total | 33,794,000 | |||
Total Corporate Bonds & Notes (Cost $897,588,848) | 846,009,791 | |||
U.S. Treasury Obligations 4.9% | ||||
U.S. Treasury | ||||
08/15/2025 | 3.125% | 8,622,000 | 8,371,423 | |
09/15/2025 | 3.500% | 12,000,000 | 11,761,875 | |
06/30/2027 | 3.250% | 14,000,000 | 13,539,532 | |
07/31/2027 | 2.750% | 12,218,600 | 11,561,850 | |
Total U.S. Treasury Obligations (Cost $46,604,661) | 45,234,680 |
Money Market Funds 2.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(d),(e) | 20,555,274 | 20,549,107 |
Total Money Market Funds (Cost $20,546,087) | 20,549,107 | |
Total Investments in Securities (Cost: $964,739,596) | 911,793,578 | |
Other Assets & Liabilities, Net | 7,105,224 | |
Net Assets | 918,898,802 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 1,004 | 03/2023 | USD | 205,898,439 | 215,125 | — |
U.S. Treasury 2-Year Note | 218 | 03/2023 | USD | 44,707,031 | — | (48,563) |
Total | 215,125 | (48,563) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (1,021) | 03/2023 | USD | (114,655,109) | 317,995 | — |
U.S. Treasury 5-Year Note | (740) | 03/2023 | USD | (79,867,969) | 59,482 | — |
U.S. Treasury Ultra 10-Year Note | (18) | 03/2023 | USD | (2,129,063) | 2,919 | — |
Total | 380,396 | — |
10 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
December 31, 2022
(a) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(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 December 31, 2022, the total value of these securities amounted to $253,791,697, which represents 27.62% of total net assets. |
(c) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
23,477,596 | 1,350,163,615 | (1,353,095,980) | 3,876 | 20,549,107 | (40,772) | 723,156 | 20,555,274 |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
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 | Annual Report 2022 | 11 |
December 31, 2022
in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. Representatives of Columbia Management Investment Advisers, LLC report to the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Corporate Bonds & Notes | — | 846,009,791 | — | 846,009,791 |
U.S. Treasury Obligations | — | 45,234,680 | — | 45,234,680 |
Money Market Funds | 20,549,107 | — | — | 20,549,107 |
Total Investments in Securities | 20,549,107 | 891,244,471 | — | 911,793,578 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 595,521 | — | — | 595,521 |
Liability | ||||
Futures Contracts | (48,563) | — | — | (48,563) |
Total | 21,096,065 | 891,244,471 | — | 912,340,536 |
12 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $944,193,509) | $891,244,471 |
Affiliated issuers (cost $20,546,087) | 20,549,107 |
Cash | 4 |
Margin deposits on: | |
Futures contracts | 4,150,487 |
Receivable for: | |
Capital shares sold | 9,124 |
Dividends | 102,613 |
Interest | 6,945,921 |
Variation margin for futures contracts | 230,564 |
Expense reimbursement due from Investment Manager | 1,254 |
Prepaid expenses | 12,029 |
Total assets | 923,245,574 |
Liabilities | |
Payable for: | |
Capital shares purchased | 3,971,972 |
Variation margin for futures contracts | 196,037 |
Management services fees | 12,120 |
Distribution and/or service fees | 691 |
Service fees | 6,129 |
Compensation of board members | 135,715 |
Compensation of chief compliance officer | 189 |
Other expenses | 23,919 |
Total liabilities | 4,346,772 |
Net assets applicable to outstanding capital stock | $918,898,802 |
Represented by | |
Paid in capital | 982,927,631 |
Total distributable earnings (loss) | (64,028,829) |
Total - representing net assets applicable to outstanding capital stock | $918,898,802 |
Class 1 | |
Net assets | $818,216,281 |
Shares outstanding | 89,272,010 |
Net asset value per share | $9.17 |
Class 2 | |
Net assets | $100,682,521 |
Shares outstanding | 11,035,014 |
Net asset value per share | $9.12 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $723,156 |
Interest | 30,813,432 |
Interfund lending | 882 |
Total income | 31,537,470 |
Expenses: | |
Management services fees | 5,184,551 |
Distribution and/or service fees | |
Class 2 | 230,171 |
Service fees | 61,385 |
Compensation of board members | 20,568 |
Custodian fees | 9,676 |
Printing and postage fees | 8,187 |
Audit fees | 29,500 |
Legal fees | 26,043 |
Compensation of chief compliance officer | 161 |
Other | 19,574 |
Total expenses | 5,589,816 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (386,425) |
Total net expenses | 5,203,391 |
Net investment income | 26,334,079 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (43,589,756) |
Investments — affiliated issuers | (40,772) |
Futures contracts | 8,521,668 |
Net realized loss | (35,108,860) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (52,652,854) |
Investments — affiliated issuers | 3,876 |
Futures contracts | 962,892 |
Net change in unrealized appreciation (depreciation) | (51,686,086) |
Net realized and unrealized loss | (86,794,946) |
Net decrease in net assets resulting from operations | $(60,460,867) |
14 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $26,334,079 | $9,365,945 |
Net realized gain (loss) | (35,108,860) | 13,449,724 |
Net change in unrealized appreciation (depreciation) | (51,686,086) | (28,413,610) |
Net decrease in net assets resulting from operations | (60,460,867) | (5,597,941) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (9,185,017) | (12,952,166) |
Class 2 | (477,058) | (1,249,319) |
Total distributions to shareholders | (9,662,075) | (14,201,485) |
Increase in net assets from capital stock activity | 90,106,344 | 166,992,501 |
Total increase in net assets | 19,983,402 | 147,193,075 |
Net assets at beginning of year | 898,915,400 | 751,722,325 |
Net assets at end of year | $918,898,802 | $898,915,400 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 82,536,420 | 767,606,691 | 17,053,409 | 171,251,440 |
Distributions reinvested | 990,832 | 9,185,017 | 1,304,347 | 12,952,166 |
Redemptions | (76,228,754) | (701,071,006) | (2,663,232) | (26,594,221) |
Net increase | 7,298,498 | 75,720,702 | 15,694,524 | 157,609,385 |
Class 2 | ||||
Subscriptions | 2,904,349 | 26,681,242 | 2,347,402 | 23,320,621 |
Distributions reinvested | 51,630 | 477,058 | 126,194 | 1,249,319 |
Redemptions | (1,373,476) | (12,772,658) | (1,531,476) | (15,186,824) |
Net increase | 1,582,503 | 14,385,642 | 942,120 | 9,383,116 |
Total net increase | 8,881,001 | 90,106,344 | 16,636,644 | 166,992,501 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2022 | $9.84 | 0.23 | (0.83) | (0.60) | (0.07) | (0.07) |
Year Ended 12/31/2021 | $10.06 | 0.11 | (0.17) | (0.06) | (0.16) | (0.16) |
Year Ended 12/31/2020 | $9.76 | 0.19 | 0.38 | 0.57 | (0.27) | (0.27) |
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) |
Class 2 | ||||||
Year Ended 12/31/2022 | $9.79 | 0.20 | (0.82) | (0.62) | (0.05) | (0.05) |
Year Ended 12/31/2021 | $10.01 | 0.08 | (0.16) | (0.08) | (0.14) | (0.14) |
Year Ended 12/31/2020 | $9.72 | 0.16 | 0.38 | 0.54 | (0.25) | (0.25) |
Year Ended 12/31/2019 | $9.24 | 0.22 | 0.47 | 0.69 | (0.21) | (0.21) |
Year Ended 12/31/2018 | $9.40 | 0.19 | (0.19) | 0.00(c) | (0.16) | (0.16) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
16 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $9.17 | (6.08%) | 0.49% | 0.46% | 2.45% | 110% | $818,216 |
Year Ended 12/31/2021 | $9.84 | (0.59%) | 0.50% | 0.48% | 1.08% | 88% | $806,365 |
Year Ended 12/31/2020 | $10.06 | 5.90% | 0.50% | 0.49% | 1.92% | 92% | $666,530 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $9.12 | (6.36%) | 0.74% | 0.71% | 2.18% | 110% | $100,683 |
Year Ended 12/31/2021 | $9.79 | (0.84%) | 0.75% | 0.73% | 0.83% | 88% | $92,550 |
Year Ended 12/31/2020 | $10.01 | 5.57% | 0.75% | 0.74% | 1.63% | 92% | $85,193 |
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% | $46,253 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 19 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 595,521* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 48,563* |
20 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
December 31, 2022
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Interest rate risk | 8,521,668 | |||||
Total | 8,521,668 | |||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Interest rate risk | 962,892 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 210,116,614 |
Futures contracts — short | 167,899,805 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.45% | 0.48% |
Class 2 | 0.70 | 0.73 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 23 |
December 31, 2022
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
357,257 | (357,257) | — |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
9,662,075 | — | 9,662,075 | 14,201,485 | — | 14,201,485 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
26,478,840 | — | (37,026,700) | (53,346,613) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
965,687,149 | 708,019 | (54,054,632) | (53,346,613) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(14,973,388) | (22,053,312) | (37,026,700) | — |
24 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,825,000 | 4.35 | 4 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 29 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
30 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 31 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
32 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 33 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
34 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2022 | 35 |
December 31, 2022
3 | |
6 | |
9 | |
10 | |
16 | |
17 | |
18 | |
20 | |
22 | |
35 | |
36 | |
36 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 04/30/12 | -16.03 | -1.63 | 0.67 | |
Class 2 | 04/30/12 | -16.16 | -1.87 | 0.43 | |
JPMorgan Emerging Markets Bond Index-Global | -16.45 | -1.00 | 1.35 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 3 |
(Unaudited)
Quality breakdown (%) (at December 31, 2022) | |
AA rating | 9.2 |
A rating | 7.6 |
BBB rating | 28.3 |
BB rating | 26.7 |
B rating | 16.6 |
CCC rating | 5.8 |
CC rating | 0.4 |
C rating | 0.1 |
Not rated | 5.3 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
(Unaudited)
Country breakdown (%) (at December 31, 2022) | |
Angola | 1.3 |
Argentina | 1.7 |
Azerbaijan | 0.6 |
Bahrain | 1.6 |
Belarus | 0.1 |
Brazil | 2.3 |
Canada | 0.4 |
Chile | 0.3 |
China | 0.3 |
Colombia | 5.8 |
Croatia | 0.2 |
Dominican Republic | 3.2 |
Ecuador | 1.1 |
Egypt | 2.9 |
Ghana | 0.4 |
Guatemala | 1.3 |
Hong Kong | 2.5 |
Hungary | 0.9 |
India | 2.1 |
Indonesia | 6.3 |
Ireland | 0.4 |
Isle of Man | 0.2 |
Ivory Coast | 1.9 |
Jersey | 1.3 |
Kazakhstan | 2.0 |
Malaysia | 0.5 |
Mexico | 9.2 |
Country breakdown (%) (at December 31, 2022) | |
Mongolia | 0.3 |
Netherlands | 0.5 |
Oman | 1.2 |
Pakistan | 0.3 |
Panama | 2.1 |
Paraguay | 1.8 |
Peru | 0.3 |
Philippines | 1.2 |
Qatar | 5.4 |
Romania | 2.1 |
Russian Federation | 0.4 |
Saudi Arabia | 4.7 |
South Africa | 2.4 |
Turkey | 4.1 |
Ukraine | 0.7 |
United Arab Emirates | 3.8 |
United Kingdom | 0.4 |
United States(a) | 14.0 |
Venezuela | 0.2 |
Virgin Islands | 3.3 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Overall, duration positioning contributed most positively to the Fund’s relative performance, as the Fund maintained a shorter duration than that of its benchmark during a period when U.S. Treasury and other government bond yields rose. |
• | Having an allocation to cash and cash equivalents during a period when the benchmark experienced a double-digit decline amid volatile markets and risk-averse investor sentiment proved beneficial. |
• | Security selection overall added value, primarily as a result of holding some exposure to Russian bonds when Russia was removed from the benchmark at the end of March 2022. |
6 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
(Unaudited)
○ | JPMorgan marked Russian bonds to zero upon removing them from its indices, thereby decreasing the benchmark’s overall value. |
○ | By default, the Russian bonds in the Fund’s portfolio contributed positively to relative results as they were still priced higher than zero. |
• | The Fund’s underweight to Sri Lanka contributed positively, given its debt market’s poor performance during the period. |
○ | In April 2022, we exited the Fund’s position in Sri Lanka completely, as we believed the risk of its default had risen. |
○ | This action proved prudent, as Sri Lanka subsequently announced it would halt payments on external debt to save U.S. dollar reserves, plunging the country into default. |
• | The Fund’s overweight to Colombia boosted relative results, as spreads (the differential in yields to U.S. Treasuries) narrowed after leftist candidate Gustavo Petro’s victory in the final round of Colombian presidential elections and the subsequent moderation of his campaign agenda. |
• | An out-of-benchmark position in the bonds of Macau gaming company Studio City contributed positively to the Fund’s relative returns. |
○ | The company’s bond prices rallied toward the end of the calendar year, as the easing of zero-COVID policies in China benefited gaming operators in Macau. Moreover, as expected, the company retained its casino license. |
• | Country positioning overall detracted most from relative results, attributable primarily to an overweight to Ukraine, as Ukrainian bonds sold off following the invasion by Russia. |
• | Having an underweight to Turkey detracted, as its bond market outperformed the benchmark during the period, despite the country’s weakening fundamentals. |
○ | Turkey’s fundamentals weakened amid spiraling inflation and a deteriorating lira, its currency. |
○ | Still, Turkey’s central bank not only refused to raise its interest rates but, on the contrary, implemented several rate cuts during the annual period. |
• | The Fund’s underweight to the Middle East region overall detracted, as spreads in the region tightened, aided by elevated oil prices. |
○ | The Fund maintained an underweight to the region due to what we considered to be rich valuations, expressing our Middle East view via Qatari sovereign and quasi-sovereign bonds. |
○ | Positioning in the bonds of Qatar Petroleum generated positive performance during the period, but it was not enough to offset the negative effect of positioning in the region as a whole. |
• | The Fund held a small position in Mexican local currency bonds as well as some Indonesian rupiah, each of which detracted as inflationary pressures persisted. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 7 |
(Unaudited)
8 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,038.80 | 1,021.26 | 3.88 | 3.85 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 1,037.50 | 1,020.00 | 5.16 | 5.11 | 1.01 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 9 |
December 31, 2022
Corporate Bonds & Notes 12.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brazil 0.5% | ||||
Hidrovias International Finance Sarl(a) | ||||
02/08/2031 | 4.950% | 2,472,000 | 1,844,662 | |
02/08/2031 | 4.950% | 200,000 | 149,244 | |
Total | 1,993,906 | |||
Colombia 1.0% | ||||
Banco de Bogota SA(a) | ||||
Subordinated | ||||
05/12/2026 | 6.250% | 535,000 | 524,333 | |
Millicom International Cellular SA(a) | ||||
01/15/2028 | 5.125% | 1,800,000 | 1,674,838 | |
03/25/2029 | 6.250% | 1,080,000 | 1,035,969 | |
03/25/2029 | 6.250% | 810,000 | 776,977 | |
Total | 4,012,117 | |||
Guatemala 0.5% | ||||
Energuate Trust(a) | ||||
05/03/2027 | 5.875% | 1,650,000 | 1,569,198 | |
05/03/2027 | 5.875% | 650,000 | 618,169 | |
Total | 2,187,367 | |||
Hong Kong 2.4% | ||||
Lenovo Group Ltd.(a) | ||||
04/24/2025 | 5.875% | 4,600,000 | 4,521,055 | |
07/27/2032 | 6.536% | 3,744,000 | 3,610,018 | |
Xiaomi Best Time International Ltd.(a) | ||||
07/14/2031 | 2.875% | 2,800,000 | 2,017,116 | |
Total | 10,148,189 | |||
India 1.1% | ||||
Adani Electricity Mumbai Ltd.(a) | ||||
02/12/2030 | 3.949% | 2,600,000 | 1,971,473 | |
Adani Ports & Special Economic Zone Ltd.(a) | ||||
08/04/2027 | 4.200% | 2,900,000 | 2,552,098 | |
Total | 4,523,571 | |||
Ireland 0.4% | ||||
Phosagro OAO Via Phosagro Bond Funding DAC(a) | ||||
09/16/2028 | 2.600% | 2,128,000 | 1,480,513 | |
Isle of Man 0.1% | ||||
AngloGold Ashanti Holdings PLC | ||||
10/01/2030 | 3.750% | 735,000 | 641,842 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Jersey 1.3% | ||||
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2036 | 2.625% | 2,600,000 | 2,092,280 | |
09/30/2040 | 2.940% | 4,059,426 | 3,268,301 | |
Total | 5,360,581 | |||
Netherlands 0.1% | ||||
Mong Duong Finance Holdings BV(a) | ||||
05/07/2029 | 5.125% | 430,000 | 358,291 | |
Philippines 0.6% | ||||
SMC Global Power Holdings Corp.(a),(b) | ||||
12/31/2049 | 5.700% | 900,000 | 631,456 | |
12/31/2049 | 5.950% | 2,500,000 | 1,821,556 | |
Total | 2,453,012 | |||
Turkey 0.5% | ||||
Turk Telekomunikasyon AS(a) | ||||
02/28/2025 | 6.875% | 2,300,000 | 2,167,392 | |
United Kingdom 0.4% | ||||
Tullow Oil PLC(a) | ||||
03/01/2025 | 7.000% | 2,900,000 | 1,772,414 | |
Virgin Islands 3.2% | ||||
Gold Fields Orogen Holdings BVI Ltd.(a) | ||||
05/15/2029 | 6.125% | 2,900,000 | 2,943,171 | |
JGSH Philippines Ltd.(a) | ||||
07/09/2030 | 4.125% | 8,700,000 | 7,638,761 | |
Studio City Finance Ltd.(a) | ||||
01/15/2029 | 5.000% | 3,880,000 | 2,870,640 | |
Total | 13,452,572 | |||
Total Corporate Bonds & Notes (Cost $56,731,607) | 50,551,767 | |||
Foreign Government Obligations(c),(d) 72.4% | ||||
Angola 1.3% | ||||
Angolan Government International Bond(a) | ||||
11/26/2029 | 8.000% | 4,500,000 | 3,959,124 | |
05/08/2048 | 9.375% | 1,900,000 | 1,505,758 | |
Total | 5,464,882 | |||
Argentina 1.7% | ||||
Argentine Republic Government International Bond(b) | ||||
07/09/2035 | 0.500% | 26,500,000 | 6,749,765 | |
07/09/2046 | 0.500% | 720,000 | 183,836 | |
Total | 6,933,601 |
10 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
December 31, 2022
Foreign Government Obligations(c),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Azerbaijan 0.6% | ||||
Republic of Azerbaijan International Bond(a) | ||||
09/01/2032 | 3.500% | 2,900,000 | 2,419,414 | |
Bahrain 1.5% | ||||
Bahrain Government International Bond(a) | ||||
05/18/2034 | 5.625% | 3,480,000 | 3,004,841 | |
CBB International Sukuk Programme Co. WLL(a) | ||||
05/18/2029 | 3.875% | 3,867,000 | 3,442,462 | |
Total | 6,447,303 | |||
Belarus 0.1% | ||||
Republic of Belarus International Bond(a),(e) | ||||
02/28/2030 | 0.000% | 750,000 | 253,864 | |
Brazil 1.8% | ||||
Brazil Minas SPE via State of Minas Gerais(a) | ||||
02/15/2028 | 5.333% | 180,000 | 174,718 | |
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 6,196,000 | 5,382,225 | |
01/07/2041 | 5.625% | 446,000 | 377,086 | |
01/27/2045 | 5.000% | 1,900,000 | 1,408,742 | |
Total | 7,342,771 | |||
Canada 0.4% | ||||
MEGlobal Canada ULC(a) | ||||
05/18/2025 | 5.000% | 1,600,000 | 1,571,656 | |
Chile 0.3% | ||||
Chile Government International Bond | ||||
01/25/2050 | 3.500% | 1,750,000 | 1,270,421 | |
China 0.3% | ||||
State Grid Overseas Investment 2016 Ltd.(a) | ||||
05/04/2027 | 3.500% | 1,300,000 | 1,240,969 | |
Colombia 4.7% | ||||
Colombia Government International Bond | ||||
01/30/2030 | 3.000% | 9,800,000 | 7,497,435 | |
04/15/2031 | 3.125% | 6,640,000 | 4,934,508 | |
04/22/2032 | 3.250% | 2,800,000 | 2,035,585 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 5,800,000 | 5,265,286 | |
Total | 19,732,814 | |||
Croatia 0.2% | ||||
Croatia Government International Bond(a) | ||||
01/26/2024 | 6.000% | 861,000 | 866,569 |
Foreign Government Obligations(c),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dominican Republic 3.1% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 4,035,000 | 3,951,779 | |
01/30/2030 | 4.500% | 4,845,000 | 4,130,387 | |
09/23/2032 | 4.875% | 1,650,000 | 1,372,894 | |
01/27/2045 | 6.850% | 271,000 | 235,522 | |
06/05/2049 | 6.400% | 2,500,000 | 2,023,155 | |
01/30/2060 | 5.875% | 1,650,000 | 1,212,091 | |
Total | 12,925,828 | |||
Ecuador 1.1% | ||||
Ecuador Government International Bond(a),(b) | ||||
07/31/2030 | 5.500% | 4,550,000 | 2,931,153 | |
07/31/2035 | 2.500% | 1,708,842 | 791,055 | |
07/31/2040 | 1.500% | 2,342,250 | 959,284 | |
Total | 4,681,492 | |||
Egypt 2.9% | ||||
Egypt Government International Bond(a) | ||||
04/16/2030 | 5.625% | EUR | 2,200,000 | 1,631,864 |
04/11/2031 | 6.375% | EUR | 3,300,000 | 2,452,593 |
05/29/2032 | 7.625% | 2,585,000 | 1,914,100 | |
09/30/2033 | 7.300% | 5,000,000 | 3,544,681 | |
02/21/2048 | 7.903% | 2,100,000 | 1,326,210 | |
03/01/2049 | 8.700% | 1,550,000 | 1,033,556 | |
Total | 11,903,004 | |||
Ghana 0.4% | ||||
Ghana Government International Bond(a),(e) | ||||
03/26/2051 | 0.000% | 4,300,000 | 1,498,641 | |
Guatemala 0.8% | ||||
Guatemala Government Bond(a) | ||||
10/07/2033 | 3.700% | 1,109,000 | 914,590 | |
06/01/2050 | 6.125% | 2,350,000 | 2,213,804 | |
Total | 3,128,394 | |||
Hungary 0.9% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 2,780,000 | 2,056,097 | |
09/21/2051 | 3.125% | 2,800,000 | 1,688,792 | |
Total | 3,744,889 | |||
India 1.0% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 4,800,000 | 4,172,755 | |
Indonesia 6.2% | ||||
Indonesia Asahan Aluminium Persero PT(a) | ||||
05/15/2050 | 5.800% | 1,800,000 | 1,507,892 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 11 |
December 31, 2022
Foreign Government Obligations(c),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Indonesia Government International Bond | ||||
09/18/2029 | 3.400% | 1,900,000 | 1,750,618 | |
10/30/2049 | 3.700% | 3,800,000 | 2,940,147 | |
03/31/2052 | 4.300% | 751,000 | 635,741 | |
Indonesia Government International Bond(a) | ||||
01/15/2045 | 5.125% | 3,000,000 | 2,907,722 | |
Indonesia Treasury Bond | ||||
04/15/2032 | 6.375% | IDR | 67,700,000,000 | 4,187,898 |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
06/23/2025 | 2.300% | 1,455,000 | 1,377,280 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara(a) | ||||
06/30/2050 | 4.000% | 700,000 | 503,211 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
05/15/2030 | 5.450% | 6,000,000 | 5,715,038 | |
PT Perusahaan Listrik Negara(a) | ||||
07/17/2049 | 4.875% | 2,100,000 | 1,652,089 | |
PT Saka Energi Indonesia(a) | ||||
05/05/2024 | 4.450% | 2,765,000 | 2,627,547 | |
Total | 25,805,183 | |||
Ivory Coast 1.9% | ||||
Ivory Coast Government International Bond(a) | ||||
07/23/2024 | 5.375% | 300,000 | 288,026 | |
10/17/2031 | 5.875% | EUR | 5,300,000 | 4,756,231 |
06/15/2033 | 6.125% | 3,000,000 | 2,670,700 | |
Total | 7,714,957 | |||
Kazakhstan 2.0% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/19/2027 | 4.750% | 5,550,000 | 5,109,499 | |
04/24/2030 | 5.375% | 2,300,000 | 2,061,084 | |
04/19/2047 | 5.750% | 1,573,000 | 1,219,253 | |
Total | 8,389,836 | |||
Malaysia 0.4% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 2,055,000 | 1,878,017 | |
Mexico 9.1% | ||||
Comision Federal de Electricidad(a) | ||||
07/26/2033 | 3.875% | 4,325,000 | 3,261,940 | |
Mexican Bonos | ||||
05/31/2029 | 8.500% | MXN | 15,000,000 | 747,906 |
Mexico Government International Bond | ||||
04/16/2030 | 3.250% | 6,950,000 | 6,060,946 | |
01/15/2047 | 4.350% | 2,300,000 | 1,724,191 | |
02/10/2048 | 4.600% | 2,000,000 | 1,547,925 | |
Petroleos Mexicanos(a) | ||||
09/12/2024 | 7.190% | MXN | 600,000 | 28,520 |
Foreign Government Obligations(c),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Petroleos Mexicanos | ||||
11/12/2026 | 7.470% | MXN | 4,700,000 | 207,124 |
01/28/2031 | 5.950% | 9,600,000 | 7,284,656 | |
02/16/2032 | 6.700% | 11,949,000 | 9,407,437 | |
01/23/2045 | 6.375% | 6,900,000 | 4,273,116 | |
09/21/2047 | 6.750% | 2,893,000 | 1,851,621 | |
01/23/2050 | 7.690% | 2,029,000 | 1,405,846 | |
Total | 37,801,228 | |||
Mongolia 0.3% | ||||
Mongolia Government International Bond(a) | ||||
07/07/2031 | 4.450% | 1,500,000 | 1,164,802 | |
Netherlands 0.4% | ||||
Syngenta Finance NV(a) | ||||
04/24/2023 | 4.441% | 1,750,000 | 1,742,679 | |
Oman 1.2% | ||||
Oman Government International Bond(a) | ||||
01/25/2031 | 6.250% | 1,846,000 | 1,859,669 | |
01/17/2048 | 6.750% | 3,200,000 | 2,994,850 | |
Total | 4,854,519 | |||
Pakistan 0.3% | ||||
Pakistan Government International Bond(a) | ||||
09/30/2025 | 8.250% | 529,000 | 253,116 | |
12/05/2027 | 6.875% | 1,400,000 | 539,569 | |
04/08/2031 | 7.375% | 1,395,000 | 491,173 | |
Total | 1,283,858 | |||
Panama 2.1% | ||||
Panama Government International Bond | ||||
03/16/2025 | 3.750% | 950,000 | 918,800 | |
09/29/2032 | 2.252% | 2,800,000 | 2,076,921 | |
01/19/2033 | 3.298% | 2,978,000 | 2,421,607 | |
02/14/2035 | 6.400% | 1,428,000 | 1,452,795 | |
01/19/2063 | 4.500% | 2,435,000 | 1,724,029 | |
Total | 8,594,152 | |||
Paraguay 1.7% | ||||
Paraguay Government International Bond(a) | ||||
06/28/2033 | 3.849% | 4,560,000 | 4,005,393 | |
08/11/2044 | 6.100% | 2,700,000 | 2,594,371 | |
03/30/2050 | 5.400% | 675,000 | 583,875 | |
Total | 7,183,639 | |||
Peru 0.3% | ||||
Peruvian Government International Bond | ||||
01/15/2034 | 3.000% | 1,519,000 | 1,200,679 |
12 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
December 31, 2022
Foreign Government Obligations(c),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Philippines 0.6% | ||||
Philippine Government International Bond | ||||
07/06/2046 | 3.200% | 3,540,000 | 2,584,247 | |
Qatar 5.3% | ||||
Ooredoo International Finance Ltd.(a) | ||||
04/08/2031 | 2.625% | 1,367,000 | 1,175,812 | |
Qatar Government International Bond(a) | ||||
04/23/2028 | 4.500% | 200,000 | 201,216 | |
03/14/2029 | 4.000% | 7,350,000 | 7,227,957 | |
04/16/2030 | 3.750% | 4,600,000 | 4,450,192 | |
04/23/2048 | 5.103% | 2,000,000 | 2,008,544 | |
03/14/2049 | 4.817% | 3,490,000 | 3,391,380 | |
04/16/2050 | 4.400% | 600,000 | 548,453 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 3,738,000 | 3,098,972 | |
Total | 22,102,526 | |||
Romania 2.1% | ||||
Romanian Government International Bond(a) | ||||
02/27/2027 | 3.000% | 3,116,000 | 2,759,345 | |
11/25/2027 | 5.250% | 3,284,000 | 3,156,842 | |
02/14/2051 | 4.000% | 4,200,000 | 2,787,856 | |
Total | 8,704,043 | |||
Russian Federation 0.4% | ||||
Gazprom PJSC via Gaz Finance PLC(a) | ||||
02/25/2030 | 3.250% | 2,254,000 | 1,527,718 | |
Saudi Arabia 4.6% | ||||
KSA Sukuk Ltd.(a) | ||||
10/29/2029 | 2.969% | 1,750,000 | 1,584,703 | |
Saudi Arabian Oil Co.(a) | ||||
11/24/2030 | 2.250% | 4,000,000 | 3,294,719 | |
Saudi Government International Bond(a) | ||||
04/17/2049 | 5.000% | 500,000 | 470,401 | |
01/21/2055 | 3.750% | 8,000,000 | 6,296,360 | |
01/21/2055 | 3.750% | 5,400,000 | 4,250,043 | |
02/02/2061 | 3.450% | 4,500,000 | 3,219,647 | |
Total | 19,115,873 | |||
South Africa 2.3% | ||||
Eskom Holdings SOC Ltd.(a) | ||||
02/11/2025 | 7.125% | 3,100,000 | 2,816,064 | |
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 1,760,000 | 1,567,423 | |
09/30/2049 | 5.750% | 5,700,000 | 4,184,768 | |
04/20/2052 | 7.300% | 1,400,000 | 1,204,699 | |
Total | 9,772,954 |
Foreign Government Obligations(c),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Turkey 3.5% | ||||
Turkey Government International Bond | ||||
04/14/2026 | 4.250% | 3,300,000 | 2,931,966 | |
02/17/2028 | 5.125% | 8,800,000 | 7,612,084 | |
04/26/2029 | 7.625% | 3,800,000 | 3,575,104 | |
05/11/2047 | 5.750% | 500,000 | 340,066 | |
Total | 14,459,220 | |||
Ukraine 0.7% | ||||
Ukraine Government International Bond(a) | ||||
09/01/2028 | 7.750% | 9,400,000 | 1,998,040 | |
05/21/2031 | 6.876% | 5,109,000 | 975,040 | |
Total | 2,973,080 | |||
United Arab Emirates 3.7% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2029 | 2.500% | 1,600,000 | 1,433,920 | |
09/30/2049 | 3.125% | 3,000,000 | 2,220,524 | |
04/16/2050 | 3.875% | 490,000 | 414,266 | |
Abu Dhabi Ports Co. PJSC(a) | ||||
05/06/2031 | 2.500% | 2,500,000 | 2,074,875 | |
DP World Crescent Ltd.(a) | ||||
09/26/2028 | 4.848% | 1,250,000 | 1,234,817 | |
DP World PLC(a) | ||||
07/02/2037 | 6.850% | 5,900,000 | 6,267,391 | |
MDGH GMTN (RSC), Ltd.(a) | ||||
04/28/2033 | 5.500% | 1,808,000 | 1,912,845 | |
Total | 15,558,638 | |||
Venezuela 0.2% | ||||
Petroleos de Venezuela SA(a),(e) | ||||
05/16/2024 | 0.000% | 12,559,928 | 594,855 | |
Venezuela Government International Bond(a),(e) | ||||
10/13/2024 | 0.000% | 4,300,000 | 359,058 | |
Total | 953,913 | |||
Total Foreign Government Obligations (Cost $383,239,275) | 300,965,028 |
Money Market Funds 13.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(f),(g) | 57,392,587 | 57,375,369 |
Total Money Market Funds (Cost $57,363,805) | 57,375,369 | |
Total Investments in Securities (Cost $497,334,687) | 408,892,164 | |
Other Assets & Liabilities, Net | 7,067,230 | |
Net Assets | $415,959,394 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 13 |
December 31, 2022
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
160,000 EUR | 170,794 USD | Citi | 01/18/2023 | — | (653) |
30,000,000 MXN | 1,518,295 USD | Goldman Sachs International | 01/18/2023 | — | (16,878) |
7,794,632 EUR | 8,320,848 USD | UBS | 01/18/2023 | — | (31,428) |
Total | — | (48,959) |
(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 December 31, 2022, the total value of these securities amounted to $237,949,704, which represents 57.21% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(c) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(d) | Principal and interest may not be guaranteed by a governmental entity. |
(e) | Represents a security in default. |
(f) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
49,304,728 | 102,079,295 | (94,023,763) | 15,109 | 57,375,369 | (14,489) | 1,022,340 | 57,392,587 |
EUR | Euro |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
14 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
December 31, 2022
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 | ||||
Corporate Bonds & Notes | — | 50,551,767 | — | 50,551,767 |
Foreign Government Obligations | — | 300,965,028 | — | 300,965,028 |
Money Market Funds | 57,375,369 | — | — | 57,375,369 |
Total Investments in Securities | 57,375,369 | 351,516,795 | — | 408,892,164 |
Investments in Derivatives | ||||
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (48,959) | — | (48,959) |
Total | 57,375,369 | 351,467,836 | — | 408,843,205 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 15 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $439,970,882) | $351,516,795 |
Affiliated issuers (cost $57,363,805) | 57,375,369 |
Cash | 125,757 |
Foreign currency (cost $924,253) | 937,355 |
Receivable for: | |
Capital shares sold | 827 |
Dividends | 211,832 |
Interest | 6,179,287 |
Foreign tax reclaims | 10,435 |
Prepaid expenses | 8,369 |
Total assets | 416,366,026 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 48,959 |
Payable for: | |
Capital shares purchased | 202,709 |
Management services fees | 6,780 |
Distribution and/or service fees | 1,355 |
Service fees | 64,420 |
Compensation of board members | 55,772 |
Compensation of chief compliance officer | 78 |
Other expenses | 26,559 |
Total liabilities | 406,632 |
Net assets applicable to outstanding capital stock | $415,959,394 |
Represented by | |
Paid in capital | 541,829,683 |
Total distributable earnings (loss) | (125,870,289) |
Total - representing net assets applicable to outstanding capital stock | $415,959,394 |
Class 1 | |
Net assets | $216,467,182 |
Shares outstanding | 28,766,880 |
Net asset value per share | $7.52 |
Class 2 | |
Net assets | $199,492,212 |
Shares outstanding | 26,529,984 |
Net asset value per share | $7.52 |
16 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $1,022,340 |
Interest | 21,025,073 |
Interfund lending | 665 |
Foreign taxes withheld | (9,922) |
Total income | 22,038,156 |
Expenses: | |
Management services fees | 2,582,015 |
Distribution and/or service fees | |
Class 2 | 528,457 |
Service fees | 539,642 |
Compensation of board members | 16,841 |
Custodian fees | 26,788 |
Printing and postage fees | 11,607 |
Audit fees | 35,445 |
Legal fees | 17,560 |
Compensation of chief compliance officer | 64 |
Other | 11,458 |
Total expenses | 3,769,877 |
Net investment income | 18,268,279 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (23,072,956) |
Investments — affiliated issuers | (14,489) |
Foreign currency translations | (61,129) |
Forward foreign currency exchange contracts | 363,694 |
Futures contracts | 433,633 |
Net realized loss | (22,351,247) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (77,464,030) |
Investments — affiliated issuers | 15,109 |
Foreign currency translations | 26,394 |
Forward foreign currency exchange contracts | 4,341 |
Futures contracts | 279,526 |
Foreign capital gains tax | 1 |
Net change in unrealized appreciation (depreciation) | (77,138,659) |
Net realized and unrealized loss | (99,489,906) |
Net decrease in net assets resulting from operations | $(81,221,627) |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 17 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $18,268,279 | $17,632,396 |
Net realized gain (loss) | (22,351,247) | 3,276,739 |
Net change in unrealized appreciation (depreciation) | (77,138,659) | (31,869,701) |
Net decrease in net assets resulting from operations | (81,221,627) | (10,960,566) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (9,636,284) | (9,225,316) |
Class 2 | (8,650,294) | (9,066,729) |
Total distributions to shareholders | (18,286,578) | (18,292,045) |
Increase in net assets from capital stock activity | 15,967,722 | 50,006,632 |
Total increase (decrease) in net assets | (83,540,483) | 20,754,021 |
Net assets at beginning of year | 499,499,877 | 478,745,856 |
Net assets at end of year | $415,959,394 | $499,499,877 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 2,957,970 | 23,863,112 | 6,237,833 | 59,984,146 |
Distributions reinvested | 1,270,433 | 9,636,284 | 976,525 | 9,225,316 |
Redemptions | (2,023,042) | (15,900,645) | (4,485,763) | (43,450,596) |
Net increase | 2,205,361 | 17,598,751 | 2,728,595 | 25,758,866 |
Class 2 | ||||
Subscriptions | 1,160,162 | 9,490,508 | 2,474,868 | 23,735,038 |
Distributions reinvested | 1,141,046 | 8,650,294 | 959,918 | 9,066,729 |
Redemptions | (2,533,299) | (19,771,831) | (888,694) | (8,554,001) |
Net increase (decrease) | (232,091) | (1,631,029) | 2,546,092 | 24,247,766 |
Total net increase | 1,973,270 | 15,967,722 | 5,274,687 | 50,006,632 |
18 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 19 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2022 | $9.37 | 0.34 | (1.85) | (1.51) | (0.34) | (0.34) |
Year Ended 12/31/2021 | $9.97 | 0.37 | (0.59) | (0.22) | (0.38) | (0.38) |
Year Ended 12/31/2020 | $9.62 | 0.37 | 0.31 | 0.68 | (0.33) | (0.33) |
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) |
Class 2 | ||||||
Year Ended 12/31/2022 | $9.36 | 0.32 | (1.83) | (1.51) | (0.33) | (0.33) |
Year Ended 12/31/2021 | $9.96 | 0.34 | (0.59) | (0.25) | (0.35) | (0.35) |
Year Ended 12/31/2020 | $9.61 | 0.35 | 0.31 | 0.66 | (0.31) | (0.31) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
20 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $7.52 | (16.03%) | 0.75% | 0.75% | 4.37% | 22% | $216,467 |
Year Ended 12/31/2021 | $9.37 | (2.20%) | 0.76% | 0.76% | 3.81% | 41% | $248,905 |
Year Ended 12/31/2020 | $9.97 | 7.43% | 0.75%(c) | 0.75%(c) | 4.01% | 114% | $237,553 |
Year Ended 12/31/2019 | $9.62 | 12.35% | 0.76% | 0.76% | 5.21% | 137% | $117,692 |
Year Ended 12/31/2018 | $9.01 | (7.04%) | 0.76%(c) | 0.76%(c) | 5.53% | 64% | $103,590 |
Class 2 | |||||||
Year Ended 12/31/2022 | $7.52 | (16.16%) | 1.00% | 1.00% | 4.11% | 22% | $199,492 |
Year Ended 12/31/2021 | $9.36 | (2.45%) | 1.01% | 1.01% | 3.56% | 41% | $250,595 |
Year Ended 12/31/2020 | $9.96 | 7.16% | 1.00%(c) | 1.00%(c) | 3.76% | 114% | $241,193 |
Year Ended 12/31/2019 | $9.61 | 12.09% | 1.01% | 1.01% | 4.94% | 137% | $203,064 |
Year Ended 12/31/2018 | $9.00 | (7.38%) | 1.02%(c) | 1.02%(c) | 5.32% | 64% | $121,570 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
December 31, 2022
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 48,959 |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Total ($) |
Foreign exchange risk | 363,694 | — | 363,694 |
Interest rate risk | — | 433,633 | 433,633 |
Total | 363,694 | 433,633 | 797,327 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Total ($) |
Foreign exchange risk | 4,341 | — | 4,341 |
Interest rate risk | — | 279,526 | 279,526 |
Total | 4,341 | 279,526 | 283,867 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 25 |
December 31, 2022
Derivative instrument | Average notional amounts ($)* |
Futures contracts — short | 2,064,991 |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 85,292 | (64,525) |
* | Based on the ending daily outstanding amounts for the year ended December 31, 2022. |
** | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
Citi ($) | Goldman Sachs International ($) | UBS ($) | Total ($) | |
Liabilities | ||||
Forward foreign currency exchange contracts | 653 | 16,878 | 31,428 | 48,959 |
Total financial and derivative net assets | (653) | (16,878) | (31,428) | (48,959) |
Total collateral received (pledged) (a) | — | — | — | — |
Net amount (b) | (653) | (16,878) | (31,428) | (48,959) |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
26 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
104,893 | (104,893) | — |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 29 |
December 31, 2022
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
18,286,578 | — | 18,286,578 | 18,292,045 | — | 18,292,045 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
1,439,567 | — | (37,034,031) | (90,247,027) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
499,090,232 | 1,189,913 | (91,436,940) | (90,247,027) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(13,682,894) | (23,351,137) | (37,034,031) | — |
30 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,742,857 | 1.93 | 7 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 31 |
December 31, 2022
32 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 33 |
December 31, 2022
34 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 35 |
Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
$9,922 | $0.0002 | $20,547,427 | $0.37 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
36 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 37 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
38 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 39 |
(Unaudited)
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
40 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2022 | 41 |
December 31, 2022
3 | |
5 | |
8 | |
9 | |
34 | |
35 | |
36 | |
38 | |
40 | |
53 | |
54 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 06/25/14 | -16.65 | 5.50 | 8.10 | |
Class 2* | 06/25/14 | -16.87 | 5.24 | 7.84 | |
Class 3 | 04/30/86 | -16.74 | 5.35 | 7.96 | |
Blended Benchmark | -15.79 | 5.96 | 8.08 | ||
S&P 500 Index | -18.11 | 9.42 | 12.56 | ||
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Asset-Backed Securities — Non-Agency | 6.3 |
Commercial Mortgage-Backed Securities - Non-Agency | 6.1 |
Common Stocks | 50.7 |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 6.4 |
Exchange-Traded Equity Funds | 0.8 |
Foreign Government Obligations | 0.0(a) |
Money Market Funds | 7.7 |
Residential Mortgage-Backed Securities - Agency | 11.6 |
Residential Mortgage-Backed Securities - Non-Agency | 10.1 |
Senior Loans | 0.0(a) |
U.S. Treasury Obligations | 0.3 |
Total | 100.0 |
(a) | Rounds to zero. |
4 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
(Unaudited)
• | Stock selections within the consumer discretionary and energy sectors detracted most from performance in the equity portfolio relative to the Fund’s equity benchmark during the period. |
• | Overweighted allocations to the communication services and information technology sectors were the top detracting allocations for the equity portion of the Fund versus its benchmark. |
• | Top individual detractors versus the equity benchmark during the period included Amazon.com, Inc., Snap, Inc., Take-Two Interactive Software, Inc., Lam Research Corp. and Uber Technologies, Inc. We sold the Fund’s position in Snap during the second half of the period. |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 5 |
(Unaudited)
• | All credit-related sectors generated negative excess returns during the period. The Fund’s overweight exposure to credit sectors, such as non-agency MBS, CMBS, ABS, and high-yield corporates, hurt relative performance. |
• | The Fund was long duration, relative to the fixed-income benchmark, as we believed that the Fed’s rapid pace of interest rate hikes increased the probability of recession. The level of interest rates moved up significantly during the year, leading to negative contribution to relative performance from duration positioning. |
• | Performance in the Fund’s equity portion was driven primarily by stock selection, particularly within the health care, consumer staples and communication services sectors. |
• | Allocations were also positive for the Fund versus the benchmark during the period, with contributions coming from the Fund’s cash position and an underweight to the poor-performing consumer discretionary sector. |
• | Top individual contributors to performance in the equity portion of the Fund, relative to the equity benchmark, included Raytheon Technologies Corp., Chevron Corp., Eli Lily & Co., EOG Resources, Inc. and Tesla, Inc. |
• | Yield curve positioning was the largest contributor to relative performance in the fixed-income portion of the Fund. |
○ | As the Fed’s hiking campaign progressed, we believed the chances of recession were increasing. We decreased the Fund’s exposure to the front end of the yield curve and added to longer maturities. |
○ | Compared to December 31, 2021, the 2-year Treasury yield increased 370 bps from 0.73% to 4.43% while the 10-year Treasury yield rose 237 bps from 1.51% to 3.88%. The slope of the yield curve flattened considerably, and inverted between certain tenors, as economic growth concerns increased. The yield difference between the 10-year Treasury and the 2-year Treasury was -55 bps in December 2022 versus 78 bps in the prior year. |
• | The Fund’s agency MBS and investment-grade corporate holdings were additive to relative performance. |
○ | We were underweight agency MBS, which was additive to relative performance as the sector generated negative excess returns. Going into the year, we believed agency MBS faced headwinds, such as increased interest rate volatility and lack of Fed purchases, and that other securitized sectors offered more value. The sector’s valuation cheapened throughout the year to levels that were close to the pandemic-era levels. We viewed this as an attractive opportunity to decrease the Fund’s underweight allocation by adding exposure to higher coupons. |
○ | Investment-grade corporates’ performance trailed U.S.Treasuries in 2022. The Fund had less exposure to the sector than the fixed-income benchmark, which was beneficial to relative performance, as we believed opportunities in structured products were more attractive. However, security selection within financials partially offset the positive relative performance from sector allocation. |
6 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
(Unaudited)
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 988.50 | 1,021.26 | 3.79 | 3.85 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 987.10 | 1,020.00 | 5.03 | 5.11 | 1.01 |
Class 3 | 1,000.00 | 1,000.00 | 987.80 | 1,020.61 | 4.43 | 4.51 | 0.89 |
8 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Asset-Backed Securities — Non-Agency 7.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACM Auto Trust(a) | ||||
Subordinated Series 2022-1A Class C | ||||
04/20/2029 | 5.480% | 1,650,000 | 1,609,340 | |
ALM Ltd.(a),(b) | ||||
Series 2022-20A Class A2 | ||||
3-month Term SOFR + 2.000% Floor 2.000% 07/15/2037 | 5.864% | 1,300,000 | 1,276,189 | |
American Credit Acceptance Receivables Trust(a) | ||||
Series 2020-1 Class D | ||||
03/13/2026 | 2.390% | 2,440,641 | 2,413,470 | |
Subordinated Series 2021-1 Class C | ||||
03/15/2027 | 0.830% | 936,337 | 922,049 | |
Subordinated Series 2021-2 Class E | ||||
07/13/2027 | 2.540% | 600,000 | 553,201 | |
Apidos CLO XI(a),(b) | ||||
Series 2012-11A Class BR3 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 04/17/2034 | 5.729% | 1,925,000 | 1,839,497 | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class A1B | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 01/20/2031 | 5.393% | 900,000 | 867,192 | |
Aqua Finance Trust(a) | ||||
Series 2021-A Class A | ||||
07/17/2046 | 1.540% | 576,899 | 525,099 | |
Ares LVIII CLO Ltd.(a),(b) | ||||
Series 2020-58A Class DR | ||||
3-month Term SOFR + 3.200% Floor 3.200% 01/15/2035 | 7.064% | 475,000 | 410,233 | |
ARES XLVII CLO Ltd.(a),(b) | ||||
Series 2018-47A Class B | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 04/15/2030 | 5.529% | 550,000 | 529,514 | |
Avant Loans Funding Trust(a) | ||||
Subordinated Series 2021-REV1 Class C | ||||
07/15/2030 | 2.300% | 325,000 | 295,622 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2021-7A Class B | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 01/22/2035 | 5.975% | 2,425,000 | 2,292,129 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A1 | ||||
3-month USD LIBOR + 1.000% 04/20/2031 | 5.243% | 550,000 | 540,965 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2018-4A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 10/15/2030 | 5.779% | 3,450,000 | 3,345,900 | |
Basswood Park CLO Ltd.(a),(b) | ||||
Series 2021-1A Class A | ||||
3-month USD LIBOR + 1.000% Floor 1.000% 04/20/2034 | 5.243% | 1,025,000 | 998,139 | |
Carbone CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1 | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 01/20/2031 | 5.383% | 2,350,000 | 2,315,166 | |
Carlyle CLO Ltd.(a),(b) | ||||
Series C17A Class CR | ||||
3-month USD LIBOR + 2.800% Floor 2.800% 04/30/2031 | 7.215% | 500,000 | 457,453 | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2016-4A Class A2R | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 10/20/2027 | 5.693% | 3,425,000 | 3,327,984 | |
Carmax Auto Owner Trust | ||||
Subordinated Series 2021-1 Class C | ||||
12/15/2026 | 0.940% | 275,000 | 249,721 | |
Cascade Funding Mortgage Trust(a) | ||||
CMO Series 2021-GRN1 Class A | ||||
03/20/2041 | 1.100% | 584,414 | 537,967 | |
Crossroads Asset Trust(a) | ||||
Subordinated Series 2021-A Class B | ||||
06/20/2025 | 1.120% | 175,000 | 171,261 | |
Drive Auto Receivables Trust | ||||
Subordinated Series 2020-2 Class D | ||||
05/15/2028 | 3.050% | 575,000 | 562,385 | |
Subordinated Series 2021-2 Class D | ||||
03/15/2029 | 1.390% | 3,410,000 | 3,109,097 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2018-55A Class A1 | ||||
3-month USD LIBOR + 1.020% 04/15/2031 | 5.099% | 1,300,000 | 1,282,822 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 9 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dryden Senior Loan Fund(a),(b) | ||||
Series 2015-41A Class AR | ||||
3-month USD LIBOR + 0.970% Floor 0.970% 04/15/2031 | 5.049% | 2,100,000 | 2,063,403 | |
Series 2016-42A Class BR | ||||
3-month USD LIBOR + 1.550% 07/15/2030 | 5.629% | 950,000 | 916,259 | |
DT Auto Owner Trust(a) | ||||
Series 2019-3A Class D | ||||
04/15/2025 | 2.960% | 1,230,373 | 1,212,756 | |
Series 2020-2A Class D | ||||
03/16/2026 | 4.730% | 125,000 | 122,686 | |
Subordinated Series 2020-1A Class D | ||||
11/17/2025 | 2.550% | 1,400,000 | 1,365,962 | |
Subordinated Series 2020-3A Class D | ||||
06/15/2026 | 1.840% | 975,000 | 909,384 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2019-4A Class D | ||||
09/15/2025 | 2.580% | 1,151,930 | 1,128,452 | |
Subordinated Series 2020-1A Class D | ||||
12/15/2025 | 2.730% | 1,091,056 | 1,068,933 | |
Subordinated Series 2020-2A Class D | ||||
04/15/2026 | 4.730% | 350,000 | 346,424 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2020-3A Class D | ||||
07/15/2026 | 1.730% | 600,000 | 577,669 | |
Subordinated Series 2021-1A Class D | ||||
11/16/2026 | 1.080% | 1,225,000 | 1,135,042 | |
Subordinated Series 2021-3A Class D | ||||
06/15/2027 | 1.550% | 3,960,000 | 3,594,167 | |
Foundation Finance Trust(a) | ||||
Series 2019-1A Class A | ||||
11/15/2034 | 3.860% | 179,349 | 175,628 | |
Foursight Capital Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-1 Class D | ||||
03/15/2027 | 1.320% | 800,000 | 746,231 | |
Freed ABS Trust(a) | ||||
Subordinated Series 2021-1CP Class C | ||||
03/20/2028 | 2.830% | 100,000 | 98,654 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2020-1A Class C | ||||
11/17/2025 | 2.720% | 1,500,000 | 1,472,605 | |
GoldentTree Loan Management US CLO 1 Ltd.(a),(b) | ||||
Series 2021-10A Class A | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 07/20/2034 | 5.343% | 1,425,000 | 1,391,303 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hilton Grand Vacations Trust(a) | ||||
Series 2018-AA Class A | ||||
02/25/2032 | 3.540% | 181,542 | 174,115 | |
Series 2019-AA Class A | ||||
07/25/2033 | 2.340% | 416,893 | 389,109 | |
Jay Park CLO Ltd.(a),(b) | ||||
Series 2016-1A Class A2R | ||||
3-month USD LIBOR + 1.450% 10/20/2027 | 5.693% | 2,775,000 | 2,722,905 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2020-REV1 Class B | ||||
10/15/2028 | 4.494% | 1,575,000 | 1,532,960 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 319,760 | 308,759 | |
Madison Park Funding XLVIII Ltd.(a),(b) | ||||
Series 2021-48A Class A | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/19/2033 | 5.377% | 475,000 | 467,077 | |
Madison Park Funding XXXIII Ltd.(a),(b) | ||||
Series 2019-33A Class BR | ||||
3-month Term SOFR + 1.800% Floor 1.800% 10/15/2032 | 4.128% | 3,600,000 | 3,436,502 | |
Magnetite XII Ltd.(a),(b) | ||||
Series 2015-12A Class ARR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 10/15/2031 | 5.179% | 2,150,000 | 2,117,032 | |
MVW Owner Trust(a) | ||||
Series 2017-1A Class A | ||||
12/20/2034 | 2.420% | 366,724 | 358,371 | |
Octagon Investment Partners 39 Ltd.(a),(b) | ||||
Series 2018-3A Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.650% 10/20/2030 | 6.093% | 3,525,000 | 3,411,692 | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2019-4A Class AR | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 10/22/2036 | 5.475% | 1,375,000 | 1,342,807 | |
Series 2021-8A Class A | ||||
3-month USD LIBOR + 1.190% Floor 1.190% 01/18/2034 | 3.930% | 650,000 | 637,218 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 913,065 | 880,603 |
10 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pagaya AI Debt Trust(a) | ||||
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 674,911 | 608,116 | |
Race Point IX CLO Ltd.(a),(b) | ||||
Series 2015-9A Class A2R | ||||
3-month USD LIBOR + 0.450% Floor 1.450% 10/15/2030 | 4.529% | 1,900,000 | 1,806,421 | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 807,779 | 710,328 | |
Santander Consumer Auto Receivables Trust(a) | ||||
Subordinated Series 2021-AA Class C | ||||
11/16/2026 | 1.030% | 200,000 | 182,310 | |
Subordinated Series 2021-AA Class D | ||||
01/15/2027 | 1.570% | 175,000 | 158,468 | |
Santander Drive Auto Receivables Trust | ||||
Series 2020-2 Class D | ||||
09/15/2026 | 2.220% | 925,000 | 899,309 | |
Subordinated Series 2020-3 Class D | ||||
11/16/2026 | 1.640% | 6,578,000 | 6,299,772 | |
SCF Equipment Leasing LLC(a) | ||||
Series 2019-2A Class B | ||||
08/20/2026 | 2.760% | 1,275,000 | 1,229,717 | |
Series 2020-1A Class C | ||||
08/21/2028 | 2.600% | 800,000 | 726,186 | |
Sierra Timeshare Receivables Funding LLC(a) | ||||
Series 2018-2A Class A | ||||
06/20/2035 | 3.500% | 121,573 | 119,990 | |
Series 2018-3A Class A | ||||
09/20/2035 | 3.690% | 82,594 | 81,665 | |
Theorem Funding Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
12/15/2027 | 1.840% | 700,000 | 651,831 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST10 Class A | ||||
01/20/2030 | 2.250% | 2,016,835 | 1,910,608 | |
Series 2021-ST2 Class A | ||||
04/20/2027 | 2.500% | 137,848 | 128,875 | |
Series 2021-ST7 Class A | ||||
09/20/2029 | 1.850% | 423,847 | 394,714 | |
Series 2021-ST9 Class A | ||||
11/20/2029 | 1.700% | 248,566 | 235,832 | |
Upstart Securitization Trust(a) | ||||
Series 2020-2 Class A | ||||
11/20/2030 | 2.309% | 277,918 | 271,824 | |
Subordinated Series 2021-2 Class B | ||||
06/20/2031 | 1.750% | 425,000 | 404,435 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-3 Class B | ||||
07/20/2031 | 1.660% | 425,000 | 395,780 | |
VSE Voi Mortgage LLC(a) | ||||
Series 2018-A Class A | ||||
02/20/2036 | 3.560% | 199,692 | 193,188 | |
Total Asset-Backed Securities — Non-Agency (Cost $87,446,649) | 83,946,472 | |||
Commercial Mortgage-Backed Securities - Non-Agency 6.9% | ||||
1211 Avenue of the Americas Trust(a) | ||||
Series 2015-1211 Class A1A2 | ||||
08/10/2035 | 3.901% | 1,275,000 | 1,179,882 | |
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 1,112,941 | 1,064,371 | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 1,228,630 | 1,177,695 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 1,135,917 | 1,071,854 | |
Series 2015-SFR2 Class A | ||||
10/17/2052 | 3.732% | 677,448 | 641,805 | |
AMSR Trust(a) | ||||
Subordinated Series 2020-SFR2 Class C | ||||
07/17/2037 | 2.533% | 500,000 | 452,878 | |
Ashford Hospitality Trust(a),(b) | ||||
Series 2018-KEYS Class B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 05/15/2035 | 5.768% | 2,625,000 | 2,533,473 | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 10/15/2037 | 5.568% | 1,150,000 | 1,088,003 | |
Subordinated Series 2018-BXH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 10/15/2037 | 5.818% | 625,000 | 590,008 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 1,325,000 | 1,232,902 | |
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 5.568% | 2,375,000 | 2,289,239 | |
BX Commercial Mortgage Trust(a),(c) | ||||
Series 2019-XL Class C | ||||
10/15/2036 | 5.700% | 977,500 | 953,109 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 11 |
December 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BX Mortgage Trust(a),(b) | ||||
Series 2021-PAC Class D | ||||
1-month USD LIBOR + 1.298% Floor 1.298% 10/15/2036 | 5.616% | 2,175,000 | 2,024,459 | |
BX Trust(a),(b) | ||||
Series 2019-ATL Class C | ||||
1-month USD LIBOR + 1.587% Floor 1.587%, Cap 1.587% 10/15/2036 | 5.905% | 699,000 | 671,094 | |
Subordinated Series 2019-ATL Class D | ||||
1-month USD LIBOR + 1.887% Floor 1.887% 10/15/2036 | 6.205% | 622,000 | 584,751 | |
CIM Retail Portfolio Trust(a),(b) | ||||
Series 2021-RETL Class D | ||||
1-month USD LIBOR + 3.050% Floor 3.050% 08/15/2036 | 7.368% | 2,868,750 | 2,802,303 | |
CLNY Trust(a),(b) | ||||
Subordinated Series 2019-IKPR Class D | ||||
1-month USD LIBOR + 2.025% Floor 2.025% 11/15/2038 | 6.343% | 1,900,000 | 1,757,692 | |
COMM Mortgage Trust(a),(c) | ||||
Subordinated Series 2020-CBM Class D | ||||
02/10/2037 | 3.633% | 475,000 | 418,486 | |
COMM Mortgage Trust(a) | ||||
Subordinated Series 2020-CX Class B | ||||
11/10/2046 | 2.446% | 525,000 | 394,674 | |
CSAIL Commercial Mortgage Trust | ||||
Series 2015-C4 Class A4 | ||||
11/15/2048 | 3.808% | 2,010,000 | 1,913,969 | |
Series 2019-C16 Class A3 | ||||
06/15/2052 | 3.329% | 3,675,000 | 3,188,007 | |
Extended Stay America Trust(a),(b) | ||||
Series 2021-ESH Class E | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 07/15/2038 | 7.168% | 292,858 | 278,965 | |
Series 2021-ESH Class F | ||||
1-month USD LIBOR + 3.700% Floor 3.700% 07/15/2038 | 7.575% | 292,858 | 275,185 | |
FirstKey Homes Trust(a) | ||||
Subordinated Series 2020-SFR1 Class D | ||||
08/17/2037 | 2.241% | 675,000 | 602,828 | |
Subordinated Series 2020-SFR2 Class D | ||||
10/19/2037 | 1.968% | 2,975,000 | 2,625,548 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GS Mortgage Securities Corp II(a),(b) | ||||
Series 2022-ECI Class A | ||||
1-month Term SOFR + 2.195% Floor 2.195% 08/15/2039 | 5.040% | 1,425,000 | 1,415,965 | |
GS Mortgage Securities Corp. Trust(a) | ||||
Series 2017-485L Class A | ||||
02/10/2037 | 3.721% | 625,000 | 539,629 | |
GS Mortgage Securities Corp. Trust(a),(b) | ||||
Subordinated CMO Series 2021-IP Class D | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 10/15/2036 | 6.418% | 825,000 | 753,217 | |
Home Partners of America Trust(a) | ||||
Subordinated Series 2019-2 Class D | ||||
10/19/2039 | 3.121% | 1,039,293 | 870,939 | |
Subordinated Series 2021-2 Class B | ||||
12/17/2026 | 2.302% | 6,319,491 | 5,398,333 | |
ILPT Commercial Mortgage Trust(a),(b) | ||||
Series 2022-LPF2 Class A | ||||
1-month Term SOFR + 2.245% Floor 2.245% 10/15/2039 | 5.621% | 2,200,000 | 2,200,528 | |
Invitation Homes Trust(a),(b) | ||||
Series 2018-SFR4 Class A | ||||
1-month USD LIBOR + 1.100% Floor 1.000% 01/17/2038 | 5.439% | 3,014,632 | 2,984,991 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(c) | ||||
Subordinated Series 2021-2NU Class B | ||||
01/05/2040 | 2.077% | 600,000 | 459,961 | |
Subordinated Series 2021-2NU Class C | ||||
01/05/2040 | 2.077% | 250,000 | 187,350 | |
KKR Industrial Portfolio Trust(a),(b) | ||||
Subordinated Series 2021-KDIP Class D | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 12/15/2037 | 5.568% | 375,000 | 353,230 | |
Life Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-BMR Class D | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 03/15/2038 | 5.718% | 688,079 | 651,817 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2016-C29 Class A3 | ||||
05/15/2049 | 3.058% | 945,096 | 878,554 | |
Series 2017-C34 Class A3 | ||||
11/15/2052 | 3.276% | 2,250,000 | 2,049,922 | |
Morgan Stanley Capital I Trust | ||||
Series 2015-UBS8 Class A3 | ||||
12/15/2048 | 3.540% | 1,721,472 | 1,618,177 |
12 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2017-HR2 Class A3 | ||||
12/15/2050 | 3.330% | 1,040,995 | 947,602 | |
Morgan Stanley Capital I Trust(a),(c) | ||||
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.283% | 1,175,000 | 1,016,125 | |
One New York Plaza Trust(a),(b) | ||||
Subordinated Series 2020-1NYP Class C | ||||
1-month USD LIBOR + 2.200% Floor 2.200% 01/15/2036 | 6.518% | 1,100,000 | 1,026,607 | |
Subordinated Series 2020-1NYP Class D | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 01/15/2036 | 7.068% | 425,000 | 386,735 | |
Progress Residential Trust(a) | ||||
Series 2019-SFR3 Class C | ||||
09/17/2036 | 2.721% | 750,000 | 706,071 | |
Series 2019-SFR3 Class D | ||||
09/17/2036 | 2.871% | 1,125,000 | 1,058,020 | |
Series 2019-SFR4 Class C | ||||
10/17/2036 | 3.036% | 2,850,000 | 2,655,942 | |
Series 2020-SFR1 Class C | ||||
04/17/2037 | 2.183% | 325,000 | 297,172 | |
Series 2020-SFR1 Class D | ||||
04/17/2037 | 2.383% | 675,000 | 615,712 | |
Series 2020-SFR2 Class A | ||||
06/17/2037 | 2.078% | 424,476 | 388,297 | |
Series 2022-SFR5 Class A | ||||
06/17/2039 | 4.451% | 2,019,642 | 1,894,163 | |
Subordinated Series 2020-SFR2 Class C | ||||
06/17/2037 | 3.077% | 100,000 | 92,093 | |
Subordinated Series 2020-SFR2 Class D | ||||
06/17/2037 | 3.874% | 125,000 | 115,853 | |
Subordinated Series 2021-SFR8 Class D | ||||
10/17/2038 | 2.082% | 1,830,000 | 1,505,599 | |
RBS Commercial Funding, Inc., Trust(a),(c) | ||||
Series 2013-GSP Class A | ||||
01/15/2032 | 3.834% | 1,100,000 | 1,058,720 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-555 Class E | ||||
1-month USD LIBOR + 2.900% Floor 2.900% 05/15/2038 | 7.218% | 475,000 | 371,793 | |
SPGN TFLM Mortgage Trust(a),(b) | ||||
Series 2022 Class A | ||||
1-month Term SOFR + 1.550% Floor 1.550% 02/15/2039 | 5.886% | 4,725,000 | 4,463,918 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
STAR Trust(a),(b) | ||||
Series 2022-SFR3 Class A | ||||
1-month Term SOFR + 1.650% Floor 1.650% 05/17/2024 | 5.971% | 2,641,885 | 2,623,898 | |
Subordinated Series 2022-SFR3 Class B | ||||
1-month Term SOFR + 1.950% Floor 1.950% 05/17/2024 | 6.271% | 1,900,000 | 1,878,830 | |
Tricon American Homes(a) | ||||
Series 2020-SFR1 Class C | ||||
07/17/2038 | 2.249% | 650,000 | 564,806 | |
Tricon American Homes Trust(a) | ||||
Subordinated Series 2020-SFR2 Class D | ||||
11/17/2039 | 2.281% | 1,075,000 | 885,497 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2015-C28 Class A3 | ||||
05/15/2048 | 3.290% | 1,067,263 | 1,017,197 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2020-SDAL Class D | ||||
1-month USD LIBOR + 2.090% Floor 2.090%, Cap 4.500% 02/15/2037 | 6.408% | 500,000 | 472,026 | |
Series 2021-FCMT Class A | ||||
1-month USD LIBOR + 1.200% Floor 1.200% 05/15/2031 | 5.518% | 750,000 | 697,932 | |
Series 2021-FCMT Class D | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 05/15/2031 | 7.818% | 625,000 | 559,890 | |
WFRBS Commercial Mortgage Trust | ||||
Series 2014-C22 Class A5 | ||||
09/15/2057 | 3.752% | 425,000 | 410,121 | |
WF-RBS Commercial Mortgage Trust | ||||
Series 2013-C15 Class A3 | ||||
08/15/2046 | 3.881% | 491,563 | 488,022 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $87,759,271) | 80,374,434 |
Common Stocks 57.2% | ||
Issuer | Shares | Value ($) |
Communication Services 6.7% | ||
Entertainment 1.8% | ||
Endeavor Group Holdings, Inc., Class A(d) | 159,034 | 3,584,626 |
Take-Two Interactive Software, Inc.(d) | 99,314 | 10,341,567 |
Walt Disney Co. (The)(d) | 78,222 | 6,795,928 |
Total | 20,722,121 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 13 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Interactive Media & Services 3.3% | ||
Alphabet, Inc., Class A(d) | 122,131 | 10,775,618 |
Alphabet, Inc., Class C(d) | 123,457 | 10,954,339 |
Match Group, Inc.(d) | 124,335 | 5,158,659 |
Meta Platforms, Inc., Class A(d) | 63,364 | 7,625,224 |
ZoomInfo Technologies, Inc.(d) | 126,507 | 3,809,126 |
Total | 38,322,966 | |
Media 0.7% | ||
Comcast Corp., Class A | 254,265 | 8,891,647 |
Wireless Telecommunication Services 0.9% | ||
T-Mobile US, Inc.(d) | 72,449 | 10,142,860 |
Total Communication Services | 78,079,594 | |
Consumer Discretionary 3.9% | ||
Automobiles 0.3% | ||
Tesla, Inc.(d) | 29,145 | 3,590,081 |
Hotels, Restaurants & Leisure 0.6% | ||
McDonald’s Corp. | 25,753 | 6,786,688 |
Internet & Direct Marketing Retail 1.7% | ||
Amazon.com, Inc.(d) | 237,239 | 19,928,076 |
Specialty Retail 0.8% | ||
Lowe’s Companies, Inc. | 16,270 | 3,241,635 |
TJX Companies, Inc. (The) | 74,959 | 5,966,737 |
Total | 9,208,372 | |
Textiles, Apparel & Luxury Goods 0.5% | ||
Tapestry, Inc. | 148,477 | 5,654,004 |
Total Consumer Discretionary | 45,167,221 | |
Consumer Staples 4.3% | ||
Beverages 0.2% | ||
Monster Beverage Corp.(d) | 23,010 | 2,336,205 |
Food & Staples Retailing 1.2% | ||
Sysco Corp. | 69,826 | 5,338,198 |
Walmart, Inc. | 64,429 | 9,135,388 |
Total | 14,473,586 | |
Food Products 1.0% | ||
Mondelez International, Inc., Class A | 179,763 | 11,981,204 |
Household Products 1.6% | ||
Procter & Gamble Co. (The) | 121,041 | 18,344,974 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Personal Products 0.3% | ||
Coty, Inc., Class A(d) | 343,179 | 2,937,612 |
Total Consumer Staples | 50,073,581 | |
Energy 3.1% | ||
Oil, Gas & Consumable Fuels 3.1% | ||
Canadian Natural Resources Ltd. | 144,574 | 8,028,194 |
Chevron Corp. | 102,813 | 18,453,905 |
EOG Resources, Inc. | 78,365 | 10,149,835 |
Total | 36,631,934 | |
Total Energy | 36,631,934 | |
Financials 6.1% | ||
Banks 2.2% | ||
Bank of America Corp. | 182,171 | 6,033,504 |
JPMorgan Chase & Co. | 45,827 | 6,145,401 |
Wells Fargo & Co. | 319,236 | 13,181,254 |
Total | 25,360,159 | |
Capital Markets 1.5% | ||
BlackRock, Inc. | 6,811 | 4,826,479 |
MSCI, Inc. | 7,261 | 3,377,599 |
State Street Corp. | 122,982 | 9,539,714 |
Total | 17,743,792 | |
Consumer Finance 0.0% | ||
American Express Co. | 5,066 | 748,501 |
Diversified Financial Services 1.9% | ||
Berkshire Hathaway, Inc., Class B(d) | 71,522 | 22,093,146 |
Insurance 0.5% | ||
Aon PLC, Class A | 19,735 | 5,923,263 |
Total Financials | 71,868,861 | |
Health Care 9.1% | ||
Biotechnology 1.4% | ||
BioMarin Pharmaceutical, Inc.(d) | 63,405 | 6,561,784 |
Vertex Pharmaceuticals, Inc.(d) | 35,608 | 10,282,878 |
Total | 16,844,662 | |
Health Care Equipment & Supplies 1.6% | ||
Abbott Laboratories | 97,192 | 10,670,710 |
Boston Scientific Corp.(d) | 162,391 | 7,513,831 |
Total | 18,184,541 |
14 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 1.8% | ||
CVS Health Corp. | 104,816 | 9,767,803 |
Elevance Health, Inc. | 21,613 | 11,086,821 |
Total | 20,854,624 | |
Life Sciences Tools & Services 0.8% | ||
IQVIA Holdings, Inc.(d) | 16,946 | 3,472,066 |
Thermo Fisher Scientific, Inc. | 11,076 | 6,099,442 |
Total | 9,571,508 | |
Pharmaceuticals 3.5% | ||
Eli Lilly & Co. | 43,516 | 15,919,894 |
Johnson & Johnson | 139,537 | 24,649,211 |
Total | 40,569,105 | |
Total Health Care | 106,024,440 | |
Industrials 4.7% | ||
Aerospace & Defense 1.3% | ||
Raytheon Technologies Corp. | 147,016 | 14,836,854 |
Airlines 0.2% | ||
Southwest Airlines Co.(d) | 91,988 | 3,097,236 |
Industrial Conglomerates 1.2% | ||
General Electric Co. | 97,937 | 8,206,141 |
Honeywell International, Inc. | 28,012 | 6,002,972 |
Total | 14,209,113 | |
Machinery 0.7% | ||
Parker-Hannifin Corp. | 27,981 | 8,142,471 |
Road & Rail 1.3% | ||
Uber Technologies, Inc.(d) | 356,881 | 8,825,667 |
Union Pacific Corp. | 30,483 | 6,312,115 |
Total | 15,137,782 | |
Total Industrials | 55,423,456 | |
Information Technology 15.3% | ||
Electronic Equipment, Instruments & Components 0.8% | ||
TE Connectivity Ltd. | 59,162 | 6,791,797 |
Zebra Technologies Corp., Class A(d) | 7,990 | 2,048,716 |
Total | 8,840,513 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 2.9% | ||
Accenture PLC, Class A | 19,055 | 5,084,636 |
Fidelity National Information Services, Inc. | 46,288 | 3,140,641 |
International Business Machines Corp. | 22,049 | 3,106,484 |
MasterCard, Inc., Class A | 32,948 | 11,457,008 |
Visa, Inc., Class A | 55,663 | 11,564,545 |
Total | 34,353,314 | |
Semiconductors & Semiconductor Equipment 2.5% | ||
Advanced Micro Devices, Inc.(d) | 67,821 | 4,392,766 |
Lam Research Corp. | 15,391 | 6,468,837 |
Marvell Technology, Inc. | 57,990 | 2,147,950 |
Microchip Technology, Inc. | 50,992 | 3,582,188 |
NVIDIA Corp. | 67,964 | 9,932,259 |
QUALCOMM, Inc. | 26,787 | 2,944,963 |
Total | 29,468,963 | |
Software 6.0% | ||
Adobe, Inc.(d) | 34,475 | 11,601,872 |
Intuit, Inc. | 29,309 | 11,407,649 |
Microsoft Corp. | 184,641 | 44,280,604 |
Palo Alto Networks, Inc.(d) | 22,216 | 3,100,021 |
Total | 70,390,146 | |
Technology Hardware, Storage & Peripherals 3.1% | ||
Apple, Inc. | 276,873 | 35,974,109 |
Total Information Technology | 179,027,045 | |
Materials 1.5% | ||
Chemicals 1.5% | ||
Corteva, Inc. | 56,692 | 3,332,356 |
International Flavors & Fragrances, Inc. | 68,427 | 7,173,887 |
Sherwin-Williams Co. (The) | 27,832 | 6,605,368 |
Total | 17,111,611 | |
Total Materials | 17,111,611 | |
Real Estate 0.9% | ||
Equity Real Estate Investment Trusts (REITS) 0.9% | ||
American Tower Corp. | 50,678 | 10,736,641 |
Total Real Estate | 10,736,641 | |
Utilities 1.6% | ||
Electric Utilities 0.9% | ||
American Electric Power Co., Inc. | 117,205 | 11,128,615 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 15 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multi-Utilities 0.7% | ||
Public Service Enterprise Group, Inc. | 132,383 | 8,111,106 |
Total Utilities | 19,239,721 | |
Total Common Stocks (Cost $605,259,587) | 669,384,105 |
Convertible Bonds 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.0% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 69,000 | 43,228 | |
Total Convertible Bonds (Cost $65,851) | 43,228 | |||
Corporate Bonds & Notes 7.2% | ||||
Aerospace & Defense 0.3% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 1,200,000 | 1,056,398 | |
Boeing Co. (The) | ||||
05/01/2040 | 5.705% | 1,650,000 | 1,570,823 | |
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 45,000 | 43,811 | |
Northrop Grumman Corp. | ||||
02/15/2031 | 7.750% | 375,000 | 435,142 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 17,000 | 17,915 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 54,000 | 54,702 | |
03/15/2026 | 6.250% | 161,000 | 159,120 | |
TransDigm, Inc. | ||||
11/15/2027 | 5.500% | 57,000 | 53,526 | |
05/01/2029 | 4.875% | 41,000 | 35,747 | |
Total | 3,427,184 | |||
Airlines 0.0% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 29,000 | 25,763 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 128,934 | 123,991 | |
04/20/2029 | 5.750% | 36,290 | 33,200 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 45,737 | 41,383 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 38,000 | 35,392 | |
04/15/2029 | 4.625% | 40,000 | 34,909 | |
Total | 294,638 | |||
Automotive 0.1% | ||||
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 31,000 | 23,326 | |
Ford Motor Credit Co. LLC | ||||
02/10/2025 | 2.300% | 35,000 | 31,951 | |
06/16/2025 | 5.125% | 10,000 | 9,640 | |
11/13/2025 | 3.375% | 65,000 | 58,875 | |
01/09/2027 | 4.271% | 55,000 | 49,866 | |
05/28/2027 | 4.950% | 55,000 | 51,371 | |
08/17/2027 | 4.125% | 45,000 | 40,212 | |
11/04/2027 | 7.350% | 30,000 | 30,741 | |
02/16/2028 | 2.900% | 25,000 | 20,657 | |
11/13/2030 | 4.000% | 31,000 | 25,461 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 112,500 | 109,331 | |
IHO Verwaltungs GmbH(a),(e) | ||||
09/15/2026 | 4.750% | 42,827 | 37,119 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 90,000 | 87,979 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 15,000 | 14,678 | |
05/15/2027 | 8.500% | 55,000 | 53,808 | |
Total | 645,015 | |||
Banking 1.9% | ||||
Bank of America Corp.(f) | ||||
04/23/2040 | 4.078% | 4,675,000 | 3,887,203 | |
Citigroup, Inc.(f) | ||||
01/25/2033 | 3.057% | 2,800,000 | 2,260,868 | |
Discover Bank | ||||
09/13/2028 | 4.650% | 925,000 | 866,783 | |
Goldman Sachs Group, Inc. (The)(f) | ||||
02/24/2033 | 3.102% | 3,500,000 | 2,854,041 | |
HSBC Holdings PLC(f) | ||||
05/24/2032 | 2.804% | 2,600,000 | 2,007,002 | |
JPMorgan Chase & Co.(f) | ||||
Subordinated | ||||
05/13/2031 | 2.956% | 4,725,000 | 3,890,301 | |
Morgan Stanley(f) | ||||
01/22/2031 | 2.699% | 2,575,000 | 2,131,016 | |
PNC Financial Services Group, Inc. (The)(f) | ||||
Subordinated | ||||
06/06/2033 | 4.626% | 700,000 | 648,040 |
16 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
State Street Corp. | ||||
Subordinated | ||||
03/03/2031 | 2.200% | 716,000 | 572,379 | |
Wells Fargo & Co.(f) | ||||
04/30/2041 | 3.068% | 3,625,000 | 2,591,466 | |
Total | 21,709,099 | |||
Brokerage/Asset Managers/Exchanges 0.0% | ||||
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 35,000 | 35,327 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 45,000 | 37,669 | |
NFP Corp(a) | ||||
10/01/2030 | 7.500% | 41,000 | 38,540 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 46,000 | 39,164 | |
08/15/2028 | 6.875% | 135,000 | 111,779 | |
Total | 262,479 | |||
Building Materials 0.0% | ||||
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 51,000 | 47,803 | |
05/15/2029 | 4.125% | 29,000 | 24,207 | |
Interface, Inc.(a) | ||||
12/01/2028 | 5.500% | 23,000 | 18,943 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 37,000 | 34,385 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 23,000 | 20,545 | |
07/01/2029 | 6.125% | 43,000 | 34,901 | |
12/01/2029 | 6.000% | 53,000 | 42,388 | |
Standard Industries, Inc.(a) | ||||
02/15/2027 | 5.000% | 10,000 | 9,249 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 61,000 | 53,153 | |
Total | 285,574 | |||
Cable and Satellite 0.2% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 68,000 | 63,452 | |
02/01/2028 | 5.000% | 24,000 | 21,810 | |
03/01/2030 | 4.750% | 103,000 | 88,960 | |
08/15/2030 | 4.500% | 105,000 | 86,942 | |
02/01/2032 | 4.750% | 43,000 | 34,860 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 40,000 | 32,243 | |
02/01/2029 | 6.500% | 57,000 | 46,767 | |
01/15/2030 | 5.750% | 54,000 | 30,533 | |
12/01/2030 | 4.125% | 47,000 | 33,174 | |
02/15/2031 | 3.375% | 36,000 | 23,485 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 32,000 | 28,697 | |
DISH DBS Corp. | ||||
03/15/2023 | 5.000% | 4,000 | 3,982 | |
06/01/2029 | 5.125% | 50,000 | 32,256 | |
DISH DBS Corp.(a) | ||||
12/01/2028 | 5.750% | 61,000 | 48,725 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 40,000 | 41,133 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 49,000 | 36,012 | |
09/15/2028 | 6.500% | 66,000 | 27,661 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 32,000 | 28,412 | |
07/01/2029 | 5.500% | 36,000 | 32,890 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 1,300,000 | 1,232,787 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 31,000 | 26,210 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 47,000 | 37,761 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 51,000 | 45,832 | |
08/15/2030 | 4.500% | 31,000 | 25,906 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 76,000 | 61,965 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 38,000 | 30,828 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 53,000 | 49,337 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 50,000 | 41,808 | |
Total | 2,294,428 | |||
Chemicals 0.1% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 34,000 | 33,443 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 19,000 | 15,767 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 89,000 | 82,243 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 33,000 | 31,469 | |
Dow Chemical Co. (The) | ||||
10/01/2034 | 4.250% | 550,000 | 494,295 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 60,000 | 51,215 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 17 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 79,000 | 69,546 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 40,000 | 31,990 | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 25,000 | 22,613 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 31,000 | 26,742 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 44,000 | 43,139 | |
Iris Holdings, Inc.(a),(e) | ||||
02/15/2026 | 8.750% | 22,000 | 19,156 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 73,000 | 59,813 | |
10/01/2029 | 6.250% | 28,000 | 21,277 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 21,000 | 18,172 | |
WR Grace Holdings LLC(a) | ||||
10/01/2024 | 5.625% | 22,000 | 21,740 | |
06/15/2027 | 4.875% | 67,000 | 59,355 | |
08/15/2029 | 5.625% | 95,000 | 76,856 | |
Total | 1,178,831 | |||
Construction Machinery 0.0% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 17,000 | 14,473 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 18,000 | 16,781 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 6,000 | 5,916 | |
United Rentals North America, Inc. | ||||
01/15/2030 | 5.250% | 32,000 | 30,054 | |
Total | 67,224 | |||
Consumer Cyclical Services 0.0% | ||||
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 67,000 | 52,549 | |
12/01/2028 | 6.125% | 59,000 | 47,345 | |
Match Group, Inc.(a) | ||||
02/15/2029 | 5.625% | 31,000 | 28,580 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 19,000 | 16,356 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 56,000 | 56,080 | |
01/15/2028 | 6.250% | 39,000 | 37,574 | |
08/15/2029 | 4.500% | 88,000 | 76,720 | |
Total | 315,204 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Products 0.0% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 75,000 | 64,686 | |
Mattel, Inc.(a) | ||||
04/01/2026 | 3.375% | 18,000 | 16,585 | |
04/01/2029 | 3.750% | 35,000 | 30,763 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 12,000 | 11,914 | |
09/15/2029 | 6.625% | 17,000 | 16,779 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 64,000 | 60,453 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 20,000 | 15,358 | |
02/01/2032 | 4.375% | 21,000 | 16,056 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 20,000 | 17,495 | |
07/15/2030 | 5.500% | 2,000 | 1,775 | |
Tempur Sealy International, Inc.(a) | ||||
10/15/2031 | 3.875% | 33,000 | 25,834 | |
Total | 277,698 | |||
Diversified Manufacturing 0.1% | ||||
Carrier Global Corp. | ||||
04/05/2040 | 3.377% | 850,000 | 643,986 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 21,000 | 21,087 | |
01/01/2031 | 9.500% | 7,000 | 7,179 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 82,000 | 79,079 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 32,000 | 26,649 | |
06/30/2029 | 5.875% | 33,000 | 22,699 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 86,000 | 69,385 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 12,000 | 12,090 | |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 28,000 | 22,945 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 34,000 | 30,244 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 43,000 | 43,588 | |
06/15/2028 | 7.250% | 46,000 | 46,637 | |
Total | 1,025,568 | |||
Electric 0.6% | ||||
Calpine Corp.(a) | ||||
02/15/2028 | 4.500% | 29,000 | 25,918 |
18 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 58,000 | 53,778 | |
02/15/2031 | 3.750% | 75,000 | 62,602 | |
01/15/2032 | 3.750% | 16,000 | 12,929 | |
CMS Energy Corp. | ||||
03/01/2044 | 4.875% | 262,000 | 238,404 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 1,150,000 | 894,700 | |
Eversource Energy | ||||
03/01/2032 | 3.375% | 525,000 | 456,535 | |
Exelon Corp.(a) | ||||
03/15/2052 | 4.100% | 875,000 | 703,735 | |
Indiana Michigan Power Co. | ||||
03/15/2037 | 6.050% | 600,000 | 624,075 | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 13,000 | 11,259 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 16,000 | 15,549 | |
09/15/2027 | 4.500% | 48,000 | 44,186 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 28,000 | 22,607 | |
06/15/2029 | 5.250% | 24,000 | 21,204 | |
02/15/2031 | 3.625% | 42,000 | 32,135 | |
02/15/2032 | 3.875% | 75,000 | 56,546 | |
Ohio Edison Co.(a) | ||||
01/15/2033 | 5.500% | 900,000 | 896,294 | |
PG&E Corp. | ||||
07/01/2030 | 5.250% | 33,000 | 30,029 | |
Progress Energy, Inc. | ||||
03/01/2031 | 7.750% | 800,000 | 906,532 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 1,200,000 | 1,003,641 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 10,000 | 9,646 | |
02/15/2027 | 5.625% | 55,000 | 52,527 | |
07/31/2027 | 5.000% | 61,000 | 56,767 | |
05/01/2029 | 4.375% | 18,000 | 15,531 | |
Xcel Energy, Inc. | ||||
06/01/2030 | 3.400% | 900,000 | 802,752 | |
Total | 7,049,881 | |||
Environmental 0.1% | ||||
GFL Environmental, Inc.(a) | ||||
12/15/2026 | 5.125% | 51,000 | 49,018 | |
Waste Connections, Inc. | ||||
01/15/2033 | 4.200% | 1,000,000 | 929,001 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 81,000 | 71,778 | |
Total | 1,049,797 | |||
Finance Companies 0.0% | ||||
Navient Corp. | ||||
01/25/2023 | 5.500% | 60,000 | 59,911 | |
06/25/2025 | 6.750% | 31,000 | 29,800 | |
OneMain Finance Corp. | ||||
09/15/2030 | 4.000% | 2,000 | 1,495 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 45,000 | 39,753 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2031 | 3.875% | 55,000 | 42,476 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 92,000 | 68,816 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 34,000 | 32,887 | |
Total | 275,138 | |||
Food and Beverage 0.3% | ||||
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/15/2042 | 4.950% | 1,200,000 | 1,124,807 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 1,300,000 | 1,178,783 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 43,000 | 42,144 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 81,000 | 76,008 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
12/01/2031 | 3.750% | 30,000 | 24,473 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 1,100,000 | 898,525 | |
Pilgrim’s Pride Corp.(a) | ||||
04/15/2031 | 4.250% | 78,000 | 66,392 | |
03/01/2032 | 3.500% | 87,000 | 68,004 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 28,000 | 27,114 | |
01/15/2028 | 5.625% | 24,000 | 22,684 | |
04/15/2030 | 4.625% | 52,000 | 44,862 | |
09/15/2031 | 4.500% | 18,000 | 15,204 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 97,000 | 83,773 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 23,000 | 18,819 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 19 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
US Foods, Inc.(a) | ||||
04/15/2025 | 6.250% | 8,000 | 7,935 | |
02/15/2029 | 4.750% | 45,000 | 39,960 | |
06/01/2030 | 4.625% | 27,000 | 23,858 | |
Total | 3,763,345 | |||
Gaming 0.0% | ||||
Boyd Gaming Corp. | ||||
12/01/2027 | 4.750% | 39,000 | 36,315 | |
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 26,000 | 22,630 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 93,000 | 75,628 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 50,000 | 49,000 | |
07/01/2025 | 6.250% | 59,000 | 57,402 | |
07/01/2027 | 8.125% | 42,000 | 41,305 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 16,000 | 16,122 | |
04/15/2026 | 4.125% | 19,000 | 17,779 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 41,000 | 35,033 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 68,000 | 57,420 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 26,000 | 25,887 | |
Total | 434,521 | |||
Health Care 0.4% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 60,000 | 56,960 | |
04/15/2029 | 5.000% | 25,000 | 23,058 | |
AdaptHealth LLC(a) | ||||
03/01/2030 | 5.125% | 97,000 | 82,558 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 45,000 | 40,861 | |
11/01/2029 | 3.875% | 53,000 | 44,535 | |
Becton Dickinson and Co. | ||||
12/15/2044 | 4.685% | 700,000 | 622,901 | |
Catalent Pharma Solutions, Inc.(a) | ||||
04/01/2030 | 3.500% | 21,000 | 16,564 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 25,000 | 23,004 | |
03/15/2029 | 3.750% | 19,000 | 16,799 | |
CHS/Community Health Systems, Inc.(a) | ||||
03/15/2027 | 5.625% | 12,000 | 10,296 | |
04/15/2029 | 6.875% | 38,000 | 19,703 | |
05/15/2030 | 5.250% | 94,000 | 70,997 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 1,000,000 | 902,669 | |
GE Healthcare Holding LLC(a) | ||||
11/22/2052 | 6.377% | 684,000 | 733,393 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 1,625,000 | 1,272,607 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 9,000 | 7,254 | |
10/01/2029 | 5.250% | 66,000 | 52,455 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 104,000 | 99,116 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 15,000 | 14,660 | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 56,000 | 53,788 | |
11/01/2027 | 5.125% | 37,000 | 34,526 | |
06/15/2028 | 4.625% | 11,000 | 9,859 | |
10/01/2028 | 6.125% | 51,000 | 45,766 | |
01/15/2030 | 4.375% | 22,000 | 19,061 | |
06/15/2030 | 6.125% | 27,000 | 25,715 | |
Total | 4,299,105 | |||
Healthcare Insurance 0.1% | ||||
Anthem, Inc. | ||||
03/01/2028 | 4.101% | 235,000 | 225,244 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 75,000 | 68,771 | |
UnitedHealth Group, Inc. | ||||
05/15/2062 | 4.950% | 1,323,000 | 1,244,986 | |
Total | 1,539,001 | |||
Home Construction 0.0% | ||||
Meritage Homes Corp. | ||||
06/01/2025 | 6.000% | 46,000 | 45,674 | |
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 43,000 | 36,492 | |
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 27,000 | 23,594 | |
Taylor Morrison Communities, Inc.(a) | ||||
06/15/2027 | 5.875% | 10,000 | 9,623 | |
08/01/2030 | 5.125% | 32,000 | 27,844 | |
Total | 143,227 | |||
Independent Energy 0.1% | ||||
Apache Corp. | ||||
09/01/2040 | 5.100% | 28,000 | 23,253 | |
02/01/2042 | 5.250% | 11,000 | 9,020 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 92,000 | 86,536 |
20 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 5,000 | 4,985 | |
01/15/2029 | 6.000% | 28,000 | 25,844 | |
01/15/2031 | 7.375% | 10,000 | 9,595 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 62,000 | 53,383 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 51,000 | 49,215 | |
05/01/2029 | 5.000% | 42,000 | 37,649 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2028 | 5.750% | 55,000 | 52,664 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 65,000 | 58,970 | |
02/01/2029 | 5.750% | 11,000 | 9,829 | |
04/15/2030 | 6.000% | 21,000 | 18,793 | |
04/15/2032 | 6.250% | 19,000 | 16,323 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 67,000 | 64,662 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 225,000 | 232,489 | |
09/15/2036 | 6.450% | 102,000 | 104,060 | |
SM Energy Co. | ||||
09/15/2026 | 6.750% | 40,000 | 38,990 | |
Southwestern Energy Co. | ||||
02/01/2032 | 4.750% | 88,000 | 75,137 | |
Total | 971,397 | |||
Integrated Energy 0.0% | ||||
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 710,000 | 500,729 | |
Leisure 0.1% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 17,000 | 13,578 | |
03/01/2027 | 5.750% | 108,000 | 77,057 | |
08/01/2028 | 4.000% | 54,000 | 43,993 | |
05/01/2029 | 6.000% | 43,000 | 28,814 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 27,000 | 27,715 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 23,000 | 22,727 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 45,000 | 43,774 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 15,000 | 15,225 | |
03/15/2026 | 5.875% | 56,000 | 46,588 | |
07/15/2028 | 5.250% | 6,000 | 4,457 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Live Nation Entertainment, Inc.(a) | ||||
03/15/2026 | 5.625% | 44,000 | 41,779 | |
05/15/2027 | 6.500% | 33,000 | 32,294 | |
10/15/2027 | 4.750% | 17,000 | 15,155 | |
NCL Corp., Ltd.(a) | ||||
03/15/2026 | 5.875% | 24,000 | 18,889 | |
NCL Finance Ltd.(a) | ||||
03/15/2028 | 6.125% | 12,000 | 8,908 | |
Royal Caribbean Cruises Ltd.(a) | ||||
07/01/2026 | 4.250% | 62,000 | 50,200 | |
08/31/2026 | 5.500% | 19,000 | 15,985 | |
07/15/2027 | 5.375% | 18,000 | 14,643 | |
04/01/2028 | 5.500% | 39,000 | 31,154 | |
Royal Caribbean Cruises Ltd. | ||||
03/15/2028 | 3.700% | 33,000 | 24,489 | |
Six Flags Entertainment Corp.(a) | ||||
07/31/2024 | 4.875% | 52,000 | 50,114 | |
Total | 627,538 | |||
Life Insurance 0.3% | ||||
CoreBridge Financial, Inc.(a) | ||||
04/05/2052 | 4.400% | 900,000 | 717,512 | |
Five Corners Funding Trust II(a) | ||||
05/15/2030 | 2.850% | 1,650,000 | 1,384,592 | |
MetLife, Inc. | ||||
07/15/2052 | 5.000% | 197,000 | 189,034 | |
Pacific LifeCorp(a) | ||||
09/15/2052 | 5.400% | 900,000 | 862,904 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 818,000 | 667,077 | |
Total | 3,821,119 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2028 | 5.750% | 33,000 | 32,107 | |
Media and Entertainment 0.2% | ||||
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 27,000 | 25,716 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 49,000 | 35,963 | |
06/01/2029 | 7.500% | 43,000 | 31,277 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 88,000 | 76,252 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 6,440 | 5,924 | |
05/01/2027 | 8.375% | 86,366 | 73,558 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 21 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 27,000 | 22,855 | |
01/15/2028 | 4.750% | 49,000 | 39,853 | |
Magallanes, Inc.(a) | ||||
03/15/2062 | 5.391% | 2,091,000 | 1,531,774 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 45,000 | 40,666 | |
03/15/2030 | 4.625% | 31,000 | 25,708 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 59,000 | 46,475 | |
Scripps Escrow II, Inc.(a) | ||||
01/15/2029 | 3.875% | 7,000 | 5,695 | |
01/15/2031 | 5.375% | 15,000 | 12,072 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 11,000 | 9,852 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 25,000 | 20,895 | |
06/30/2030 | 7.375% | 30,000 | 28,707 | |
Total | 2,033,242 | |||
Metals and Mining 0.1% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 32,000 | 28,267 | |
10/01/2031 | 5.125% | 46,000 | 40,361 | |
Constellium NV(a) | ||||
02/15/2026 | 5.875% | 35,000 | 33,749 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 86,000 | 79,523 | |
04/15/2029 | 3.750% | 145,000 | 118,066 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2026 | 4.500% | 125,000 | 114,127 | |
04/01/2029 | 6.125% | 42,000 | 38,279 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 27,000 | 23,670 | |
06/01/2031 | 4.500% | 75,000 | 60,256 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 28,000 | 25,095 | |
01/30/2030 | 4.750% | 52,000 | 45,974 | |
08/15/2031 | 3.875% | 26,000 | 21,275 | |
Total | 628,642 | |||
Midstream 0.6% | ||||
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 19,000 | 17,100 | |
03/01/2031 | 4.000% | 37,000 | 31,692 | |
01/31/2032 | 3.250% | 64,000 | 50,977 | |
Cheniere Energy, Inc. | ||||
10/15/2028 | 4.625% | 25,000 | 22,671 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 35,000 | 28,891 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 31,000 | 29,992 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 32,000 | 27,453 | |
06/15/2031 | 4.375% | 36,000 | 30,109 | |
Energy Transfer Partners LP | ||||
02/01/2042 | 6.500% | 500,000 | 494,007 | |
EQM Midstream Partners LP | ||||
08/01/2024 | 4.000% | 23,000 | 22,132 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 56,000 | 54,400 | |
06/01/2027 | 7.500% | 14,000 | 13,716 | |
07/01/2027 | 6.500% | 33,000 | 31,550 | |
06/01/2030 | 7.500% | 17,000 | 16,388 | |
01/15/2031 | 4.750% | 126,000 | 103,828 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 36,000 | 35,527 | |
02/01/2028 | 5.000% | 41,000 | 37,572 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2044 | 5.500% | 1,100,000 | 998,153 | |
MPLX LP | ||||
02/15/2049 | 5.500% | 1,100,000 | 973,020 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 35,000 | 33,804 | |
04/28/2027 | 5.625% | 40,000 | 37,602 | |
10/01/2030 | 6.375% | 30,000 | 27,831 | |
Plains All American Pipeline LP/Finance Corp. | ||||
01/15/2037 | 6.650% | 1,575,000 | 1,553,408 | |
Targa Resources Partners LP/Finance Corp. | ||||
03/01/2030 | 5.500% | 40,000 | 37,695 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 38,000 | 33,051 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 49,000 | 42,901 | |
08/15/2031 | 4.125% | 80,000 | 68,201 | |
11/01/2033 | 3.875% | 41,000 | 33,473 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 28,000 | 23,255 | |
Western Midstream Operating LP | ||||
03/01/2028 | 4.500% | 51,000 | 46,735 | |
Western Midstream Operating LP(f) | ||||
02/01/2050 | 5.500% | 1,000,000 | 826,856 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 1,000,000 | 874,683 | |
Total | 6,658,673 |
22 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Natural Gas 0.1% | ||||
NiSource, Inc. | ||||
02/15/2044 | 4.800% | 1,300,000 | 1,147,805 | |
Oil Field Services 0.0% | ||||
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 26,000 | 23,897 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 2,000 | 1,960 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 55,569 | 55,127 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 26,000 | 24,384 | |
Total | 105,368 | |||
Other Industry 0.0% | ||||
Picasso Finance Sub, Inc.(a) | ||||
06/15/2025 | 6.125% | 34,000 | 33,896 | |
Other REIT 0.0% | ||||
Blackstone Mortgage Trust, Inc.(a) | ||||
01/15/2027 | 3.750% | 27,000 | 23,023 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 81,000 | 76,297 | |
02/01/2027 | 4.250% | 26,000 | 21,893 | |
06/15/2029 | 4.750% | 80,000 | 64,593 | |
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) | ||||
10/01/2028 | 5.875% | 45,000 | 40,985 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 23,000 | 19,469 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 22,000 | 19,581 | |
09/15/2029 | 4.000% | 20,000 | 16,327 | |
Total | 282,168 | |||
Packaging 0.0% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 55,000 | 53,887 | |
09/01/2029 | 4.000% | 94,000 | 74,563 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 35,000 | 30,341 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 65,000 | 51,466 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 62,000 | 57,954 | |
Total | 268,211 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pharmaceuticals 0.3% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 6,000 | 5,845 | |
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 1,270,000 | 1,102,819 | |
Amgen, Inc. | ||||
09/01/2053 | 2.770% | 1,917,000 | 1,158,019 | |
AstraZeneca Finance LLC | ||||
05/28/2031 | 2.250% | 525,000 | 436,909 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 20,000 | 13,759 | |
08/15/2027 | 5.750% | 28,000 | 19,058 | |
06/01/2028 | 4.875% | 15,000 | 9,597 | |
09/30/2028 | 11.000% | 11,000 | 8,626 | |
10/15/2030 | 14.000% | 1,000 | 594 | |
Bristol Myers Squibb Co. | ||||
02/20/2048 | 4.550% | 562,000 | 510,537 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 28,000 | 24,226 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 22,000 | 19,479 | |
04/30/2031 | 5.125% | 64,000 | 55,438 | |
Total | 3,364,906 | |||
Property & Casualty 0.2% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 72,000 | 64,855 | |
10/15/2027 | 6.750% | 110,000 | 99,114 | |
11/01/2029 | 5.875% | 31,000 | 25,525 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 20,000 | 19,444 | |
01/15/2029 | 5.625% | 58,000 | 48,185 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 1,450,000 | 1,170,281 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 66,000 | 56,735 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 45,000 | 44,173 | |
12/01/2029 | 5.625% | 59,000 | 51,741 | |
Loews Corp. | ||||
05/15/2030 | 3.200% | 665,000 | 586,485 | |
Radian Group, Inc. | ||||
03/15/2027 | 4.875% | 25,000 | 22,910 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 7,000 | 6,118 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 38,000 | 36,475 | |
Total | 2,232,041 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 23 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Railroads 0.1% | ||||
CSX Corp. | ||||
03/15/2044 | 4.100% | 800,000 | 669,644 | |
Restaurants 0.0% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
01/15/2028 | 3.875% | 57,000 | 51,339 | |
10/15/2030 | 4.000% | 18,000 | 14,617 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 58,000 | 57,842 | |
Total | 123,798 | |||
Retailers 0.1% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 39,000 | 32,905 | |
02/15/2032 | 5.000% | 41,000 | 33,823 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 46,000 | 39,109 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 6,000 | 6,430 | |
10/01/2030 | 6.625% | 60,000 | 56,276 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 23,000 | 22,685 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 20,000 | 16,413 | |
Lowe’s Companies, Inc. | ||||
04/01/2052 | 4.250% | 1,600,000 | 1,281,392 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 41,000 | 37,153 | |
02/15/2029 | 7.750% | 34,000 | 31,718 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 22,000 | 16,658 | |
Total | 1,574,562 | |||
Supermarkets 0.0% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 7.500% | 15,000 | 15,355 | |
02/15/2028 | 5.875% | 25,000 | 23,784 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 30,000 | 27,385 | |
Total | 66,524 | |||
Technology 0.4% | ||||
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 39,000 | 34,008 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 14,000 | 13,730 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Broadcom, Inc.(a) | ||||
02/15/2051 | 3.750% | 1,559,000 | 1,087,593 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 19,000 | 17,863 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 25,000 | 21,688 | |
07/01/2029 | 4.875% | 73,000 | 62,071 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 27,000 | 24,572 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 66,000 | 53,300 | |
Dun & Bradstreet Corp. (The)(a) | ||||
12/15/2029 | 5.000% | 36,000 | 31,021 | |
Entegris Escrow Corp.(a) | ||||
06/15/2030 | 5.950% | 51,000 | 47,050 | |
Gartner, Inc.(a) | ||||
10/01/2030 | 3.750% | 42,000 | 36,417 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 26,000 | 23,099 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 29,000 | 22,073 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 32,000 | 26,711 | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 14,000 | 12,892 | |
03/15/2028 | 5.250% | 25,000 | 22,997 | |
07/15/2028 | 5.000% | 54,000 | 48,537 | |
07/15/2030 | 5.250% | 26,000 | 22,580 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 83,000 | 44,799 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 64,000 | 47,413 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 25,000 | 23,962 | |
10/01/2028 | 5.000% | 80,000 | 68,644 | |
04/15/2029 | 5.125% | 60,000 | 50,178 | |
10/01/2030 | 5.250% | 4,000 | 3,297 | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 53,000 | 49,939 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 1,500,000 | 1,294,436 | |
Oracle Corp. | ||||
04/15/2038 | 6.500% | 700,000 | 727,183 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 58,000 | 49,111 | |
RELX Capital, Inc. | ||||
05/20/2032 | 4.750% | 439,000 | 421,016 |
24 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 32,000 | 30,311 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 55,000 | 51,882 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 45,000 | 45,145 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 64,000 | 62,692 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 90,000 | 75,841 | |
Total | 4,654,051 | |||
Transportation Services 0.1% | ||||
ERAC USA Finance LLC(a) | ||||
10/15/2037 | 7.000% | 725,000 | 789,921 | |
Wireless 0.2% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 85,000 | 50,187 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 33,000 | 30,125 | |
01/15/2028 | 5.500% | 93,000 | 73,017 | |
07/15/2029 | 5.125% | 32,000 | 23,934 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 740,000 | 672,935 | |
Sprint Capital Corp. | ||||
03/15/2032 | 8.750% | 38,000 | 45,204 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 44,000 | 46,302 | |
T-Mobile US, Inc. | ||||
01/15/2053 | 5.650% | 1,125,000 | 1,094,252 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 27,000 | 21,871 | |
07/15/2031 | 4.750% | 52,000 | 42,344 | |
Total | 2,100,171 | |||
Wirelines 0.1% | ||||
AT&T, Inc. | ||||
09/15/2053 | 3.500% | 1,900,000 | 1,292,702 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 39,000 | 28,904 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 24,000 | 24,504 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 53,000 | 49,225 | |
10/15/2028 | 7.000% | 79,000 | 71,651 | |
Total | 1,466,986 | |||
Total Corporate Bonds & Notes (Cost $99,810,029) | 84,490,456 |
Exchange-Traded Equity Funds 0.9% | ||
Shares | Value ($) | |
International Mid Large Cap 0.9% | ||
iShares Core MSCI EAFE ETF | 168,620 | 10,393,737 |
Total Exchange-Traded Equity Funds (Cost $11,306,141) | 10,393,737 |
Foreign Government Obligations(g) 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2024 | 4.875% | 25,000 | 24,219 | |
06/01/2027 | 5.250% | 34,000 | 30,544 | |
05/15/2029 | 4.250% | 45,000 | 36,755 | |
Total | 91,518 | |||
Total Foreign Government Obligations (Cost $101,238) | 91,518 | |||
Residential Mortgage-Backed Securities - Agency 13.1% | ||||
Federal Home Loan Mortgage Corp. | ||||
04/01/2032 | 6.000% | 28,172 | 28,642 | |
04/01/2032 | 7.000% | 18,233 | 18,751 | |
07/01/2032 | 6.500% | 10,718 | 10,998 | |
01/01/2033 | 3.000% | 546,814 | 519,514 | |
01/01/2034- 05/01/2041 | 5.000% | 267,324 | 272,395 | |
04/01/2041 | 4.500% | 47,496 | 47,138 | |
Federal Home Loan Mortgage Corp.(h) | ||||
05/01/2032 | 6.500% | 96,598 | 99,065 | |
06/01/2037 | 6.000% | 24,590 | 25,337 | |
02/01/2038 | 5.500% | 162,861 | 169,074 | |
03/01/2038- 03/01/2040 | 5.000% | 64,785 | 65,971 | |
05/01/2039- 08/01/2041 | 4.500% | 494,751 | 490,943 | |
07/01/2043 | 3.000% | 130,302 | 118,696 | |
Federal Home Loan Mortgage Corp.(i) | ||||
12/01/2051 | 2.500% | 4,876,179 | 4,133,444 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 25 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
05/01/2024- 12/01/2028 | 6.000% | 8,544 | 8,691 | |
03/01/2026- 12/01/2032 | 7.000% | 254,350 | 255,515 | |
10/01/2026- 12/01/2045 | 3.500% | 199,908 | 192,152 | |
11/01/2026- 01/01/2029 | 4.000% | 166,383 | 163,336 | |
08/01/2028- 09/01/2032 | 6.500% | 49,237 | 50,833 | |
02/01/2038- 03/01/2038 | 5.500% | 81,363 | 82,849 | |
Federal National Mortgage Association(h) | ||||
02/01/2031 | 3.500% | 115,466 | 112,444 | |
10/01/2040 | 4.500% | 115,292 | 114,293 | |
Uniform Mortgage-Backed Security TBA(j) | ||||
01/17/2038- 01/12/2053 | 3.000% | 26,075,000 | 22,985,397 | |
01/17/2038- 01/12/2053 | 3.500% | 24,425,000 | 22,407,397 | |
01/12/2053 | 2.000% | 8,950,000 | 7,280,469 | |
01/12/2053 | 2.500% | 22,825,000 | 19,321,689 | |
01/12/2053 | 4.000% | 33,825,000 | 31,716,347 | |
01/12/2053 | 4.500% | 26,825,000 | 25,812,525 | |
01/12/2053 | 5.000% | 16,600,000 | 16,354,675 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $155,369,082) | 152,858,580 | |||
Residential Mortgage-Backed Securities - Non-Agency 11.4% | ||||
510 Asset Backed Trust(a),(c) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 1,380,476 | 1,278,831 | |
Ajax Mortgage Loan Trust(a),(c) | ||||
CMO Series 2021-A Class A1 | ||||
09/25/2065 | 1.065% | 2,369,602 | 2,055,698 | |
CMO Series 2021-B Class A | ||||
06/25/2066 | 2.239% | 1,108,647 | 1,022,733 | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2020-6 Class A3 | ||||
05/25/2065 | 1.775% | 134,980 | 113,403 | |
CMO Series 2020-6 Class M1 | ||||
05/25/2065 | 2.805% | 400,000 | 288,979 | |
CMO Series 2020-R1 Class A1 | ||||
04/25/2053 | 0.990% | 615,518 | 544,326 | |
CMO Series 2022-6 Class A1 | ||||
07/25/2067 | 4.300% | 4,448,291 | 4,257,438 | |
Angel Oak Mortgage Trust I LLC(a),(c) | ||||
CMO Series 2018-3 Class A3 | ||||
09/25/2048 | 3.853% | 9,674 | 9,610 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 2.950% Floor 2.950% 03/25/2031 | 6.497% | 800,000 | 765,007 | |
CMO Series 2021-3A Class M1A | ||||
30-day Average SOFR + 1.000% Floor 1.000% 09/25/2031 | 4.928% | 1,544,055 | 1,512,648 | |
BRAVO Residential Funding Trust(a),(c) | ||||
CMO Series 2020-NQM1 Class A1 | ||||
05/25/2060 | 1.449% | 195,416 | 180,060 | |
CMO Series 2020-RPL1 Class A1 | ||||
05/26/2059 | 2.500% | 633,596 | 583,196 | |
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 1,263,754 | 1,199,434 | |
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 888,286 | 829,327 | |
CMO Series 2021-NQM1 Class A1 | ||||
02/25/2049 | 0.941% | 1,215,266 | 1,044,940 | |
CMO Series 2021-NQM1 Class A3 | ||||
02/25/2049 | 1.332% | 495,112 | 420,240 | |
CMO Series 2021-NQM2 Class A3 | ||||
03/25/2060 | 1.435% | 321,264 | 301,045 | |
CMO Series 2022-NQM3 Class A1 | ||||
07/25/2062 | 5.108% | 1,080,871 | 1,077,924 | |
Subordinated CMO Series 2021-NQM2 Class B1 | ||||
03/25/2060 | 3.044% | 425,000 | 334,381 | |
CHNGE Mortgage Trust(a),(c) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 3.007% | 2,253,711 | 2,056,140 | |
CMO Series 2022-NQM1 Class A1 | ||||
06/25/2067 | 5.189% | 927,330 | 897,400 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.076% 09/25/2058 | 5.445% | 1,057,537 | 1,032,792 | |
CIM Trust(a),(c) | ||||
CMO Series 2021-NR1 Class A1 | ||||
07/25/2055 | 2.569% | 878,440 | 827,127 | |
CMO Series 2021-NR2 Class A1 | ||||
07/25/2059 | 2.568% | 646,690 | 595,023 | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2020-2 Class A1 | ||||
03/25/2065 | 1.853% | 31,880 | 31,179 | |
CMO Series 2022-1 Class A1 | ||||
12/27/2066 | 2.284% | 2,263,215 | 1,968,895 |
26 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2022-4 Class A1 | ||||
03/25/2067 | 4.301% | 1,989,338 | 1,917,184 | |
COLT Mortgage Loan Trust(a) | ||||
CMO Series 2021-2R Class A1 | ||||
07/27/2054 | 0.798% | 384,998 | 320,860 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2020-R01 Class 1M2 | ||||
1-month USD LIBOR + 2.050% 01/25/2040 | 6.439% | 508,040 | 504,536 | |
CMO Series 2022-R04 Class 1M2 | ||||
30-day Average SOFR + 3.100% 03/25/2042 | 7.028% | 975,000 | 971,360 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2021-AFC1 Class A1 | ||||
03/25/2056 | 0.830% | 695,054 | 520,100 | |
CMO Series 2021-NQM1 Class A3 | ||||
05/25/2065 | 1.199% | 253,645 | 213,430 | |
CMO Series 2021-NQM1 Class M1 | ||||
05/25/2065 | 2.130% | 175,000 | 121,639 | |
CMO Series 2021-RPL1 Class A1 | ||||
09/27/2060 | 1.668% | 1,703,544 | 1,607,158 | |
CMO Series 2021-RPL2 Class M1 | ||||
01/25/2060 | 2.750% | 751,019 | 532,741 | |
CMO Series 2021-RPL2 Class M2 | ||||
01/25/2060 | 3.250% | 375,000 | 260,639 | |
CMO Series 2022-ATH3 Class A1 | ||||
08/25/2067 | 4.991% | 1,126,966 | 1,093,772 | |
CSMC Trust(a),(c) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 1,542,080 | 1,440,620 | |
CMO Series 2021-RPL4 Class A1 | ||||
12/27/2060 | 1.796% | 1,111,137 | 981,074 | |
CMO Series 2022-NQM5 Class A1 | ||||
05/25/2067 | 5.169% | 1,585,038 | 1,584,851 | |
Subordinated CMO Series 2020-RPL3 Class A1 | ||||
03/25/2060 | 2.691% | 821,235 | 766,785 | |
Subordinated CMO Series 2020-RPL4 Class A1 | ||||
01/25/2060 | 2.000% | 671,827 | 595,688 | |
CSMC Trust(a) | ||||
CMO Series 2019-AFC1 Class A1 | ||||
07/25/2049 | 2.573% | 438,456 | 407,387 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 10/25/2033 | 6.247% | 425,000 | 415,037 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 04/25/2034 | 5.994% | 1,900,000 | 1,829,308 | |
Ellington Financial Mortgage Trust(a),(c) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2059 | 3.046% | 115,847 | 105,938 | |
CMO Series 2020-1 Class A1 | ||||
05/25/2065 | 2.006% | 36,762 | 34,842 | |
CMO Series 2022-2 Class A1 | ||||
04/25/2067 | 4.299% | 5,382,322 | 5,157,889 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2020-DNA1 Class M2 | ||||
1-month USD LIBOR + 1.700% 01/25/2050 | 6.089% | 548,540 | 546,842 | |
CMO Series 2021-DNA1 Class M2 | ||||
30-day Average SOFR + 1.800% 01/25/2051 | 5.728% | 563,198 | 549,851 | |
CMO Series 2021-DNA5 Class M2 | ||||
30-day Average SOFR + 1.650% 01/25/2034 | 5.578% | 466,379 | 459,166 | |
CMO Series 2021-HQA1 Class M1 | ||||
30-day Average SOFR + 0.700% 08/25/2033 | 4.628% | 75,816 | 75,504 | |
CMO Series 2022-DNA3 Class M1B | ||||
30-day Average SOFR + 2.900% 04/25/2042 | 6.828% | 1,100,000 | 1,087,338 | |
CMO Series 2022-DNA4 Class M1A | ||||
30-day Average SOFR + 2.200% 05/25/2042 | 6.128% | 5,171,261 | 5,170,003 | |
Subordinated CMO Series 2022-DNA6 Class M1A | ||||
30-day Average SOFR + 2.150% 09/25/2042 | 6.078% | 558,632 | 558,629 | |
Freddie Mac STACR Trust(a),(b) | ||||
CMO Series 2019-DNA4 Class M2 | ||||
1-month USD LIBOR + 1.950% 10/25/2049 | 6.339% | 128,346 | 128,346 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2022-DNA2 Class M1B | ||||
30-day Average SOFR + 2.400% 02/25/2042 | 6.328% | 2,500,000 | 2,430,414 | |
CMO Series 2022-DNA5 Class M1A | ||||
30-day Average SOFR + 2.950% 06/25/2042 | 6.878% | 1,928,645 | 1,949,853 | |
Subordinated CMO Series 2021-DNA7 Class M1 | ||||
30-day Average SOFR + 0.850% 11/25/2041 | 4.371% | 4,051,712 | 3,978,232 | |
GCAT LLC(a),(c) | ||||
CMO Series 2020-3 Class A1 | ||||
09/25/2025 | 2.981% | 1,008,285 | 973,528 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 27 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GCAT Trust(a),(c) | ||||
CMO Series 2019-RPL1 Class A1 | ||||
10/25/2068 | 2.650% | 847,066 | 794,422 | |
CMO Series 2021-CM2 Class A1 | ||||
08/25/2066 | 2.352% | 2,988,490 | 2,692,363 | |
CMO Series 2022-NQM3 Class A1 | ||||
04/25/2067 | 4.349% | 5,342,903 | 5,158,847 | |
GS Mortgage-Backed Securities Trust(a),(c) | ||||
CMO Series 2019-SL1 Class A1 | ||||
01/25/2059 | 2.625% | 125,846 | 125,199 | |
CMO Series 2020-NQM1 Class A1 | ||||
09/27/2060 | 1.382% | 386,529 | 347,041 | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1B | ||||
1-month USD LIBOR + 1.550% 07/25/2033 | 5.939% | 984,110 | 977,433 | |
Homeward Opportunities Fund I Trust(a),(c) | ||||
CMO Series 2020-2 Class A3 | ||||
05/25/2065 | 3.196% | 550,000 | 495,930 | |
Legacy Mortgage Asset Trust(a),(c) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 1,200,323 | 1,094,618 | |
CMO Series 2021-GS2 Class A1 | ||||
04/25/2061 | 1.750% | 2,327,652 | 2,103,944 | |
MetLife Securitization Trust(a),(c) | ||||
CMO Series 2018-1A Class A | ||||
03/25/2057 | 3.750% | 380,376 | 357,164 | |
MFA Trust(a),(c) | ||||
CMO Series 2020-NQM3 Class M1 | ||||
01/26/2065 | 2.654% | 475,000 | 372,677 | |
CMO Series 2021-NQM1 Class A1 | ||||
04/25/2065 | 1.153% | 726,577 | 622,962 | |
CMO Series 2022-NQM2 Class A1 | ||||
05/25/2067 | 4.000% | 5,137,529 | 4,834,412 | |
MFRA Trust(a),(c) | ||||
CMO Series 2021-INV1 Class A1 | ||||
01/25/2056 | 0.852% | 251,255 | 222,501 | |
CMO Series 2021-INV1 Class A2 | ||||
01/25/2056 | 1.057% | 46,547 | 40,955 | |
CMO Series 2021-INV1 Class A3 | ||||
01/25/2056 | 1.262% | 77,828 | 67,808 | |
Mill City Mortgage Loan Trust(a),(c) | ||||
CMO Series 2018-3 Class A1 | ||||
08/25/2058 | 3.472% | 791,190 | 750,271 | |
CMO Series 2021-NMR1 Class M1 | ||||
11/25/2060 | 1.850% | 1,150,000 | 962,895 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New Residential Mortgage Loan Trust(a) | ||||
CMO Series 2016-3A Class A1 | ||||
09/25/2056 | 3.750% | 150,234 | 137,724 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 443,563 | 404,235 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 10/25/2033 | 5.978% | 825,000 | 807,771 | |
OBX Trust(a),(b) | ||||
CMO Series 2020-EXP3 Class 2A1A | ||||
1-month USD LIBOR + 0.950% 01/25/2060 | 4.944% | 185,507 | 182,989 | |
Oceanview Mortgage Loan Trust(a) | ||||
CMO Series 2020-1 Class A1A | ||||
05/28/2050 | 1.733% | 319,932 | 283,893 | |
Preston Ridge Partners Mortgage(a),(c) | ||||
CMO Series 2021-4 Class A1 | ||||
04/25/2026 | 1.867% | 2,368,500 | 2,120,838 | |
Preston Ridge Partners Mortgage Trust(a),(c) | ||||
CMO Series 2020-6 Class A1 | ||||
11/25/2025 | 2.363% | 599,032 | 552,310 | |
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 998,427 | 906,952 | |
CMO Series 2021-10 Class A1 | ||||
10/25/2026 | 2.487% | 1,333,974 | 1,199,493 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 1,395,309 | 1,260,401 | |
CMO Series 2021-9 Class A1 | ||||
10/25/2026 | 2.363% | 2,133,778 | 1,920,851 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
07/25/2051 | 2.487% | 3,395,833 | 3,137,283 | |
PRKCM Trust(a),(c) | ||||
CMO Series 2021-AFC2 Class A3 | ||||
11/25/2056 | 2.893% | 2,000,000 | 1,150,952 | |
CMO Series 2021-AFC2 Class M1 | ||||
11/25/2056 | 3.443% | 1,475,000 | 887,457 | |
Subordinated CMO Series 2021-AFC2 Class B1 | ||||
11/25/2056 | 3.701% | 1,300,000 | 761,559 | |
PRPM LLC(a),(c) | ||||
CMO Series 2021-RPL1 Class A1 | ||||
07/25/2051 | 1.319% | 607,298 | 534,582 |
28 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2020-1 Class M1A | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 01/25/2030 | 5.339% | 125,315 | 123,654 | |
Subordinated CMO Series 2021-2 Class M1A | ||||
30-day Average SOFR + 1.850% Floor 1.850% 11/25/2031 | 5.371% | 397,412 | 393,312 | |
Subordinated CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 3.700% Floor 3.700% 11/25/2031 | 7.221% | 725,000 | 684,750 | |
Residential Mortgage Loan Trust(a),(c) | ||||
CMO Series 2020-1 Class A3 | ||||
01/26/2060 | 2.684% | 156,790 | 145,497 | |
Starwood Mortgage Residential Trust(a),(c) | ||||
CMO Series 2019-INV1 Class A3 | ||||
09/27/2049 | 2.916% | 557,774 | 523,910 | |
CMO Series 2020-2 Class A3 | ||||
04/25/2060 | 3.000% | 975,000 | 923,382 | |
CMO Series 2020-INV1 Class A3 | ||||
11/25/2055 | 1.593% | 150,506 | 132,815 | |
CMO Series 2021-4 Class M1 | ||||
08/25/2056 | 2.400% | 525,000 | 302,296 | |
Toorak Mortgage Corp., Ltd.(a),(c) | ||||
CMO Series 2020-1 Class A1 | ||||
03/25/2023 | 2.734% | 1,715,147 | 1,656,584 | |
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 900,000 | 861,667 | |
Towd Point HE Trust(a),(c) | ||||
CMO Series 2021-HE1 Class M2 | ||||
02/25/2063 | 2.500% | 450,000 | 375,155 | |
Towd Point Mortgage Trust(a),(c) | ||||
CMO Series 2018-1 Class A1 | ||||
01/25/2058 | 3.000% | 153,030 | 147,554 | |
CMO Series 2018-6 Class A1A | ||||
03/25/2058 | 3.750% | 588,567 | 565,261 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2019-HY1 Class A1 | ||||
1-month USD LIBOR + 1.000% 10/25/2048 | 5.016% | 472,929 | 469,121 | |
CMO Series 2019-HY2 Class A1 | ||||
1-month USD LIBOR + 1.000% Floor 1.000% 05/25/2058 | 5.389% | 580,642 | 573,518 | |
TVC Mortgage Trust(a) | ||||
CMO Series 2020-RTL1 Class A1 | ||||
09/25/2024 | 3.474% | 87,835 | 87,631 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
VCAT Asset Securitization LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 4,024,908 | 3,503,949 | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
12/26/2050 | 2.289% | 159,440 | 150,308 | |
Vericrest Opportunity Loan Transferee(a),(c) | ||||
CMO Series 2021-NP11 Class A1 | ||||
08/25/2051 | 1.868% | 2,084,359 | 1,827,093 | |
Vericrest Opportunity Loan Transferee XCII LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
02/27/2051 | 1.893% | 1,536,255 | 1,315,127 | |
Vericrest Opportunity Loan Transferee XCIII LLC(a),(c) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
02/27/2051 | 1.893% | 1,281,152 | 1,144,456 | |
Vericrest Opportunity Loan Transferee XCIV LLC(a),(c) | ||||
CMO Series 2021-NPL3 Class A1 | ||||
02/27/2051 | 2.240% | 1,505,945 | 1,350,353 | |
Vericrest Opportunity Loan Transferee XCIX LLC(a),(c) | ||||
CMO Series 2021-NPL8 Class A1 | ||||
04/25/2051 | 2.116% | 982,529 | 867,884 | |
Vericrest Opportunity Loan Transferee XCVI LLC(a),(c) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
03/27/2051 | 2.116% | 916,679 | 831,018 | |
Vericrest Opportunity Loan Transferee XCVII LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
04/25/2051 | 2.240% | 3,757,105 | 3,304,817 | |
Vericrest Opportunity Loan Trust CI LLC(a),(c) | ||||
CMO Series 2021-NP10 Class A1 | ||||
05/25/2051 | 1.992% | 2,687,446 | 2,400,617 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 583,361 | 549,335 | |
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 1,000,000 | 737,885 | |
CMO Series 2020-2 Class A1 | ||||
05/25/2060 | 2.226% | 113,433 | 109,151 | |
CMO Series 2020-INV1 Class A1 | ||||
03/25/2060 | 1.977% | 44,957 | 43,615 | |
CMO Series 2021-R1 Class A2 | ||||
10/25/2063 | 1.057% | 201,391 | 176,391 | |
CMO Series 2021-R1 Class A3 | ||||
10/25/2063 | 1.262% | 255,096 | 220,924 | |
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 2.724% | 3,591,885 | 3,188,927 | |
CMO Series 2022-4 Class A1 | ||||
04/25/2067 | 4.474% | 461,218 | 448,515 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 29 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Visio Trust(a),(c) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 327,730 | 302,254 | |
Visio Trust(a) | ||||
CMO Series 2020-1R Class A2 | ||||
11/25/2055 | 1.567% | 177,767 | 160,279 | |
CMO Series 2020-1R Class A3 | ||||
11/25/2055 | 1.873% | 207,395 | 186,017 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $145,876,387) | 133,574,074 | |||
Senior Loans 0.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemicals 0.0% | ||||
WR Grace Holdings LLC(b),(k) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 09/22/2028 | 8.500% | 33,660 | 32,966 | |
Consumer Cyclical Services 0.0% | ||||
8th Avenue Food & Provisions, Inc.(b),(k) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% 10/01/2026 | 12.134% | 4,859 | 2,633 | |
Media and Entertainment 0.0% | ||||
Cengage Learning, Inc.(b),(k) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 7.814% | 55,304 | 49,618 | |
Technology 0.0% | ||||
Ascend Learning LLC(b),(k) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/11/2028 | 7.884% | 38,610 | 36,438 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% Floor 0.500% 12/10/2029 | 10.134% | 23,000 | 19,636 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
DCert Buyer, Inc.(b),(k) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.000% 02/19/2029 | 11.696% | 36,000 | 32,724 | |
Epicore Software Corp.(b),(k) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% Floor 1.000% 07/31/2028 | 12.134% | 17,000 | 16,720 | |
UKG, Inc.(b),(k) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 05/04/2026 | 6.998% | 22,953 | 21,806 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.250% Floor 0.500% 05/03/2027 | 8.998% | 45,000 | 41,197 | |
Total | 168,521 | |||
Total Senior Loans (Cost $275,749) | 253,738 | |||
U.S. Treasury Obligations 0.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(h) | ||||
02/15/2045 | 2.500% | 5,750,000 | 4,343,047 | |
Total U.S. Treasury Obligations (Cost $6,229,056) | 4,343,047 |
Money Market Funds 8.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(l),(m) | 101,792,055 | 101,761,518 |
Total Money Market Funds (Cost $101,755,593) | 101,761,518 | |
Total Investments in Securities (Cost: $1,301,254,633) | 1,321,514,907 | |
Other Assets & Liabilities, Net | (151,763,632) | |
Net Assets | 1,169,751,275 |
30 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 783 | 03/2023 | USD | 87,928,453 | — | (691,573) |
U.S. Treasury 5-Year Note | 337 | 03/2023 | USD | 36,372,305 | — | (231,307) |
U.S. Treasury Ultra Bond | 32 | 03/2023 | USD | 4,298,000 | 19,659 | — |
Total | 19,659 | (922,880) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | (184) | 03/2023 | USD | (37,734,375) | 107,055 | — |
(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 December 31, 2022, the total value of these securities amounted to $293,536,939, which represents 25.09% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2022. |
(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 December 31, 2022. |
(g) | Principal and interest may not be guaranteed by a governmental entity. |
(h) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(i) | Represents a security purchased on a forward commitment basis. |
(j) | Represents a security purchased on a when-issued basis. |
(k) | The stated interest rate represents the weighted average interest rate at December 31, 2022 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. |
(l) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(m) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 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, 4.318% | ||||||||
89,970,020 | 427,555,192 | (415,775,626) | 11,932 | 101,761,518 | (22,988) | 1,418,081 | 101,792,055 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 31 |
December 31, 2022
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 83,946,472 | — | 83,946,472 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 80,374,434 | — | 80,374,434 |
Common Stocks | ||||
Communication Services | 78,079,594 | — | — | 78,079,594 |
Consumer Discretionary | 45,167,221 | — | — | 45,167,221 |
Consumer Staples | 50,073,581 | — | — | 50,073,581 |
Energy | 36,631,934 | — | — | 36,631,934 |
Financials | 71,868,861 | — | — | 71,868,861 |
Health Care | 106,024,440 | — | — | 106,024,440 |
Industrials | 55,423,456 | — | — | 55,423,456 |
Information Technology | 179,027,045 | — | — | 179,027,045 |
Materials | 17,111,611 | — | — | 17,111,611 |
Real Estate | 10,736,641 | — | — | 10,736,641 |
Utilities | 19,239,721 | — | — | 19,239,721 |
Total Common Stocks | 669,384,105 | — | — | 669,384,105 |
Convertible Bonds | — | 43,228 | — | 43,228 |
Corporate Bonds & Notes | — | 84,490,456 | — | 84,490,456 |
Exchange-Traded Equity Funds | 10,393,737 | — | — | 10,393,737 |
Foreign Government Obligations | — | 91,518 | — | 91,518 |
32 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Residential Mortgage-Backed Securities - Agency | — | 152,858,580 | — | 152,858,580 |
Residential Mortgage-Backed Securities - Non-Agency | — | 133,574,074 | — | 133,574,074 |
Senior Loans | — | 253,738 | — | 253,738 |
U.S. Treasury Obligations | — | 4,343,047 | — | 4,343,047 |
Money Market Funds | 101,761,518 | — | — | 101,761,518 |
Total Investments in Securities | 781,539,360 | 539,975,547 | — | 1,321,514,907 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 126,714 | — | — | 126,714 |
Liability | ||||
Futures Contracts | (922,880) | — | — | (922,880) |
Total | 780,743,194 | 539,975,547 | — | 1,320,718,741 |
Balance as of 12/31/2021 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 12/31/2022 ($) | |
Asset-Backed Securities — Non-Agency | 5,177,435 | — | — | — | — | — | — | (5,177,435) | — |
Residential Mortgage-Backed Securities — Non-Agency | 9,425,000 | — | — | — | — | (4,450,000) | — | (4,975,000) | — |
Senior Loans | 4,616 | — | — | — | — | — | — | (4,616) | — |
Total | 14,607,051 | — | — | — | — | (4,450,000) | — | (10,157,051) | — |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 33 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,199,499,040) | $1,219,753,389 |
Affiliated issuers (cost $101,755,593) | 101,761,518 |
Cash | 474,881 |
Cash collateral held at broker for: | |
TBA | 1,734,000 |
Receivable for: | |
Investments sold | 27,057 |
Capital shares sold | 13,747 |
Dividends | 780,515 |
Interest | 2,331,424 |
Foreign tax reclaims | 9,400 |
Variation margin for futures contracts | 28,750 |
Expense reimbursement due from Investment Manager | 27 |
Prepaid expenses | 13,424 |
Total assets | 1,326,928,132 |
Liabilities | |
Payable for: | |
Investments purchased | 3,134,862 |
Investments purchased on a delayed delivery basis | 152,579,968 |
Capital shares purchased | 1,051,043 |
Variation margin for futures contracts | 155,070 |
Management services fees | 21,986 |
Distribution and/or service fees | 4,244 |
Service fees | 61,355 |
Compensation of board members | 126,355 |
Compensation of chief compliance officer | 231 |
Other expenses | 41,743 |
Total liabilities | 157,176,857 |
Net assets applicable to outstanding capital stock | $1,169,751,275 |
Represented by | |
Trust capital | $1,169,751,275 |
Total - representing net assets applicable to outstanding capital stock | $1,169,751,275 |
Class 1 | |
Net assets | $15,285,430 |
Shares outstanding | 434,908 |
Net asset value per share | $35.15 |
Class 2 | |
Net assets | $81,460,742 |
Shares outstanding | 2,367,118 |
Net asset value per share | $34.41 |
Class 3 | |
Net assets | $1,073,005,103 |
Shares outstanding | 30,827,135 |
Net asset value per share | $34.81 |
34 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $10,744,525 |
Dividends — affiliated issuers | 1,418,081 |
Interest | 13,526,475 |
Interfund lending | 5,810 |
Foreign taxes withheld | (79,971) |
Total income | 25,614,920 |
Expenses: | |
Management services fees | 8,633,179 |
Distribution and/or service fees | |
Class 2 | 152,499 |
Class 3 | 1,496,773 |
Service fees | 774,113 |
Compensation of board members | 23,912 |
Custodian fees | 50,191 |
Printing and postage fees | 42,818 |
Audit fees | 42,000 |
Legal fees | 28,298 |
Interest on collateral | 822 |
Compensation of chief compliance officer | 191 |
Other | 22,944 |
Total expenses | 11,267,740 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (695) |
Total net expenses | 11,267,045 |
Net investment income | 14,347,875 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 38,561,850 |
Investments — affiliated issuers | (22,988) |
Foreign currency translations | (2,848) |
Futures contracts | (22,521,617) |
Net realized gain | 16,014,397 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (271,689,559) |
Investments — affiliated issuers | 11,932 |
Foreign currency translations | 291 |
Futures contracts | (1,056,692) |
Net change in unrealized appreciation (depreciation) | (272,734,028) |
Net realized and unrealized loss | (256,719,631) |
Net decrease in net assets resulting from operations | $(242,371,756) |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 35 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $14,347,875 | $9,510,880 |
Net realized gain | 16,014,397 | 172,269,163 |
Net change in unrealized appreciation (depreciation) | (272,734,028) | 6,675,098 |
Net increase (decrease) in net assets resulting from operations | (242,371,756) | 188,455,141 |
Decrease in net assets from capital stock activity | (39,542,359) | (27,044,181) |
Total increase (decrease) in net assets | (281,914,115) | 161,410,960 |
Net assets at beginning of year | 1,451,665,390 | 1,290,254,430 |
Net assets at end of year | $1,169,751,275 | $1,451,665,390 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 177,490 | 6,692,596 | 190,375 | 7,621,888 |
Redemptions | (20,895) | (796,656) | (9,891) | (401,576) |
Net increase | 156,595 | 5,895,940 | 180,484 | 7,220,312 |
Class 2 | ||||
Subscriptions | 1,740,344 | 64,385,668 | 822,232 | 33,120,788 |
Redemptions | (175,076) | (6,308,994) | (20,503) | (833,012) |
Net increase | 1,565,268 | 58,076,674 | 801,729 | 32,287,776 |
Class 3 | ||||
Subscriptions | 135,064 | 5,137,208 | 587,750 | 22,773,586 |
Redemptions | (2,950,006) | (108,652,181) | (2,251,153) | (89,325,855) |
Net decrease | (2,814,942) | (103,514,973) | (1,663,403) | (66,552,269) |
Total net decrease | (1,093,079) | (39,542,359) | (681,190) | (27,044,181) |
36 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 37 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $42.17 | 0.49 | (7.51) | (7.02) |
Year Ended 12/31/2021 | $36.71 | 0.33 | 5.13 | 5.46 |
Year Ended 12/31/2020 | $31.17 | 0.40 | 5.14 | 5.54 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $41.39 | 0.40 | (7.38) | (6.98) |
Year Ended 12/31/2021 | $36.11 | 0.24 | 5.04 | 5.28 |
Year Ended 12/31/2020 | $30.74 | 0.33 | 5.04 | 5.37 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $41.81 | 0.42 | (7.42) | (7.00) |
Year Ended 12/31/2021 | $36.44 | 0.27 | 5.10 | 5.37 |
Year Ended 12/31/2020 | $30.99 | 0.36 | 5.09 | 5.45 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
38 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $35.15 | (16.65%) | 0.76%(c) | 0.76%(c) | 1.31% | 134% | $15,285 |
Year Ended 12/31/2021 | $42.17 | 14.88% | 0.75%(c) | 0.75%(c) | 0.82% | 118% | $11,736 |
Year Ended 12/31/2020 | $36.71 | 17.77% | 0.78% | 0.77% | 1.21% | 145% | $3,591 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $34.41 | (16.87%) | 1.01%(c) | 1.01%(c) | 1.12% | 134% | $81,461 |
Year Ended 12/31/2021 | $41.39 | 14.62% | 1.00%(c) | 1.00%(c) | 0.60% | 118% | $33,191 |
Year Ended 12/31/2020 | $36.11 | 17.47% | 1.00% | 1.00% | 1.04% | 145% | $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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $34.81 | (16.74%) | 0.88%(c) | 0.88%(c) | 1.13% | 134% | $1,073,005 |
Year Ended 12/31/2021 | $41.81 | 14.74% | 0.88%(c) | 0.88%(c) | 0.69% | 118% | $1,406,738 |
Year Ended 12/31/2020 | $36.44 | 17.58% | 0.90% | 0.89% | 1.13% | 145% | $1,286,659 |
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% | $1,004,017 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 39 |
December 31, 2022
40 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 41 |
December 31, 2022
42 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 126,714* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 922,880* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 43 |
December 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (22,521,617) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (1,056,692) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 137,582,793 |
Futures contracts — short | 28,534,278 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
44 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 45 |
December 31, 2022
46 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 47 |
December 31, 2022
Contractual expense cap July 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.76% | 0.76% | 0.76% |
Class 2 | 1.01 | 1.01 | 1.01 |
Class 3 | 0.885 | 0.885 | 0.885 |
48 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 14,525,000 | 3.60 | 4 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 49 |
December 31, 2022
50 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 51 |
December 31, 2022
52 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 53 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
54 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 55 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
56 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 57 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
58 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2022 | 59 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -14.71 | 4.65 | 9.39 | |
Class 2 | 05/03/10 | -14.93 | 4.38 | 9.12 | |
Class 3 | 09/15/99 | -14.82 | 4.52 | 9.26 | |
Russell 2000 Value Index | -14.48 | 4.13 | 8.48 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 96.1 |
Money Market Funds | 3.9 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 1.6 |
Consumer Discretionary | 10.2 |
Consumer Staples | 1.5 |
Energy | 5.0 |
Financials | 25.8 |
Health Care | 6.6 |
Industrials | 17.9 |
Information Technology | 11.2 |
Materials | 8.8 |
Real Estate | 9.3 |
Utilities | 2.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
(Unaudited)
• | As noted above, adverse stock selection within the financials and health care sectors was the key driver of underperformance during the year. |
• | A notable individual detractor was insurer Lincoln National Corp., which disappointed investors with a loss owing to a significant charge associated with its annual actuarial assumption review. |
• | Mass media company iHeartMedia, Inc. also detracted, falling after reporting earnings and margins below expectations which overshadowed strong growth in its podcast business. |
• | Within health care, Syneos Health, Inc. was a notable detractor. The company, which provides outsourced clinical and commercial services for biopharmaceutical companies, declined as the challenging macro environment and higher interest rates weighed on results. |
• | Adverse stock selection within the financials and health care sectors was the key driver of underperformance during the year, narrowly offsetting stronger results in the materials, consumer discretionary, information technology and real estate sectors. |
• | An underweight to the energy sector and an overweight to the information technology sector also hurt relative results and offset benefits realized from underweights in the health care and real estate sectors. Sector exposures are a byproduct of the portfolio’s longstanding bottom-up investment process. |
• | Top individual contributors included two energy holdings. Equipment and services provider Patterson-UTI Energy, Inc. and exploration and production company Devon Energy Corp. each pleased investors with solid results and a focus on returning cash to shareholders. |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 5 |
(Unaudited)
• | In addition, specialty materials maker Allegheny Technologies, Inc. rose after reporting results well above consensus expectations and raising forward guidance against the backdrop of recovery in aerospace, a key market for the company. We sold the Fund’s position in Allegheny Technologies. |
6 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 1,059.40 | 1,020.81 | 4.39 | 4.31 | 0.85 |
Class 2 | 1,000.00 | 1,000.00 | 1,057.90 | 1,019.55 | 5.67 | 5.57 | 1.10 |
Class 3 | 1,000.00 | 1,000.00 | 1,058.80 | 1,020.21 | 5.01 | 4.91 | 0.97 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 96.0% | ||
Issuer | Shares | Value ($) |
Communication Services 1.6% | ||
Media 0.6% | ||
iHeartMedia, Inc., Class A(a) | 96,778 | 593,249 |
Wireless Telecommunication Services 1.0% | ||
Telephone and Data Systems, Inc. | 88,747 | 930,956 |
Total Communication Services | 1,524,205 | |
Consumer Discretionary 9.8% | ||
Auto Components 2.7% | ||
Visteon Corp.(a) | 20,000 | 2,616,600 |
Hotels, Restaurants & Leisure 4.4% | ||
Penn Entertainment, Inc.(a) | 17,536 | 520,819 |
Six Flags Entertainment Corp.(a) | 62,759 | 1,459,147 |
Texas Roadhouse, Inc. | 25,239 | 2,295,487 |
Total | 4,275,453 | |
Household Durables 1.2% | ||
KB Home | 35,494 | 1,130,484 |
Textiles, Apparel & Luxury Goods 1.5% | ||
Kontoor Brands, Inc. | 37,022 | 1,480,510 |
Total Consumer Discretionary | 9,503,047 | |
Consumer Staples 1.4% | ||
Food Products 1.4% | ||
Nomad Foods Ltd.(a) | 79,968 | 1,378,648 |
Total Consumer Staples | 1,378,648 | |
Energy 4.8% | ||
Energy Equipment & Services 2.6% | ||
Patterson-UTI Energy, Inc. | 149,387 | 2,515,677 |
Oil, Gas & Consumable Fuels 2.2% | ||
Devon Energy Corp. | 35,054 | 2,156,172 |
Total Energy | 4,671,849 | |
Financials 24.8% | ||
Banks 12.9% | ||
First Hawaiian, Inc. | 71,929 | 1,873,031 |
Huntington Bancshares, Inc. | 136,580 | 1,925,778 |
OceanFirst Financial Corp. | 89,044 | 1,892,185 |
Pacific Premier Bancorp, Inc. | 84,030 | 2,651,987 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Popular, Inc. | 31,922 | 2,117,067 |
Stock Yards Bancorp, Inc. | 31,733 | 2,062,010 |
Total | 12,522,058 | |
Consumer Finance 0.5% | ||
PROG Holdings, Inc.(a) | 29,618 | 500,248 |
Insurance 5.1% | ||
CNO Financial Group, Inc. | 72,987 | 1,667,753 |
Hanover Insurance Group, Inc. (The) | 16,876 | 2,280,454 |
Lincoln National Corp. | 33,108 | 1,017,077 |
Total | 4,965,284 | |
Mortgage Real Estate Investment Trusts (REITS) 0.7% | ||
Ladder Capital Corp., Class A | 70,273 | 705,541 |
Thrifts & Mortgage Finance 5.6% | ||
Axos Financial, Inc.(a) | 73,369 | 2,804,163 |
Radian Group, Inc. | 134,721 | 2,569,130 |
Total | 5,373,293 | |
Total Financials | 24,066,424 | |
Health Care 6.3% | ||
Biotechnology —% | ||
OmniAb, Inc.(a),(b),(c),(d) | 1,403 | — |
OmniAb, Inc.(a),(b),(c),(d) | 1,403 | — |
Total | — | |
Health Care Equipment & Supplies 3.4% | ||
CONMED Corp. | 21,691 | 1,922,690 |
LivaNova PLC(a) | 24,656 | 1,369,394 |
Total | 3,292,084 | |
Health Care Providers & Services 1.5% | ||
Tenet Healthcare Corp.(a) | 29,000 | 1,414,910 |
Life Sciences Tools & Services 1.2% | ||
Syneos Health, Inc.(a) | 32,791 | 1,202,774 |
Pharmaceuticals 0.2% | ||
Ligand Pharmaceuticals, Inc.(a) | 3,702 | 247,294 |
Total Health Care | 6,157,062 |
8 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 17.2% | ||
Aerospace & Defense 2.9% | ||
Curtiss-Wright Corp. | 16,898 | 2,821,797 |
Airlines 1.0% | ||
Spirit Airlines, Inc.(a) | 48,658 | 947,858 |
Building Products 1.3% | ||
Zurn Elkay Water Solutions Corp. | 56,768 | 1,200,643 |
Commercial Services & Supplies 1.9% | ||
Waste Connections, Inc. | 14,068 | 1,864,854 |
Construction & Engineering 1.6% | ||
Primoris Services Corp. | 70,573 | 1,548,372 |
Electrical Equipment 2.4% | ||
Bloom Energy Corp., Class A(a) | 42,700 | 816,424 |
Regal Rexnord Corp. | 12,657 | 1,518,587 |
Total | 2,335,011 | |
Machinery 1.9% | ||
ITT, Inc. | 23,098 | 1,873,248 |
Professional Services 1.7% | ||
CACI International, Inc., Class A(a) | 5,487 | 1,649,337 |
Road & Rail 2.5% | ||
Knight-Swift Transportation Holdings, Inc. | 46,902 | 2,458,134 |
Total Industrials | 16,699,254 | |
Information Technology 10.8% | ||
Communications Equipment 5.5% | ||
Extreme Networks, Inc.(a) | 218,400 | 3,998,904 |
Viavi Solutions, Inc.(a) | 132,200 | 1,389,422 |
Total | 5,388,326 | |
IT Services 1.1% | ||
EPAM Systems, Inc.(a) | 3,175 | 1,040,575 |
Semiconductors & Semiconductor Equipment 4.2% | ||
Kulicke & Soffa Industries, Inc. | 34,577 | 1,530,378 |
MACOM Technology Solutions Holdings, Inc.(a) | 40,000 | 2,519,200 |
Total | 4,049,578 | |
Total Information Technology | 10,478,479 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 8.4% | ||
Chemicals 1.5% | ||
Minerals Technologies, Inc. | 23,531 | 1,428,802 |
Construction Materials 2.0% | ||
Summit Materials, Inc., Class A(a) | 70,747 | 2,008,524 |
Containers & Packaging 2.4% | ||
O-I Glass, Inc.(a) | 142,884 | 2,367,588 |
Metals & Mining 2.5% | ||
ATI, Inc.(a) | 80,752 | 2,411,255 |
Total Materials | 8,216,169 | |
Real Estate 8.9% | ||
Equity Real Estate Investment Trusts (REITS) 8.9% | ||
Apple Hospitality REIT, Inc. | 130,000 | 2,051,400 |
First Industrial Realty Trust, Inc. | 31,733 | 1,531,435 |
Gaming and Leisure Properties, Inc. | 37,990 | 1,978,899 |
Outfront Media, Inc. | 90,000 | 1,492,200 |
Physicians Realty Trust | 113,467 | 1,641,867 |
Total | 8,695,801 | |
Total Real Estate | 8,695,801 | |
Utilities 2.0% | ||
Electric Utilities 2.0% | ||
Portland General Electric Co. | 39,897 | 1,954,953 |
Total Utilities | 1,954,953 | |
Total Common Stocks (Cost $76,048,091) | 93,345,891 | |
Money Market Funds 3.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(e),(f) | 3,776,823 | 3,775,690 |
Total Money Market Funds (Cost $3,775,130) | 3,775,690 | |
Total Investments in Securities (Cost: $79,823,221) | 97,121,581 | |
Other Assets & Liabilities, Net | 74,485 | |
Net Assets | 97,196,066 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 9 |
December 31, 2022
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2022, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
(c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures established by the Fund’s Board of Trustees. At December 31, 2022, the total market value of these securities amounted to $0, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
OmniAb, Inc. | 03/05/2015-06/10/2021 | 1,403 | — | — |
OmniAb, Inc. | 03/05/2015-06/10/2021 | 1,403 | — | — |
— | — |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
2,079,185 | 13,248,427 | (11,552,552) | 630 | 3,775,690 | (734) | 66,442 | 3,776,823 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. Representatives of Columbia Management Investment Advisers, LLC report to the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 1,524,205 | — | — | 1,524,205 |
Consumer Discretionary | 9,503,047 | — | — | 9,503,047 |
Consumer Staples | 1,378,648 | — | — | 1,378,648 |
Energy | 4,671,849 | — | — | 4,671,849 |
Financials | 24,066,424 | — | — | 24,066,424 |
Health Care | 6,157,062 | — | 0* | 6,157,062 |
Industrials | 16,699,254 | — | — | 16,699,254 |
Information Technology | 10,478,479 | — | — | 10,478,479 |
Materials | 8,216,169 | — | — | 8,216,169 |
Real Estate | 8,695,801 | — | — | 8,695,801 |
Utilities | 1,954,953 | — | — | 1,954,953 |
Total Common Stocks | 93,345,891 | — | 0* | 93,345,891 |
Money Market Funds | 3,775,690 | — | — | 3,775,690 |
Total Investments in Securities | 97,121,581 | — | 0* | 97,121,581 |
* | Rounds to zero. |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $76,048,091) | $93,345,891 |
Affiliated issuers (cost $3,775,130) | 3,775,690 |
Receivable for: | |
Investments sold | 65,495 |
Capital shares sold | 6,404 |
Dividends | 133,507 |
Expense reimbursement due from Investment Manager | 470 |
Prepaid expenses | 6,301 |
Total assets | 97,333,758 |
Liabilities | |
Payable for: | |
Capital shares purchased | 54,109 |
Management services fees | 2,330 |
Distribution and/or service fees | 436 |
Service fees | 10,658 |
Compensation of board members | 51,447 |
Compensation of chief compliance officer | 19 |
Audit fees | 14,750 |
Other expenses | 3,943 |
Total liabilities | 137,692 |
Net assets applicable to outstanding capital stock | $97,196,066 |
Represented by | |
Trust capital | $97,196,066 |
Total - representing net assets applicable to outstanding capital stock | $97,196,066 |
Class 1 | |
Net assets | $7,735,287 |
Shares outstanding | 253,529 |
Net asset value per share | $30.51 |
Class 2 | |
Net assets | $37,260,865 |
Shares outstanding | 1,259,537 |
Net asset value per share | $29.58 |
Class 3 | |
Net assets | $52,199,914 |
Shares outstanding | 1,736,605 |
Net asset value per share | $30.06 |
12 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,882,585 |
Dividends — affiliated issuers | 66,442 |
Foreign taxes withheld | (8,763) |
Total income | 1,940,264 |
Expenses: | |
Management services fees | 872,657 |
Distribution and/or service fees | |
Class 2 | 96,038 |
Class 3 | 68,946 |
Service fees | 76,408 |
Compensation of board members | 12,189 |
Custodian fees | 4,032 |
Printing and postage fees | 15,167 |
Audit fees | 29,500 |
Legal fees | 13,408 |
Compensation of chief compliance officer | 15 |
Other | 7,203 |
Total expenses | 1,195,563 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (177,961) |
Total net expenses | 1,017,602 |
Net investment income | 922,662 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 716,739 |
Investments — affiliated issuers | (734) |
Net realized gain | 716,005 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (18,256,611) |
Investments — affiliated issuers | 630 |
Net change in unrealized appreciation (depreciation) | (18,255,981) |
Net realized and unrealized loss | (17,539,976) |
Net decrease in net assets resulting from operations | $(16,617,314) |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $922,662 | $435,053 |
Net realized gain | 716,005 | 6,705,393 |
Net change in unrealized appreciation (depreciation) | (18,255,981) | 18,264,894 |
Net increase (decrease) in net assets resulting from operations | (16,617,314) | 25,405,340 |
Increase in net assets from capital stock activity | 3,994,370 | 1,637,478 |
Total increase (decrease) in net assets | (12,622,944) | 27,042,818 |
Net assets at beginning of year | 109,819,010 | 82,776,192 |
Net assets at end of year | $97,196,066 | $109,819,010 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 135,862 | 4,408,779 | 226,494 | 7,733,265 |
Redemptions | (60,230) | (1,992,164) | (208,193) | (7,074,331) |
Net increase | 75,632 | 2,416,615 | 18,301 | 658,934 |
Class 2 | ||||
Subscriptions | 194,379 | 6,051,296 | 253,344 | 8,281,484 |
Redemptions | (117,589) | (3,612,649) | (175,559) | (5,714,130) |
Net increase | 76,790 | 2,438,647 | 77,785 | 2,567,354 |
Class 3 | ||||
Subscriptions | 98,522 | 3,174,445 | 112,840 | 3,719,235 |
Redemptions | (128,382) | (4,035,337) | (162,272) | (5,308,045) |
Net decrease | (29,860) | (860,892) | (49,432) | (1,588,810) |
Total net increase | 122,562 | 3,994,370 | 46,654 | 1,637,478 |
14 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $35.77 | 0.36 | (5.62) | (5.26) |
Year Ended 12/31/2021 | $27.32 | 0.20 | 8.25 | 8.45 |
Year Ended 12/31/2020 | $25.02 | 0.11 | 2.19 | 2.30 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $34.77 | 0.26 | (5.45) | (5.19) |
Year Ended 12/31/2021 | $26.62 | 0.11 | 8.04 | 8.15 |
Year Ended 12/31/2020 | $24.44 | 0.05 | 2.13 | 2.18 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $35.29 | 0.30 | (5.53) | (5.23) |
Year Ended 12/31/2021 | $26.98 | 0.15 | 8.16 | 8.31 |
Year Ended 12/31/2020 | $24.74 | 0.08 | 2.16 | 2.24 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
16 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $30.51 | (14.71%) | 1.03% | 0.85% | 1.14% | 7% | $7,735 |
Year Ended 12/31/2021 | $35.77 | 30.93% | 1.04% | 0.85% | 0.59% | 16% | $6,364 |
Year Ended 12/31/2020 | $27.32 | 9.19% | 1.09% | 0.86% | 0.49% | 28% | $4,360 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $29.58 | (14.93%) | 1.28% | 1.10% | 0.84% | 7% | $37,261 |
Year Ended 12/31/2021 | $34.77 | 30.62% | 1.29% | 1.10% | 0.34% | 16% | $41,125 |
Year Ended 12/31/2020 | $26.62 | 8.92% | 1.34% | 1.11% | 0.25% | 28% | $29,417 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $30.06 | (14.82%) | 1.15% | 0.97% | 0.95% | 7% | $52,200 |
Year Ended 12/31/2021 | $35.29 | 30.80% | 1.16% | 0.98% | 0.45% | 16% | $62,331 |
Year Ended 12/31/2020 | $26.98 | 9.05% | 1.21% | 0.99% | 0.37% | 28% | $48,999 |
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 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
Class 3 | 0.975 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 25 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
26 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
28 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 29 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
30 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2022 | 31 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
18 | |
19 | |
20 | |
22 | |
24 | |
39 | |
40 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | -17.94 | 1.64 | 4.13 | |
Class 2 | 04/19/12 | -18.15 | 1.44 | 4.03 | |
Blended Benchmark | -15.11 | 3.66 | 5.66 | ||
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio Allocation (%) (at December 31, 2022) | |
Allocations to Underlying Funds | |
Equity Funds | 43.5 |
International | 12.6 |
U.S. Large Cap | 25.3 |
U.S. Mid Cap | 2.0 |
U.S. Small Cap | 3.6 |
Exchange-Traded Equity Funds | 4.0 |
International Mid Large Cap | 1.5 |
U.S. Large Cap | 2.5 |
Exchange-Traded Fixed Income Funds | 5.0 |
Investment Grade | 5.0 |
Fixed Income Funds | 23.4 |
Investment Grade | 23.4 |
Allocations to Tactical Assets | |
Corporate Bonds & Notes | 0.3 |
Money Market Funds(a) | 13.6 |
Options Purchased Puts | 0.7 |
Residential Mortgage-Backed Securities - Agency | 9.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its principal investment strategies. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
(Unaudited)
• | The managers tactically adjusted actual equity exposure to maintain levels of equity exposure, on average, slightly greater than what the dynamic algorithm called for throughout the 12-month period. This tactical discretion detracted from relative performance during the period. |
• | Overall, underlying fixed-income fund manager performance results detracted from relative performance during the period as rising interest rates challenged bond managers’ positioning. Core-oriented fixed-income managers struggled the most during the 12-month period. |
• | Underlying U.S. equity fund managers that utilized a valuation-sensitive investment approach, or value discipline, contributed favorably to relative performance during the period. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 5 |
(Unaudited)
6 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | ||||||||||
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 ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 989.10 | 1,023.82 | 1.25 | 1.27 | 0.25 | 3.64 | 3.70 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 987.70 | 1,022.56 | 2.49 | 2.54 | 0.50 | 4.88 | 4.97 | 0.98 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 7 |
December 31, 2022
Corporate Bonds & Notes 0.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
Arconic, Inc. | ||||
02/01/2037 | 5.950% | 230,000 | 223,364 | |
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 670,000 | 518,774 | |
Boeing Co. (The) | ||||
05/01/2034 | 3.600% | 277,000 | 221,042 | |
08/01/2059 | 3.950% | 770,000 | 516,865 | |
Northrop Grumman Corp. | ||||
06/01/2043 | 4.750% | 65,000 | 60,086 | |
10/15/2047 | 4.030% | 295,000 | 244,505 | |
United Technologies Corp. | ||||
07/15/2038 | 6.125% | 230,000 | 245,365 | |
11/01/2046 | 3.750% | 550,000 | 428,273 | |
Total | 2,458,274 | |||
Automotive 0.0% | ||||
General Motors Co. | ||||
04/01/2048 | 5.400% | 145,000 | 119,276 | |
Banking 0.1% | ||||
Bank of America Corp.(b) | ||||
07/23/2031 | 1.898% | 520,000 | 399,800 | |
10/24/2031 | 1.922% | 300,000 | 228,992 | |
02/04/2033 | 2.972% | 1,616,000 | 1,303,005 | |
Subordinated | ||||
09/21/2036 | 2.482% | 200,000 | 147,443 | |
Citigroup, Inc.(b) | ||||
06/03/2031 | 2.572% | 724,000 | 585,616 | |
01/25/2033 | 3.057% | 521,000 | 420,683 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
07/21/2032 | 2.383% | 1,561,000 | 1,210,079 | |
HSBC Holdings PLC(b) | ||||
05/24/2032 | 2.804% | 537,000 | 414,523 | |
11/22/2032 | 2.871% | 538,000 | 411,987 | |
JPMorgan Chase & Co.(b) | ||||
04/22/2032 | 2.580% | 545,000 | 436,022 | |
11/15/2048 | 3.964% | 573,000 | 448,582 | |
Morgan Stanley(b) | ||||
07/21/2032 | 2.239% | 530,000 | 406,071 | |
10/20/2032 | 2.511% | 86,000 | 67,216 | |
Subordinated | ||||
09/16/2036 | 2.484% | 70,000 | 51,060 | |
04/20/2037 | 5.297% | 310,000 | 283,651 | |
Wells Fargo & Co.(b) | ||||
04/25/2053 | 4.611% | 1,021,000 | 868,201 | |
Total | 7,682,931 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.0% | ||||
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 940,000 | 740,672 | |
12/01/2061 | 4.400% | 55,000 | 35,338 | |
06/30/2062 | 3.950% | 386,000 | 228,046 | |
Comcast Corp. | ||||
11/01/2056 | 2.937% | 635,000 | 398,288 | |
NBCUniversal Media LLC | ||||
01/15/2043 | 4.450% | 436,000 | 382,444 | |
Total | 1,784,788 | |||
Construction Machinery 0.0% | ||||
Caterpillar, Inc. | ||||
09/19/2049 | 3.250% | 135,000 | 102,426 | |
United Rentals North America, Inc. | ||||
02/15/2031 | 3.875% | 190,000 | 159,904 | |
Total | 262,330 | |||
Diversified Manufacturing 0.0% | ||||
Carrier Global Corp. | ||||
04/05/2050 | 3.577% | 467,000 | 334,492 | |
General Electric Co.(c) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 3.330% 12/31/2049 | 8.099% | 55,000 | 54,464 | |
Total | 388,956 | |||
Electric 0.1% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 652,000 | 461,685 | |
AES Corp. (The) | ||||
01/15/2031 | 2.450% | 220,000 | 174,380 | |
Berkshire Hathaway Energy Co.(a) | ||||
05/01/2053 | 4.600% | 260,000 | 228,619 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 203,000 | 152,075 | |
Dominion Energy, Inc. | ||||
08/15/2052 | 4.850% | 40,000 | 34,740 | |
Dominion Resources, Inc. | ||||
12/01/2044 | 4.700% | 250,000 | 212,888 | |
DTE Energy Co. | ||||
06/15/2029 | 3.400% | 235,000 | 209,011 | |
Duke Energy Corp. | ||||
08/15/2052 | 5.000% | 1,005,000 | 901,630 |
8 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 354,000 | 275,412 | |
Eversource Energy | ||||
08/15/2030 | 1.650% | 342,000 | 266,018 | |
01/15/2050 | 3.450% | 229,000 | 167,483 | |
Exelon Corp.(a) | ||||
03/15/2052 | 4.100% | 418,000 | 336,184 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 660,000 | 565,740 | |
Jersey Central Power & Light Co.(a) | ||||
03/01/2032 | 2.750% | 61,000 | 48,988 | |
Northern States Power Co. | ||||
05/15/2044 | 4.125% | 115,000 | 97,600 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 450,000 | 352,555 | |
Southern California Edison Co. | ||||
10/01/2043 | 4.650% | 30,000 | 25,941 | |
04/01/2047 | 4.000% | 320,000 | 251,255 | |
03/01/2048 | 4.125% | 110,000 | 87,878 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 90,000 | 75,273 | |
Xcel Energy, Inc. | ||||
12/01/2049 | 3.500% | 460,000 | 336,292 | |
Total | 5,261,647 | |||
Environmental 0.0% | ||||
GFL Environmental, Inc.(a) | ||||
09/01/2028 | 3.500% | 280,000 | 246,351 | |
Food and Beverage 0.0% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 946,000 | 865,684 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 536,000 | 486,021 | |
05/15/2048 | 5.300% | 130,000 | 116,592 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 421,000 | 343,890 | |
Total | 1,812,187 | |||
Health Care 0.0% | ||||
Becton Dickinson and Co. | ||||
05/20/2050 | 3.794% | 72,000 | 55,363 | |
Cigna Corp. | ||||
03/15/2050 | 3.400% | 420,000 | 298,012 | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 535,000 | 487,480 | |
03/25/2048 | 5.050% | 80,000 | 72,214 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GE Healthcare Holding LLC(a) | ||||
11/22/2052 | 6.377% | 181,000 | 194,070 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 626,000 | 490,247 | |
Total | 1,597,386 | |||
Healthcare Insurance 0.0% | ||||
Aetna, Inc. | ||||
11/15/2042 | 4.125% | 200,000 | 164,195 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 135,000 | 120,440 | |
Centene Corp. | ||||
02/15/2030 | 3.375% | 185,000 | 156,574 | |
03/01/2031 | 2.500% | 580,000 | 453,776 | |
UnitedHealth Group, Inc. | ||||
08/15/2039 | 3.500% | 208,000 | 170,575 | |
02/15/2063 | 6.050% | 760,000 | 836,873 | |
Total | 1,902,433 | |||
Independent Energy 0.0% | ||||
Canadian Natural Resources Ltd. | ||||
02/15/2037 | 6.500% | 105,000 | 104,601 | |
Integrated Energy 0.0% | ||||
BP Capital Markets America, Inc. | ||||
03/17/2052 | 3.001% | 85,000 | 56,601 | |
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 321,000 | 226,386 | |
Total Capital International SA | ||||
06/29/2060 | 3.386% | 80,000 | 56,206 | |
Total | 339,193 | |||
Life Insurance 0.0% | ||||
MetLife, Inc. | ||||
07/15/2052 | 5.000% | 284,000 | 272,516 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 270,000 | 206,618 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
Subordinated | ||||
09/30/2059 | 3.625% | 459,000 | 317,963 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 190,000 | 173,822 | |
05/15/2050 | 3.300% | 220,000 | 154,377 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 80,000 | 65,240 | |
Total | 1,190,536 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 9 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Media and Entertainment 0.0% | ||||
Magallanes, Inc.(a) | ||||
03/15/2042 | 5.050% | 533,000 | 409,878 | |
03/15/2062 | 5.391% | 712,000 | 521,580 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 460,000 | 450,363 | |
Total | 1,381,821 | |||
Midstream 0.0% | ||||
Enterprise Products Operating LLC | ||||
03/15/2044 | 4.850% | 121,000 | 106,266 | |
01/31/2060 | 3.950% | 290,000 | 210,882 | |
Kinder Morgan Energy Partners LP | ||||
11/01/2042 | 4.700% | 100,000 | 82,839 | |
03/01/2043 | 5.000% | 320,000 | 273,949 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 231,000 | 196,900 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 70,000 | 55,845 | |
03/14/2052 | 4.950% | 311,000 | 255,383 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 439,000 | 332,244 | |
Western Gas Partners LP | ||||
03/01/2048 | 5.300% | 20,000 | 16,560 | |
08/15/2048 | 5.500% | 190,000 | 157,802 | |
Williams Companies, Inc. (The) | ||||
06/24/2044 | 5.750% | 330,000 | 314,463 | |
Williams Cos, Inc. (The) | ||||
08/15/2052 | 5.300% | 121,000 | 109,000 | |
Total | 2,112,133 | |||
Natural Gas 0.0% | ||||
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 133,000 | 125,902 | |
02/15/2044 | 4.800% | 249,000 | 219,849 | |
05/15/2047 | 4.375% | 225,000 | 189,270 | |
Sempra Energy | ||||
02/01/2048 | 4.000% | 180,000 | 141,519 | |
Total | 676,540 | |||
Pharmaceuticals 0.0% | ||||
AbbVie, Inc. | ||||
06/15/2044 | 4.850% | 337,000 | 308,648 | |
Amgen, Inc. | ||||
03/01/2053 | 4.875% | 439,000 | 390,924 | |
02/22/2062 | 4.400% | 307,000 | 246,281 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bristol-Myers Squibb Co. | ||||
03/15/2062 | 3.900% | 290,000 | 226,472 | |
Total | 1,172,325 | |||
Property & Casualty 0.0% | ||||
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 735,000 | 593,211 | |
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 180,000 | 126,777 | |
Total | 719,988 | |||
Railroads 0.0% | ||||
CSX Corp. | ||||
11/01/2046 | 3.800% | 477,000 | 375,784 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 190,000 | 152,993 | |
Union Pacific Corp. | ||||
01/20/2063 | 5.150% | 355,000 | 344,477 | |
Total | 873,254 | |||
Retailers 0.0% | ||||
Amazon.com, Inc. | ||||
04/13/2062 | 4.100% | 545,000 | 450,469 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 594,000 | 465,100 | |
09/15/2062 | 5.800% | 241,000 | 232,385 | |
Total | 1,147,954 | |||
Technology 0.1% | ||||
Apple, Inc. | ||||
08/08/2062 | 4.100% | 459,000 | 387,513 | |
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 743,000 | 536,252 | |
Fidelity National Information Services, Inc. | ||||
03/01/2041 | 3.100% | 80,000 | 55,403 | |
07/15/2052 | 5.625% | 89,000 | 82,408 | |
Intel Corp. | ||||
08/12/2051 | 3.050% | 405,000 | 263,232 | |
08/05/2062 | 5.050% | 15,000 | 13,236 | |
International Business Machines Corp. | ||||
07/27/2052 | 4.900% | 200,000 | 182,874 | |
MSCI, Inc.(a) | ||||
11/01/2031 | 3.625% | 260,000 | 216,341 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 65,000 | 56,092 | |
01/15/2033 | 5.000% | 264,000 | 249,102 | |
02/15/2042 | 3.125% | 169,000 | 113,899 |
10 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oracle Corp. | ||||
07/15/2046 | 4.000% | 385,000 | 282,742 | |
04/01/2050 | 3.600% | 319,000 | 217,626 | |
03/25/2061 | 4.100% | 62,000 | 43,293 | |
VeriSign, Inc. | ||||
06/15/2031 | 2.700% | 166,000 | 135,805 | |
Total | 2,835,818 | |||
Tobacco 0.0% | ||||
Reynolds American, Inc. | ||||
08/15/2035 | 5.700% | 210,000 | 189,989 | |
Wireless 0.0% | ||||
American Tower Corp. | ||||
06/15/2030 | 2.100% | 370,000 | 293,322 | |
Crown Castle International Corp. | ||||
01/15/2051 | 3.250% | 75,000 | 48,993 | |
T-Mobile US, Inc. | ||||
04/15/2050 | 4.500% | 70,000 | 57,799 | |
11/15/2060 | 3.600% | 380,000 | 249,997 | |
Vodafone Group PLC | ||||
02/19/2043 | 4.375% | 165,000 | 131,652 | |
Total | 781,763 | |||
Wirelines 0.0% | ||||
AT&T, Inc. | ||||
12/01/2057 | 3.800% | 1,451,000 | 1,005,671 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 300,000 | 231,438 | |
Verizon Communications, Inc. | ||||
03/22/2041 | 3.400% | 645,000 | 485,721 | |
03/22/2051 | 3.550% | 330,000 | 236,231 | |
Total | 1,959,061 | |||
Total Corporate Bonds & Notes (Cost $47,002,586) | 39,001,535 |
Equity Funds 47.5% | ||
Shares | Value ($) | |
International 13.7% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(d) | 64,586,384 | 760,181,744 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(d) | 45,232,104 | 398,042,512 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(d),(e) | 25,361,489 | 255,136,579 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(d) | 30,142,837 | 264,051,256 |
Total | 1,677,412,091 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Large Cap 27.6% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(d),(e) | 5,937,901 | 196,544,525 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(d),(e) | 8,503,686 | 612,605,565 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(d),(e) | 11,656,826 | 303,543,743 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(d),(e) | 41,461,246 | 614,041,050 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(d),(e) | 8,866,331 | 325,660,340 |
CTIVP® – MFS® Value Fund, Class 1 Shares(d),(e) | 7,956,542 | 283,014,178 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(d),(e) | 5,327,140 | 188,367,668 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(d),(e) | 6,375,438 | 269,617,274 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(d),(e) | 8,773,607 | 280,930,908 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(d),(e) | 10,264,678 | 306,605,925 |
Total | 3,380,931,176 | |
U.S. Mid Cap 2.2% | ||
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares(d),(e) | 1,836,468 | 66,571,948 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(d),(e) | 2,061,922 | 68,868,202 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(d),(e) | 1,651,892 | 69,412,523 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(d),(e) | 1,887,786 | 67,261,811 |
Total | 272,114,484 | |
U.S. Small Cap 4.0% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(d) | 5,998,628 | 68,984,214 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(d),(e) | 6,041,437 | 55,581,221 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(d),(e) | 6,558,366 | 177,666,143 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(d),(e) | 5,551,615 | 181,482,290 |
Total | 483,713,868 | |
Total Equity Funds (Cost $4,808,002,623) | 5,814,171,619 | |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 11 |
December 31, 2022
Exchange-Traded Equity Funds 4.4% | ||
Shares | Value ($) | |
International Mid Large Cap 1.6% | ||
iShares MSCI EAFE ETF | 3,018,292 | 198,120,687 |
U.S. Large Cap 2.8% | ||
SPDR S&P 500 ETF Trust | 890,200 | 340,439,186 |
Total Exchange-Traded Equity Funds (Cost $411,266,133) | 538,559,873 | |
Exchange-Traded Fixed Income Funds 5.4% | ||
Investment Grade 5.4% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 3,432,790 | 361,919,049 |
Vanguard Intermediate-Term Corporate Bond ETF | 3,906,000 | 302,754,060 |
Total | 664,673,109 | |
Total Exchange-Traded Fixed Income Funds (Cost $780,915,507) | 664,673,109 | |
Fixed Income Funds 25.5% | ||
Investment Grade 25.5% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(d) | 73,374,733 | 606,809,046 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(d) | 20,915,538 | 191,795,483 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(d) | 47,067,661 | 359,596,930 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(d) | 21,604,505 | 187,743,146 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(d) | 51,826,623 | 465,921,345 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(d) | 67,146,232 | 611,702,171 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(d) | 74,774,184 | 703,625,071 |
Total | 3,127,193,192 | |
Total Fixed Income Funds (Cost $3,772,100,753) | 3,127,193,192 |
Residential Mortgage-Backed Securities - Agency 10.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(f) | ||||
01/17/2038- 01/12/2053 | 3.000% | 748,302,000 | 667,070,203 | |
01/17/2038- 01/12/2053 | 3.500% | 340,500,000 | 314,129,556 | |
01/12/2053 | 4.000% | 186,830,000 | 175,183,006 | |
01/12/2053 | 4.500% | 120,000,000 | 115,470,755 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,291,245,437) | 1,271,853,520 |
Options Purchased Puts 0.8% | ||||
Value ($) | ||||
(Cost $97,562,871) | 94,341,500 |
Money Market Funds 14.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(d),(g) | 1,817,132,361 | 1,816,587,221 |
Total Money Market Funds (Cost $1,816,333,555) | 1,816,587,221 | |
Total Investments in Securities (Cost: $13,024,429,465) | 13,366,381,569 | |
Other Assets & Liabilities, Net | (1,115,331,038) | |
Net Assets | 12,251,050,531 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
40,000,000 CAD | 29,432,497 USD | Barclays | 02/03/2023 | — | (113,964) |
110,000,000 EUR | 116,223,250 USD | Barclays | 02/03/2023 | — | (1,783,650) |
29,366,419 USD | 40,000,000 CAD | Barclays | 02/03/2023 | 180,042 | — |
12 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
10,702,454 USD | 10,000,000 EUR | Barclays | 02/03/2023 | 25,446 | — |
98,125,000 CHF | 105,198,551 USD | Citi | 02/03/2023 | — | (1,298,155) |
19,700,000,000 JPY | 145,421,260 USD | Citi | 02/03/2023 | — | (5,313,899) |
27,266,382 USD | 25,000,000 CHF | Citi | 02/03/2023 | — | (133,463) |
90,781,330 USD | 12,000,000,000 JPY | Citi | 02/03/2023 | 1,037,041 | — |
63,448,500 USD | 100,000,000 NZD | Goldman Sachs International | 02/03/2023 | 71,500 | — |
37,023,841 USD | 380,000,000 SEK | Goldman Sachs International | 02/03/2023 | — | (540,070) |
50,000,000 AUD | 33,675,250 USD | UBS | 02/03/2023 | — | (412,250) |
35,000,000 GBP | 42,934,325 USD | UBS | 02/03/2023 | 584,675 | — |
17,203,750 USD | 25,000,000 AUD | UBS | 02/03/2023 | — | (160,000) |
Total | 1,898,704 | (9,755,451) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 2,051 | 03/2023 | USD | 395,945,550 | — | (8,941,311) |
U.S. Long Bond | 60 | 03/2023 | USD | 7,520,625 | 1,040 | — |
U.S. Long Bond | 1,056 | 03/2023 | USD | 132,363,000 | — | (1,060,729) |
U.S. Treasury 10-Year Note | 2,993 | 03/2023 | USD | 336,104,547 | — | (2,042,900) |
U.S. Treasury 2-Year Note | 2,801 | 03/2023 | USD | 574,423,831 | 804,660 | — |
U.S. Treasury 5-Year Note | 3 | 03/2023 | USD | 323,789 | 18 | — |
U.S. Treasury 5-Year Note | 5,391 | 03/2023 | USD | 581,848,948 | — | (138,424) |
U.S. Treasury Ultra Bond | 835 | 03/2023 | USD | 112,150,937 | — | (778,536) |
Total | 805,718 | (12,961,900) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | (4,242) | 03/2023 | EUR | (160,559,700) | 6,970,866 | — |
FTSE 100 Index | (430) | 03/2023 | GBP | (32,103,800) | 64,139 | — |
MSCI Singapore Index | (175) | 01/2023 | SGD | (5,084,625) | — | (27,074) |
OMXS30 Index | (3,150) | 01/2023 | SEK | (643,230,000) | 3,345,972 | — |
Russell 2000 Index E-mini | (1,710) | 03/2023 | USD | (151,411,950) | 5,375,080 | — |
S&P 500 Index E-mini | (4,342) | 03/2023 | USD | (838,223,100) | 29,652,891 | — |
SPI 200 Index | (239) | 03/2023 | AUD | (41,777,200) | 704,983 | — |
TOPIX Index | (499) | 03/2023 | JPY | (9,438,585,000) | 1,993,727 | — |
U.S. Treasury 10-Year Note | (57) | 03/2023 | USD | (6,400,922) | 28,546 | — |
U.S. Treasury Ultra 10-Year Note | (13) | 03/2023 | USD | (1,537,656) | 2,108 | — |
Total | 48,138,312 | (27,074) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 863,887,500 | 2,250 | 3,200.00 | 06/21/2024 | 40,713,860 | 35,055,000 |
S&P 500 Index | JPMorgan | USD | 691,110,000 | 1,800 | 3,300.00 | 12/20/2024 | 35,294,469 | 38,403,000 |
S&P 500 Index | JPMorgan | USD | 422,345,000 | 1,100 | 3,200.00 | 12/20/2024 | 21,554,542 | 20,883,500 |
Total | 97,562,871 | 94,341,500 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 13 |
December 31, 2022
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 39 | Morgan Stanley | 12/20/2027 | 1.000 | Quarterly | 0.820 | USD | 200,000,000 | 1,432,451 | — | — | 1,432,451 | — |
Markit CDX North America Investment Grade Index, Series 39 | Morgan Stanley | 12/20/2027 | 1.000 | Quarterly | 0.820 | USD | 100,000,000 | (168,300) | — | — | — | (168,300) |
Total | 1,264,151 | — | — | 1,432,451 | (168,300) |
* | 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 December 31, 2022, the total value of these securities amounted to $5,779,817, which represents 0.05% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(c) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
(d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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, 4.318% | |||||||||
2,693,409,348 | 3,158,648,714 | (4,035,979,366) | 508,525 | 1,816,587,221 | — | (885,747) | 33,212,105 | 1,817,132,361 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
268,192,699 | — | (9,703,684) | (61,944,490) | 196,544,525 | — | 14,025,711 | — | 5,937,901 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
847,899,756 | — | (37,763,578) | (197,530,613) | 612,605,565 | — | 44,970,353 | — | 8,503,686 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
764,704,221 | 21,728,469 | (32,748,612) | (146,875,032) | 606,809,046 | 439,167 | (3,511,054) | 21,272,952 | 73,374,733 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
421,739,430 | 21,424,524 | (2,979,204) | (136,641,007) | 303,543,743 | — | 3,778,455 | — | 11,656,826 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
233,965,697 | 1,619,767 | (31,856,795) | (11,933,186) | 191,795,483 | — | (3,923,200) | 1,615,106 | 20,915,538 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
473,921,343 | 41,177,309 | (900,005) | (154,601,717) | 359,596,930 | 12,144,567 | (8,776) | 11,084,756 | 47,067,661 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
949,199,562 | 68,101,098 | (47,965,325) | (209,153,591) | 760,181,744 | 59,535,217 | 4,588,521 | 6,637,881 | 64,586,384 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
841,891,835 | — | (42,518,163) | (185,332,622) | 614,041,050 | — | 26,084,805 | — | 41,461,246 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
427,523,128 | — | (45,377,232) | (56,485,556) | 325,660,340 | — | 48,089,434 | — | 8,866,331 |
14 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares | |||||||||
87,490,110 | 9,679,830 | (2,307,660) | (28,290,332) | 66,571,948 | — | 2,070,550 | — | 1,836,468 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
93,893,786 | — | (8,699,391) | (16,326,193) | 68,868,202 | — | 7,768,293 | — | 2,061,922 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
89,260,091 | 29,731,202 | (13,254,739) | (36,752,340) | 68,984,214 | 29,160,554 | (596,733) | 570,646 | 5,998,628 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
86,528,918 | 24,513,227 | — | (55,460,924) | 55,581,221 | 24,513,227 | — | — | 6,041,437 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
230,939,247 | 4,389,022 | (12,555,150) | (35,029,973) | 187,743,146 | — | (1,435,165) | 4,378,471 | 21,604,505 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
174,346,658 | 1,278,369 | (181,348,532) | 5,723,505 | — | 888,458 | (12,789,225) | 385,698 | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
590,657,072 | 29,255,516 | (40,234,434) | (113,756,809) | 465,921,345 | 13,337,527 | (4,082,906) | 15,909,754 | 51,826,623 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
373,510,429 | — | (33,663,371) | (56,832,880) | 283,014,178 | — | 32,680,466 | — | 7,956,542 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
319,514,125 | 106,406 | — | (131,252,863) | 188,367,668 | — | — | — | 5,327,140 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
363,066,503 | 17,468,000 | (4,296,928) | (106,620,301) | 269,617,274 | — | 5,376,944 | — | 6,375,438 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
371,736,211 | — | (41,576,053) | (49,229,250) | 280,930,908 | — | 31,538,234 | — | 8,773,607 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
764,707,694 | 7,726,135 | (50,782,791) | (109,948,867) | 611,702,171 | — | (4,327,777) | 7,709,224 | 67,146,232 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
92,024,794 | — | (9,847,830) | (12,764,441) | 69,412,523 | — | 9,947,803 | — | 1,651,892 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
90,240,155 | 4,326,524 | (2,184,689) | (25,120,179) | 67,261,811 | — | 2,233,537 | — | 1,887,786 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
883,709,552 | 18,492,437 | (71,202,241) | (127,374,677) | 703,625,071 | 5,620,606 | (6,412,427) | 12,856,710 | 74,774,184 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
416,501,598 | — | (16,869,468) | (93,026,205) | 306,605,925 | — | 22,880,378 | — | 10,264,678 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
512,808,164 | 86,820,586 | (23,960,351) | (177,625,887) | 398,042,512 | 72,163,236 | (2,614,845) | 8,722,349 | 45,232,104 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
329,760,663 | 37,428,971 | (9,964,868) | (102,088,187) | 255,136,579 | 16,004,082 | (1,422,713) | — | 25,361,489 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
331,970,001 | 6,979,962 | (31,054,793) | (43,843,914) | 264,051,256 | — | (150,128) | 6,979,962 | 30,142,837 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
225,841,833 | 23,974,550 | (4,607,702) | (67,542,538) | 177,666,143 | — | 2,824,737 | — | 6,558,366 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
242,339,116 | — | (20,165,747) | (40,691,079) | 181,482,290 | — | 10,513,624 | — | 5,551,615 | |
Total | 14,593,293,739 | (2,583,843,623) | 10,757,952,032 | 233,806,641 | 227,211,149 | 131,335,614 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 15 |
December 31, 2022
(e) | Non-income producing investment. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
LIBOR | London Interbank Offered Rate |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
16 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
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. Representatives of Columbia Management Investment Advisers, LLC report to the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Corporate Bonds & Notes | — | 39,001,535 | — | — | 39,001,535 |
Equity Funds | — | — | — | 5,814,171,619 | 5,814,171,619 |
Exchange-Traded Equity Funds | 538,559,873 | — | — | — | 538,559,873 |
Exchange-Traded Fixed Income Funds | 664,673,109 | — | — | — | 664,673,109 |
Fixed Income Funds | — | — | — | 3,127,193,192 | 3,127,193,192 |
Residential Mortgage-Backed Securities - Agency | — | 1,271,853,520 | — | — | 1,271,853,520 |
Options Purchased Puts | 94,341,500 | — | — | — | 94,341,500 |
Money Market Funds | 1,816,587,221 | — | — | — | 1,816,587,221 |
Total Investments in Securities | 3,114,161,703 | 1,310,855,055 | — | 8,941,364,811 | 13,366,381,569 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 1,898,704 | — | — | 1,898,704 |
Futures Contracts | 48,944,030 | — | — | — | 48,944,030 |
Swap Contracts | — | 1,432,451 | — | — | 1,432,451 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (9,755,451) | — | — | (9,755,451) |
Futures Contracts | (12,988,974) | — | — | — | (12,988,974) |
Swap Contracts | — | (168,300) | — | — | (168,300) |
Total | 3,150,116,759 | 1,304,262,459 | — | 8,941,364,811 | 13,395,744,029 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 17 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,530,429,663) | $2,514,088,037 |
Affiliated issuers (cost $10,396,436,931) | 10,757,952,032 |
Options purchased (cost $97,562,871) | 94,341,500 |
Cash | 3,182,000 |
Cash collateral held at broker for: | |
TBA | 15,730,000 |
Margin deposits on: | |
Futures contracts | 145,591,264 |
Swap contracts | 8,805,005 |
Unrealized appreciation on forward foreign currency exchange contracts | 1,898,704 |
Receivable for: | |
Investments sold | 12,573,147 |
Investments sold on a delayed delivery basis | 203,769,819 |
Capital shares sold | 1,525 |
Dividends | 7,822,187 |
Interest | 2,085,063 |
Foreign tax reclaims | 891 |
Variation margin for futures contracts | 7,299,791 |
Prepaid expenses | 95,913 |
Total assets | 13,775,236,878 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 9,755,451 |
Payable for: | |
Investments purchased on a delayed delivery basis | 1,497,211,129 |
Capital shares purchased | 12,361,863 |
Variation margin for futures contracts | 3,387,021 |
Variation margin for swap contracts | 43,813 |
Management services fees | 60,722 |
Distribution and/or service fees | 84,245 |
Service fees | 611,251 |
Compensation of board members | 578,486 |
Compensation of chief compliance officer | 2,415 |
Other expenses | 89,951 |
Total liabilities | 1,524,186,347 |
Net assets applicable to outstanding capital stock | $12,251,050,531 |
Represented by | |
Trust capital | $12,251,050,531 |
Total - representing net assets applicable to outstanding capital stock | $12,251,050,531 |
Class 1 | |
Net assets | $13,441,780 |
Shares outstanding | 874,740 |
Net asset value per share | $15.37 |
Class 2 | |
Net assets | $12,237,608,751 |
Shares outstanding | 802,851,690 |
Net asset value per share | $15.24 |
18 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $30,615,289 |
Dividends — affiliated issuers | 131,335,614 |
Interest | 3,295,399 |
Total income | 165,246,302 |
Expenses: | |
Management services fees | 24,800,876 |
Distribution and/or service fees | |
Class 2 | 34,039,749 |
Service fees | 8,160,140 |
Compensation of board members | 176,363 |
Custodian fees | 56,654 |
Printing and postage fees | 69,606 |
Audit fees | 32,000 |
Legal fees | 184,958 |
Interest on collateral | 110,038 |
Compensation of chief compliance officer | 1,913 |
Other | 166,741 |
Total expenses | 67,799,038 |
Net investment income | 97,447,264 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (164,648,064) |
Investments — affiliated issuers | 227,211,149 |
Capital gain distributions from underlying affiliated funds | 233,806,641 |
Foreign currency translations | (8,513,795) |
Forward foreign currency exchange contracts | (3,980,467) |
Futures contracts | (430,079,200) |
Options purchased | (32,538,309) |
Swap contracts | (1,258,413) |
Net realized loss | (180,000,458) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (327,487,956) |
Investments — affiliated issuers | (2,583,843,623) |
Forward foreign currency exchange contracts | (7,856,747) |
Futures contracts | 11,719,836 |
Options purchased | 72,929,443 |
Swap contracts | 809,232 |
Net change in unrealized appreciation (depreciation) | (2,833,729,815) |
Net realized and unrealized loss | (3,013,730,273) |
Net decrease in net assets resulting from operations | $(2,916,283,009) |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 19 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $97,447,264 | $76,606,444 |
Net realized gain (loss) | (180,000,458) | 1,348,344,067 |
Net change in unrealized appreciation (depreciation) | (2,833,729,815) | (70,623,358) |
Net increase (decrease) in net assets resulting from operations | (2,916,283,009) | 1,354,327,153 |
Decrease in net assets from capital stock activity | (1,208,759,648) | (824,111,038) |
Total increase (decrease) in net assets | (4,125,042,657) | 530,216,115 |
Net assets at beginning of year | 16,376,093,188 | 15,845,877,073 |
Net assets at end of year | $12,251,050,531 | $16,376,093,188 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 295,945 | 4,823,818 | 362,865 | 6,635,428 |
Redemptions | (16,828) | (271,676) | (15,595) | (287,069) |
Net increase | 279,117 | 4,552,142 | 347,270 | 6,348,359 |
Class 2 | ||||
Subscriptions | 308,609 | 5,351,316 | 2,671,476 | 47,602,993 |
Redemptions | (76,205,282) | (1,218,663,106) | (48,622,556) | (878,062,390) |
Net decrease | (75,896,673) | (1,213,311,790) | (45,951,080) | (830,459,397) |
Total net decrease | (75,617,556) | (1,208,759,648) | (45,603,810) | (824,111,038) |
20 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 21 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $18.73 | 0.16 | (3.52) | (3.36) |
Year Ended 12/31/2021 | $17.18 | 0.13 | 1.42 | 1.55 |
Year Ended 12/31/2020 | $15.53 | 0.13 | 1.52 | 1.65 |
Year Ended 12/31/2019(d) | $14.19 | 0.13 | 1.21 | 1.34 |
Class 2 | ||||
Year Ended 12/31/2022 | $18.62 | 0.12 | (3.50) | (3.38) |
Year Ended 12/31/2021 | $17.13 | 0.08 | 1.41 | 1.49 |
Year Ended 12/31/2020 | $15.52 | 0.08 | 1.53 | 1.61 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | Annualized. |
22 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $15.37 | (17.94%) | 0.25%(c) | 0.25%(c) | 1.00% | 149% | $13,442 |
Year Ended 12/31/2021 | $18.73 | 9.02% | 0.25%(c) | 0.25%(c) | 0.69% | 184% | $11,155 |
Year Ended 12/31/2020 | $17.18 | 10.63% | 0.25% | 0.25% | 0.82% | 163% | $4,268 |
Year Ended 12/31/2019(d) | $15.53 | 9.44% | 0.24%(e) | 0.24%(e) | 1.01%(e) | 138% | $1,093 |
Class 2 | |||||||
Year Ended 12/31/2022 | $15.24 | (18.15%) | 0.50%(c) | 0.50%(c) | 0.71% | 149% | $12,237,609 |
Year Ended 12/31/2021 | $18.62 | 8.70% | 0.49%(c) | 0.49%(c) | 0.47% | 184% | $16,364,939 |
Year Ended 12/31/2020 | $17.13 | 10.37% | 0.50% | 0.50% | 0.51% | 163% | $15,841,609 |
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% | $13,743,943 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 1,432,451* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 48,107,658* |
Equity risk | Investments, at value — Options Purchased | 94,341,500 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,898,704 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 836,372* |
Total | 146,616,685 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 29 |
December 31, 2022
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 168,300* |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 8,968,385* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 9,755,451 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 4,020,589* |
Total | 22,912,725 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | (1,258,413) | (1,258,413) |
Equity risk | — | (193,250,079) | (32,538,309) | — | (225,788,388) |
Foreign exchange risk | (3,980,467) | 670,826 | — | — | (3,309,641) |
Interest rate risk | — | (237,499,947) | — | — | (237,499,947) |
Total | (3,980,467) | (430,079,200) | (32,538,309) | (1,258,413) | (467,856,389) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 809,232 | 809,232 |
Equity risk | — | 23,953,982 | 72,929,443 | — | 96,883,425 |
Foreign exchange risk | (7,856,747) | (1,806,915) | — | — | (9,663,662) |
Interest rate risk | — | (10,427,231) | — | — | (10,427,231) |
Total | (7,856,747) | 11,719,836 | 72,929,443 | 809,232 | 77,601,764 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,466,234,226 |
Futures contracts — short | 1,021,971,777 |
Credit default swap contracts — sell protection | 225,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 141,460,300 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 9,597,444 | (7,317,191) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
30 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 31 |
December 31, 2022
Barclays ($) | Citi ($) | Goldman Sachs International ($) | JPMorgan ($) | Morgan Stanley ($) | UBS ($) | Total ($) | |
Assets | |||||||
Forward foreign currency exchange contracts | 205,488 | 1,037,041 | 71,500 | - | - | 584,675 | 1,898,704 |
Options purchased puts | - | - | - | 94,341,500 | - | - | 94,341,500 |
Total assets | 205,488 | 1,037,041 | 71,500 | 94,341,500 | - | 584,675 | 96,240,204 |
Liabilities | |||||||
Centrally cleared credit default swap contracts (a) | - | - | - | - | 43,813 | - | 43,813 |
Forward foreign currency exchange contracts | 1,897,614 | 6,745,517 | 540,070 | - | - | 572,250 | 9,755,451 |
Total liabilities | 1,897,614 | 6,745,517 | 540,070 | - | 43,813 | 572,250 | 9,799,264 |
Total financial and derivative net assets | (1,692,126) | (5,708,476) | (468,570) | 94,341,500 | (43,813) | 12,425 | 86,440,940 |
Total collateral received (pledged) (b) | - | - | - | - | (43,813) | - | (43,813) |
Net amount (c) | (1,692,126) | (5,708,476) | (468,570) | 94,341,500 | - | 12,425 | 86,484,753 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
32 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 33 |
December 31, 2022
34 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.79% | 0.80% |
Class 2 | 1.04 | 1.05 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 35 |
December 31, 2022
36 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 37 |
December 31, 2022
38 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 39 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
40 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 41 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
42 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 43 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
44 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2022 | 45 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
18 | |
29 | |
30 | |
30 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -32.90 | -3.03 | 1.55 | |
Class 2 | 05/03/10 | -33.07 | -3.27 | 1.29 | |
Class 3 | 05/01/00 | -32.98 | -3.15 | 1.42 | |
MSCI Emerging Markets Index (Net) | -20.09 | -1.40 | 1.44 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 3 |
(Unaudited)
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 8.7 |
Consumer Discretionary | 20.9 |
Consumer Staples | 5.3 |
Energy | 4.5 |
Financials | 27.5 |
Health Care | 4.0 |
Industrials | 6.0 |
Information Technology | 22.0 |
Materials | 0.4 |
Real Estate | 0.7 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2022) | |
Argentina | 1.6 |
Brazil | 8.1 |
Canada | 0.7 |
China | 29.1 |
Hong Kong | 1.9 |
India | 14.8 |
Indonesia | 7.8 |
Kazakhstan | 0.6 |
Malaysia | 0.7 |
Mexico | 3.0 |
Philippines | 0.7 |
Poland | 1.0 |
Russian Federation | 0.0(a) |
South Africa | 2.6 |
South Korea | 11.4 |
Taiwan | 10.0 |
Thailand | 2.1 |
United States(b) | 3.9 |
Total | 100.0 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
(Unaudited)
• | The Fund’s country allocation detracted from performance, relative to the benchmark, for the 12-month period ended December 31, 2022, most notably the Fund’s out-of-benchmark exposure to Argentina. |
• | In country terms, security selection was most detrimental within China, Taiwan and Brazil. Viewed on a sector basis, selection within information technology, communication services and consumer discretionary weighed most heavily on return. |
• | Individual names that detracted most significantly for the Fund included Singapore-based internet technology company Sea Ltd. The company was impacted by the rotation away from growth stocks, as the market focused on profitability and cash flow, given the rise in interest rates as central banks sought to counter inflation. In addition, slowing growth in Sea Ltd.’s gaming business, and loss of access to India as a result of minority owner Chinese internet giant Tencent being banned in that country, were stock-specific headwinds. |
• | Similarly, sentiment with respect to Wuxi Biologics, a China-based global contract research organization, was negatively impacted by the market’s rotation away from growth and toward current cash flow given a higher interest-rate regime. Wuxi was also impacted by President Biden’s executive order designed to reduce U.S. dependence on drugs manufactured overseas to, in turn, boost the U.S. biotech sector. |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Finally, exposure to Russian energy company Lukoil, Russian search engine provider Yandex, and Russian online financial services company TCS Group, weighed on performance during the period. The Fund sold the position in Lukoil early in the period. |
• | While the Fund’s country allocation detracted overall from performance relative to the benchmark, an overweight to Indonesia proved additive. |
• | Individual names held that contributed most positively to relative performance included Bank Rakyat, Indonesia’s second largest bank, which reported higher demand for loans and announced that margins had benefited from lower wholesale credit costs. In addition, Indonesia’s central bank unexpectedly raised interest rates by 50 basis points in September, providing a tailwind for the country’s banking sector. (A basis point is 1/100 of a percent.) |
• | Brazilian oil and gas exploration and production company Petro Rio contributed as oil price strength during the year supported the company’s margins. |
• | Growth for the Chinese e-commerce platform Pinduoduo was driven by the company’s ability to provide economies of scale by enabling group purchases. The company also benefited from its emergence as a social platform through the “gamification” of the buying process. Pinduoduo has strong appeal for lower middle- and working-class consumers on the hunt for bargains. |
• | Finally, a lack of exposure to a pair of Russian state-controlled enterprises, oil company Gazprom and bank Sberbank, proved beneficial in the wake of Russia’s invasion of Ukraine and the resulting sanctions. |
6 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 957.40 | 1,019.45 | 5.50 | 5.67 | 1.12 |
Class 2 | 1,000.00 | 1,000.00 | 955.50 | 1,018.20 | 6.72 | 6.93 | 1.37 |
Class 3 | 1,000.00 | 1,000.00 | 957.10 | 1,018.85 | 6.08 | 6.28 | 1.24 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 95.0% | ||
Issuer | Shares | Value ($) |
Argentina 1.6% | ||
Globant SA(a) | 7,575 | 1,273,812 |
MercadoLibre, Inc.(a) | 3,115 | 2,636,037 |
Total | 3,909,849 | |
Brazil 8.1% | ||
Afya Ltd., Class A(a) | 74,563 | 1,164,674 |
B3 SA - Brasil Bolsa Balcao | 1,254,200 | 3,138,024 |
Banco BTG Pactual SA | 357,121 | 1,619,296 |
Banco do Brasil SA | 104,503 | 687,417 |
Itaú Unibanco Holding SA, ADR | 626,378 | 2,950,240 |
Localiza Rent a Car SA | 253,767 | 2,557,016 |
NU Holdings Ltd., Class A(a) | 239,270 | 973,829 |
Petro Rio SA(a) | 403,532 | 2,843,965 |
Sendas Distribuidora SA | 533,549 | 1,967,555 |
WEG SA | 102,458 | 747,319 |
XP, Inc., Class A(a) | 49,364 | 757,244 |
Total | 19,406,579 | |
Canada 0.7% | ||
Parex Resources, Inc. | 118,123 | 1,757,887 |
China 29.2% | ||
Bafang Electric Suzhou Co., Ltd., Class A | 45,269 | 694,604 |
Beijing Kingsoft Office Software, Inc., Class A | 27,178 | 1,030,632 |
Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A | 211,900 | 1,018,077 |
China Animal Healthcare Ltd.(a),(b),(c) | 4,603,000 | 1 |
China Tourism Group Duty Free Corp., Ltd., Class A | 88,700 | 2,745,590 |
Contemporary Amperex Technology Co., Ltd., Class A | 19,600 | 1,104,418 |
Full Truck Alliance Co., Ltd., ADR(a) | 182,755 | 1,462,040 |
Inner Mongolia Yili Industrial Group Co., Ltd., Class A | 625,500 | 2,781,372 |
JD.com, Inc., ADR | 112,335 | 6,305,364 |
JD.com, Inc., Class A | 43,714 | 1,220,348 |
Kingdee International Software Group Co., Ltd.(a) | 627,150 | 1,330,873 |
Kuaishou Technology(a) | 110,500 | 993,314 |
Li Ning Co., Ltd. | 473,000 | 4,067,330 |
Medlive Technology Co., Ltd.(d) | 216,754 | 235,122 |
Meituan, Class B(a) | 451,200 | 9,996,713 |
Midea Group Co., Ltd., Class A | 377,500 | 2,801,539 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
NetEase, Inc. | 315,640 | 4,578,047 |
Pinduoduo, Inc., ADR(a) | 42,328 | 3,451,848 |
Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 61,800 | 2,802,492 |
Shenzhou International Group Holdings Ltd. | 118,400 | 1,320,380 |
Silergy Corp. | 60,000 | 847,495 |
Songcheng Performance Development Co., Ltd., Class A | 969,000 | 2,033,171 |
Sungrow Power Supply Co., Ltd., Class A | 68,400 | 1,097,558 |
Tencent Holdings Ltd. | 329,201 | 13,958,242 |
WuXi Biologics Cayman, Inc.(a) | 155,500 | 1,177,743 |
Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | 186,100 | 566,871 |
Total | 69,621,184 | |
Hong Kong 1.9% | ||
AIA Group Ltd. | 265,000 | 2,926,499 |
Hong Kong Exchanges and Clearing Ltd. | 13,700 | 588,692 |
Techtronic Industries Co., Ltd. | 101,003 | 1,121,825 |
Total | 4,637,016 | |
India 14.9% | ||
Apollo Hospitals Enterprise Ltd. | 68,037 | 3,676,592 |
Astral Ltd. | 23,871 | 565,726 |
AU Small Finance Bank Ltd. | 220,006 | 1,737,810 |
Balkrishna Industries Ltd. | 68,938 | 1,772,438 |
Cholamandalam Investment and Finance Co., Ltd. | 286,411 | 2,497,857 |
Dixon Technologies India Ltd. | 13,953 | 657,190 |
Eicher Motors Ltd. | 39,021 | 1,517,495 |
HDFC Bank Ltd., ADR | 76,497 | 5,233,160 |
ICICI Bank Ltd., ADR | 309,611 | 6,777,385 |
Infosys Ltd., ADR | 110,324 | 1,986,935 |
Larsen & Toubro Ltd. | 129,964 | 3,266,558 |
Mahindra & Mahindra Ltd. | 113,559 | 1,709,601 |
Reliance Industries Ltd. | 132,461 | 4,066,634 |
Total | 35,465,381 |
8 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Indonesia 7.9% | ||
Bank Negara Indonesia Persero Tbk PT | 3,372,000 | 1,997,801 |
PT Astra International Tbk | 6,455,500 | 2,362,389 |
PT Bank BTPN Syariah Tbk | 7,985,800 | 1,429,935 |
PT Bank Central Asia Tbk | 10,691,000 | 5,862,284 |
PT Bank Rakyat Indonesia Persero Tbk | 22,361,939 | 7,089,859 |
Total | 18,742,268 | |
Kazakhstan 0.6% | ||
Kaspi.KZ JSC, GDR(b),(c),(d) | 19,550 | 1,404,160 |
Malaysia 0.7% | ||
CIMB Group Holdings Bhd | 596,900 | 785,502 |
Public Bank Bhd | 867,900 | 851,022 |
Total | 1,636,524 | |
Mexico 3.0% | ||
Grupo Aeroportuario del Centro Norte SAB de CV | 70,856 | 544,769 |
Grupo Aeroportuario del Pacifico SAB de CV | 50,113 | 718,527 |
Grupo Financiero Banorte SAB de CV, Class O | 451,559 | 3,249,769 |
Wal-Mart de Mexico SAB de CV, Class V | 764,245 | 2,701,419 |
Total | 7,214,484 | |
Philippines 0.7% | ||
Ayala Land, Inc. | 2,859,200 | 1,587,167 |
Poland 1.0% | ||
Dino Polska SA(a) | 26,266 | 2,255,837 |
Russian Federation 0.0% | ||
Detsky Mir PJSC(a),(b),(c),(e) | 911,435 | 0 |
Fix Price Group PLC, GDR(a),(b),(c),(d),(e) | 502,952 | 1 |
Ozon Holdings PLC, ADR(a),(b),(c),(e) | 58,548 | 0 |
TCS Group Holding PLC, GDR(a),(b),(c),(e) | 26,653 | 0 |
Yandex NV, Class A(a),(b),(c),(e) | 73,098 | 0 |
Total | 1 | |
South Africa 2.6% | ||
Absa Group Ltd. | 170,466 | 1,935,747 |
Capitec Bank Holdings Ltd. | 16,405 | 1,785,795 |
Clicks Group Ltd. | 43,489 | 691,268 |
Shoprite Holdings Ltd. | 131,541 | 1,743,774 |
Total | 6,156,584 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
South Korea 10.0% | ||
Coupang, Inc.(a) | 115,269 | 1,695,607 |
Hana Financial Group, Inc. | 77,783 | 2,590,105 |
Samsung Biologics Co., Ltd.(a) | 2,096 | 1,362,851 |
Samsung Electro-Mechanics Co., Ltd.(a) | 17,173 | 1,783,464 |
Samsung Electronics Co., Ltd. | 230,508 | 10,117,744 |
Samsung SDI Co., Ltd.(a) | 6,506 | 3,054,844 |
SK Hynix, Inc. | 55,969 | 3,339,337 |
Total | 23,943,952 | |
Taiwan 10.0% | ||
Chailease Holding Co., Ltd. | 113,400 | 798,924 |
Delta Electronics | 212,000 | 1,965,238 |
MediaTek, Inc. | 88,000 | 1,779,267 |
Sea Ltd. ADR(a) | 9,994 | 519,988 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,184,838 | 17,207,951 |
Unimicron Technology Corp. | 394,356 | 1,530,963 |
Total | 23,802,331 | |
Thailand 2.1% | ||
Kasikornbank PCL, Foreign Registered Shares | 592,500 | 2,518,865 |
Muangthai Capital PCL, Foreign Registered Shares | 923,800 | 1,012,052 |
PTT Exploration & Production PCL | 307,100 | 1,563,943 |
Total | 5,094,860 | |
Total Common Stocks (Cost $230,416,181) | 226,636,064 |
Preferred Stocks 1.4% | |||
Issuer | Shares | Value ($) | |
South Korea 1.4% | |||
Samsung Electronics Co., Ltd. | 80,792 | 3,237,607 | |
Total Preferred Stocks (Cost $2,092,325) | 3,237,607 |
Rights 0.0% | ||
Issuer | Shares | Value ($) |
Brazil 0.0% | ||
Localiza Rent a Car SA(a) | 1,109 | 2,260 |
Total Rights (Cost $—) | 2,260 | |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 9 |
December 31, 2022
Money Market Funds 3.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(f),(g) | 9,347,151 | 9,344,347 |
Total Money Market Funds (Cost $9,343,608) | 9,344,347 | |
Total Investments in Securities (Cost $241,852,114) | 239,220,278 | |
Other Assets & Liabilities, Net | (621,737) | |
Net Assets | $238,598,541 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2022, the total value of these securities amounted to $1,404,162, which represents 0.59% 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 December 31, 2022, the total value of these securities amounted to $1,639,283, which represents 0.69% of total net assets. |
(e) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures established by the Fund’s Board of Trustees. At December 31, 2022, the total market value of these securities amounted to $1, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Detsky Mir PJSC | 02/08/2017-09/21/2020 | 911,435 | 1,345,538 | — |
Fix Price Group PLC, GDR | 03/05/2021-03/08/2021 | 502,952 | 4,907,336 | 1 |
Ozon Holdings PLC, ADR | 12/17/2020-09/21/2021 | 58,548 | 2,951,530 | — |
TCS Group Holding PLC, GDR | 01/10/2018-01/25/2022 | 26,653 | 726,918 | — |
Yandex NV, Class A | 09/01/2017-04/02/2020 | 73,098 | 2,575,554 | — |
12,506,876 | 1 |
(f) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
11,904,161 | 76,224,985 | (78,786,124) | 1,325 | 9,344,347 | (2,778) | 128,805 | 9,347,151 |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
10 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
December 31, 2022
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Argentina | 3,909,849 | — | — | 3,909,849 |
Brazil | 19,406,579 | — | — | 19,406,579 |
Canada | 1,757,887 | — | — | 1,757,887 |
China | 11,219,252 | 58,401,931 | 1 | 69,621,184 |
Hong Kong | — | 4,637,016 | — | 4,637,016 |
India | 13,997,480 | 21,467,901 | — | 35,465,381 |
Indonesia | — | 18,742,268 | — | 18,742,268 |
Kazakhstan | — | — | 1,404,160 | 1,404,160 |
Malaysia | — | 1,636,524 | — | 1,636,524 |
Mexico | 7,214,484 | — | — | 7,214,484 |
Philippines | — | 1,587,167 | — | 1,587,167 |
Poland | — | 2,255,837 | — | 2,255,837 |
Russian Federation | — | — | 1 | 1 |
South Africa | — | 6,156,584 | — | 6,156,584 |
South Korea | 1,695,607 | 22,248,345 | — | 23,943,952 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 11 |
December 31, 2022
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Taiwan | 519,988 | 23,282,343 | — | 23,802,331 |
Thailand | — | 5,094,860 | — | 5,094,860 |
Total Common Stocks | 59,721,126 | 165,510,776 | 1,404,162 | 226,636,064 |
Preferred Stocks | ||||
South Korea | — | 3,237,607 | — | 3,237,607 |
Total Preferred Stocks | — | 3,237,607 | — | 3,237,607 |
Rights | ||||
Brazil | 2,260 | — | — | 2,260 |
Total Rights | 2,260 | — | — | 2,260 |
Money Market Funds | 9,344,347 | — | — | 9,344,347 |
Total Investments in Securities | 69,067,733 | 168,748,383 | 1,404,162 | 239,220,278 |
12 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $232,508,506) | $229,875,931 |
Affiliated issuers (cost $9,343,608) | 9,344,347 |
Cash | 13 |
Receivable for: | |
Capital shares sold | 7,984 |
Dividends | 440,792 |
Foreign tax reclaims | 30,185 |
Expense reimbursement due from Investment Manager | 633 |
Prepaid expenses | 8,271 |
Total assets | 239,708,156 |
Liabilities | |
Foreign currency (cost $1,279) | 1,282 |
Payable for: | |
Capital shares purchased | 75,698 |
Foreign capital gains taxes deferred | 863,918 |
Management services fees | 7,279 |
Distribution and/or service fees | 816 |
Service fees | 9,542 |
Compensation of board members | 109,482 |
Compensation of chief compliance officer | 44 |
Other expenses | 41,554 |
Total liabilities | 1,109,615 |
Net assets applicable to outstanding capital stock | $238,598,541 |
Represented by | |
Paid in capital | 256,274,688 |
Total distributable earnings (loss) | (17,676,147) |
Total - representing net assets applicable to outstanding capital stock | $238,598,541 |
Class 1 | |
Net assets | $60,002,988 |
Shares outstanding | 6,668,426 |
Net asset value per share | $9.00 |
Class 2 | |
Net assets | $56,612,289 |
Shares outstanding | 6,423,685 |
Net asset value per share | $8.81 |
Class 3 | |
Net assets | $121,983,264 |
Shares outstanding | 13,679,340 |
Net asset value per share | $8.92 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $4,093,069 |
Dividends — affiliated issuers | 128,805 |
Interfund lending | 223 |
Foreign taxes withheld | (683,365) |
Total income | 3,538,732 |
Expenses: | |
Management services fees | 2,952,724 |
Distribution and/or service fees | |
Class 2 | 156,434 |
Class 3 | 176,008 |
Service fees | 126,671 |
Compensation of board members | 10,278 |
Custodian fees | 90,248 |
Printing and postage fees | 49,149 |
Audit fees | 72,239 |
Legal fees | 15,474 |
Compensation of chief compliance officer | 28 |
Other | 54,892 |
Total expenses | 3,704,145 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (356,155) |
Total net expenses | 3,347,990 |
Net investment income | 190,742 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (12,604,024) |
Investments — affiliated issuers | (2,778) |
Foreign currency translations | (136,475) |
Net realized loss | (12,743,277) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (108,181,138) |
Investments — affiliated issuers | 1,325 |
Foreign currency translations | (643) |
Foreign capital gains tax | 1,286,807 |
Net change in unrealized appreciation (depreciation) | (106,893,649) |
Net realized and unrealized loss | (119,636,926) |
Net decrease in net assets resulting from operations | $(119,446,184) |
14 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income (loss) | $190,742 | $(1,132,869) |
Net realized gain (loss) | (12,743,277) | 80,156,583 |
Net change in unrealized appreciation (depreciation) | (106,893,649) | (104,820,839) |
Net decrease in net assets resulting from operations | (119,446,184) | (25,797,125) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (19,236,412) | (6,131,794) |
Class 2 | (18,957,219) | (3,847,632) |
Class 3 | (41,600,090) | (10,278,225) |
Total distributions to shareholders | (79,793,721) | (20,257,651) |
Increase (decrease) in net assets from capital stock activity | 76,822,229 | (61,812,019) |
Total decrease in net assets | (122,417,676) | (107,866,795) |
Net assets at beginning of year | 361,016,217 | 468,883,012 |
Net assets at end of year | $238,598,541 | $361,016,217 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 291,546 | 3,531,729 | 185,706 | 4,005,276 |
Distributions reinvested | 2,022,756 | 19,236,412 | 272,325 | 6,131,794 |
Redemptions | (56,091) | (716,777) | (3,867,668) | (86,223,548) |
Net increase (decrease) | 2,258,211 | 22,051,364 | (3,409,637) | (76,086,478) |
Class 2 | ||||
Subscriptions | 629,221 | 8,331,063 | 787,974 | 17,403,719 |
Distributions reinvested | 2,034,037 | 18,957,219 | 172,269 | 3,847,632 |
Redemptions | (444,092) | (4,855,266) | (242,592) | (5,172,823) |
Net increase | 2,219,166 | 22,433,016 | 717,651 | 16,078,528 |
Class 3 | ||||
Subscriptions | 360,342 | 4,375,474 | 273,093 | 5,991,387 |
Distributions reinvested | 4,411,462 | 41,600,090 | 457,739 | 10,278,225 |
Redemptions | (1,173,119) | (13,637,715) | (840,148) | (18,073,681) |
Net increase (decrease) | 3,598,685 | 32,337,849 | (109,316) | (1,804,069) |
Total net increase (decrease) | 8,076,062 | 76,822,229 | (2,801,302) | (61,812,019) |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $19.42 | 0.02 | (6.18) | (6.16) | — | (4.26) | (4.26) |
Year Ended 12/31/2021 | $21.90 | (0.03) | (1.41) | (1.44) | (0.24) | (0.80) | (1.04) |
Year Ended 12/31/2020 | $18.98 | (0.01) | 5.36 | 5.35 | (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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $19.18 | (0.01) | (6.10) | (6.11) | — | (4.26) | (4.26) |
Year Ended 12/31/2021 | $21.66 | (0.08) | (1.40) | (1.48) | (0.20) | (0.80) | (1.00) |
Year Ended 12/31/2020 | $18.78 | (0.05) | 5.32 | 5.27 | (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) |
Class 3 | |||||||
Year Ended 12/31/2022 | $19.32 | 0.01 | (6.15) | (6.14) | — | (4.26) | (4.26) |
Year Ended 12/31/2021 | $21.80 | (0.06) | (1.40) | (1.46) | (0.22) | (0.80) | (1.02) |
Year Ended 12/31/2020 | $18.89 | (0.03) | 5.35 | 5.32 | (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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
(e) | The Fund received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.04%. |
(f) | Rounds to zero. |
(g) | The Fund received a payment from an affiliate which had an impact of less than 0.01%. |
16 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
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 | ||||||||
Year Ended 12/31/2022 | — | $9.00 | (32.90%) | 1.26% | 1.12% | 0.20% | 51% | $60,003 |
Year Ended 12/31/2021 | — | $19.42 | (7.20%) | 1.22%(c) | 1.14%(c) | (0.16%) | 28% | $85,630 |
Year Ended 12/31/2020 | — | $21.90 | 33.61% | 1.23%(c),(d) | 1.14%(c),(d) | (0.05%) | 26% | $171,261 |
Year Ended 12/31/2019 | 0.01 | $18.98 | 31.50%(e) | 1.22%(c) | 1.17%(c) | 0.53% | 26% | $133,990 |
Year Ended 12/31/2018 | — | $16.38 | (21.62%) | 1.20%(c) | 1.20%(c) | 0.70% | 41% | $196,720 |
Class 2 | ||||||||
Year Ended 12/31/2022 | — | $8.81 | (33.07%) | 1.51% | 1.37% | (0.05%) | 51% | $56,612 |
Year Ended 12/31/2021 | — | $19.18 | (7.47%) | 1.48%(c) | 1.39%(c) | (0.39%) | 28% | $80,663 |
Year Ended 12/31/2020 | — | $21.66 | 33.31% | 1.48%(c),(d) | 1.39%(c),(d) | (0.30%) | 26% | $75,522 |
Year Ended 12/31/2019 | 0.00(f) | $18.78 | 31.13%(g) | 1.47%(c) | 1.42%(c) | 0.33% | 26% | $55,859 |
Year Ended 12/31/2018 | — | $16.26 | (21.78%) | 1.47%(c) | 1.46%(c) | 0.33% | 41% | $42,531 |
Class 3 | ||||||||
Year Ended 12/31/2022 | — | $8.92 | (32.98%) | 1.38% | 1.25% | 0.06% | 51% | $121,983 |
Year Ended 12/31/2021 | — | $19.32 | (7.33%) | 1.35%(c) | 1.26%(c) | (0.27%) | 28% | $194,723 |
Year Ended 12/31/2020 | — | $21.80 | 33.51% | 1.35%(c),(d) | 1.27%(c),(d) | (0.18%) | 26% | $222,100 |
Year Ended 12/31/2019 | 0.00(f) | $18.89 | 31.29%(g) | 1.34%(c) | 1.29%(c) | 0.45% | 26% | $196,505 |
Year Ended 12/31/2018 | — | $16.33 | (21.73%) | 1.34%(c) | 1.33%(c) | 0.44% | 41% | $173,529 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 21 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 1.12% | 1.13% |
Class 2 | 1.37 | 1.38 |
Class 3 | 1.245 | 1.255 |
Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
740,267 | (756,117) | 15,850 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
65,915 | 79,727,806 | 79,793,721 | 4,405,469 | 15,852,182 | 20,257,651 |
22 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
December 31, 2022
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
3,901 | — | (13,707,916) | (2,999,538) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
242,219,817 | 36,085,645 | (39,085,183) | (2,999,538) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(13,707,916) | — | (13,707,916) | — |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 23 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 800,000 | 2.60 | 3 |
24 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
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Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 27 |
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28 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 29 |
Qualified dividend income | Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
100.00% | $1,695,422 | $0.06 | $4,092,160 | $0.15 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
30 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 31 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
32 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 33 |
(Unaudited)
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
34 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2022 | 35 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
18 | |
28 | |
29 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -18.72 | 8.17 | 11.98 | |
Class 2 | 05/03/10 | -18.94 | 7.90 | 11.70 | |
Class 3 | 10/13/81 | -18.82 | 8.04 | 11.84 | |
S&P 500 Index | -18.11 | 9.42 | 12.56 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 98.4 |
Money Market Funds | 1.6 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 7.0 |
Consumer Discretionary | 10.5 |
Consumer Staples | 6.9 |
Energy | 5.5 |
Financials | 11.2 |
Health Care | 15.6 |
Industrials | 8.7 |
Information Technology | 26.2 |
Materials | 2.6 |
Real Estate | 3.0 |
Utilities | 2.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
(Unaudited)
• | As usual, the Fund maintained a relatively neutral stance on sector allocation as compared to the benchmark, though sector allocation did detract, albeit modestly, from relative performance during the period. |
• | Stock selection in the information technology, communication services and financials sectors detracted most from the Fund’s relative performance during the period. |
• | Among the individual stocks detracting most from relative performance was Meta Platforms, Inc., the social media giant and parent company of Facebook, whose share price plummeted amid several headwinds. First, the company reported a sharp decline in profits and said it lost about a million daily users globally. Second, in October 2022, the company forecast higher capital expenditures and no headcount reductions, which contributed to a significantly growing |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 5 |
(Unaudited)
year-over-year operating loss. Further, the company faced increased competition during the annual period from TikTok, less advertising due to a slowing macroeconomic environment and pressures driven by Apple’s privacy changes restricting the sharing of information. The portfolio’s overweight in Meta Platforms was based on its attractive value theme score and in-line quality score, but the models delivered negative stock selection guidance. | |
• | Advanced Micro Devices, Inc., a semiconductor company, saw its shares decline in price as the highly cyclical semiconductor industry faced negative earnings revisions and signs of higher inventory. While the company reported earnings in line with consensus expectations, it lowered its forward guidance on weakness in the personal computer industry. The decision to overweight the portfolio’s position in Advanced Micro Devices was based on strong scores across all three of our investment themes — quality, value and catalyst, but the models provided negative guidance. |
• | Under Armour Inc. (Class A) is an American sports clothing, footwear and accessories company. Under Armour announced a significant earnings shortfall for its March 2022 quarter and lowered its full-year forward guidance. The earnings shortfall was driven by supply-chain issues, increased freight costs and COVID-19-related lockdowns in China, which resulted in restricted store hours, low inventory and store closures in China. Shortly after this earnings miss, Under Armour’s Chief Executive Officer unexpectedly announced he was stepping down from management of the company, further pressuring its shares. The portfolio’s overweight in Under Armour (Class A) was established based on an attractive quality investment theme score, but the model provided negative guidance. |
• | Stock selection overall contributed positively to the Fund’s performance relative to the benchmark during the period. |
• | Stock selection in the consumer discretionary, health care and industrials sectors contributed most positively to the Fund’s relative performance. |
• | Among the Fund’s greatest individual positive contributors was EOG Resources, Inc., an oil and natural gas exploration and production company, whose shares rose on strong earnings given the elevated price of oil. For investors, a key focus within the exploration and production industry of the energy sector was on companies, like EOG Resources, which have been accelerating the return of cash to equity holders. This focus, in turn, resulted in these companies outperforming exploration and production companies which emphasized debt reduction instead. The portfolio’s overweight in EOG Resources was driven by our quality and catalyst themes, and the models delivered effective stock selection guidance. |
• | McKesson Corp., a drug distributor and medical services provider, performed well after reporting strong results wherein the company’s profits jumped due to falling expenses and smaller charges for litigation, claims, restructuring and impairment than incurred in prior periods. The portfolio’s overweight in McKesson was based on attractive scores in our catalyst theme, and the model provided positive guidance. |
• | Exxon Mobil Corp., the integrated energy producer, generated strong returns during the year, as energy stocks broadly were among the few bright spots in the market turmoil of 2022. Ongoing demand, along with elevated energy prices, boosted returns for Exxon Mobil. The portfolio’s overweight in Exxon Mobil was driven by an attractive catalyst score and an in-line value score, and the models delivered effective stock selection guidance. |
6 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 1,010.50 | 1,021.66 | 3.43 | 3.45 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 1,009.10 | 1,020.41 | 4.68 | 4.71 | 0.93 |
Class 3 | 1,000.00 | 1,000.00 | 1,010.00 | 1,021.06 | 4.03 | 4.05 | 0.80 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 98.4% | ||
Issuer | Shares | Value ($) |
Communication Services 6.9% | ||
Entertainment 1.0% | ||
Electronic Arts, Inc. | 277,475 | 33,901,896 |
Interactive Media & Services 5.6% | ||
Alphabet, Inc., Class A(a) | 1,698,230 | 149,834,833 |
Meta Platforms, Inc., Class A(a) | 427,068 | 51,393,363 |
Total | 201,228,196 | |
Media 0.3% | ||
Fox Corp., Class A | 383,000 | 11,631,710 |
Total Communication Services | 246,761,802 | |
Consumer Discretionary 10.4% | ||
Automobiles 0.5% | ||
Tesla, Inc.(a) | 145,297 | 17,897,684 |
Hotels, Restaurants & Leisure 1.3% | ||
Expedia Group, Inc.(a) | 510,281 | 44,700,616 |
Household Durables 2.0% | ||
Lennar Corp., Class A | 436,335 | 39,488,318 |
PulteGroup, Inc. | 723,148 | 32,924,928 |
Total | 72,413,246 | |
Internet & Direct Marketing Retail 1.1% | ||
Amazon.com, Inc.(a) | 476,985 | 40,066,740 |
Specialty Retail 4.5% | ||
AutoZone, Inc.(a) | 21,244 | 52,391,528 |
Bath & Body Works, Inc. | 662,100 | 27,900,894 |
O’Reilly Automotive, Inc.(a) | 70,018 | 59,097,293 |
Ulta Beauty, Inc.(a) | 42,446 | 19,910,145 |
Total | 159,299,860 | |
Textiles, Apparel & Luxury Goods 1.0% | ||
PVH Corp. | 88,277 | 6,231,473 |
Ralph Lauren Corp. | 274,461 | 29,002,294 |
Total | 35,233,767 | |
Total Consumer Discretionary | 369,611,913 | |
Consumer Staples 6.8% | ||
Food & Staples Retailing 1.6% | ||
Kroger Co. (The) | 1,263,268 | 56,316,487 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Food Products 1.1% | ||
General Mills, Inc. | 478,841 | 40,150,818 |
Household Products 1.7% | ||
Procter & Gamble Co. (The) | 398,075 | 60,332,247 |
Tobacco 2.4% | ||
Altria Group, Inc. | 1,172,755 | 53,606,631 |
Philip Morris International, Inc. | 308,379 | 31,211,039 |
Total | 84,817,670 | |
Total Consumer Staples | 241,617,222 | |
Energy 5.4% | ||
Oil, Gas & Consumable Fuels 5.4% | ||
EQT Corp. | 122,359 | 4,139,405 |
Exxon Mobil Corp. | 799,537 | 88,188,931 |
Marathon Petroleum Corp. | 404,243 | 47,049,843 |
Valero Energy Corp. | 433,146 | 54,948,901 |
Total | 194,327,080 | |
Total Energy | 194,327,080 | |
Financials 11.0% | ||
Banks 2.8% | ||
Citigroup, Inc. | 583,671 | 26,399,439 |
Wells Fargo & Co. | 1,772,365 | 73,180,951 |
Total | 99,580,390 | |
Capital Markets 2.8% | ||
Bank of New York Mellon Corp. (The) | 165,161 | 7,518,129 |
CME Group, Inc. | 163,781 | 27,541,413 |
Morgan Stanley | 665,270 | 56,561,255 |
State Street Corp. | 99,400 | 7,710,458 |
Total | 99,331,255 | |
Consumer Finance 1.2% | ||
Capital One Financial Corp. | 474,757 | 44,133,411 |
8 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 4.2% | ||
Aon PLC, Class A | 31,249 | 9,379,075 |
Lincoln National Corp. | 485,779 | 14,923,131 |
Marsh & McLennan Companies, Inc. | 411,668 | 68,122,821 |
MetLife, Inc. | 774,896 | 56,079,223 |
Total | 148,504,250 | |
Total Financials | 391,549,306 | |
Health Care 15.4% | ||
Biotechnology 2.7% | ||
AbbVie, Inc. | 248,926 | 40,228,931 |
Amgen, Inc. | 14,423 | 3,788,057 |
BioMarin Pharmaceutical, Inc.(a) | 124,954 | 12,931,489 |
Regeneron Pharmaceuticals, Inc.(a) | 22,636 | 16,331,647 |
Vertex Pharmaceuticals, Inc.(a) | 81,101 | 23,420,347 |
Total | 96,700,471 | |
Health Care Equipment & Supplies 1.9% | ||
Abbott Laboratories | 439,741 | 48,279,165 |
Hologic, Inc.(a) | 244,751 | 18,309,822 |
Total | 66,588,987 | |
Health Care Providers & Services 3.8% | ||
Cardinal Health, Inc. | 392,148 | 30,144,417 |
Centene Corp.(a) | 154,100 | 12,637,741 |
CVS Health Corp. | 479,521 | 44,686,562 |
Humana, Inc. | 34,100 | 17,465,679 |
McKesson Corp. | 84,620 | 31,742,654 |
Total | 136,677,053 | |
Life Sciences Tools & Services 2.0% | ||
Agilent Technologies, Inc. | 39,076 | 5,847,724 |
IQVIA Holdings, Inc.(a) | 311,744 | 63,873,228 |
Total | 69,720,952 | |
Pharmaceuticals 5.0% | ||
Bristol-Myers Squibb Co. | 1,061,658 | 76,386,293 |
Pfizer, Inc. | 1,877,302 | 96,192,954 |
Viatris, Inc. | 569,506 | 6,338,602 |
Total | 178,917,849 | |
Total Health Care | 548,605,312 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 8.6% | ||
Aerospace & Defense 3.8% | ||
General Dynamics Corp. | 288,036 | 71,464,612 |
Lockheed Martin Corp. | 108,282 | 52,678,110 |
Textron, Inc. | 155,885 | 11,036,658 |
Total | 135,179,380 | |
Air Freight & Logistics 0.7% | ||
United Parcel Service, Inc., Class B | 153,698 | 26,718,860 |
Airlines 0.2% | ||
Delta Air Lines, Inc.(a) | 100,212 | 3,292,967 |
Southwest Airlines Co.(a) | 92,593 | 3,117,606 |
Total | 6,410,573 | |
Building Products 0.3% | ||
Masco Corp. | 246,300 | 11,494,821 |
Commercial Services & Supplies 1.3% | ||
Cintas Corp. | 103,013 | 46,522,731 |
Electrical Equipment 0.3% | ||
Emerson Electric Co. | 129,685 | 12,457,541 |
Machinery 1.5% | ||
Fortive Corp. | 84,100 | 5,403,425 |
Otis Worldwide Corp. | 67,393 | 5,277,546 |
Parker-Hannifin Corp. | 95,411 | 27,764,601 |
Snap-On, Inc. | 58,194 | 13,296,747 |
Total | 51,742,319 | |
Professional Services 0.2% | ||
Robert Half International, Inc. | 72,293 | 5,337,392 |
Road & Rail 0.3% | ||
CSX Corp. | 348,282 | 10,789,777 |
Total Industrials | 306,653,394 | |
Information Technology 25.7% | ||
Communications Equipment 2.2% | ||
Cisco Systems, Inc. | 1,645,511 | 78,392,144 |
IT Services 2.5% | ||
MasterCard, Inc., Class A | 256,862 | 89,318,623 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 4.4% | ||
Advanced Micro Devices, Inc.(a) | 813,278 | 52,676,016 |
Lam Research Corp. | 92,076 | 38,699,543 |
QUALCOMM, Inc. | 613,637 | 67,463,252 |
Total | 158,838,811 | |
Software 10.2% | ||
Adobe, Inc.(a) | 106,573 | 35,865,012 |
Autodesk, Inc.(a) | 94,219 | 17,606,704 |
Fortinet, Inc.(a) | 1,226,129 | 59,945,447 |
Microsoft Corp. | 1,041,128 | 249,683,317 |
Total | 363,100,480 | |
Technology Hardware, Storage & Peripherals 6.4% | ||
Apple, Inc.(b) | 1,755,863 | 228,139,279 |
Total Information Technology | 917,789,337 | |
Materials 2.5% | ||
Chemicals 1.1% | ||
CF Industries Holdings, Inc. | 177,634 | 15,134,417 |
Mosaic Co. (The) | 581,001 | 25,488,514 |
Total | 40,622,931 | |
Metals & Mining 1.4% | ||
Nucor Corp. | 371,263 | 48,936,176 |
Total Materials | 89,559,107 | |
Real Estate 3.0% | ||
Equity Real Estate Investment Trusts (REITS) 3.0% | ||
Host Hotels & Resorts, Inc. | 1,927,794 | 30,941,094 |
SBA Communications Corp. | 50,334 | 14,109,123 |
Weyerhaeuser Co. | 1,996,400 | 61,888,400 |
Total | 106,938,617 | |
Total Real Estate | 106,938,617 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 2.7% | ||
Electric Utilities 2.7% | ||
American Electric Power Co., Inc. | 674,301 | 64,024,880 |
Evergy, Inc. | 517,649 | 32,575,652 |
Total | 96,600,532 | |
Total Utilities | 96,600,532 | |
Total Common Stocks (Cost $3,261,620,117) | 3,510,013,622 | |
Money Market Funds 1.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(c),(d) | 55,481,451 | 55,464,807 |
Total Money Market Funds (Cost $55,459,961) | 55,464,807 | |
Total Investments in Securities (Cost: $3,317,080,078) | 3,565,478,429 | |
Other Assets & Liabilities, Net | 2,131,627 | |
Net Assets | 3,567,610,056 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 320 | 03/2023 | USD | 61,776,000 | — | (2,188,680) |
10 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
December 31, 2022
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
65,296,168 | 339,780,988 | (349,617,195) | 4,846 | 55,464,807 | (18,340) | 675,351 | 55,481,451 |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 11 |
December 31, 2022
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2022:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 246,761,802 | — | — | 246,761,802 |
Consumer Discretionary | 369,611,913 | — | — | 369,611,913 |
Consumer Staples | 241,617,222 | — | — | 241,617,222 |
Energy | 194,327,080 | — | — | 194,327,080 |
Financials | 391,549,306 | — | — | 391,549,306 |
Health Care | 548,605,312 | — | — | 548,605,312 |
Industrials | 306,653,394 | — | — | 306,653,394 |
Information Technology | 917,789,337 | — | — | 917,789,337 |
Materials | 89,559,107 | — | — | 89,559,107 |
Real Estate | 106,938,617 | — | — | 106,938,617 |
Utilities | 96,600,532 | — | — | 96,600,532 |
Total Common Stocks | 3,510,013,622 | — | — | 3,510,013,622 |
Money Market Funds | 55,464,807 | — | — | 55,464,807 |
Total Investments in Securities | 3,565,478,429 | — | — | 3,565,478,429 |
Investments in Derivatives | ||||
Liability | ||||
Futures Contracts | (2,188,680) | — | — | (2,188,680) |
Total | 3,563,289,749 | — | — | 3,563,289,749 |
12 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,261,620,117) | $3,510,013,622 |
Affiliated issuers (cost $55,459,961) | 55,464,807 |
Receivable for: | |
Capital shares sold | 4,021 |
Dividends | 4,063,630 |
Prepaid expenses | 32,623 |
Total assets | 3,569,578,703 |
Liabilities | |
Payable for: | |
Capital shares purchased | 1,354,659 |
Variation margin for futures contracts | 172,000 |
Management services fees | 63,522 |
Distribution and/or service fees | 4,251 |
Service fees | 60,421 |
Compensation of board members | 270,280 |
Compensation of chief compliance officer | 705 |
Other expenses | 42,809 |
Total liabilities | 1,968,647 |
Net assets applicable to outstanding capital stock | $3,567,610,056 |
Represented by | |
Trust capital | $3,567,610,056 |
Total - representing net assets applicable to outstanding capital stock | $3,567,610,056 |
Class 1 | |
Net assets | $2,376,866,266 |
Shares outstanding | 32,995,980 |
Net asset value per share | $72.04 |
Class 2 | |
Net assets | $46,623,368 |
Shares outstanding | 667,813 |
Net asset value per share(a) | $69.81 |
Class 3 | |
Net assets | $1,144,120,422 |
Shares outstanding | 16,142,788 |
Net asset value per share | $70.88 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $67,262,275 |
Dividends — affiliated issuers | 675,351 |
Total income | 67,937,626 |
Expenses: | |
Management services fees | 25,331,160 |
Distribution and/or service fees | |
Class 2 | 122,977 |
Class 3 | 1,598,468 |
Service fees | 798,294 |
Compensation of board members | 53,018 |
Custodian fees | 25,620 |
Printing and postage fees | 63,051 |
Audit fees | 29,500 |
Legal fees | 62,214 |
Interest on collateral | 1,123 |
Compensation of chief compliance officer | 596 |
Other | 61,305 |
Total expenses | 28,147,326 |
Net investment income | 39,790,300 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 219,601,099 |
Investments — affiliated issuers | (18,340) |
Foreign currency translations | (151) |
Futures contracts | (5,198,967) |
Net realized gain | 214,383,641 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (1,109,906,405) |
Investments — affiliated issuers | 4,846 |
Futures contracts | (4,107,967) |
Net change in unrealized appreciation (depreciation) | (1,114,009,526) |
Net realized and unrealized loss | (899,625,885) |
Net decrease in net assets resulting from operations | $(859,835,585) |
14 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $39,790,300 | $42,506,234 |
Net realized gain | 214,383,641 | 1,047,675,021 |
Net change in unrealized appreciation (depreciation) | (1,114,009,526) | 204,271,682 |
Net increase (decrease) in net assets resulting from operations | (859,835,585) | 1,294,452,937 |
Decrease in net assets from capital stock activity | (281,067,397) | (1,627,511,802) |
Total decrease in net assets | (1,140,902,982) | (333,058,865) |
Net assets at beginning of year | 4,708,513,038 | 5,041,571,903 |
Net assets at end of year | $3,567,610,056 | $4,708,513,038 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 288,893 | 21,301,846 | 157,955 | 12,007,746 |
Redemptions | (2,396,312) | (189,159,514) | (20,676,360) | (1,495,894,104) |
Net decrease | (2,107,419) | (167,857,668) | (20,518,405) | (1,483,886,358) |
Class 2 | ||||
Subscriptions | 93,482 | 7,076,086 | 75,216 | 5,837,666 |
Redemptions | (63,257) | (4,677,754) | (74,199) | (5,692,992) |
Net increase | 30,225 | 2,398,332 | 1,017 | 144,674 |
Class 3 | ||||
Subscriptions | 2,954 | 220,119 | 16,044 | 1,225,611 |
Redemptions | (1,524,044) | (115,828,180) | (1,884,721) | (144,995,729) |
Net decrease | (1,521,090) | (115,608,061) | (1,868,677) | (143,770,118) |
Total net decrease | (3,598,284) | (281,067,397) | (22,386,065) | (1,627,511,802) |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $88.63 | 0.81 | (17.40) | (16.59) |
Year Ended 12/31/2021 | $66.77 | 0.75 | 21.11 | 21.86 |
Year Ended 12/31/2020 | $58.51 | 0.79 | 7.47 | 8.26 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $86.12 | 0.60 | (16.91) | (16.31) |
Year Ended 12/31/2021 | $65.04 | 0.55 | 20.53 | 21.08 |
Year Ended 12/31/2020 | $57.13 | 0.63 | 7.28 | 7.91 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $87.31 | 0.70 | (17.13) | (16.43) |
Year Ended 12/31/2021 | $65.86 | 0.65 | 20.80 | 21.45 |
Year Ended 12/31/2020 | $57.78 | 0.71 | 7.37 | 8.08 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $72.04 | (18.72%) | 0.67%(c) | 0.67%(c) | 1.05% | 50% | $2,376,866 |
Year Ended 12/31/2021 | $88.63 | 32.74% | 0.67%(c) | 0.67%(c) | 0.96% | 58% | $3,111,300 |
Year Ended 12/31/2020 | $66.77 | 14.12% | 0.66% | 0.66% | 1.36% | 74% | $3,713,795 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $69.81 | (18.94%) | 0.92%(c) | 0.92%(c) | 0.80% | 50% | $46,623 |
Year Ended 12/31/2021 | $86.12 | 32.41% | 0.92%(c) | 0.92%(c) | 0.73% | 58% | $54,906 |
Year Ended 12/31/2020 | $65.04 | 13.85% | 0.91% | 0.91% | 1.12% | 74% | $41,400 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $70.88 | (18.82%) | 0.80%(c) | 0.80%(c) | 0.93% | 50% | $1,144,120 |
Year Ended 12/31/2021 | $87.31 | 32.57% | 0.79%(c) | 0.79%(c) | 0.85% | 58% | $1,542,306 |
Year Ended 12/31/2020 | $65.86 | 13.98% | 0.79% | 0.79% | 1.24% | 74% | $1,286,377 |
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% | $1,139,339 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
December 31, 2022
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 2,188,680* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (5,198,967) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (4,107,967) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 47,301,381 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 23 |
December 31, 2022
Contractual expense cap July 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.69% | 0.69% | 0.69% |
Class 2 | 0.94 | 0.94 | 0.94 |
Class 3 | 0.815 | 0.815 | 0.815 |
24 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 27 |
28 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 29 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
30 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 31 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
32 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 | 33 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
34 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | ||||
Inception | 1 Year | Life | ||
Class 1 | 01/04/18 | -19.56 | 8.19 | |
Class 2 | 01/04/18 | -19.80 | 7.91 | |
S&P 500 Index | -18.11 | 9.03 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 99.4 |
Money Market Funds | 0.6 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 8.8 |
Consumer Discretionary | 7.6 |
Consumer Staples | 8.2 |
Energy | 4.7 |
Financials | 10.4 |
Health Care | 17.1 |
Industrials | 10.9 |
Information Technology | 26.2 |
Real Estate | 2.4 |
Utilities | 3.7 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
(Unaudited)
• | Stock selection within consumer discretionary, information technology and financials weighed most heavily on return. |
• | Within consumer discretionary, Target Corp. was a leading laggard on disappointing quarterly results and a weaker outlook as consumer preferences shifted from pandemic-driven categories toward less discretionary items. Target was forced to pursue markdowns against an excess of inventory in those categories customers began to rotate away from as the effects of the pandemic waned. These markdowns created significant pressure on margins that is likely to continue in 2023. We exited our position in Target during the year. |
• | Shares of General Motors Co. underperformed on concerns that higher prices for gasoline and other goods will hurt auto demand. We exited our position in General Motors during the year. |
• | Shares of Amazon.com, Inc. lagged, along with other growth-oriented stocks, against the backdrop of rising interest rates. The company has also faced tough post-pandemic shutdown comparisons. In addition, Amazon has been investing heavily to meet demand, which has weighed on margins. As with prior investment cycles, while creating near term pressure on margins, we expect Amazon’s elevated investment will leave the company even better positioned to continue to grow and take market share. |
• | Within information technology, shares of Adobe, Inc. dropped after the company announced its acquisition of Figma, a software application that enables online collaborative design. The market reacted negatively to the price paid for Figma given the uncertain macro backdrop, and questions arose about Adobe’s underlying growth trajectory. We continue to believe Adobe has a strong product “moat” with a good growth opportunity going forward, reinforced by the company’s positive growth update at its following Analyst Day. We also think it is likely that over time the integration of Figma will prove to be significantly accretive to Adobe’s earnings and expand the company’s growth avenues. |
• | ServiceNow, Inc. underperformed significantly after the CEO was the first within the software sector to reference longer deal cycles. This has been a common theme among software companies and ServiceNow’s earnings do not suggest that the company is being impacted any more than its peers. |
• | A number of semiconductor holdings posted weak returns, including NVIDIA Corp. and Applied Materials, Inc. The group is highly cyclical and softening demand in certain consumer-end markets beginning in the middle of the year, such as cell phones and PCs, along with rising inventory levels weighed on performance. |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Within financials, State Street Corp. and Bank of America Corp. were negative contributors. Banks underperformed during the year as the focus of investors shifted away from the benefit to net interest margins from rising interest rates and towards the negative impact on earnings of a potential recession. State Street also was challenged by regulatory issues around its proposed and ultimately abandoned acquisition of Brown Brothers Harriman. |
• | Finally, debt rating service S&P Global, Inc. was negatively impacted by weak capital markets and lower debt issuance levels. |
• | Positive contributions to the Fund’s performance were led by selections within the healthcare, communication services and industrials sectors. |
• | Within healthcare, AbbVie, Inc. received FDA approval for use of its arthritis drug Rinvoq in a new indication for atopic dermatitis. The ability for Rinvoq to be approved for new indications was uncertain after the FDA required “black box” label warnings for all drugs in its classification. The approval sent a positive message for the growth potential of the Rinvoq franchise. |
• | Shares of Eli Lily & Co. were boosted as competitor Biogen reported trial results for its Alzheimer’s drug that showed significant slowing in disease progression. Eli Lily has a similar drug in development and the results from Biogen bode well for its efficacy. In addition, Eli Lily’s diabetes drug Tirzepatide has shown positive indications as a weight loss drug. |
• | Overweights to Elevance Health, Inc. and UnitedHealth Group, Inc. also proved beneficial as we believe managed care companies are viewed by the market as relatively defensive. |
• | Within communication services, Comcast Corp. outperformed on results which were better than – admittedly low – expectations. The company has managed to grow broadband revenues, despite slowing or negative growth in subscriptions, driven in part by reduced housing market turnover which has recently constrained opportunities to acquire customers. The stock is viewed as a relatively defensive holding which also helped support the share price. |
• | An overweight to video game company Electronic Arts, Inc. also contributed. The company is in a relatively stable business that we view as attractive in a weaker economic environment, and also raised guidance early in the year based on strong engagement in live services. |
• | Within industrials, sentiment with respect to aerospace and defense company Raytheon Technologies Corp. benefited as international air travel resumed and the outlook for defense spending globally strengthened in the wake of Russia’s invasion of Ukraine. |
6 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,008.90 | 1,021.66 | 3.42 | 3.45 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 1,007.60 | 1,020.36 | 4.73 | 4.76 | 0.94 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 99.4% | ||
Issuer | Shares | Value ($) |
Communication Services 8.7% | ||
Diversified Telecommunication Services 1.6% | ||
AT&T, Inc. | 2,497,401 | 45,977,152 |
Entertainment 1.2% | ||
Electronic Arts, Inc. | 300,666 | 36,735,372 |
Interactive Media & Services 4.2% | ||
Alphabet, Inc., Class C(a) | 1,411,515 | 125,243,726 |
Media 1.7% | ||
Comcast Corp., Class A | 1,427,879 | 49,932,929 |
Total Communication Services | 257,889,179 | |
Consumer Discretionary 7.6% | ||
Automobiles 0.6% | ||
Tesla, Inc.(a) | 137,644 | 16,954,988 |
Hotels, Restaurants & Leisure 1.4% | ||
Hilton Worldwide Holdings, Inc. | 314,115 | 39,691,571 |
Internet & Direct Marketing Retail 3.4% | ||
Amazon.com, Inc.(a) | 1,210,055 | 101,644,620 |
Specialty Retail 2.2% | ||
Home Depot, Inc. (The) | 208,663 | 65,908,295 |
Total Consumer Discretionary | 224,199,474 | |
Consumer Staples 8.1% | ||
Beverages 1.7% | ||
Constellation Brands, Inc., Class A | 215,511 | 49,944,674 |
Food & Staples Retailing 2.0% | ||
Walmart, Inc. | 430,850 | 61,090,222 |
Food Products 1.6% | ||
Hershey Co. (The) | 205,486 | 47,584,393 |
Household Products 2.8% | ||
Procter & Gamble Co. (The) | 541,618 | 82,087,624 |
Total Consumer Staples | 240,706,913 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 4.7% | ||
Oil, Gas & Consumable Fuels 4.7% | ||
ConocoPhillips Co. | 483,011 | 56,995,298 |
Exxon Mobil Corp. | 747,579 | 82,457,964 |
Total | 139,453,262 | |
Total Energy | 139,453,262 | |
Financials 10.4% | ||
Banks 2.6% | ||
Bank of America Corp. | 1,760,359 | 58,303,090 |
Popular, Inc. | 270,771 | 17,957,533 |
Total | 76,260,623 | |
Capital Markets 4.7% | ||
Morgan Stanley | 589,740 | 50,139,695 |
S&P Global, Inc. | 134,191 | 44,945,933 |
State Street Corp. | 578,654 | 44,886,191 |
Total | 139,971,819 | |
Consumer Finance 1.3% | ||
Discover Financial Services | 402,028 | 39,330,399 |
Insurance 1.8% | ||
MetLife, Inc. | 707,697 | 51,216,032 |
Total Financials | 306,778,873 | |
Health Care 17.0% | ||
Biotechnology 3.9% | ||
AbbVie, Inc. | 406,460 | 65,688,001 |
BioMarin Pharmaceutical, Inc.(a) | 220,392 | 22,808,368 |
Vertex Pharmaceuticals, Inc.(a) | 90,582 | 26,158,270 |
Total | 114,654,639 | |
Health Care Equipment & Supplies 3.1% | ||
Boston Scientific Corp.(a) | 954,484 | 44,163,975 |
Intuitive Surgical, Inc.(a) | 175,478 | 46,563,087 |
Total | 90,727,062 | |
Health Care Providers & Services 4.3% | ||
Elevance Health, Inc. | 95,980 | 49,234,860 |
UnitedHealth Group, Inc. | 148,971 | 78,981,445 |
Total | 128,216,305 |
8 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 5.7% | ||
Eli Lilly & Co. | 176,121 | 64,432,107 |
Merck & Co., Inc. | 567,519 | 62,966,233 |
Zoetis, Inc. | 289,199 | 42,382,113 |
Total | 169,780,453 | |
Total Health Care | 503,378,459 | |
Industrials 10.9% | ||
Aerospace & Defense 1.7% | ||
Raytheon Technologies Corp. | 478,498 | 48,290,018 |
Air Freight & Logistics 1.4% | ||
United Parcel Service, Inc., Class B | 241,053 | 41,904,654 |
Building Products 1.3% | ||
Trane Technologies PLC | 232,159 | 39,023,606 |
Commercial Services & Supplies 2.5% | ||
Cintas Corp. | 83,104 | 37,531,428 |
Republic Services, Inc. | 278,428 | 35,914,428 |
Total | 73,445,856 | |
Construction & Engineering 1.2% | ||
MasTec, Inc.(a) | 405,129 | 34,569,658 |
Machinery 1.3% | ||
Parker-Hannifin Corp. | 132,094 | 38,439,354 |
Road & Rail 1.5% | ||
Union Pacific Corp. | 218,561 | 45,257,426 |
Total Industrials | 320,930,572 | |
Information Technology 26.0% | ||
Communications Equipment 1.9% | ||
Cisco Systems, Inc. | 1,147,336 | 54,659,087 |
Electronic Equipment, Instruments & Components 1.2% | ||
TE Connectivity Ltd. | 317,711 | 36,473,223 |
IT Services 2.1% | ||
MasterCard, Inc., Class A | 181,881 | 63,245,480 |
Semiconductors & Semiconductor Equipment 5.0% | ||
Applied Materials, Inc. | 418,122 | 40,716,720 |
Broadcom, Inc. | 104,066 | 58,186,423 |
NVIDIA Corp. | 335,466 | 49,025,001 |
Total | 147,928,144 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 10.8% | ||
Adobe, Inc.(a) | 148,816 | 50,081,048 |
Microsoft Corp. | 835,730 | 200,424,769 |
Palo Alto Networks, Inc.(a) | 215,176 | 30,025,659 |
ServiceNow, Inc.(a) | 101,508 | 39,412,511 |
Total | 319,943,987 | |
Technology Hardware, Storage & Peripherals 5.0% | ||
Apple, Inc. | 1,128,932 | 146,682,135 |
Total Information Technology | 768,932,056 | |
Real Estate 2.3% | ||
Equity Real Estate Investment Trusts (REITS) 2.3% | ||
Invitation Homes, Inc. | 995,692 | 29,512,311 |
Prologis, Inc. | 351,975 | 39,678,142 |
Total | 69,190,453 | |
Total Real Estate | 69,190,453 | |
Utilities 3.7% | ||
Electric Utilities 1.9% | ||
American Electric Power Co., Inc. | 586,102 | 55,650,385 |
Multi-Utilities 1.8% | ||
Ameren Corp. | 596,951 | 53,080,883 |
Total Utilities | 108,731,268 | |
Total Common Stocks (Cost $2,679,521,368) | 2,940,190,509 | |
Money Market Funds 0.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 18,101,861 | 18,096,430 |
Total Money Market Funds (Cost $18,092,799) | 18,096,430 | |
Total Investments in Securities (Cost: $2,697,614,167) | 2,958,286,939 | |
Other Assets & Liabilities, Net | 1,037,517 | |
Net Assets | 2,959,324,456 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 9 |
December 31, 2022
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
5,247,185 | 472,342,595 | (459,496,962) | 3,612 | 18,096,430 | 5,341 | 480,439 | 18,101,861 |
■ | 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 | 257,889,179 | — | — | 257,889,179 |
Consumer Discretionary | 224,199,474 | — | — | 224,199,474 |
Consumer Staples | 240,706,913 | — | — | 240,706,913 |
Energy | 139,453,262 | — | — | 139,453,262 |
Financials | 306,778,873 | — | — | 306,778,873 |
Health Care | 503,378,459 | — | — | 503,378,459 |
Industrials | 320,930,572 | — | — | 320,930,572 |
10 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
December 31, 2022
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | 768,932,056 | — | — | 768,932,056 |
Real Estate | 69,190,453 | — | — | 69,190,453 |
Utilities | 108,731,268 | — | — | 108,731,268 |
Total Common Stocks | 2,940,190,509 | — | — | 2,940,190,509 |
Money Market Funds | 18,096,430 | — | — | 18,096,430 |
Total Investments in Securities | 2,958,286,939 | — | — | 2,958,286,939 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,679,521,368) | $2,940,190,509 |
Affiliated issuers (cost $18,092,799) | 18,096,430 |
Cash | 1 |
Receivable for: | |
Capital shares sold | 15,046 |
Dividends | 1,693,222 |
Prepaid expenses | 21,555 |
Total assets | 2,960,016,763 |
Liabilities | |
Payable for: | |
Capital shares purchased | 535,130 |
Management services fees | 54,527 |
Distribution and/or service fees | 3 |
Compensation of board members | 68,825 |
Compensation of chief compliance officer | 581 |
Other expenses | 33,241 |
Total liabilities | 692,307 |
Net assets applicable to outstanding capital stock | $2,959,324,456 |
Represented by | |
Trust capital | $2,959,324,456 |
Total - representing net assets applicable to outstanding capital stock | $2,959,324,456 |
Class 1 | |
Net assets | $2,958,819,558 |
Shares outstanding | 199,826,418 |
Net asset value per share | $14.81 |
Class 2 | |
Net assets | $504,898 |
Shares outstanding | 34,528 |
Net asset value per share | $14.62 |
12 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $49,793,777 |
Dividends — affiliated issuers | 480,439 |
Interfund lending | 2,389 |
Foreign taxes withheld | (64,862) |
Total income | 50,211,743 |
Expenses: | |
Management services fees | 21,705,514 |
Distribution and/or service fees | |
Class 2 | 206 |
Service fees | 17 |
Compensation of board members | 58,705 |
Custodian fees | 16,760 |
Printing and postage fees | 7,412 |
Audit fees | 29,500 |
Legal fees | 53,663 |
Interest on interfund lending | 62 |
Compensation of chief compliance officer | 475 |
Other | 46,568 |
Total expenses | 21,918,882 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (4) |
Total net expenses | 21,918,878 |
Net investment income | 28,292,865 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 77,858,999 |
Investments — affiliated issuers | 5,341 |
Net realized gain | 77,864,340 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (855,802,834) |
Investments — affiliated issuers | 3,612 |
Net change in unrealized appreciation (depreciation) | (855,799,222) |
Net realized and unrealized loss | (777,934,882) |
Net decrease in net assets resulting from operations | $(749,642,017) |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $28,292,865 | $25,211,560 |
Net realized gain | 77,864,340 | 152,248,817 |
Net change in unrealized appreciation (depreciation) | (855,799,222) | 721,257,304 |
Net increase (decrease) in net assets resulting from operations | (749,642,017) | 898,717,681 |
Increase (decrease) in net assets from capital stock activity | (251,251,689) | 991,765,438 |
Total increase (decrease) in net assets | (1,000,893,706) | 1,890,483,119 |
Net assets at beginning of year | 3,960,218,162 | 2,069,735,043 |
Net assets at end of year | $2,959,324,456 | $3,960,218,162 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,554,957 | 23,506,671 | 95,447,317 | 1,434,389,211 |
Redemptions | (16,827,315) | (275,260,145) | (25,798,421) | (442,623,773) |
Net increase (decrease) | (15,272,358) | (251,753,474) | 69,648,896 | 991,765,438 |
Class 2 | ||||
Subscriptions | 34,315 | 502,352 | — | — |
Redemptions | (37) | (567) | — | — |
Net increase | 34,278 | 501,785 | — | — |
Total net increase (decrease) | (15,238,080) | (251,251,689) | 69,648,896 | 991,765,438 |
14 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $18.41 | 0.14 | (3.74) | (3.60) |
Year Ended 12/31/2021 | $14.23 | 0.12 | 4.06 | 4.18 |
Year Ended 12/31/2020 | $11.89 | 0.19 | 2.15 | 2.34 |
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 | ||||
Year Ended 12/31/2022 | $18.23 | 0.14 | (3.75) | (3.61) |
Year Ended 12/31/2021 | $14.12 | 0.07 | 4.04 | 4.11 |
Year Ended 12/31/2020 | $11.83 | 0.16 | 2.13 | 2.29 |
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) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | The Fund commenced operations on January 4, 2018. Per share data and total return reflect activity from that date. |
(e) | Annualized. |
16 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $14.81 | (19.56%) | 0.67%(c) | 0.67%(c) | 0.87% | 44% | $2,958,820 |
Year Ended 12/31/2021 | $18.41 | 29.37% | 0.66%(c) | 0.66%(c) | 0.71% | 60% | $3,960,214 |
Year Ended 12/31/2020 | $14.23 | 19.68% | 0.73% | 0.69% | 1.59% | 65% | $2,069,732 |
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%(e) | 0.69%(e) | 1.27%(e) | 58% | $1,070,480 |
Class 2 | |||||||
Year Ended 12/31/2022 | $14.62 | (19.80%) | 0.95%(c) | 0.94%(c) | 0.98% | 44% | $505 |
Year Ended 12/31/2021 | $18.23 | 29.11% | 0.91%(c) | 0.91%(c) | 0.45% | 60% | $5 |
Year Ended 12/31/2020 | $14.12 | 19.36% | 0.97% | 0.94% | 1.32% | 65% | $4 |
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%(e) | 0.94%(e) | 0.84%(e) | 58% | $2 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
December 31, 2022
Contractual expense cap July 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.69% | 0.69% | 0.69% |
Class 2 | 0.94 | 0.94 | 0.94 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 21 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 3,700,000 | 0.61 | 1 |
Lender | 8,200,000 | 2.10 | 5 |
22 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 25 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
26 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
28 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 29 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
30 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2022 | 31 |
December 31, 2022
3 | |
6 | |
8 | |
9 | |
28 | |
29 | |
30 | |
32 | |
34 | |
51 | |
52 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -13.49 | -0.67 | -1.19 | |
Class 2 | 05/03/10 | -13.63 | -0.91 | -1.43 | |
Class 3 | 05/01/96 | -13.60 | -0.81 | -1.32 | |
Bloomberg Global Aggregate Hedged USD Index | -11.22 | 0.36 | 1.70 | ||
Bloomberg Global Credit Hedged USD Index | -14.22 | 0.39 | 1.95 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 3 |
(Unaudited)
Quality breakdown (%) (at December 31, 2022) | |
AAA rating | 4.0 |
AA rating | 3.7 |
A rating | 11.7 |
BBB rating | 37.8 |
BB rating | 20.3 |
B rating | 10.8 |
CCC rating | 2.1 |
Not rated | 9.6 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
(Unaudited)
Country breakdown (%) (at December 31, 2022) | |
Angola | 0.2 |
Australia | 0.5 |
Azerbaijan | 0.2 |
Belarus | 0.1 |
Belgium | 0.3 |
Bermuda | 1.0 |
Canada | 0.6 |
Cayman Islands | 0.6 |
China | 0.2 |
Colombia | 1.3 |
Denmark | 0.1 |
Dominican Republic | 1.2 |
Egypt | 0.5 |
Finland | 0.1 |
France | 2.5 |
Germany | 3.5 |
Guatemala | 0.2 |
Hungary | 0.4 |
India | 1.2 |
Indonesia | 1.0 |
Ireland | 0.5 |
Isle of Man | 0.3 |
Italy | 0.8 |
Ivory Coast | 0.5 |
Jersey | 0.7 |
Liberia | 0.1 |
Luxembourg | 1.3 |
Malaysia | 0.2 |
Mauritius | 0.6 |
Mexico | 0.9 |
Netherlands | 4.1 |
Oman | 0.2 |
Panama | 0.8 |
Paraguay | 0.2 |
Poland | 0.3 |
Qatar | 1.3 |
Romania | 0.7 |
Saudi Arabia | 1.0 |
South Africa | 0.4 |
Spain | 0.7 |
Sweden | 1.1 |
Switzerland | 0.6 |
Turkey | 0.8 |
Ukraine | 0.1 |
United Arab Emirates | 1.0 |
United Kingdom | 8.5 |
United States(a) | 56.3 |
Virgin Islands | 0.3 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Positioning in U.S. high-yield corporate bonds and U.S. investment-grade corporate bonds detracted from the Fund’s performance during the annual period. The Fund began the annual period with a diversified exposure to credit sectors, as most valuations, in our view, were fair to attractive at the start of the year. |
• | Among structured securities, positioning in agency securities, asset-backed securities, commercial mortgage-backed securities and non-agency residential mortgage-backed securities all detracted from the Fund’s relative results. |
• | The Fund’s duration positioning overall contributed significantly to relative performance. The Fund held a shorter duration than the benchmark throughout the annual period, which helped as interest rates rose. A shorter duration means that a fund is less sensitive to changes in interest rates. |
• | During a challenging annual period for fixed income, wherein nearly every sector posted a negative return, having a modest allocation to cash instruments added value, as risk-free rates increased. |
6 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
(Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 994.60 | 1,021.76 | 3.30 | 3.35 | 0.66 |
Class 2 | 1,000.00 | 1,000.00 | 994.50 | 1,020.51 | 4.55 | 4.61 | 0.91 |
Class 3 | 1,000.00 | 1,000.00 | 993.20 | 1,021.16 | 3.90 | 3.95 | 0.78 |
8 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Asset-Backed Securities — Non-Agency 2.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cayman Islands 0.6% | ||||
Octagon Investment Partners Ltd.(a),(b) | ||||
Series 2018-18A Class A2 | ||||
3-month USD LIBOR + 1.470% 04/16/2031 | 5.549% | 500,000 | 480,673 | |
United States 2.2% | ||||
Exeter Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class E | ||||
07/17/2028 | 2.900% | 600,000 | 523,013 | |
FREED ABS Trust(a) | ||||
Subordinated Series 2021-1CP Class B | ||||
03/20/2028 | 1.410% | 200,226 | 199,128 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 88,822 | 85,766 | |
Marlette Funding Trust(a) | ||||
Series 2021-1A Class D | ||||
06/16/2031 | 2.470% | 400,000 | 362,066 | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A1R2 | ||||
3-month USD LIBOR + 1.090% Floor 1.090% 01/15/2030 | 5.169% | 250,000 | 246,667 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST6 Class A | ||||
08/20/2027 | 1.850% | 369,227 | 344,282 | |
Total | 1,760,922 | |||
Total Asset-Backed Securities — Non-Agency (Cost $2,394,784) | 2,241,595 | |||
Commercial Mortgage-Backed Securities - Non-Agency(c) 4.3% | ||||
United Kingdom 0.4% | ||||
Tesco Property Finance 3 PLC(a) | ||||
04/13/2040 | 5.744% | GBP | 271,635 | 307,119 |
United States 3.9% | ||||
BAMLL Commercial Mortgage Securities Trust(a),(b) | ||||
Subordinated Series 2018-DSNY Class D | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 09/15/2034 | 6.018% | 500,000 | 472,442 | |
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 5.568% | 500,000 | 481,945 |
Commercial Mortgage-Backed Securities - Non-Agency(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 600,000 | 503,635 | |
BX Trust(a),(d) | ||||
Subordinated Series 2019-OC11 Class D | ||||
12/09/2041 | 3.944% | 500,000 | 398,458 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 750,000 | 415,727 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 160,000 | 80,461 | |
CSMC Trust(a),(d) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.283% | 300,000 | 212,150 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 550,000 | 508,336 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 100,000 | 90,629 | |
Total | 3,163,783 | |||
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $4,193,922) | 3,470,902 | |||
Convertible Bonds 0.0% | ||||
United States 0.0% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 28,000 | 17,542 | |
Total Convertible Bonds (Cost $26,732) | 17,542 | |||
Corporate Bonds & Notes(c) 55.0% | ||||
Australia 0.5% | ||||
APT Pipelines Ltd.(a) | ||||
07/15/2030 | 2.000% | EUR | 300,000 | 265,331 |
Ausgrid Finance Pty, Ltd.(a) | ||||
10/07/2031 | 0.875% | EUR | 200,000 | 158,538 |
Total | 423,869 | |||
Belgium 0.3% | ||||
Anheuser-Busch InBev SA/NV(a) | ||||
04/02/2040 | 3.700% | EUR | 150,000 | 147,369 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 9 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Telenet Finance Luxembourg Notes Sarl(a) | ||||
03/01/2028 | 3.500% | EUR | 100,000 | 96,678 |
Total | 244,047 | |||
Bermuda 1.0% | ||||
Bacardi Ltd.(a) | ||||
07/03/2023 | 2.750% | EUR | 450,000 | 480,346 |
05/15/2048 | 5.300% | 345,000 | 309,417 | |
Total | 789,763 | |||
Canada 0.5% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 14,000 | 13,930 | |
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 5,000 | 4,871 | |
Air Canada(a) | ||||
08/15/2026 | 3.875% | 14,000 | 12,438 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 19,000 | 13,071 | |
06/01/2028 | 4.875% | 7,000 | 4,478 | |
09/30/2028 | 11.000% | 9,000 | 7,058 | |
10/15/2030 | 14.000% | 1,000 | 594 | |
GFL Environmental, Inc.(a) | ||||
08/01/2025 | 3.750% | 18,000 | 16,999 | |
12/15/2026 | 5.125% | 10,000 | 9,611 | |
08/01/2028 | 4.000% | 41,000 | 35,669 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2026 | 4.500% | 5,000 | 4,565 | |
04/01/2029 | 6.125% | 22,000 | 20,051 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 26,000 | 25,436 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 6,000 | 5,916 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 124,000 | 104,840 | |
Waste Connections, Inc. | ||||
01/15/2033 | 4.200% | 150,000 | 139,350 | |
Total | 418,877 | |||
Cayman Islands 0.0% | ||||
Global Aircraft Leasing Co., Ltd.(a),(e) | ||||
09/15/2024 | 6.500% | 23,382 | 19,930 | |
China 0.2% | ||||
JD.com, Inc. | ||||
01/14/2030 | 3.375% | 200,000 | 175,162 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Denmark 0.1% | ||||
Danske Bank A/S(a),(f) | ||||
Subordinated | ||||
05/15/2031 | 1.000% | EUR | 100,000 | 92,563 |
Finland 0.1% | ||||
Teollisuuden Voima OYJ(a) | ||||
02/04/2025 | 2.125% | EUR | 100,000 | 101,611 |
France 2.1% | ||||
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 16,000 | 14,606 | |
01/15/2028 | 5.500% | 24,000 | 18,843 | |
07/15/2029 | 5.125% | 23,000 | 17,203 | |
Cab SELAS(a) | ||||
02/01/2028 | 3.375% | EUR | 100,000 | 85,945 |
Casino Guichard Perrachon SA(a) | ||||
01/15/2026 | 6.625% | EUR | 100,000 | 58,150 |
Credit Agricole SA(a) | ||||
02/24/2029 | 1.125% | EUR | 200,000 | 182,485 |
07/03/2029 | 1.000% | EUR | 200,000 | 179,161 |
Crown European Holdings SA(a) | ||||
09/30/2024 | 2.625% | EUR | 100,000 | 104,633 |
Elis SA(a) | ||||
04/11/2024 | 1.750% | EUR | 100,000 | 103,916 |
Faurecia SE(a) | ||||
06/15/2027 | 2.375% | EUR | 100,000 | 89,434 |
Foncia Management SASU(a) | ||||
03/31/2028 | 3.375% | EUR | 100,000 | 89,089 |
Getlink SE(a) | ||||
10/30/2025 | 3.500% | EUR | 100,000 | 104,139 |
Iliad Holding SA(a) | ||||
10/15/2026 | 5.125% | EUR | 100,000 | 99,017 |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 36,000 | 33,436 | |
10/15/2028 | 7.000% | 37,000 | 33,558 | |
iliad SA(a) | ||||
06/17/2026 | 2.375% | EUR | 100,000 | 96,533 |
Rexel SA(a) | ||||
06/15/2028 | 2.125% | EUR | 100,000 | 94,040 |
SANEF SA(a) | ||||
03/16/2026 | 1.875% | EUR | 200,000 | 198,873 |
Verallia SA(a) | ||||
11/10/2031 | 1.875% | EUR | 100,000 | 83,123 |
Total | 1,686,184 |
10 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Germany 2.9% | ||||
Amprion GmbH(a) | ||||
09/23/2033 | 0.625% | EUR | 300,000 | 224,345 |
Aroundtown SA(a) | ||||
01/31/2028 | 1.625% | EUR | 300,000 | 210,614 |
Bayer AG(a) | ||||
01/06/2030 | 1.125% | EUR | 300,000 | 264,066 |
Cheplapharm Arzneimittel GmbH(a) | ||||
02/11/2027 | 3.500% | EUR | 100,000 | 93,665 |
Commerzbank AG(a) | ||||
12/04/2026 | 0.500% | EUR | 350,000 | 330,350 |
Deutsche Bank AG(a),(f) | ||||
11/19/2030 | 1.750% | EUR | 100,000 | 83,749 |
Deutsche Lufthansa AG(a) | ||||
02/11/2025 | 2.875% | EUR | 100,000 | 100,819 |
Eurogrid GmbH(a) | ||||
04/21/2033 | 0.741% | EUR | 200,000 | 155,577 |
Grand City Properties SA(a) | ||||
01/11/2028 | 0.125% | EUR | 100,000 | 71,511 |
Gruenenthal GmbH(a) | ||||
11/15/2026 | 3.625% | EUR | 100,000 | 97,917 |
Mahle GmbH(a) | ||||
05/14/2028 | 2.375% | EUR | 100,000 | 76,886 |
Schaeffler AG(a) | ||||
10/12/2025 | 2.750% | EUR | 100,000 | 101,719 |
Techem Verwaltungsgesellschaft 674 mbH(a) | ||||
07/30/2026 | 6.000% | EUR | 87,920 | 88,301 |
thyssenkrupp AG(a) | ||||
02/22/2024 | 2.875% | EUR | 100,000 | 105,302 |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 10,000 | 8,195 | |
Vier Gas Transport GmbH(a) | ||||
09/10/2029 | 0.125% | EUR | 100,000 | 80,899 |
Vonovia SE(a) | ||||
06/28/2028 | 1.875% | EUR | 200,000 | 182,009 |
ZF Finance GmbH(a) | ||||
05/03/2028 | 2.250% | EUR | 100,000 | 83,577 |
Total | 2,359,501 | |||
India 0.8% | ||||
Adani Ports & Special Economic Zone Ltd.(a) | ||||
07/30/2027 | 4.000% | 400,000 | 349,248 | |
GMR Hyderabad International Airport Ltd.(a) | ||||
10/27/2027 | 4.250% | 300,000 | 260,053 | |
Total | 609,301 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ireland 0.5% | ||||
AIB Group PLC(a),(f) | ||||
Subordinated | ||||
05/30/2031 | 2.875% | EUR | 120,000 | 115,343 |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 25,000 | 21,672 | |
eircom Finance DAC(a) | ||||
05/15/2026 | 3.500% | EUR | 100,000 | 96,709 |
Endo Dac/Finance LLC/Finco, Inc.(a),(g) | ||||
06/30/2028 | 0.000% | 11,000 | 627 | |
Experian Europe DAC(a) | ||||
05/16/2031 | 1.560% | EUR | 200,000 | 176,429 |
Total | 410,780 | |||
Isle of Man 0.3% | ||||
AngloGold Ashanti Holdings PLC | ||||
10/01/2030 | 3.750% | 200,000 | 174,651 | |
Playtech PLC(a) | ||||
10/12/2023 | 3.750% | EUR | 37,736 | 39,997 |
Total | 214,648 | |||
Italy 0.8% | ||||
Autostrade per l’Italia SpA(a) | ||||
02/01/2027 | 1.750% | EUR | 100,000 | 93,339 |
12/04/2028 | 2.000% | EUR | 200,000 | 176,279 |
09/26/2029 | 1.875% | EUR | 200,000 | 169,952 |
Nexi SpA(a) | ||||
04/30/2029 | 2.125% | EUR | 100,000 | 86,965 |
Telecom Italia SpA(a) | ||||
01/19/2024 | 3.625% | EUR | 100,000 | 104,395 |
Total | 630,930 | |||
Jersey 0.6% | ||||
Adient Global Holdings Ltd.(a) | ||||
08/15/2024 | 3.500% | EUR | 100,000 | 102,799 |
Avis Budget Finance PLC(a) | ||||
05/15/2025 | 4.500% | EUR | 100,000 | 101,412 |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2036 | 2.625% | 400,000 | 321,889 | |
Total | 526,100 | |||
Liberia 0.1% | ||||
Royal Caribbean Cruises Ltd.(a) | ||||
07/01/2026 | 4.250% | 19,000 | 15,384 | |
08/31/2026 | 5.500% | 20,000 | 16,827 | |
07/15/2027 | 5.375% | 11,000 | 8,949 | |
04/01/2028 | 5.500% | 19,000 | 15,177 | |
01/15/2029 | 8.250% | 20,000 | 20,114 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 11 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Royal Caribbean Cruises Ltd. | ||||
03/15/2028 | 3.700% | 33,000 | 24,489 | |
Total | 100,940 | |||
Luxembourg 1.3% | ||||
Altice Financing SA(a) | ||||
01/15/2025 | 2.250% | EUR | 100,000 | 98,439 |
Altice France Holding SA(a) | ||||
05/15/2027 | 8.000% | EUR | 100,000 | 79,167 |
02/15/2028 | 6.000% | 50,000 | 29,522 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 45,000 | 42,227 | |
Garfunkelux Holdco 3 SA(a) | ||||
11/01/2025 | 6.750% | EUR | 100,000 | 86,034 |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 19,000 | 15,195 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 19,000 | 15,860 | |
Loarre Investments Sarl(a) | ||||
05/15/2029 | 6.500% | EUR | 100,000 | 99,112 |
P3 Group Sarl(a) | ||||
01/26/2029 | 1.625% | EUR | 350,000 | 274,591 |
Prologis International Funding II SA(a) | ||||
03/23/2033 | 0.750% | EUR | 250,000 | 177,614 |
Sani/Ikos Financial Holdings 1 Sarl(a) | ||||
12/15/2026 | 5.625% | EUR | 100,000 | 99,565 |
Total | 1,017,326 | |||
Mauritius 0.5% | ||||
Network i2i Ltd.(a),(f) | ||||
12/31/2049 | 5.650% | 450,000 | 428,643 | |
Netherlands 3.4% | ||||
Braskem Netherlands Finance BV(a) | ||||
01/31/2050 | 5.875% | 200,000 | 155,133 | |
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 30,000 | 28,630 | |
Constellium SE(a) | ||||
02/15/2026 | 4.250% | EUR | 100,000 | 103,086 |
06/15/2028 | 5.625% | 9,000 | 8,322 | |
04/15/2029 | 3.750% | 43,000 | 35,013 | |
Darling Global Finance BV(a) | ||||
05/15/2026 | 3.625% | EUR | 100,000 | 104,046 |
Diageo Capital BV(a) | ||||
06/08/2034 | 1.875% | EUR | 100,000 | 89,038 |
Digital Dutch Finco BV(a) | ||||
03/15/2030 | 1.500% | EUR | 200,000 | 167,019 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
E.ON International Finance BV(a) | ||||
06/03/2030 | 6.250% | GBP | 315,000 | 396,467 |
ING Groep NV(a),(f) | ||||
02/01/2030 | 0.250% | EUR | 200,000 | 166,380 |
LKQ European Holdings BV(a) | ||||
04/01/2028 | 4.125% | EUR | 100,000 | 101,210 |
Nobel Bidco BV(a) | ||||
06/15/2028 | 3.125% | EUR | 100,000 | 72,002 |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 30,000 | 25,889 | |
OCI NV(a) | ||||
10/15/2025 | 3.625% | EUR | 90,000 | 95,292 |
Phoenix PIB Dutch Finance BV(a) | ||||
08/05/2025 | 2.375% | EUR | 100,000 | 100,309 |
PPF Telecom Group BV(a) | ||||
03/27/2026 | 3.125% | EUR | 100,000 | 100,170 |
Repsol International Finance BV(a),(f) | ||||
12/31/2049 | 3.750% | EUR | 100,000 | 99,266 |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 16,000 | 15,156 | |
Stichting AK Rabobank Certificaten(a),(f) | ||||
12/31/2049 | 6.500% | EUR | 150,000 | 154,137 |
Telefonica Europe BV(a),(f) | ||||
12/31/2049 | 3.875% | EUR | 100,000 | 97,082 |
Teva Pharmaceutical Finance Netherlands II BV | ||||
03/01/2025 | 4.500% | EUR | 100,000 | 102,434 |
Thermo Fisher Scientific Finance I BV | ||||
10/18/2041 | 1.625% | EUR | 100,000 | 71,099 |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 15,000 | 14,021 | |
08/15/2027 | 8.500% | 14,000 | 12,873 | |
United Group BV(a) | ||||
07/01/2024 | 4.875% | EUR | 100,000 | 99,552 |
Volkswagen International Finance NV(a) | ||||
11/16/2038 | 4.125% | EUR | 100,000 | 97,147 |
Vonovia Finance BV(a) | ||||
10/07/2039 | 1.625% | EUR | 200,000 | 126,138 |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 35,000 | 28,537 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 28,000 | 22,715 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 15,000 | 13,963 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 35,000 | 29,265 | |
Total | 2,731,391 |
12 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Panama 0.2% | ||||
Carnival Corp.(a) | ||||
02/01/2026 | 10.125% | EUR | 100,000 | 106,510 |
03/01/2026 | 7.625% | 25,000 | 19,967 | |
03/01/2027 | 5.750% | 25,000 | 17,837 | |
08/01/2028 | 4.000% | 19,000 | 15,479 | |
Total | 159,793 | |||
Poland 0.3% | ||||
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 9,000 | 7,875 | |
Canpack SA/US LLC(a) | ||||
11/01/2027 | 2.375% | EUR | 100,000 | 83,977 |
11/15/2029 | 3.875% | 33,000 | 26,129 | |
InPost SA(a) | ||||
07/15/2027 | 2.250% | EUR | 100,000 | 87,731 |
Total | 205,712 | |||
Spain 0.7% | ||||
Cellnex Telecom SA(a) | ||||
04/20/2027 | 1.000% | EUR | 100,000 | 91,147 |
Cirsa Finance International Sarl(a) | ||||
12/20/2023 | 6.250% | EUR | 24,132 | 25,642 |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 8,000 | 6,921 | |
Grifols SA(a) | ||||
11/15/2027 | 2.250% | EUR | 100,000 | 93,478 |
Lorca Telecom Bondco SA(a) | ||||
09/18/2027 | 4.000% | EUR | 100,000 | 95,792 |
NorteGas Energia Distribucion SA(a) | ||||
09/28/2027 | 2.065% | EUR | 235,000 | 223,243 |
Total | 536,223 | |||
Sweden 1.1% | ||||
Heimstaden Bostad AB(a),(f) | ||||
12/31/2049 | 3.375% | EUR | 100,000 | 61,176 |
Intrum AB(a) | ||||
08/15/2025 | 4.875% | EUR | 100,000 | 97,445 |
Sagax AB(a) | ||||
01/17/2024 | 2.000% | EUR | 365,000 | 374,265 |
01/30/2027 | 1.125% | EUR | 300,000 | 258,741 |
Verisure Holding AB(a) | ||||
02/15/2027 | 3.250% | EUR | 100,000 | 92,696 |
Total | 884,323 | |||
Switzerland 0.6% | ||||
Credit Suisse Group AG(a) | ||||
01/18/2033 | 0.625% | EUR | 450,000 | 264,227 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Peach Property Finance GmbH(a) | ||||
11/15/2025 | 4.375% | EUR | 100,000 | 79,357 |
SIG Combibloc PurchaseCo Sarl(a) | ||||
06/18/2025 | 2.125% | EUR | 100,000 | 103,020 |
Total | 446,604 | |||
United Kingdom 7.8% | ||||
B&M European Value Retail SA(a) | ||||
07/15/2025 | 3.625% | GBP | 100,000 | 112,155 |
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 350,000 | 271,001 | |
BAT International Finance PLC(a) | ||||
03/25/2025 | 2.750% | EUR | 200,000 | 208,646 |
Boparan Finance PLC(a) | ||||
11/30/2025 | 7.625% | GBP | 100,000 | 81,417 |
BP Capital Markets PLC(a),(f) | ||||
12/31/2049 | 3.250% | EUR | 200,000 | 196,675 |
BUPA Finance PLC(a) | ||||
Subordinated | ||||
12/08/2026 | 5.000% | GBP | 200,000 | 229,961 |
Cadent Finance PLC(a) | ||||
09/22/2024 | 0.625% | EUR | 330,000 | 334,268 |
03/11/2032 | 0.750% | EUR | 100,000 | 79,390 |
Cadent Finance, PLC(a) | ||||
03/19/2030 | 0.625% | EUR | 200,000 | 168,004 |
Co-operative Group Holdings Ltd.(a),(f) | ||||
07/08/2026 | 7.500% | GBP | 100,000 | 107,799 |
DS Smith PLC(a) | ||||
07/26/2029 | 2.875% | GBP | 270,000 | 269,480 |
HBOS PLC(f) | ||||
Subordinated | ||||
03/18/2030 | 4.500% | EUR | 255,000 | 261,663 |
HSBC Holdings PLC(f) | ||||
05/24/2032 | 2.804% | 225,000 | 173,683 | |
11/22/2032 | 2.871% | 32,000 | 24,505 | |
Imperial Brands Finance PLC(a) | ||||
02/26/2026 | 3.375% | EUR | 425,000 | 441,658 |
INEOS Finance PLC(a) | ||||
05/01/2026 | 2.875% | EUR | 100,000 | 92,128 |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 8,000 | 8,061 | |
06/15/2026 | 3.500% | EUR | 100,000 | 101,826 |
Jaguar Land Rover Automotive PLC(a) | ||||
01/15/2026 | 4.500% | EUR | 100,000 | 92,102 |
Marks & Spencer PLC(a) | ||||
05/19/2026 | 3.750% | GBP | 100,000 | 105,355 |
National Grid Electricity Transmission PLC(a) | ||||
07/07/2032 | 0.823% | EUR | 200,000 | 159,505 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 13 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NGG Finance PLC(a),(f) | ||||
09/05/2082 | 2.125% | EUR | 250,000 | 221,279 |
Pinewood Finance Co., Ltd.(a) | ||||
09/30/2025 | 3.250% | GBP | 100,000 | 111,315 |
Pinnacle Bidco PLC(a) | ||||
02/15/2025 | 5.500% | EUR | 100,000 | 93,692 |
Premier Foods Finance PLC(a) | ||||
10/15/2026 | 3.500% | GBP | 100,000 | 105,723 |
Rolls-Royce PLC(a) | ||||
02/16/2026 | 4.625% | EUR | 100,000 | 103,566 |
Royal Bank of Scotland Group PLC(a),(f) | ||||
03/02/2026 | 1.750% | EUR | 335,000 | 337,471 |
Sherwood Financing, PLC(a) | ||||
11/15/2026 | 4.500% | EUR | 100,000 | 86,170 |
Southern Water Services Finance Ltd.(a) | ||||
05/28/2028 | 2.375% | GBP | 200,000 | 203,984 |
Synthomer PLC(a) | ||||
07/01/2025 | 3.875% | EUR | 100,000 | 98,267 |
Thames Water Utilities Finance PLC(a) | ||||
01/31/2028 | 0.875% | EUR | 400,000 | 364,525 |
UBS AG(a) | ||||
03/31/2031 | 0.500% | EUR | 200,000 | 162,192 |
Victoria PLC(a) | ||||
08/24/2026 | 3.625% | EUR | 100,000 | 87,786 |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 21,000 | 16,872 | |
Virgin Media Secured Finance PLC(a) | ||||
04/15/2027 | 5.000% | GBP | 100,000 | 108,044 |
05/15/2029 | 5.500% | 19,000 | 17,075 | |
Virgin Money UK PLC(a),(f) | ||||
06/24/2025 | 2.875% | EUR | 200,000 | 205,020 |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2029 | 4.000% | GBP | 100,000 | 93,971 |
01/31/2031 | 4.250% | 33,000 | 26,732 | |
07/15/2031 | 4.750% | 38,000 | 30,944 | |
Vodafone Group PLC(a),(f) | ||||
10/03/2078 | 4.200% | EUR | 100,000 | 96,902 |
Western Power Distribution PLC(a) | ||||
10/16/2026 | 3.500% | GBP | 205,000 | 231,169 |
Total | 6,321,981 | |||
United States 28.3% | ||||
AbbVie, Inc. | ||||
06/01/2029 | 2.125% | EUR | 350,000 | 340,308 |
06/15/2044 | 4.850% | 70,000 | 64,111 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 4,000 | 3,797 | |
04/15/2029 | 5.000% | 5,000 | 4,612 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AdaptHealth LLC(a) | ||||
08/01/2029 | 4.625% | 6,000 | 5,029 | |
03/01/2030 | 5.125% | 29,000 | 24,682 | |
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 18,000 | 18,168 | |
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 5,000 | 4,417 | |
10/01/2031 | 5.125% | 25,000 | 21,935 | |
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 16,000 | 14,412 | |
10/15/2027 | 6.750% | 33,000 | 29,734 | |
11/01/2029 | 5.875% | 23,000 | 18,938 | |
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 27,000 | 29,048 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 44,120 | 42,429 | |
04/20/2029 | 5.750% | 32,343 | 29,589 | |
American Axle & Manufacturing, Inc. | ||||
04/01/2027 | 6.500% | 2,000 | 1,813 | |
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 38,000 | 33,877 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 53,000 | 48,197 | |
06/15/2030 | 2.100% | 15,000 | 11,891 | |
Amgen, Inc. | ||||
03/01/2053 | 4.875% | 173,000 | 154,054 | |
02/22/2062 | 4.400% | 117,000 | 93,860 | |
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 95,000 | 86,934 | |
Apache Corp. | ||||
02/01/2042 | 5.250% | 9,000 | 7,380 | |
04/15/2043 | 4.750% | 19,000 | 14,331 | |
APX Group, Inc.(a) | ||||
07/15/2029 | 5.750% | 21,000 | 17,411 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 35,000 | 27,451 | |
12/01/2028 | 6.125% | 25,000 | 20,061 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 15,000 | 13,787 | |
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 20,000 | 19,595 | |
09/01/2028 | 2.000% | EUR | 100,000 | 86,171 |
09/01/2029 | 4.000% | 43,000 | 34,109 | |
Aretec Escrow Issuer, Inc.(a) | ||||
04/01/2029 | 7.500% | 14,000 | 11,530 | |
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 6,000 | 5,062 |
14 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ashland Services BV(a) | ||||
01/30/2028 | 2.000% | EUR | 100,000 | 91,188 |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 15,000 | 14,583 | |
01/15/2029 | 5.625% | 32,000 | 26,585 | |
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 174,000 | 165,593 | |
09/04/2036 | 3.150% | EUR | 100,000 | 91,909 |
12/01/2057 | 3.800% | 157,000 | 108,815 | |
Avantor Funding, Inc.(a) | ||||
11/01/2025 | 2.625% | EUR | 100,000 | 100,944 |
07/15/2028 | 4.625% | 21,000 | 19,069 | |
11/01/2029 | 3.875% | 39,000 | 32,771 | |
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 18,000 | 17,705 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 14,000 | 11,618 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 8,000 | 7,393 | |
Bank of America Corp.(a),(f) | ||||
03/22/2031 | 0.694% | EUR | 700,000 | 577,476 |
Bank of America Corp.(f) | ||||
07/21/2032 | 2.299% | 600,000 | 461,913 | |
02/04/2033 | 2.972% | 120,000 | 96,758 | |
Bausch Health Companies, Inc.(a) | ||||
11/01/2025 | 5.500% | 22,000 | 18,731 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 12,000 | 11,248 | |
Becton Dickinson and Co. | ||||
12/15/2026 | 1.900% | EUR | 300,000 | 298,811 |
02/11/2031 | 1.957% | 225,000 | 177,769 | |
Berkshire Hathaway Finance Corp. | ||||
03/18/2030 | 1.500% | EUR | 150,000 | 135,485 |
03/15/2052 | 3.850% | 90,000 | 72,638 | |
Berkshire Hathaway, Inc. | ||||
01/15/2041 | 0.500% | EUR | 100,000 | 57,774 |
Block, Inc. | ||||
06/01/2026 | 2.750% | 8,000 | 7,151 | |
Boeing Co. (The) | ||||
03/01/2029 | 3.200% | 98,000 | 86,221 | |
08/01/2059 | 3.950% | 197,000 | 132,237 | |
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 23,000 | 20,018 | |
Broadcom, Inc.(a) | ||||
04/15/2034 | 3.469% | 60,000 | 47,571 | |
11/15/2036 | 3.187% | 51,000 | 36,809 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 32,000 | 27,508 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 51,000 | 41,473 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 44,000 | 41,387 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 12,000 | 11,282 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 14,000 | 14,371 | |
Carrier Global Corp. | ||||
02/15/2030 | 2.722% | 487,000 | 410,412 | |
Catalent Pharma Solutions, Inc.(a) | ||||
07/15/2027 | 5.000% | 8,000 | 7,473 | |
03/01/2028 | 2.375% | EUR | 100,000 | 87,284 |
02/15/2029 | 3.125% | 6,000 | 4,779 | |
04/01/2030 | 3.500% | 12,000 | 9,465 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
03/01/2030 | 4.750% | 34,000 | 29,365 | |
08/15/2030 | 4.500% | 21,000 | 17,388 | |
02/01/2032 | 4.750% | 50,000 | 40,535 | |
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 36,000 | 31,049 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 25,000 | 24,703 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 8,000 | 7,782 | |
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 23,000 | 21,906 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 16,000 | 14,671 | |
02/15/2030 | 3.375% | 16,000 | 13,542 | |
10/15/2030 | 3.000% | 32,000 | 26,216 | |
08/01/2031 | 2.625% | 51,000 | 40,058 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 6,000 | 5,521 | |
03/15/2029 | 3.750% | 13,000 | 11,494 | |
03/15/2031 | 4.000% | 9,000 | 7,788 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 11,000 | 11,046 | |
01/01/2031 | 9.500% | 3,000 | 3,077 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 155,000 | 122,132 | |
06/30/2062 | 3.950% | 215,000 | 127,020 | |
04/01/2063 | 5.500% | 147,000 | 113,185 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 20,000 | 19,072 | |
Cheniere Energy Partners LP | ||||
01/31/2032 | 3.250% | 8,000 | 6,372 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 15 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CHS/Community Health Systems, Inc.(a) | ||||
04/15/2029 | 6.875% | 24,000 | 12,444 | |
05/15/2030 | 5.250% | 48,000 | 36,254 | |
Cinemark USA, Inc.(a) | ||||
03/15/2026 | 5.875% | 28,000 | 23,294 | |
07/15/2028 | 5.250% | 11,000 | 8,171 | |
Citigroup, Inc.(f) | ||||
06/03/2031 | 2.572% | 170,000 | 137,506 | |
01/25/2033 | 3.057% | 170,000 | 137,267 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 12,000 | 10,410 | |
07/01/2029 | 4.875% | 39,000 | 33,161 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 19,000 | 13,945 | |
06/01/2029 | 7.500% | 33,000 | 24,003 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 19,000 | 16,463 | |
Clearway Energy Operating LLC(a) | ||||
02/15/2031 | 3.750% | 35,000 | 29,214 | |
01/15/2032 | 3.750% | 9,000 | 7,273 | |
CMS Energy Corp. | ||||
11/15/2025 | 3.600% | 682,000 | 649,818 | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 20,000 | 16,509 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 2,000 | 1,994 | |
01/15/2029 | 6.000% | 13,000 | 11,999 | |
01/15/2031 | 7.375% | 5,000 | 4,797 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 31,000 | 26,691 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 25,000 | 24,500 | |
07/01/2025 | 6.250% | 42,000 | 40,863 | |
07/01/2027 | 8.125% | 23,000 | 22,620 | |
Commercial Metals Co. | ||||
02/15/2031 | 3.875% | 5,000 | 4,216 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 12,000 | 10,921 | |
Comstock Resources, Inc.(a) | ||||
03/01/2029 | 6.750% | 12,000 | 10,834 | |
01/15/2030 | 5.875% | 12,000 | 10,377 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 25,000 | 20,190 | |
CrownRock LP/Finance, Inc.(a) | ||||
05/01/2029 | 5.000% | 12,000 | 10,757 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 39,000 | 31,437 | |
01/15/2030 | 5.750% | 14,000 | 7,916 | |
12/01/2030 | 4.125% | 26,000 | 18,352 | |
12/01/2030 | 4.625% | 24,000 | 13,207 | |
11/15/2031 | 5.000% | 5,000 | 2,794 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 270,000 | 243,721 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 26,000 | 25,482 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 5,000 | 4,837 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2028 | 4.750% | 20,000 | 18,838 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 12,000 | 10,761 | |
DISH DBS Corp. | ||||
07/01/2026 | 7.750% | 18,000 | 14,526 | |
06/01/2029 | 5.125% | 49,000 | 31,610 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 25,000 | 25,708 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 14,000 | 12,011 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 490,000 | 451,534 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 345,000 | 257,062 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 29,000 | 24,754 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 620,000 | 482,360 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 13,000 | 11,802 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 7,000 | 6,402 | |
06/15/2030 | 5.950% | 26,000 | 23,986 | |
Enterprise Products Operating LLC | ||||
03/15/2044 | 4.850% | 36,000 | 31,616 | |
01/31/2060 | 3.950% | 87,000 | 63,265 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 14,000 | 13,600 | |
07/01/2027 | 6.500% | 16,000 | 15,297 | |
01/15/2029 | 4.500% | 24,000 | 20,304 | |
01/15/2031 | 4.750% | 73,000 | 60,154 | |
EQM Midstream Partners LP | ||||
07/15/2048 | 6.500% | 48,000 | 36,001 | |
Exelon Corp.(a) | ||||
03/15/2052 | 4.100% | 17,000 | 13,673 |
16 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 31,000 | 25,024 | |
Fidelity National Information Services, Inc. | ||||
05/21/2027 | 1.500% | EUR | 271,000 | 260,081 |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 1,200,000 | 1,188,573 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 38,000 | 28,593 | |
01/15/2043 | 4.750% | 16,000 | 11,576 | |
Ford Motor Credit Co. LLC | ||||
09/08/2024 | 3.664% | 91,000 | 86,925 | |
11/25/2025 | 2.330% | EUR | 100,000 | 98,376 |
01/08/2026 | 4.389% | 22,000 | 20,579 | |
08/17/2027 | 4.125% | 63,000 | 56,297 | |
02/16/2028 | 2.900% | 12,000 | 9,916 | |
11/13/2030 | 4.000% | 6,000 | 4,928 | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 36,000 | 34,719 | |
03/15/2043 | 5.450% | 214,000 | 192,863 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 26,000 | 19,269 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 12,000 | 12,252 | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 16,000 | 14,931 | |
06/15/2029 | 3.625% | 9,000 | 7,889 | |
10/01/2030 | 3.750% | 64,000 | 55,492 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 38,000 | 36,646 | |
GE Healthcare Holding LLC(a) | ||||
11/15/2027 | 5.650% | 200,000 | 202,934 | |
General Electric Co.(b) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 3.330% 12/31/2049 | 8.099% | 35,000 | 34,659 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 195,000 | 167,150 | |
Goldman Sachs Group, Inc. (The)(f) | ||||
07/21/2032 | 2.383% | 158,000 | 122,481 | |
02/24/2033 | 3.102% | 127,000 | 103,561 | |
Goldman Sachs Group, Inc. (The)(a) | ||||
03/18/2033 | 1.000% | EUR | 150,000 | 115,129 |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 17,000 | 14,181 | |
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 25,000 | 21,284 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 30,741 | 27,814 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 34,000 | 29,931 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 179,000 | 140,183 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 24,000 | 21,322 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 22,000 | 16,745 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 19,000 | 17,714 | |
Hess Midstream Operations LP(a) | ||||
02/15/2030 | 4.250% | 10,000 | 8,575 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 14,000 | 11,719 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 11,000 | 9,980 | |
02/01/2029 | 5.750% | 7,000 | 6,255 | |
04/15/2030 | 6.000% | 15,000 | 13,424 | |
02/01/2031 | 6.000% | 22,000 | 18,675 | |
04/15/2032 | 6.250% | 9,000 | 7,732 | |
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 14,000 | 13,879 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 11,000 | 10,856 | |
02/01/2028 | 5.000% | 21,000 | 19,244 | |
Honeywell International, Inc. | ||||
11/02/2034 | 4.125% | EUR | 234,000 | 245,203 |
HT Troplast GmbH(a) | ||||
07/15/2025 | 9.250% | EUR | 100,000 | 97,499 |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 60,000 | 58,897 | |
12/01/2029 | 5.625% | 29,000 | 25,432 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 25,000 | 24,296 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 10,082 | 9,274 | |
05/01/2027 | 8.375% | 25,385 | 21,621 | |
iHeartCommunications, Inc.(a) | ||||
01/15/2028 | 4.750% | 25,000 | 20,333 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 31,000 | 26,090 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 15,000 | 12,940 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 12,000 | 11,765 | |
IQVIA, Inc.(a) | ||||
01/15/2028 | 2.250% | EUR | 100,000 | 94,068 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 17 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 16,000 | 15,957 | |
Iris Holdings, Inc.(a),(e) | ||||
02/15/2026 | 8.750% | 10,000 | 8,707 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
12/01/2031 | 3.750% | 19,000 | 15,500 | |
JPMorgan Chase & Co.(a),(f) | ||||
07/25/2031 | 1.001% | EUR | 600,000 | 506,197 |
JPMorgan Chase & Co.(f) | ||||
04/22/2032 | 2.580% | 311,000 | 248,812 | |
11/08/2032 | 2.545% | 173,000 | 136,709 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 4,000 | 3,507 | |
06/01/2031 | 4.500% | 30,000 | 24,103 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 11,000 | 10,753 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 105,000 | 89,890 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 47,000 | 40,062 | |
08/01/2052 | 5.450% | 38,000 | 34,319 | |
Kraft Heinz Foods Co.(a) | ||||
05/25/2028 | 2.250% | EUR | 400,000 | 392,834 |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 55,000 | 44,926 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 5,000 | 5,358 | |
10/01/2030 | 6.625% | 6,000 | 5,628 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 9,000 | 8,877 | |
11/01/2035 | 6.875% | 20,000 | 17,779 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 50,000 | 47,097 | |
02/01/2027 | 4.250% | 13,000 | 10,947 | |
06/15/2029 | 4.750% | 33,000 | 26,644 | |
Lamb Weston Holdings, Inc.(a) | ||||
01/31/2030 | 4.125% | 20,000 | 17,696 | |
01/31/2032 | 4.375% | 14,000 | 12,228 | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 6,000 | 5,196 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 10,000 | 8,206 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 35,000 | 18,891 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 139,000 | 108,836 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 41,000 | 34,143 | |
06/30/2029 | 5.875% | 16,000 | 11,005 | |
Magallanes, Inc.(a) | ||||
03/15/2062 | 5.391% | 249,000 | 182,406 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 22,000 | 21,232 | |
Mattel, Inc.(a) | ||||
04/01/2026 | 3.375% | 8,000 | 7,371 | |
04/01/2029 | 3.750% | 43,000 | 37,795 | |
Mattel, Inc. | ||||
10/01/2040 | 6.200% | 25,000 | 21,601 | |
11/01/2041 | 5.450% | 14,000 | 11,423 | |
Medtronic Global Holdings SCA | ||||
10/15/2040 | 1.375% | EUR | 250,000 | 172,323 |
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 58,000 | 49,222 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 27,000 | 23,071 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 29,000 | 21,484 | |
Morgan Stanley(f) | ||||
10/20/2032 | 2.511% | 136,000 | 106,296 | |
Subordinated | ||||
09/16/2036 | 2.484% | 100,000 | 72,943 | |
04/20/2037 | 5.297% | 85,000 | 77,775 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 8,000 | 6,448 | |
10/01/2029 | 5.250% | 24,000 | 19,075 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 10,000 | 9,798 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 21,000 | 20,128 | |
10/01/2028 | 5.000% | 25,000 | 21,451 | |
04/15/2029 | 5.125% | 7,000 | 5,854 | |
10/01/2030 | 5.250% | 4,000 | 3,298 | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 12,000 | 11,307 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 56,000 | 54,412 | |
11/15/2028 | 5.875% | 17,000 | 17,250 | |
05/15/2029 | 4.625% | EUR | 550,000 | 575,131 |
05/15/2029 | 6.375% | 3,000 | 3,101 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 24,000 | 23,497 | |
06/15/2030 | 4.875% | 40,000 | 37,408 |
18 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Newell Brands, Inc. | ||||
06/01/2025 | 4.875% | 11,000 | 10,731 | |
09/15/2027 | 6.375% | 6,000 | 5,957 | |
09/15/2029 | 6.625% | 9,000 | 8,883 | |
NextEra Energy Operating Partners LP(a) | ||||
09/15/2027 | 4.500% | 18,000 | 16,570 | |
NFP Corp(a) | ||||
10/01/2030 | 7.500% | 25,000 | 23,500 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 22,000 | 18,731 | |
08/15/2028 | 6.875% | 55,000 | 45,539 | |
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 93,000 | 78,231 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 12,000 | 10,755 | |
01/30/2030 | 4.750% | 25,000 | 22,103 | |
08/15/2031 | 3.875% | 15,000 | 12,274 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 12,000 | 9,689 | |
02/15/2031 | 3.625% | 102,000 | 78,043 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 11,000 | 10,626 | |
06/01/2026 | 6.000% | 10,000 | 9,658 | |
04/28/2027 | 5.625% | 20,000 | 18,801 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 56,000 | 57,864 | |
01/01/2031 | 6.125% | 53,000 | 53,636 | |
05/01/2031 | 7.500% | 13,000 | 13,924 | |
09/15/2036 | 6.450% | 45,000 | 45,909 | |
03/15/2046 | 6.600% | 40,000 | 41,166 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 30,000 | 24,581 | |
10/01/2029 | 6.250% | 8,000 | 6,079 | |
OneMain Finance Corp. | ||||
09/15/2030 | 4.000% | 2,000 | 1,495 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 44,000 | 38,958 | |
04/30/2031 | 5.125% | 36,000 | 31,184 | |
Outfront Media Capital LLC/Corp.(a) | ||||
01/15/2029 | 4.250% | 9,000 | 7,465 | |
03/15/2030 | 4.625% | 8,000 | 6,634 | |
Owens & Minor, Inc.(a) | ||||
04/01/2030 | 6.625% | 19,000 | 16,338 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 75,000 | 58,759 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 15,000 | 12,697 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 1,100,000 | 1,063,164 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Penn National Gaming, Inc.(a) | ||||
07/01/2029 | 4.125% | 19,000 | 15,031 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 19,000 | 17,217 | |
02/15/2029 | 7.750% | 22,000 | 20,524 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 28,000 | 23,709 | |
Pilgrim’s Pride Corp.(a) | ||||
09/30/2027 | 5.875% | 29,000 | 28,418 | |
04/15/2031 | 4.250% | 97,000 | 82,564 | |
03/01/2032 | 3.500% | 32,000 | 25,013 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 475,000 | 359,490 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 44,000 | 34,529 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 9,000 | 8,715 | |
04/15/2030 | 4.625% | 18,000 | 15,529 | |
09/15/2031 | 4.500% | 28,000 | 23,651 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 14,000 | 13,224 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 24,000 | 20,727 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 15,000 | 11,902 | |
03/01/2031 | 3.875% | 52,000 | 40,159 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 23,000 | 16,904 | |
09/15/2028 | 6.500% | 35,000 | 14,669 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 16,000 | 12,909 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 10,000 | 8,901 | |
09/15/2029 | 4.000% | 11,000 | 8,980 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 23,000 | 18,117 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 54,000 | 40,392 | |
Rockies Express Pipeline LLC(a) | ||||
05/15/2025 | 3.600% | 14,000 | 13,214 | |
RP Escrow Issuer LLC(a) | ||||
12/15/2025 | 5.250% | 22,000 | 16,825 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 3,000 | 2,622 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 4,000 | 4,010 | |
12/15/2027 | 11.250% | 3,000 | 3,088 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 19 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 48,000 | 40,532 | |
Scientific Games International, Inc.(a) | ||||
05/15/2028 | 7.000% | 13,000 | 12,430 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 10,000 | 7,679 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 15,000 | 13,434 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 33,000 | 31,450 | |
Sempra Energy | ||||
06/15/2027 | 3.250% | 260,000 | 240,418 | |
Service Properties Trust | ||||
03/15/2024 | 4.650% | 9,000 | 8,639 | |
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 38,000 | 33,206 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 16,000 | 15,093 | |
Silgan Holdings, Inc. | ||||
06/01/2028 | 2.250% | EUR | 100,000 | 90,872 |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 20,000 | 16,365 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 18,000 | 15,982 | |
07/01/2030 | 4.125% | 25,000 | 20,654 | |
Six Flags Entertainment Corp.(a) | ||||
07/31/2024 | 4.875% | 21,000 | 20,238 | |
Six Flags Theme Parks, Inc.(a) | ||||
07/01/2025 | 7.000% | 7,000 | 7,059 | |
Southern Co. (The)(f) | ||||
09/15/2081 | 1.875% | EUR | 100,000 | 83,537 |
Southwestern Energy Co. | ||||
02/01/2029 | 5.375% | 9,000 | 8,336 | |
02/01/2032 | 4.750% | 46,000 | 39,276 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 28,000 | 27,710 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2026 | 4.000% | EUR | 100,000 | 100,180 |
10/01/2029 | 5.000% | 12,000 | 10,497 | |
07/15/2030 | 5.500% | 2,000 | 1,775 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 9,000 | 9,484 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 30,000 | 29,018 | |
03/15/2025 | 6.875% | 15,000 | 14,420 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 38,000 | 39,518 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 29,000 | 30,517 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 22,000 | 19,651 | |
07/01/2029 | 6.125% | 15,000 | 12,175 | |
12/01/2029 | 6.000% | 22,000 | 17,595 | |
Standard Industries, Inc.(a) | ||||
02/15/2027 | 5.000% | 10,000 | 9,249 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 14,000 | 12,052 | |
Sunoco LP/Finance Corp. | ||||
05/15/2029 | 4.500% | 10,000 | 8,747 | |
Surgery Center Holdings, Inc.(a) | ||||
07/01/2025 | 6.750% | 8,000 | 7,929 | |
04/15/2027 | 10.000% | 5,000 | 5,082 | |
Targa Resources Partners LP/Finance Corp. | ||||
03/01/2030 | 5.500% | 36,000 | 33,925 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 240,000 | 219,565 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 9,000 | 9,029 | |
Tempur Sealy International, Inc.(a) | ||||
10/15/2031 | 3.875% | 7,000 | 5,480 | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 18,000 | 17,289 | |
11/01/2027 | 5.125% | 18,000 | 16,796 | |
06/15/2028 | 4.625% | 10,000 | 8,963 | |
10/01/2028 | 6.125% | 32,000 | 28,716 | |
01/15/2030 | 4.375% | 21,000 | 18,194 | |
TerraForm Power Operating LLC(a) | ||||
01/15/2030 | 4.750% | 28,000 | 24,480 | |
T-Mobile US, Inc. | ||||
02/15/2029 | 2.625% | 26,000 | 22,068 | |
02/15/2031 | 2.875% | 229,000 | 189,062 | |
04/15/2031 | 3.500% | 373,000 | 323,042 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 18,000 | 18,234 | |
03/15/2026 | 6.250% | 63,000 | 62,264 | |
TransDigm, Inc. | ||||
11/15/2027 | 5.500% | 23,000 | 21,598 | |
01/15/2029 | 4.625% | 17,000 | 14,938 | |
05/01/2029 | 4.875% | 17,000 | 14,822 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 45,000 | 39,140 | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 11,399 | 11,168 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 56,892 | 56,440 |
20 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 16,000 | 16,023 | |
01/15/2028 | 6.250% | 12,000 | 11,561 | |
08/15/2029 | 4.500% | 45,000 | 39,232 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 15,000 | 12,079 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 10,000 | 9,314 | |
Univision Communications, Inc.(a) | ||||
06/30/2030 | 7.375% | 16,000 | 15,310 | |
US Foods, Inc.(a) | ||||
06/01/2030 | 4.625% | 16,000 | 14,138 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 25,000 | 23,997 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 35,000 | 30,643 | |
08/15/2031 | 4.125% | 46,000 | 39,215 | |
11/01/2033 | 3.875% | 25,000 | 20,410 | |
Verizon Communications, Inc. | ||||
03/21/2031 | 2.550% | 280,000 | 230,439 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 28,000 | 27,428 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 14,000 | 13,504 | |
05/01/2029 | 4.375% | 14,000 | 12,079 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 33,000 | 29,243 | |
Wells Fargo & Co.(a),(f) | ||||
05/04/2030 | 1.741% | EUR | 200,000 | 181,299 |
Wells Fargo & Co.(f) | ||||
02/11/2031 | 2.572% | 405,000 | 334,970 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 19,000 | 19,260 | |
06/15/2028 | 7.250% | 17,000 | 17,236 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 24,000 | 20,913 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 79,000 | 69,100 | |
Williams Cos, Inc. (The) | ||||
08/15/2052 | 5.300% | 75,000 | 67,562 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 12,000 | 9,086 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 37,000 | 32,778 | |
08/15/2029 | 5.625% | 50,000 | 40,451 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 30,000 | 28,585 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 9,000 | 7,718 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 29,000 | 24,438 | |
Total | 22,811,044 | |||
Total Corporate Bonds & Notes (Cost $51,942,082) | 44,347,246 | |||
Foreign Government Obligations(c),(h) 14.8% | ||||
Angola 0.2% | ||||
Angolan Government International Bond(a) | ||||
11/26/2049 | 9.125% | 200,000 | 156,510 | |
Azerbaijan 0.2% | ||||
Republic of Azerbaijan International Bond(a) | ||||
09/01/2032 | 3.500% | 150,000 | 125,142 | |
Belarus 0.1% | ||||
Republic of Belarus International Bond(a),(g) | ||||
06/29/2027 | 0.000% | 200,000 | 84,319 | |
Canada 0.1% | ||||
NOVA Chemicals Corp.(a) | ||||
05/01/2025 | 5.000% | 6,000 | 5,665 | |
06/01/2027 | 5.250% | 22,000 | 19,763 | |
05/15/2029 | 4.250% | 24,000 | 19,603 | |
Total | 45,031 | |||
Colombia 1.3% | ||||
Colombia Government International Bond | ||||
01/30/2030 | 3.000% | 600,000 | 459,026 | |
04/15/2031 | 3.125% | 200,000 | 148,630 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 448,000 | 406,698 | |
Total | 1,014,354 | |||
Dominican Republic 1.1% | ||||
Dominican Republic International Bond(a) | ||||
04/20/2027 | 8.625% | 642,000 | 668,411 | |
09/23/2032 | 4.875% | 150,000 | 124,809 | |
01/30/2060 | 5.875% | 150,000 | 110,190 | |
Total | 903,410 | |||
Egypt 0.5% | ||||
Egypt Government International Bond(a) | ||||
05/29/2032 | 7.625% | 200,000 | 148,093 | |
03/01/2049 | 8.700% | 355,000 | 236,718 | |
Total | 384,811 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 21 |
December 31, 2022
Foreign Government Obligations(c),(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
France 0.3% | ||||
Electricite de France SA(a),(f) | ||||
12/31/2049 | 3.375% | EUR | 200,000 | 154,680 |
12/31/2049 | 6.000% | GBP | 100,000 | 108,116 |
Total | 262,796 | |||
Germany 0.5% | ||||
Bundesrepublik Deutschland Bundesanleihe(a) | ||||
02/15/2026 | 0.500% | EUR | 400,000 | 402,340 |
Guatemala 0.2% | ||||
Guatemala Government Bond(a) | ||||
06/01/2050 | 6.125% | 200,000 | 188,409 | |
Hungary 0.4% | ||||
Hungary Government Bond | ||||
10/27/2038 | 3.000% | HUF | 17,990,000 | 25,494 |
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 375,000 | 277,351 | |
Total | 302,845 | |||
India 0.4% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 200,000 | 173,865 | |
Indian Railway Finance Corp., Ltd.(a) | ||||
02/13/2030 | 3.249% | 200,000 | 172,687 | |
Total | 346,552 | |||
Indonesia 1.0% | ||||
Indonesia Government International Bond(a) | ||||
01/08/2027 | 4.350% | 400,000 | 395,101 | |
01/15/2045 | 5.125% | 200,000 | 193,848 | |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
06/23/2025 | 2.300% | 200,000 | 189,317 | |
Total | 778,266 | |||
Ivory Coast 0.5% | ||||
Ivory Coast Government International Bond(a) | ||||
03/03/2028 | 6.375% | 250,000 | 241,786 | |
06/15/2033 | 6.125% | 200,000 | 178,047 | |
Total | 419,833 | |||
Malaysia 0.2% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 200,000 | 182,775 | |
Mexico 0.9% | ||||
Mexico Government International Bond | ||||
05/29/2031 | 7.750% | MXN | 1,010,000 | 47,842 |
Foreign Government Obligations(c),(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Petroleos Mexicanos | ||||
02/16/2032 | 6.700% | 587,000 | 462,145 | |
01/23/2050 | 7.690% | 273,000 | 189,155 | |
Total | 699,142 | |||
Netherlands 0.6% | ||||
Stedin Holding NV(a),(f) | ||||
12/31/2049 | 1.500% | EUR | 250,000 | 221,858 |
TenneT Holding BV(a),(f) | ||||
12/31/2049 | 2.374% | EUR | 250,000 | 246,545 |
Total | 468,403 | |||
Oman 0.2% | ||||
Oman Government International Bond(a) | ||||
01/17/2048 | 6.750% | 200,000 | 187,178 | |
Panama 0.5% | ||||
Panama Government International Bond | ||||
01/23/2030 | 3.160% | 200,000 | 172,108 | |
07/23/2060 | 3.870% | 400,000 | 258,821 | |
Total | 430,929 | |||
Paraguay 0.2% | ||||
Paraguay Government International Bond(a) | ||||
03/30/2050 | 5.400% | 200,000 | 173,000 | |
Qatar 1.2% | ||||
Qatar Government International Bond(a) | ||||
03/14/2029 | 4.000% | 400,000 | 393,358 | |
04/16/2030 | 3.750% | 200,000 | 193,487 | |
04/23/2048 | 5.103% | 250,000 | 251,068 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 200,000 | 165,809 | |
Total | 1,003,722 | |||
Romania 0.7% | ||||
Romanian Government International Bond(a) | ||||
01/22/2024 | 4.875% | 232,000 | 230,724 | |
02/27/2027 | 3.000% | 128,000 | 113,349 | |
02/14/2051 | 4.000% | 342,000 | 227,011 | |
Total | 571,084 | |||
Saudi Arabia 1.0% | ||||
Saudi Arabian Oil Co.(a) | ||||
04/16/2029 | 3.500% | 300,000 | 275,421 | |
Saudi Government International Bond(a) | ||||
01/21/2055 | 3.750% | 625,000 | 491,903 | |
Total | 767,324 |
22 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Foreign Government Obligations(c),(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
South Africa 0.4% | ||||
Eskom Holdings SOC Ltd.(a) | ||||
02/11/2025 | 7.125% | 200,000 | 181,682 | |
Republic of South Africa Government International Bond | ||||
09/30/2049 | 5.750% | 200,000 | 146,834 | |
Total | 328,516 | |||
Turkey 0.8% | ||||
Turkey Government International Bond | ||||
03/25/2027 | 6.000% | 250,000 | 228,240 | |
02/17/2028 | 5.125% | 300,000 | 259,503 | |
01/14/2041 | 6.000% | 200,000 | 144,731 | |
Total | 632,474 | |||
Ukraine 0.1% | ||||
NAK Naftogaz Ukraine via Kondor Finance PLC(a) | ||||
11/08/2026 | 7.625% | 200,000 | 33,391 | |
Ukraine Government International Bond(a) | ||||
09/01/2028 | 7.750% | 100,000 | 21,256 | |
Total | 54,647 | |||
United Arab Emirates 1.0% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2049 | 3.125% | 250,000 | 185,044 | |
04/16/2050 | 3.875% | 200,000 | 169,088 | |
DP World PLC(a) | ||||
07/02/2037 | 6.850% | 400,000 | 424,908 | |
Total | 779,040 | |||
Virgin Islands 0.2% | ||||
State Grid Overseas Investment Ltd.(a) | ||||
05/04/2027 | 3.500% | 200,000 | 190,918 | |
Total Foreign Government Obligations (Cost $14,035,938) | 11,883,770 | |||
Residential Mortgage-Backed Securities - Agency 0.9% | ||||
United States 0.9% | ||||
Federal National Mortgage Association(b),(i) | ||||
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 1.661% | 135,899 | 14,469 | |
Federal National Mortgage Association(i) | ||||
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 540,848 | 88,299 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2021-HQA2 Class B2 | ||||
30-day Average SOFR + 5.450% 12/25/2033 | 9.378% | 500,000 | 383,175 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(b),(i) | ||||
CMO Series 2017-141 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2047 | 1.847% | 93,433 | 10,591 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 1.747% | 68,645 | 5,653 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 1.697% | 291,018 | 28,914 | |
CMO Series 2019-23 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 1.697% | 315,868 | 40,919 | |
CMO Series 2021-46 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 03/20/2051 | 1.947% | 311,316 | 32,320 | |
Government National Mortgage Association(i) | ||||
CMO Series 2020-153 Class CI | ||||
10/20/2050 | 2.500% | 790,413 | 120,608 | |
Total | 724,948 | |||
Total Residential Mortgage-Backed Securities - Agency (Cost $894,196) | 724,948 | |||
Residential Mortgage-Backed Securities - Non-Agency 12.8% | ||||
United States 12.8% | ||||
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 03/25/2029 | 6.139% | 16,719 | 16,701 | |
CMO Series 2019-3A Class M1B | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 07/25/2029 | 5.989% | 26,057 | 26,023 | |
CMO Series 2020-4A Class M2B | ||||
1-month USD LIBOR + 3.600% Floor 3.600% 06/25/2030 | 7.989% | 225,613 | 225,350 | |
BVRT Financing Trust(a),(b),(j) | ||||
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 500,000 | 500,000 | |
CIM Trust(a),(d) | ||||
CMO Series 2021-NR2 Class A1 | ||||
07/25/2059 | 2.568% | 293,950 | 270,465 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 23 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Connecticut Avenue Securities Trust(a),(b) | ||||
Subordinated CMO Series 2019-R01 Class 2B1 | ||||
1-month USD LIBOR + 4.350% 07/25/2031 | 8.739% | 700,000 | 714,509 | |
Subordinated CMO Series 2022-R01 Class 1B2 | ||||
30-day Average SOFR + 6.000% 12/25/2041 | 9.928% | 500,000 | 427,785 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 6.189% | 421,095 | 412,210 | |
Subordinated CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 1.800% 01/25/2030 | 6.189% | 797,000 | 764,264 | |
Freddie Mac STACR(a),(b) | ||||
Subordinated CMO Series 2019-HQA3 Class B1 | ||||
1-month USD LIBOR + 3.000% 09/25/2049 | 7.389% | 400,000 | 386,643 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2020-HQA1 Class B1 | ||||
1-month USD LIBOR + 2.350% 01/25/2050 | 6.739% | 700,000 | 650,143 | |
Freddie Mac STACR Trust(a),(b) | ||||
Subordinated CMO Series 2019-DNA4 Class B1 | ||||
1-month USD LIBOR + 2.700% 10/25/2049 | 7.089% | 600,000 | 590,658 | |
Subordinated CMO Series 2019-HQA2 Class B1 | ||||
1-month USD LIBOR + 4.100% 04/25/2049 | 8.489% | 500,000 | 507,427 | |
Homeward Opportunities Fund I Trust(a),(d) | ||||
Subordinated CMO Series 2020-2 Class B1 | ||||
05/25/2065 | 5.450% | 389,000 | 343,465 | |
Oaktown Re II Ltd.(a),(b) | ||||
Subordinated CMO Series 2018-1A Class M2 | ||||
1-month USD LIBOR + 2.850% 07/25/2028 | 7.239% | 500,000 | 498,726 | |
Oaktown Re V Ltd.(a),(b) | ||||
CMO Series 2020-2A Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 9.639% | 500,000 | 498,241 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 6.694% | 1,000,000 | 981,517 | |
Preston Ridge Partners Mortgage Trust(a),(d) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 105,097 | 95,469 | |
Pretium Mortgage Credit Partners(a),(d) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 407,765 | 364,133 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SG Residential Mortgage Trust(a),(d) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 400,000 | 352,897 | |
Triangle Re Ltd.(a),(b) | ||||
Subordinated CMO Series 2021-1 Class B1 | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 08/25/2033 | 8.889% | 500,000 | 495,442 | |
Verus Securitization Trust(a),(d) | ||||
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 400,000 | 295,154 | |
CMO Series 2020-NPL1 Class A2 | ||||
08/25/2050 | 5.682% | 409,265 | 405,425 | |
Verus Securitization Trust(a) | ||||
CMO Series 2020-INV1 Class M1 | ||||
03/25/2060 | 5.500% | 500,000 | 460,348 | |
Total | 10,282,995 | |||
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $10,842,765) | 10,282,995 | |||
Senior Loans 0.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 0.2% | ||||
Ascend Learning LLC(b),(k) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/11/2028 | 7.884% | 32,670 | 30,832 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% Floor 0.500% 12/10/2029 | 10.134% | 20,000 | 17,075 | |
Cengage Learning, Inc.(b),(k) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 7.814% | 34,965 | 31,370 | |
SWF Holdings I Corp.(b),(k) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 10/06/2028 | 8.753% | 48,755 | 39,711 | |
UKG, Inc.(b),(k) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 05/04/2026 | 6.998% | 19,478 | 18,504 |
24 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.250% Floor 0.500% 05/03/2027 | 8.998% | 38,000 | 34,789 | |
Total | 172,281 | |||
Total Senior Loans (Cost $193,231) | 172,281 | |||
Treasury Bills 1.2% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 1.2% | ||||
U.S. Treasury Bills | ||||
06/15/2023 | 4.470% | 1,000,000 | 979,949 | |
Total Treasury Bills (Cost $986,466) | 979,949 |
Money Market Funds 5.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(l),(m) | 4,090,172 | 4,088,945 |
Total Money Market Funds (Cost $4,088,449) | 4,088,945 | |
Total Investments in Securities (Cost $89,598,565) | 78,210,173 | |
Other Assets & Liabilities, Net | 2,353,984 | |
Net Assets | $80,564,157 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
10,000,000 HUF | 25,767 USD | HSBC | 01/18/2023 | — | (925) |
20,712,000 EUR | 22,110,267 USD | UBS | 01/18/2023 | — | (83,511) |
2,910,000 GBP | 3,615,209 USD | UBS | 01/18/2023 | 95,752 | — |
Total | 95,752 | (84,436) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 95 | 03/2023 | USD | 10,668,203 | — | (67,352) |
U.S. Treasury Ultra Bond | 35 | 03/2023 | USD | 4,700,938 | — | (109,002) |
Total | — | (176,354) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 39 | Morgan Stanley | 12/20/2027 | 5.000 | Quarterly | USD | 1,600,000 | (87,023) | — | — | — | (87,023) |
Markit iTraxx Europe Crossover Index, Series 38 | Morgan Stanley | 12/20/2027 | 5.000 | Quarterly | EUR | 1,700,000 | (87,038) | — | — | — | (87,038) |
Total | (174,061) | — | — | — | (174,061) |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 25 |
December 31, 2022
(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 December 31, 2022, the total value of these securities amounted to $56,051,008, which represents 69.57% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
(c) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2022. |
(e) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(f) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(g) | Represents a security in default. |
(h) | Principal and interest may not be guaranteed by a governmental entity. |
(i) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(j) | Valuation based on significant unobservable inputs. |
(k) | The stated interest rate represents the weighted average interest rate at December 31, 2022 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. |
(l) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(m) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 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, 4.318% | ||||||||
2,760,780 | 47,054,519 | (45,726,966) | 612 | 4,088,945 | (1,275) | 87,571 | 4,090,172 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
EUR | Euro |
GBP | British Pound |
HUF | Hungarian Forint |
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. |
26 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
■ | 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 | — | 2,241,595 | — | 2,241,595 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 3,470,902 | — | 3,470,902 |
Convertible Bonds | — | 17,542 | — | 17,542 |
Corporate Bonds & Notes | — | 44,347,246 | — | 44,347,246 |
Foreign Government Obligations | — | 11,883,770 | — | 11,883,770 |
Residential Mortgage-Backed Securities - Agency | — | 724,948 | — | 724,948 |
Residential Mortgage-Backed Securities - Non-Agency | — | 9,782,995 | 500,000 | 10,282,995 |
Senior Loans | — | 172,281 | — | 172,281 |
Treasury Bills | — | 979,949 | — | 979,949 |
Money Market Funds | 4,088,945 | — | — | 4,088,945 |
Total Investments in Securities | 4,088,945 | 73,621,228 | 500,000 | 78,210,173 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 95,752 | — | 95,752 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (84,436) | — | (84,436) |
Futures Contracts | (176,354) | — | — | (176,354) |
Swap Contracts | — | (174,061) | — | (174,061) |
Total | 3,912,591 | 73,458,483 | 500,000 | 77,871,074 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 27 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $85,510,116) | $74,121,228 |
Affiliated issuers (cost $4,088,449) | 4,088,945 |
Cash | 593 |
Foreign currency (cost $1,509,188) | 1,560,839 |
Margin deposits on: | |
Futures contracts | 436,500 |
Swap contracts | 193,936 |
Unrealized appreciation on forward foreign currency exchange contracts | 95,752 |
Receivable for: | |
Dividends | 17,436 |
Interest | 819,630 |
Foreign tax reclaims | 2,890 |
Variation margin for swap contracts | 1,234 |
Expense reimbursement due from Investment Manager | 534 |
Prepaid expenses | 6,352 |
Total assets | 81,345,869 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 84,436 |
Payable for: | |
Investments purchased | 477,113 |
Capital shares purchased | 26,958 |
Variation margin for futures contracts | 30,859 |
Variation margin for swap contracts | 2,847 |
Management services fees | 1,438 |
Distribution and/or service fees | 311 |
Service fees | 4,010 |
Compensation of board members | 120,795 |
Compensation of chief compliance officer | 16 |
Other expenses | 32,929 |
Total liabilities | 781,712 |
Net assets applicable to outstanding capital stock | $80,564,157 |
Represented by | |
Paid in capital | 97,652,971 |
Total distributable earnings (loss) | (17,088,814) |
Total - representing net assets applicable to outstanding capital stock | $80,564,157 |
Class 1 | |
Net assets | $9,345 |
Shares outstanding | 1,273 |
Net asset value per share | $7.34 |
Class 2 | |
Net assets | $9,953,274 |
Shares outstanding | 1,381,306 |
Net asset value per share | $7.21 |
Class 3 | |
Net assets | $70,601,538 |
Shares outstanding | 9,693,506 |
Net asset value per share | $7.28 |
28 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $87,571 |
Interest | 3,468,010 |
Total income | 3,555,581 |
Expenses: | |
Management services fees | 571,943 |
Distribution and/or service fees | |
Class 2 | 25,711 |
Class 3 | 97,123 |
Service fees | 52,704 |
Compensation of board members | 6,458 |
Custodian fees | 43,245 |
Printing and postage fees | 27,614 |
Audit fees | 42,000 |
Legal fees | 13,247 |
Interest on collateral | 897 |
Compensation of chief compliance officer | 13 |
Other | 7,109 |
Total expenses | 888,064 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (206,768) |
Total net expenses | 681,296 |
Net investment income | 2,874,285 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (3,855,767) |
Investments — affiliated issuers | (1,275) |
Foreign currency translations | (207,272) |
Forward foreign currency exchange contracts | 2,226,391 |
Futures contracts | (927,368) |
Swap contracts | 88,200 |
Net realized loss | (2,677,091) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (13,604,299) |
Investments — affiliated issuers | 612 |
Foreign currency translations | 80,447 |
Forward foreign currency exchange contracts | 16,394 |
Futures contracts | (42,161) |
Swap contracts | (171,823) |
Net change in unrealized appreciation (depreciation) | (13,720,830) |
Net realized and unrealized loss | (16,397,921) |
Net decrease in net assets resulting from operations | $(13,523,636) |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 29 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $2,874,285 | $2,900,582 |
Net realized gain (loss) | (2,677,091) | 3,790,059 |
Net change in unrealized appreciation (depreciation) | (13,720,830) | (5,484,633) |
Net increase (decrease) in net assets resulting from operations | (13,523,636) | 1,206,008 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (332) | (422) |
Class 2 | (326,275) | (409,583) |
Class 3 | (2,643,493) | (3,703,346) |
Total distributions to shareholders | (2,970,100) | (4,113,351) |
Decrease in net assets from capital stock activity | (5,573,683) | (2,602,044) |
Total decrease in net assets | (22,067,419) | (5,509,387) |
Net assets at beginning of year | 102,631,576 | 108,140,963 |
Net assets at end of year | $80,564,157 | $102,631,576 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Distributions reinvested | 42 | 332 | 49 | 422 |
Net increase | 42 | 332 | 49 | 422 |
Class 2 | ||||
Subscriptions | 180,558 | 1,368,299 | 251,111 | 2,174,426 |
Distributions reinvested | 41,458 | 326,275 | 48,357 | 409,583 |
Redemptions | (153,890) | (1,164,857) | (201,814) | (1,751,121) |
Net increase | 68,126 | 529,717 | 97,654 | 832,888 |
Class 3 | ||||
Subscriptions | 102,644 | 770,494 | 348,257 | 3,057,713 |
Distributions reinvested | 332,515 | 2,643,493 | 433,140 | 3,703,346 |
Redemptions | (1,242,935) | (9,517,719) | (1,163,505) | (10,196,413) |
Net decrease | (807,776) | (6,103,732) | (382,108) | (3,435,354) |
Total net decrease | (739,608) | (5,573,683) | (284,405) | (2,602,044) |
30 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 31 |
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 | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $8.77 | 0.26 | (1.42) | — | (1.16) | (0.27) | (0.27) |
Year Ended 12/31/2021 | $9.01 | 0.25 | (0.13) | — | 0.12 | (0.36) | (0.36) |
Year Ended 12/31/2020 | $9.11 | 0.27 | 0.09 | — | 0.36 | (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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $8.61 | 0.24 | (1.39) | — | (1.15) | (0.25) | (0.25) |
Year Ended 12/31/2021 | $8.86 | 0.23 | (0.14) | — | 0.09 | (0.34) | (0.34) |
Year Ended 12/31/2020 | $8.96 | 0.24 | 0.10 | — | 0.34 | (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) |
Class 3 | |||||||
Year Ended 12/31/2022 | $8.70 | 0.25 | (1.41) | — | (1.16) | (0.26) | (0.26) |
Year Ended 12/31/2021 | $8.95 | 0.24 | (0.14) | — | 0.10 | (0.35) | (0.35) |
Year Ended 12/31/2020 | $9.05 | 0.26 | 0.09 | — | 0.35 | (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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Rounds to zero. |
(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%. |
32 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $7.34 | (13.49%) | 0.87%(c) | 0.64%(c) | 3.42% | 31% | $9 |
Year Ended 12/31/2021 | $8.77 | 1.37% | 0.89%(c) | 0.61%(c) | 2.87% | 42% | $11 |
Year Ended 12/31/2020 | $9.01 | 4.79% | 0.87% | 0.60% | 3.11% | 53% | $11 |
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%(c) | 0.64%(c) | 3.34% | 86% | $9 |
Class 2 | |||||||
Year Ended 12/31/2022 | $7.21 | (13.63%) | 1.12%(c) | 0.89%(c) | 3.17% | 31% | $9,953 |
Year Ended 12/31/2021 | $8.61 | 1.03% | 1.14%(c) | 0.86%(c) | 2.62% | 42% | $11,301 |
Year Ended 12/31/2020 | $8.86 | 4.59% | 1.12% | 0.85% | 2.87% | 53% | $10,766 |
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%(c) | 0.89%(c) | 3.08% | 86% | $9,512 |
Class 3 | |||||||
Year Ended 12/31/2022 | $7.28 | (13.60%) | 0.99%(c) | 0.76%(c) | 3.28% | 31% | $70,602 |
Year Ended 12/31/2021 | $8.70 | 1.14% | 1.01%(c) | 0.74%(c) | 2.74% | 42% | $91,320 |
Year Ended 12/31/2020 | $8.95 | 4.68% | 0.99% | 0.73% | 2.99% | 53% | $97,365 |
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%(c) | 0.76%(c) | 3.25% | 86% | $104,256 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 33 |
December 31, 2022
34 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 35 |
December 31, 2022
36 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 37 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 95,752 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 174,061* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 84,436 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 176,354* |
Total | 434,851 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
38 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 88,200 | 88,200 |
Foreign exchange risk | 2,226,391 | — | — | 2,226,391 |
Interest rate risk | — | (927,368) | — | (927,368) |
Total | 2,226,391 | (927,368) | 88,200 | 1,387,223 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (171,823) | (171,823) |
Foreign exchange risk | 16,394 | — | — | 16,394 |
Interest rate risk | — | (42,161) | — | (42,161) |
Total | 16,394 | (42,161) | (171,823) | (197,590) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 11,329,273* |
Futures contracts — short | 2,462,688** |
Credit default swap contracts — buy protection | 2,343,963* |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 310,999 | (34,774) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2022. |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 39 |
December 31, 2022
40 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
HSBC ($) | Morgan Stanley ($) | UBS ($) | Total ($) | |
Assets | ||||
Centrally cleared credit default swap contracts (a) | — | 1,234 | — | 1,234 |
Forward foreign currency exchange contracts | — | — | 95,752 | 95,752 |
Total assets | — | 1,234 | 95,752 | 96,986 |
Liabilities | ||||
Centrally cleared credit default swap contracts (a) | — | 2,847 | — | 2,847 |
Forward foreign currency exchange contracts | 925 | — | 83,511 | 84,436 |
Total liabilities | 925 | 2,847 | 83,511 | 87,283 |
Total financial and derivative net assets | (925) | (1,613) | 12,241 | 9,703 |
Total collateral received (pledged) (b) | — | (1,613) | — | (1,613) |
Net amount (c) | (925) | — | 12,241 | 11,316 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 41 |
December 31, 2022
42 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 43 |
December 31, 2022
Contractual expense cap May 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.66% | 0.61% | 0.61% |
Class 2 | 0.91 | 0.86 | 0.86 |
Class 3 | 0.785 | 0.735 | 0.735 |
44 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
441,216 | (441,216) | — |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
2,970,100 | — | 2,970,100 | 4,113,351 | — | 4,113,351 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
2,527,432 | — | (8,041,911) | (11,515,417) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
89,386,491 | 277,774 | (11,793,191) | (11,515,417) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(2,202,288) | (5,839,623) | (8,041,911) | — |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 45 |
December 31, 2022
46 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 47 |
December 31, 2022
48 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 49 |
December 31, 2022
50 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 51 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
52 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 53 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
54 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 55 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
56 | Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Columbia Variable Portfolio – Global Strategic Income Fund | Annual Report 2022 | 57 |
December 31, 2022
3 | |
6 | |
8 | |
9 | |
34 | |
35 | |
36 | |
38 | |
40 | |
58 | |
59 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -17.06 | 0.43 | 1.39 | |
Class 2 | 05/03/10 | -17.20 | 0.20 | 1.15 | |
Class 3 | 10/13/81 | -17.17 | 0.31 | 1.26 | |
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 3 |
(Unaudited)
4 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Asset-Backed Securities — Agency | 0.0(a) |
Asset-Backed Securities — Non-Agency | 12.5 |
Commercial Mortgage-Backed Securities - Agency | 1.4 |
Commercial Mortgage-Backed Securities - Non-Agency | 5.9 |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 18.4 |
Foreign Government Obligations | 2.2 |
Money Market Funds | 7.3 |
Municipal Bonds | 0.4 |
Options Purchased Calls | 0.3 |
Residential Mortgage-Backed Securities - Agency | 32.1 |
Residential Mortgage-Backed Securities - Non-Agency | 18.4 |
Senior Loans | 0.2 |
U.S. Treasury Obligations | 0.9 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at December 31, 2022) | |
AAA rating | 40.1 |
AA rating | 9.3 |
A rating | 13.8 |
BBB rating | 19.5 |
BB rating | 5.5 |
B rating | 2.8 |
CCC rating | 1.0 |
Not rated | 8.0 |
Total | 100.0 |
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2022)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 150.9 | (49.4) | 101.5 |
Foreign Currency Derivative Contracts | — | (1.5) | (1.5) |
Total Notional Market Value of Derivative Contracts | 150.9 | (50.9) | 100.0 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 5 |
(Unaudited)
• | The Fund’s performance, relative to the benchmark, for the 12-month period that ended December 31, 2022 was helped by its positioning within agency mortgage-backed securities (MBS). |
• | Specifically, the Fund was underweight the lower coupon “to-be-announced” pools, which were negatively impacted by the prospect of the Fed beginning to reduce its balance sheet via sales of previously purchased MBS. |
• | The Fund’s tactical positioning, with respect to duration and corresponding interest-rate sensitivity, was the most significant factor in underperformance relative to the benchmark. |
• | The Fund entered the period underweight in duration in anticipation of a relatively modest series of Fed rate hikes in 2022, and extended duration when the Fed implemented its initial increases and we saw signs of the economy slowing. |
• | However, this shift proved disadvantageous as inflation spiked over the first half of the year and the Fed engaged in nearly unprecedented aggressive tightening, which was accompanied by a dramatic upward move in the U.S. Treasury yield curve. |
• | The Fund’s allocation to off-benchmark, credit-oriented securitized assets also weighed on relative return. |
• | In this vein, performance for non-agency MBS suffered from a volatile interest rate backdrop and rising U.S. Treasury yields that led to extended durations as housing turnover came to a virtual standstill. |
• | Performance for commercial MBS was negatively impacted by credit concerns, given a slowing economy and tighter financing conditions. |
• | An allocation to below-investment-grade, high-yield corporate bonds also detracted, given the deterioration in credit sentiment. |
6 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
(Unaudited)
• | Security selection within the government-related sector hampered performance, most notably exposure to emerging market agency bonds, which were negatively impacted by strength in the U.S. dollar for most of the year. |
• | Selection within investment-grade corporate bonds suffered from a tilt toward more credit sensitive longer maturity issues in the BBB quality range (the lowest investment-grade category). In addition, an overweight to large, money center banks constrained return due to high levels of new issuance within the segment, which led to a short-term, technical imbalance between supply and demand. |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 953.30 | 1,022.51 | 2.50 | 2.59 | 0.51 |
Class 2 | 1,000.00 | 1,000.00 | 952.40 | 1,021.26 | 3.72 | 3.85 | 0.76 |
Class 3 | 1,000.00 | 1,000.00 | 953.00 | 1,021.91 | 3.08 | 3.19 | 0.63 |
8 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
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% | 131,564 | 122,883 | |
Total Asset-Backed Securities — Agency (Cost $133,498) | 122,883 | |||
Asset-Backed Securities — Non-Agency 14.4% | ||||
American Credit Acceptance Receivables Trust(a) | ||||
Subordinated Series 2021-3 Class B | ||||
02/13/2026 | 0.660% | 3,684,029 | 3,672,422 | |
Ares LVIII CLO Ltd.(a),(b) | ||||
Series 2020-58A Class DR | ||||
3-month Term SOFR + 3.200% Floor 3.200% 01/15/2035 | 7.064% | 6,500,000 | 5,613,718 | |
Ares XLVI CLO Ltd.(a),(b) | ||||
Series 2017-46A Class B1 | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 01/15/2030 | 5.429% | 18,020,000 | 17,387,354 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2018-1A Class B | ||||
3-month USD LIBOR + 1.400% 04/23/2031 | 5.725% | 22,300,000 | 21,242,579 | |
Series 2020-3A Class DR | ||||
3-month USD LIBOR + 3.250% Floor 3.250% 10/23/2034 | 7.575% | 5,000,000 | 4,548,720 | |
Series 2020-4A Class D | ||||
3-month USD LIBOR + 4.250% Floor 4.250% 10/20/2033 | 8.493% | 7,000,000 | 6,729,793 | |
Carlyle Group LP(a),(b) | ||||
Series 2017-5A Class A2 | ||||
3-month USD LIBOR + 1.400% 01/20/2030 | 5.643% | 12,000,000 | 11,460,708 | |
Cent CLO Ltd.(a),(b) | ||||
Series 2018-C17A Class A2R | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 04/30/2031 | 6.015% | 21,000,000 | 20,195,532 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2018-57A Class B | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 05/15/2031 | 5.956% | 14,617,500 | 14,025,564 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2020-83A Class D | ||||
3-month USD LIBOR + 3.500% Floor 3.500% 01/18/2032 | 7.694% | 8,000,000 | 7,202,344 | |
Goldentree Loan Opportunities XI Ltd.(a),(b) | ||||
Series 2015-11A Class BR2 | ||||
3-month USD LIBOR + 1.350% 01/18/2031 | 5.544% | 10,000,000 | 9,692,570 | |
LendingPoint Asset Securitization Trust(a) | ||||
Series 2021-B Class A | ||||
02/15/2029 | 1.110% | 2,849,811 | 2,829,580 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 3,108,778 | 3,001,823 | |
LP LMS Asset Securitization Trust(a) | ||||
Series 2021-2A Class A | ||||
01/15/2029 | 1.750% | 7,294,527 | 7,049,713 | |
Lucali CLO Ltd.(a),(b) | ||||
Series 2020-1A Class D | ||||
3-month USD LIBOR + 3.600% Floor 3.600% 01/15/2033 | 6.112% | 9,750,000 | 8,883,732 | |
Madison Park Funding XLVII Ltd.(a),(b) | ||||
Series 2020-47A Class D | ||||
3-month USD LIBOR + 4.100% Floor 4.000% 01/19/2034 | 6.738% | 13,175,000 | 12,869,011 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 5.975% | 20,000,000 | 19,443,480 | |
Madison Park Funding XXVII Ltd.(a),(b) | ||||
Series 2018-27A Class A2 | ||||
3-month USD LIBOR + 1.350% 04/20/2030 | 5.593% | 11,300,000 | 10,920,388 | |
Marlette Funding Trust(a) | ||||
Series 2020-2A Class D | ||||
09/16/2030 | 4.650% | 4,145,000 | 4,054,183 | |
Octagon 55 Ltd.(a),(b) | ||||
Series 2021-1A Class D | ||||
3-month USD LIBOR + 3.100% Floor 3.100% 07/20/2034 | 5.810% | 6,000,000 | 5,653,368 | |
Octagon Investment Partners 35 Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/20/2031 | 5.643% | 20,375,000 | 19,699,834 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 9 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Octagon Investment Partners XXII Ltd.(a),(b) | ||||
Series 2014-1A Class BRR | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 01/22/2030 | 5.775% | 45,625,000 | 44,413,200 | |
Oportun Issuance Trust(a) | ||||
Series 2021-B Class A | ||||
05/08/2031 | 1.470% | 27,500,000 | 24,576,434 | |
Subordinated Series 2021-B Class B | ||||
05/08/2031 | 1.960% | 3,065,000 | 2,671,891 | |
OZLM Funding IV Ltd.(a),(b) | ||||
Series 2013-4A Class D2R | ||||
3-month USD LIBOR + 7.250% Floor 7.250% 10/22/2030 | 11.575% | 1,962,500 | 1,644,092 | |
OZLM XXI(a),(b) | ||||
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 5.693% | 20,000,000 | 19,002,440 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2020-3 Class B | ||||
05/17/2027 | 3.220% | 3,726,597 | 3,713,345 | |
Series 2021-1 Class A | ||||
11/15/2027 | 1.180% | 2,906,075 | 2,863,585 | |
Series 2021-3 Class A | ||||
05/15/2029 | 1.150% | 13,039,859 | 12,723,241 | |
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 9,318,263 | 8,986,972 | |
Subordinated Series 2021-3 Class B | ||||
05/15/2029 | 1.740% | 9,049,507 | 8,254,812 | |
Subordinated Series 2021-5 Class B | ||||
08/15/2029 | 2.630% | 10,998,704 | 9,923,292 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 12,803,215 | 12,307,392 | |
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 10,198,651 | 9,189,312 | |
PAGAYA AI Debt Trust(a) | ||||
Subordinated Series 2022-3 Class B | ||||
03/15/2030 | 8.050% | 9,000,000 | 8,916,992 | |
Prosper Pass-Through Trust(a),(c),(d) | ||||
Series 2019-ST2 Class A | ||||
11/15/2025 | 3.750% | 709,969 | 709,969 | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 7,589,370 | 6,673,775 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A2R2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/15/2030 | 5.479% | 28,000,000 | 27,170,080 | |
Stewart Park CLO Ltd.(a),(b) | ||||
Series 2017-1A Class BR | ||||
3-month USD LIBOR + 1.370% Floor 1.370% 01/15/2030 | 5.449% | 11,171,429 | 10,778,027 | |
Theorem Funding Trust(a) | ||||
Series 2021-1A Class A | ||||
12/15/2027 | 1.210% | 3,980,518 | 3,915,693 | |
Upstart Pass-Through Trust(a) | ||||
Series 2020-ST6 Class A | ||||
01/20/2027 | 3.000% | 3,646,909 | 3,465,028 | |
Series 2021-ST1 Class A | ||||
02/20/2027 | 2.750% | 5,300,371 | 5,044,555 | |
Series 2021-ST10 Class A | ||||
01/20/2030 | 2.250% | 10,836,727 | 10,265,954 | |
Upstart Securitization Trust(a) | ||||
Series 2021-3 Class A | ||||
07/20/2031 | 0.830% | 3,952,989 | 3,868,451 | |
Series 2021-4 Class A | ||||
09/20/2031 | 0.840% | 8,769,018 | 8,476,671 | |
Subordinated Series 2021-3 Class B | ||||
07/20/2031 | 1.660% | 9,050,000 | 8,427,789 | |
Subordinated Series 2021-4 Class B | ||||
09/20/2031 | 1.840% | 11,370,000 | 10,180,530 | |
Total Asset-Backed Securities — Non-Agency (Cost $509,644,426) | 484,339,938 | |||
Commercial Mortgage-Backed Securities - Agency 1.6% | ||||
Federal National Mortgage Association(e) | ||||
Series 2017-M15 Class ATS2 | ||||
11/25/2027 | 3.158% | 44,980,986 | 42,630,221 | |
FRESB Mortgage Trust(e) | ||||
Series 2018-SB45 Class A10F (FHLMC) | ||||
11/25/2027 | 3.160% | 7,487,246 | 7,110,965 | |
Government National Mortgage Association(e),(f) | ||||
Series 2019-147 Class IO | ||||
06/16/2061 | 0.396% | 125,222,542 | 4,945,301 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $64,786,569) | 54,686,487 | |||
Commercial Mortgage-Backed Securities - Non-Agency 6.8% | ||||
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 2,136,711 | 2,048,129 |
10 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BAMLL Commercial Mortgage Securities Trust(a),(e) | ||||
Series 2013-WBRK Class A | ||||
03/10/2037 | 3.534% | 5,550,000 | 5,006,375 | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class E | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 10/15/2037 | 6.568% | 10,581,000 | 9,860,086 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 6.858% | 4,900,000 | 4,603,401 | |
Subordinated Series 2019-DPLO Class D | ||||
1-month USD LIBOR + 1.840% Floor 1.840% 10/15/2034 | 6.158% | 3,050,000 | 2,913,693 | |
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 5.568% | 5,000,000 | 4,819,450 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 6.718% | 6,310,000 | 5,845,070 | |
Subordinated Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 6.118% | 6,950,000 | 6,655,597 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class A | ||||
1-month USD LIBOR + 1.129% Floor 1.129% 11/15/2038 | 5.447% | 4,400,000 | 4,191,280 | |
Subordinated Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 7.039% | 14,900,000 | 13,690,989 | |
Cold Storage Trust(a),(b) | ||||
Subordinated Series 2020-ICE5 Class F | ||||
1-month USD LIBOR + 3.492% Floor 3.492% 11/15/2037 | 7.810% | 3,096,420 | 2,951,383 | |
COMM Mortgage Trust(a),(e) | ||||
Subordinated Series 2020-CBM Class E | ||||
02/10/2037 | 3.633% | 10,950,000 | 9,407,823 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Series 2014-USA Class A2 | ||||
09/15/2037 | 3.953% | 15,735,000 | 14,136,299 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 19,065,000 | 10,567,773 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 16,000,000 | 8,046,078 | |
Extended Stay America Trust(a),(b) | ||||
Series 2021-ESH Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 07/15/2038 | 6.568% | 9,761,922 | 9,347,586 | |
Hilton USA Trust(a),(e) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 4,500,000 | 3,784,520 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 10,901,000 | 10,173,417 | |
Morgan Stanley Capital I Trust(a),(e) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 13,400,000 | 11,476,963 | |
One New York Plaza Trust(a),(b) | ||||
Subordinated Series 2020-1NYP Class C | ||||
1-month USD LIBOR + 2.200% Floor 2.200% 01/15/2036 | 6.518% | 6,600,000 | 6,159,642 | |
Subordinated Series 2020-1NYP Class D | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 01/15/2036 | 7.068% | 4,150,000 | 3,776,354 | |
Progress Residential 2020-SFR3 Trust(a) | ||||
Series 2020-SFR3 Class A | ||||
10/17/2027 | 1.294% | 7,982,076 | 7,069,100 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class E | ||||
04/17/2037 | 3.032% | 19,775,000 | 17,933,418 | |
Subordinated Series 2019-SFR3 Class F | ||||
09/17/2036 | 3.867% | 2,775,000 | 2,601,636 | |
Subordinated Series 2019-SFR4 Class F | ||||
10/17/2036 | 3.684% | 1,735,000 | 1,642,387 | |
Subordinated Series 2020-SFR2 Class E | ||||
06/17/2037 | 5.115% | 5,900,000 | 5,565,880 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Series 2021-555 Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 05/15/2038 | 5.468% | 22,000,000 | 20,159,755 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 02/15/2032 | 5.568% | 10,469,000 | 10,144,061 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 11 |
December 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2021-FCMT Class A | ||||
1-month USD LIBOR + 1.200% Floor 1.200% 05/15/2031 | 5.518% | 6,250,000 | 5,816,099 | |
Subordinated Series 2017-SMP Class C | ||||
1-month USD LIBOR + 1.325% Floor 1.200% 12/15/2034 | 5.643% | 9,000,000 | 8,225,640 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $257,843,715) | 228,619,884 | |||
Convertible Bonds 0.0% | ||||
Cable and Satellite 0.0% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 721,000 | 451,707 | |
Total Convertible Bonds (Cost $688,698) | 451,707 | |||
Corporate Bonds & Notes(g) 21.2% | ||||
Aerospace & Defense 0.5% | ||||
Boeing Co. (The) | ||||
03/01/2029 | 3.200% | 3,264,000 | 2,871,693 | |
08/01/2059 | 3.950% | 6,580,000 | 4,416,850 | |
05/01/2060 | 5.930% | 4,933,000 | 4,529,836 | |
Bombardier, Inc.(a) | ||||
12/01/2024 | 7.500% | 534,000 | 534,992 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 186,000 | 196,012 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 1,995,000 | 1,971,704 | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 1,198,000 | 1,167,491 | |
11/15/2027 | 5.500% | 438,000 | 411,306 | |
05/01/2029 | 4.875% | 460,000 | 401,059 | |
Total | 16,500,943 | |||
Airlines 0.1% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 358,000 | 318,045 | |
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 600,000 | 645,502 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 1,446,165 | 1,390,723 | |
04/20/2029 | 5.750% | 207,779 | 190,089 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 802,736 | 726,311 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 347,000 | 323,187 | |
04/15/2029 | 4.625% | 389,000 | 339,486 | |
Total | 3,933,343 | |||
Automotive 0.2% | ||||
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 864,000 | 650,113 | |
Ford Motor Credit Co. LLC | ||||
11/13/2025 | 3.375% | 325,000 | 294,377 | |
01/09/2027 | 4.271% | 934,000 | 846,817 | |
08/17/2027 | 4.125% | 334,000 | 298,464 | |
11/04/2027 | 7.350% | 294,000 | 301,262 | |
02/16/2028 | 2.900% | 368,000 | 304,078 | |
02/10/2029 | 2.900% | 960,000 | 766,377 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 357,000 | 297,791 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 727,000 | 706,522 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 355,000 | 347,027 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 665,000 | 650,583 | |
Total | 5,463,411 | |||
Banking 6.1% | ||||
Bank of America Corp.(h) | ||||
07/23/2031 | 1.898% | 32,855,000 | 25,260,418 | |
10/20/2032 | 2.572% | 10,390,000 | 8,150,488 | |
02/04/2033 | 2.972% | 18,020,000 | 14,529,797 | |
Citigroup, Inc.(h) | ||||
06/03/2031 | 2.572% | 4,618,000 | 3,735,323 | |
01/25/2033 | 3.057% | 19,236,000 | 15,532,161 | |
Goldman Sachs Group, Inc. (The)(h) | ||||
07/21/2032 | 2.383% | 13,579,000 | 10,526,369 | |
10/21/2032 | 2.650% | 18,433,000 | 14,549,549 | |
HSBC Holdings PLC(h) | ||||
05/24/2032 | 2.804% | 9,154,000 | 7,066,190 | |
11/22/2032 | 2.871% | 21,713,000 | 16,627,268 | |
JPMorgan Chase & Co.(h) | ||||
10/15/2030 | 2.739% | 7,987,000 | 6,707,253 | |
04/22/2032 | 2.580% | 27,720,000 | 22,177,110 | |
11/08/2032 | 2.545% | 24,791,000 | 19,590,421 | |
Morgan Stanley(h) | ||||
07/21/2032 | 2.239% | 4,533,000 | 3,473,052 | |
Subordinated | ||||
09/16/2036 | 2.484% | 1,860,000 | 1,356,747 | |
04/20/2037 | 5.297% | 9,485,000 | 8,678,812 |
12 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo & Co.(h) | ||||
10/30/2030 | 2.879% | 609,000 | 517,767 | |
02/11/2031 | 2.572% | 32,216,000 | 26,645,385 | |
Total | 205,124,110 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 357,000 | 360,337 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 364,000 | 304,700 | |
NFP Corp(a) | ||||
10/01/2030 | 7.500% | 401,000 | 376,940 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 366,000 | 311,613 | |
08/15/2028 | 6.875% | 1,494,000 | 1,237,018 | |
Total | 2,590,608 | |||
Building Materials 0.1% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 408,000 | 363,731 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 670,000 | 627,994 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 470,000 | 419,825 | |
07/01/2029 | 6.125% | 385,000 | 312,485 | |
12/01/2029 | 6.000% | 515,000 | 411,889 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 493,000 | 429,579 | |
Total | 2,565,503 | |||
Cable and Satellite 1.0% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
03/01/2030 | 4.750% | 626,000 | 540,669 | |
08/15/2030 | 4.500% | 1,435,000 | 1,188,209 | |
02/01/2031 | 4.250% | 459,000 | 368,520 | |
02/01/2032 | 4.750% | 552,000 | 447,511 | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 558,000 | 444,169 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 4,412,000 | 3,476,429 | |
12/01/2061 | 4.400% | 1,060,000 | 681,065 | |
06/30/2062 | 3.950% | 9,151,000 | 5,406,330 | |
04/01/2063 | 5.500% | 12,519,000 | 9,639,219 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 789,000 | 636,000 | |
01/15/2030 | 5.750% | 722,000 | 408,236 | |
12/01/2030 | 4.125% | 1,466,000 | 1,034,749 | |
12/01/2030 | 4.625% | 284,000 | 156,282 | |
11/15/2031 | 5.000% | 258,000 | 144,189 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 256,000 | 229,573 | |
DISH DBS Corp. | ||||
07/01/2026 | 7.750% | 466,000 | 376,065 | |
06/01/2029 | 5.125% | 1,327,000 | 856,063 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 432,000 | 444,242 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 604,000 | 443,905 | |
09/15/2028 | 6.500% | 907,000 | 380,136 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 552,000 | 490,108 | |
07/01/2030 | 4.125% | 266,000 | 219,753 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 3,204,000 | 2,708,915 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 671,000 | 539,094 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 566,000 | 508,646 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 901,000 | 734,612 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 432,000 | 350,463 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 419,000 | 390,043 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 896,000 | 749,192 | |
Total | 33,992,387 | |||
Chemicals 0.2% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 343,000 | 337,379 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 390,000 | 323,643 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 555,000 | 512,860 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 398,000 | 379,529 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 732,000 | 624,823 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 600,000 | 528,199 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 544,000 | 435,064 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 845,000 | 711,154 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 13 |
December 31, 2022
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 535,000 | 524,535 | |
Iris Holdings, Inc.(a),(i) | ||||
02/15/2026 | 8.750% | 323,000 | 281,242 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2029 | 6.250% | 188,000 | 142,859 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 228,000 | 197,298 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 417,000 | 335,807 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 816,000 | 722,890 | |
08/15/2029 | 5.625% | 1,174,000 | 949,784 | |
Total | 7,007,066 | |||
Construction Machinery 0.0% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 651,000 | 554,222 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 162,000 | 151,032 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 277,000 | 273,133 | |
Total | 978,387 | |||
Consumer Cyclical Services 0.1% | ||||
APX Group, Inc.(a) | ||||
07/15/2029 | 5.750% | 171,000 | 141,776 | |
Arches Buyer, Inc.(a) | ||||
12/01/2028 | 6.125% | 635,000 | 509,557 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 353,000 | 303,872 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 315,000 | 315,449 | |
08/15/2029 | 4.500% | 1,999,000 | 1,742,769 | |
Total | 3,013,423 | |||
Consumer Products 0.1% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 864,000 | 745,180 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 380,000 | 372,741 | |
04/01/2029 | 3.750% | 788,000 | 692,608 | |
Mattel, Inc. | ||||
10/01/2040 | 6.200% | 1,049,000 | 906,362 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 137,000 | 136,022 | |
09/15/2029 | 6.625% | 194,000 | 191,480 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 470,000 | 443,949 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 175,000 | 134,383 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 254,000 | 251,370 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 409,000 | 357,766 | |
07/15/2030 | 5.500% | 29,000 | 25,741 | |
Tempur Sealy International, Inc.(a) | ||||
10/15/2031 | 3.875% | 133,000 | 104,118 | |
Total | 4,361,720 | |||
Diversified Manufacturing 0.4% | ||||
Carrier Global Corp. | ||||
02/15/2030 | 2.722% | 9,344,000 | 7,874,526 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 234,000 | 234,971 | |
01/01/2031 | 9.500% | 80,000 | 82,047 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 1,054,000 | 1,016,453 | |
General Electric Co.(b) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 3.330% 12/31/2049 | 8.099% | 5,000 | 4,951 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 654,000 | 544,628 | |
06/30/2029 | 5.875% | 407,000 | 279,950 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 516,000 | 416,309 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 401,000 | 356,706 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 770,000 | 780,534 | |
06/15/2028 | 7.250% | 335,000 | 339,641 | |
Total | 11,930,716 | |||
Electric 1.1% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 5,325,000 | 3,770,663 | |
Clearway Energy Operating LLC(a) | ||||
02/15/2031 | 3.750% | 760,000 | 634,366 | |
01/15/2032 | 3.750% | 229,000 | 185,050 | |
Duke Energy Corp. | ||||
08/15/2052 | 5.000% | 8,018,000 | 7,193,300 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 13,116,000 | 10,204,252 |
14 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 2,282,000 | 1,956,088 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 631,000 | 613,225 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 322,000 | 259,979 | |
06/15/2029 | 5.250% | 776,000 | 685,591 | |
02/15/2031 | 3.625% | 1,125,000 | 860,770 | |
02/15/2032 | 3.875% | 659,000 | 496,852 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 8,490,000 | 6,651,539 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 3,505,000 | 2,931,467 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 225,000 | 214,882 | |
05/01/2029 | 4.375% | 449,000 | 387,402 | |
Total | 37,045,426 | |||
Environmental 0.1% | ||||
GFL Environmental, Inc.(a) | ||||
08/01/2025 | 3.750% | 735,000 | 694,121 | |
12/15/2026 | 5.125% | 481,000 | 462,303 | |
08/01/2028 | 4.000% | 612,000 | 532,430 | |
06/15/2029 | 4.750% | 402,000 | 351,220 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 907,000 | 803,732 | |
Total | 2,843,806 | |||
Finance Companies 0.1% | ||||
Navient Corp. | ||||
01/25/2023 | 5.500% | 272,000 | 271,599 | |
OneMain Finance Corp. | ||||
09/15/2030 | 4.000% | 22,000 | 16,445 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 556,000 | 491,165 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 968,000 | 768,076 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 1,580,000 | 1,181,845 | |
Total | 2,729,130 | |||
Food and Beverage 1.0% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 3,739,000 | 3,421,556 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 13,380,000 | 11,999,998 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 429,000 | 420,455 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 1,961,000 | 1,840,152 | |
Grupo Bimbo SAB de CV(a) | ||||
06/27/2024 | 3.875% | 2,256,000 | 2,209,786 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
01/15/2030 | 5.500% | 496,000 | 471,545 | |
12/01/2031 | 3.750% | 715,000 | 583,284 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 1,716,000 | 1,401,700 | |
Lamb Weston Holdings, Inc.(a) | ||||
01/31/2030 | 4.125% | 375,000 | 331,804 | |
01/31/2032 | 4.375% | 373,000 | 325,783 | |
Pilgrim’s Pride Corp.(a) | ||||
09/30/2027 | 5.875% | 971,000 | 951,520 | |
04/15/2031 | 4.250% | 1,471,000 | 1,252,082 | |
03/01/2032 | 3.500% | 4,719,000 | 3,688,641 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 510,000 | 493,853 | |
09/15/2031 | 4.500% | 897,000 | 757,664 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 770,000 | 665,001 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 833,000 | 681,590 | |
US Foods, Inc.(a) | ||||
04/15/2025 | 6.250% | 342,000 | 339,226 | |
02/15/2029 | 4.750% | 535,000 | 475,084 | |
06/01/2030 | 4.625% | 377,000 | 333,130 | |
Total | 32,643,854 | |||
Gaming 0.2% | ||||
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 589,000 | 512,647 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 1,045,000 | 849,793 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 924,000 | 905,522 | |
07/01/2025 | 6.250% | 1,994,000 | 1,940,005 | |
07/01/2027 | 8.125% | 756,000 | 743,493 | |
International Game Technology PLC(a) | ||||
04/15/2026 | 4.125% | 244,000 | 228,319 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 660,000 | 563,950 | |
Penn National Gaming, Inc.(a) | ||||
07/01/2029 | 4.125% | 730,000 | 577,501 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 618,000 | 521,844 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 311,000 | 296,335 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 15 |
December 31, 2022
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 285,000 | 283,757 | |
10/01/2029 | 5.125% | 241,000 | 206,679 | |
Total | 7,629,845 | |||
Health Care 1.1% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 233,000 | 221,195 | |
04/15/2029 | 5.000% | 243,000 | 224,122 | |
AdaptHealth LLC(a) | ||||
08/01/2029 | 4.625% | 121,000 | 101,422 | |
03/01/2030 | 5.125% | 920,000 | 783,029 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 574,000 | 521,211 | |
11/01/2029 | 3.875% | 1,000,000 | 840,285 | |
Becton Dickinson Euro Finance SARL | ||||
08/13/2041 | 1.336% | EUR | 5,285,000 | 3,486,226 |
Charles River Laboratories International, Inc.(a) | ||||
03/15/2029 | 3.750% | 423,000 | 373,992 | |
03/15/2031 | 4.000% | 128,000 | 110,760 | |
CHS/Community Health Systems, Inc.(a) | ||||
04/15/2029 | 6.875% | 489,000 | 253,543 | |
05/15/2030 | 5.250% | 1,032,000 | 779,454 | |
GE Healthcare Holding LLC(a) | ||||
11/15/2027 | 5.650% | 11,235,000 | 11,399,803 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 17,648,000 | 13,820,902 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 151,000 | 121,700 | |
10/01/2029 | 5.250% | 738,000 | 586,547 | |
Owens & Minor, Inc.(a) | ||||
04/01/2030 | 6.625% | 376,000 | 323,317 | |
RP Escrow Issuer LLC(a) | ||||
12/15/2025 | 5.250% | 495,000 | 378,564 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 800,000 | 762,435 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 574,000 | 561,007 | |
Tenet Healthcare Corp.(a) | ||||
01/01/2026 | 4.875% | 495,000 | 471,600 | |
02/01/2027 | 6.250% | 627,000 | 602,238 | |
10/01/2028 | 6.125% | 820,000 | 735,840 | |
06/01/2029 | 4.250% | 91,000 | 78,789 | |
01/15/2030 | 4.375% | 674,000 | 583,948 | |
Total | 38,121,929 | |||
Healthcare Insurance 0.2% | ||||
Aetna, Inc. | ||||
11/15/2042 | 4.125% | 1,339,000 | 1,099,286 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Centene Corp. | ||||
02/15/2030 | 3.375% | 835,000 | 706,698 | |
10/15/2030 | 3.000% | 734,000 | 601,333 | |
08/01/2031 | 2.625% | 4,954,000 | 3,891,121 | |
Total | 6,298,438 | |||
Home Construction 0.0% | ||||
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 974,000 | 826,589 | |
Independent Energy 1.0% | ||||
Apache Corp. | ||||
02/01/2042 | 5.250% | 398,000 | 326,360 | |
04/15/2043 | 4.750% | 434,000 | 327,339 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 1,124,000 | 1,057,244 | |
Callon Petroleum Co.(a) | ||||
08/01/2028 | 8.000% | 213,000 | 202,164 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 50,000 | 49,847 | |
01/15/2029 | 6.000% | 337,000 | 311,046 | |
01/15/2031 | 7.375% | 50,000 | 47,975 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 558,000 | 480,444 | |
Comstock Resources, Inc.(a) | ||||
03/01/2029 | 6.750% | 307,000 | 277,174 | |
01/15/2030 | 5.875% | 566,000 | 489,468 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
02/01/2029 | 5.750% | 571,000 | 510,227 | |
04/15/2030 | 6.000% | 334,000 | 298,900 | |
04/15/2032 | 6.250% | 231,000 | 198,455 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 582,000 | 561,693 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 1,880,000 | 1,942,576 | |
01/01/2031 | 6.125% | 5,569,000 | 5,635,785 | |
09/15/2036 | 6.450% | 11,432,000 | 11,662,884 | |
03/15/2040 | 6.200% | 1,074,000 | 1,051,313 | |
03/15/2046 | 6.600% | 5,510,000 | 5,670,620 | |
Southwestern Energy Co. | ||||
02/01/2029 | 5.375% | 249,000 | 230,630 | |
02/01/2032 | 4.750% | 1,181,000 | 1,008,376 | |
Total | 32,340,520 | |||
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 3,240,000 | 2,285,019 | |
Lukoil International Finance BV(a) | ||||
04/24/2023 | 4.563% | 2,256,000 | 1,990,319 | |
Total | 4,275,338 |
16 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Leisure 0.2% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 704,000 | 562,271 | |
03/01/2027 | 5.750% | 1,080,000 | 770,570 | |
08/01/2028 | 4.000% | 510,000 | 415,492 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 297,000 | 304,866 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 564,000 | 557,301 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 284,000 | 276,264 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 168,000 | 170,520 | |
03/15/2026 | 5.875% | 841,000 | 699,652 | |
NCL Corp., Ltd.(a) | ||||
02/15/2029 | 7.750% | 91,000 | 68,482 | |
NCL Finance Ltd.(a) | ||||
03/15/2028 | 6.125% | 181,000 | 134,368 | |
Royal Caribbean Cruises Ltd.(a) | ||||
07/01/2026 | 4.250% | 474,000 | 383,791 | |
08/31/2026 | 5.500% | 600,000 | 504,804 | |
07/15/2027 | 5.375% | 235,000 | 191,171 | |
04/01/2028 | 5.500% | 619,000 | 494,464 | |
01/15/2029 | 8.250% | 431,000 | 433,459 | |
Royal Caribbean Cruises Ltd. | ||||
03/15/2028 | 3.700% | 620,000 | 460,096 | |
Total | 6,427,571 | |||
Life Insurance 0.1% | ||||
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 4,984,000 | 4,817,099 | |
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
02/15/2032 | 3.625% | 535,000 | 428,219 | |
Media and Entertainment 1.4% | ||||
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 841,000 | 801,009 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 249,000 | 182,750 | |
06/01/2029 | 7.500% | 1,070,000 | 778,286 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 401,000 | 347,466 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 566,350 | 520,955 | |
05/01/2027 | 8.375% | 441,774 | 376,260 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 439,000 | 371,603 | |
01/15/2028 | 4.750% | 313,000 | 254,572 | |
Magallanes, Inc.(a) | ||||
03/15/2062 | 5.391% | 33,858,000 | 24,802,879 | |
Netflix, Inc. | ||||
11/15/2028 | 5.875% | 1,470,000 | 1,491,603 | |
05/15/2029 | 4.625% | EUR | 4,904,000 | 5,128,079 |
05/15/2029 | 6.375% | 1,124,000 | 1,161,990 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 3.875% | EUR | 2,729,000 | 2,728,748 |
11/15/2029 | 5.375% | 379,000 | 371,060 | |
06/15/2030 | 3.625% | EUR | 4,658,000 | 4,555,288 |
06/15/2030 | 4.875% | 276,000 | 258,112 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 318,000 | 287,373 | |
01/15/2029 | 4.250% | 245,000 | 203,222 | |
03/15/2030 | 4.625% | 177,000 | 146,786 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 415,000 | 325,668 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 518,000 | 408,034 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 252,000 | 210,618 | |
06/30/2030 | 7.375% | 345,000 | 330,132 | |
Total | 46,042,493 | |||
Metals and Mining 0.2% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 129,000 | 113,952 | |
10/01/2031 | 5.125% | 625,000 | 548,382 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 848,000 | 784,135 | |
04/15/2029 | 3.750% | 1,110,000 | 903,816 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2029 | 6.125% | 776,000 | 707,243 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 74,000 | 64,874 | |
06/01/2031 | 4.500% | 1,076,000 | 864,477 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 321,000 | 287,693 | |
01/30/2030 | 4.750% | 713,000 | 630,380 | |
08/15/2031 | 3.875% | 387,000 | 316,673 | |
Total | 5,221,625 | |||
Midstream 1.1% | ||||
Cheniere Energy Partners LP | ||||
01/31/2032 | 3.250% | 210,000 | 167,267 | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 602,000 | 496,934 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 17 |
December 31, 2022
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 164,000 | 158,665 | |
DT Midstream, Inc.(a) | ||||
06/15/2031 | 4.375% | 377,000 | 315,307 | |
Enterprise Products Operating LLC | ||||
01/31/2060 | 3.950% | 3,571,000 | 2,596,763 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 195,000 | 189,429 | |
07/01/2027 | 6.500% | 492,000 | 470,375 | |
01/15/2029 | 4.500% | 679,000 | 574,443 | |
01/15/2031 | 4.750% | 1,269,000 | 1,045,697 | |
EQM Midstream Partners LP | ||||
07/15/2048 | 6.500% | 411,000 | 308,256 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
09/30/2040 | 3.250% | 2,775,000 | 2,145,255 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 225,000 | 222,045 | |
02/01/2028 | 5.000% | 695,000 | 636,897 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 5,320,000 | 4,534,659 | |
08/01/2052 | 5.450% | 4,315,000 | 3,897,044 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 462,000 | 446,300 | |
06/01/2026 | 6.000% | 344,000 | 332,246 | |
04/28/2027 | 5.625% | 190,000 | 178,609 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 18,015,000 | 13,634,132 | |
Targa Resources Partners LP/Finance Corp. | ||||
01/15/2028 | 5.000% | 351,000 | 335,248 | |
03/01/2030 | 5.500% | 574,000 | 540,919 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 707,000 | 614,930 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 908,000 | 794,976 | |
08/15/2031 | 4.125% | 990,000 | 843,984 | |
11/01/2033 | 3.875% | 577,000 | 471,069 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 3,178,000 | 2,779,744 | |
Total | 38,731,193 | |||
Natural Gas 0.3% | ||||
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 10,560,000 | 8,883,054 | |
Oil Field Services 0.0% | ||||
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 186,000 | 182,250 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 875,207 | 868,255 | |
Total | 1,050,505 | |||
Other REIT 0.3% | ||||
Digital Dutch Finco BV(a) | ||||
03/15/2030 | 1.500% | EUR | 3,014,000 | 2,516,976 |
Digital Intrepid Holding BV(a) | ||||
07/18/2032 | 1.375% | EUR | 5,231,000 | 3,975,360 |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 1,295,000 | 1,219,808 | |
02/01/2027 | 4.250% | 407,000 | 342,714 | |
06/15/2029 | 4.750% | 853,000 | 688,720 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
02/15/2029 | 4.500% | 269,000 | 232,880 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 354,000 | 315,082 | |
Service Properties Trust | ||||
03/15/2024 | 4.650% | 262,000 | 251,496 | |
Total | 9,543,036 | |||
Packaging 0.1% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 418,000 | 409,543 | |
09/01/2029 | 4.000% | 1,197,000 | 949,490 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 364,000 | 315,543 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 187,000 | 181,943 | |
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 261,000 | 228,363 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 837,000 | 662,722 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 830,000 | 775,840 | |
08/15/2027 | 8.500% | 373,000 | 342,972 | |
Total | 3,866,416 | |||
Pharmaceuticals 0.5% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 207,000 | 201,656 | |
AbbVie, Inc. | ||||
06/15/2044 | 4.850% | 7,435,000 | 6,809,489 | |
Amgen, Inc. | ||||
03/01/2053 | 4.875% | 6,388,000 | 5,688,438 | |
02/22/2062 | 4.400% | 3,887,000 | 3,118,223 |
18 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 415,000 | 285,493 | |
06/01/2028 | 4.875% | 243,000 | 155,464 | |
09/30/2028 | 11.000% | 369,000 | 289,371 | |
10/15/2030 | 14.000% | 72,000 | 42,771 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(j) | ||||
06/30/2028 | 0.000% | 381,000 | 21,718 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 394,000 | 340,890 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 857,000 | 758,804 | |
04/30/2031 | 5.125% | 951,000 | 823,780 | |
Total | 18,536,097 | |||
Property & Casualty 0.4% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 346,000 | 311,663 | |
10/15/2027 | 6.750% | 983,000 | 885,723 | |
11/01/2029 | 5.875% | 641,000 | 527,791 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 446,000 | 433,598 | |
01/15/2029 | 5.625% | 410,000 | 340,616 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 11,012,000 | 8,887,676 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 994,000 | 854,467 | |
GTCR AP Finance, Inc.(a) | ||||
05/15/2027 | 8.000% | 167,000 | 160,102 | |
HUB International Ltd.(a) | ||||
12/01/2029 | 5.625% | 662,000 | 580,549 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 78,000 | 68,177 | |
Total | 13,050,362 | |||
Restaurants 0.0% | ||||
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 566,000 | 456,897 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 554,000 | 552,495 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 457,000 | 423,400 | |
Total | 1,432,792 | |||
Retailers 0.6% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 151,000 | 127,401 | |
L Brands, Inc.(a) | ||||
10/01/2030 | 6.625% | 361,000 | 338,592 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
L Brands, Inc. | ||||
11/01/2035 | 6.875% | 237,000 | 210,685 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 205,000 | 168,229 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 5,199,000 | 4,070,797 | |
09/15/2062 | 5.800% | 13,799,000 | 13,305,715 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 659,000 | 597,170 | |
02/15/2029 | 7.750% | 515,000 | 480,442 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 219,000 | 165,828 | |
Total | 19,464,859 | |||
Technology 0.9% | ||||
Broadcom, Inc.(a) | ||||
04/15/2034 | 3.469% | 5,592,000 | 4,433,615 | |
11/15/2036 | 3.187% | 7,592,000 | 5,479,445 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 364,000 | 315,774 | |
07/01/2029 | 4.875% | 732,000 | 622,406 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 181,000 | 164,721 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 493,000 | 398,139 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 140,000 | 128,049 | |
06/15/2030 | 5.950% | 503,000 | 464,042 | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 252,000 | 235,156 | |
10/01/2030 | 3.750% | 402,000 | 348,560 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 774,000 | 687,644 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 754,000 | 573,894 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 434,000 | 362,270 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 894,000 | 482,537 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 889,000 | 658,597 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 111,000 | 95,243 | |
04/15/2029 | 5.125% | 783,000 | 654,819 | |
10/01/2030 | 5.250% | 22,000 | 18,136 | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 269,000 | 253,463 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 19 |
December 31, 2022
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 2,090,000 | 1,803,581 | |
01/15/2033 | 5.000% | 4,258,000 | 4,017,719 | |
02/15/2042 | 3.125% | 3,869,000 | 2,607,543 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 486,000 | 411,519 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 132,000 | 132,316 | |
09/01/2025 | 7.375% | 183,000 | 175,408 | |
12/15/2027 | 11.250% | 61,000 | 62,783 | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 314,000 | 297,429 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 344,000 | 345,107 | |
Tencent Holdings Ltd.(a) | ||||
06/03/2050 | 3.240% | 4,250,000 | 2,695,640 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 874,000 | 856,136 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 371,000 | 312,635 | |
Total | 30,094,326 | |||
Wireless 0.8% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 715,000 | 422,162 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 160,000 | 146,061 | |
01/15/2028 | 5.500% | 771,000 | 605,338 | |
07/15/2029 | 5.125% | 484,000 | 362,001 | |
10/15/2029 | 5.500% | 261,000 | 199,831 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 10,707,000 | 9,736,646 | |
06/15/2030 | 2.100% | 2,980,000 | 2,362,432 | |
T-Mobile US, Inc. | ||||
04/15/2031 | 3.500% | 12,089,000 | 10,469,864 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 866,000 | 701,505 | |
07/15/2031 | 4.750% | 1,119,000 | 911,219 | |
Total | 25,917,059 | |||
Wirelines 0.5% | ||||
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 10,058,000 | 9,572,025 | |
12/01/2057 | 3.800% | 9,111,000 | 6,314,725 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 801,000 | 593,632 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 277,000 | 282,820 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 859,000 | 797,819 | |
10/15/2028 | 7.000% | 840,000 | 761,860 | |
Total | 18,322,881 | |||
Total Corporate Bonds & Notes (Cost $842,216,695) | 714,046,079 | |||
Foreign Government Obligations(k) 2.5% | ||||
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 346,000 | 310,826 | |
05/15/2029 | 4.250% | 647,000 | 528,458 | |
Total | 839,284 | |||
Colombia 0.6% | ||||
Colombia Government International Bond | ||||
04/22/2032 | 3.250% | 4,160,000 | 3,024,297 | |
02/26/2044 | 5.625% | 2,500,000 | 1,839,111 | |
05/15/2049 | 5.200% | 9,733,000 | 6,655,746 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 8,700,000 | 7,897,929 | |
Total | 19,417,083 | |||
Dominican Republic 0.0% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 1,630,000 | 1,596,382 | |
Egypt 0.1% | ||||
Egypt Government International Bond(a) | ||||
02/16/2031 | 5.875% | 909,000 | 631,914 | |
01/31/2047 | 8.500% | 2,105,000 | 1,399,724 | |
Total | 2,031,638 | |||
India 0.1% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 4,650,000 | 4,042,357 | |
Indonesia 0.1% | ||||
PT Indonesia Asahan Aluminium Persero(a) | ||||
05/15/2025 | 4.750% | 708,000 | 693,726 | |
05/15/2030 | 5.450% | 3,550,000 | 3,381,397 | |
Total | 4,075,123 | |||
Ivory Coast 0.0% | ||||
Ivory Coast Government International Bond(a) | ||||
06/15/2033 | 6.125% | 782,000 | 696,163 |
20 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Foreign Government Obligations(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 0.7% | ||||
Petroleos Mexicanos | ||||
09/21/2047 | 6.750% | 20,422,000 | 13,070,794 | |
01/23/2050 | 7.690% | 10,000,000 | 6,928,763 | |
01/28/2060 | 6.950% | 5,920,000 | 3,747,168 | |
Total | 23,746,725 | |||
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
08/11/2044 | 6.100% | 688,000 | 661,084 | |
Qatar 0.3% | ||||
Qatar Government International Bond(a) | ||||
03/14/2049 | 4.817% | 5,000,000 | 4,858,710 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 5,445,000 | 4,514,152 | |
Total | 9,372,862 | |||
Russian Federation 0.1% | ||||
Gazprom OAO Via Gaz Capital SA(a) | ||||
02/06/2028 | 4.950% | 2,740,000 | 2,011,767 | |
Saudi Arabia 0.1% | ||||
Saudi Government International Bond(a) | ||||
04/17/2049 | 5.000% | 5,250,000 | 4,939,215 | |
South Africa 0.2% | ||||
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 5,000,000 | 4,452,905 | |
09/30/2049 | 5.750% | 880,000 | 646,069 | |
Total | 5,098,974 | |||
Ukraine 0.0% | ||||
Ukraine Government International Bond(a) | ||||
09/25/2034 | 7.375% | 1,800,000 | 335,440 | |
United Arab Emirates 0.2% | ||||
DP World Ltd.(a) | ||||
09/25/2048 | 5.625% | 2,982,000 | 2,799,091 | |
DP World PLC(a) | ||||
07/02/2037 | 6.850% | 3,290,000 | 3,494,867 | |
Total | 6,293,958 | |||
Total Foreign Government Obligations (Cost $114,114,762) | 85,158,055 | |||
Municipal Bonds 0.5% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Local General Obligation 0.2% | ||||
City of New York | ||||
Unlimited General Obligation Bonds | ||||
Series 2021A-1 | ||||
08/01/2047 | 5.000% | 6,045,000 | 6,397,100 | |
Municipal Power 0.1% | ||||
Los Angeles Department of Water & Power | ||||
Refunding Revenue Bonds | ||||
Series 2021B | ||||
07/01/2051 | 5.000% | 3,105,000 | 3,320,530 | |
Special Non Property Tax 0.2% | ||||
New York State Urban Development Corp. | ||||
Refunding Revenue Bonds | ||||
State Personal Income Tax | ||||
Series 2020 | ||||
03/15/2050 | 5.000% | 5,250,000 | 5,544,368 | |
Total Municipal Bonds (Cost $15,545,069) | 15,261,998 | |||
Residential Mortgage-Backed Securities - Agency 37.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(l) | ||||
08/01/2045 | 3.500% | 13,681,084 | 12,758,536 | |
10/01/2045 | 4.000% | 2,951,751 | 2,806,799 | |
Federal Home Loan Mortgage Corp. | ||||
10/01/2045- 07/01/2052 | 4.000% | 31,109,139 | 29,397,001 | |
12/01/2051- 03/01/2052 | 2.500% | 43,853,462 | 37,359,777 | |
02/01/2052- 05/01/2052 | 3.000% | 51,881,684 | 45,716,360 | |
Federal Home Loan Mortgage Corp.(b),(f) | ||||
CMO Series 3922 Class SH | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 09/15/2041 | 1.582% | 336,560 | 25,977 | |
CMO Series 4097 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/15/2042 | 1.732% | 978,886 | 98,988 | |
CMO Series 4831 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/15/2048 | 1.882% | 8,305,254 | 1,024,460 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 21 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4903 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/25/2049 | 1.661% | 24,692,159 | 2,614,517 | |
CMO Series 4979 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 06/25/2048 | 1.661% | 10,899,267 | 1,329,215 | |
CMO STRIPS Series 2012-278 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 09/15/2042 | 1.732% | 1,958,380 | 187,863 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 1-month USD LIBOR + 5.970% Cap 5.970% 08/15/2043 | 1.652% | 1,031,620 | 97,307 | |
Federal Home Loan Mortgage Corp.(f) | ||||
CMO Series 4176 Class BI | ||||
03/15/2043 | 3.500% | 954,322 | 134,359 | |
Federal Home Loan Mortgage Corp.(e),(f) | ||||
CMO Series 4620 Class AS | ||||
11/15/2042 | 0.000% | 1,114,046 | 50,638 | |
Federal National Mortgage Association | ||||
02/01/2027- 05/01/2052 | 3.000% | 149,007,065 | 132,149,057 | |
08/01/2040 | 4.500% | 1,377,236 | 1,346,279 | |
08/01/2043- 05/01/2052 | 3.500% | 106,430,481 | 97,267,767 | |
05/01/2048- 08/01/2052 | 4.000% | 125,147,859 | 118,745,349 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 12,026,326 | 10,852,785 | |
Federal National Mortgage Association(l) | ||||
05/01/2044- 02/01/2048 | 4.000% | 14,542,485 | 13,950,786 | |
06/01/2044 | 4.500% | 4,572,180 | 4,532,544 | |
10/01/2051 | 2.500% | 40,515,683 | 34,360,034 | |
05/01/2052 | 3.500% | 40,688,173 | 37,501,283 | |
Federal National Mortgage Association(f) | ||||
CMO Series 2012-131 Class MI | ||||
01/25/2040 | 3.500% | 811,278 | 35,430 | |
CMO Series 2020-76 Class EI | ||||
11/25/2050 | 2.500% | 27,367,415 | 4,261,189 | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 57,690,485 | 9,418,520 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(b),(f) | ||||
CMO Series 2013-101 Class CS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 10/25/2043 | 1.511% | 1,849,413 | 182,151 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 1.761% | 2,495,253 | 282,037 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 1.611% | 1,375,598 | 131,793 | |
CMO Series 2016-53 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 1.611% | 8,837,092 | 942,080 | |
CMO Series 2016-57 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 1.611% | 21,417,961 | 2,287,530 | |
CMO Series 2017-109 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2048 | 1.761% | 10,240,642 | 1,252,520 | |
CMO Series 2017-20 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/25/2047 | 1.711% | 8,992,762 | 1,032,566 | |
CMO Series 2017-54 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 1.761% | 7,938,629 | 1,034,168 | |
CMO Series 2017-54 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 1.761% | 15,793,289 | 2,126,688 | |
CMO Series 2018-66 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/25/2048 | 1.811% | 10,618,486 | 1,189,878 |
22 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-67 MS Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/25/2048 | 1.811% | 8,157,713 | 949,426 | |
CMO Series 2018-74 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 1.761% | 15,182,306 | 1,678,571 | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 1.661% | 32,937,359 | 3,506,676 | |
CMO Series 2019-60 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 10/25/2049 | 1.661% | 24,424,503 | 2,712,641 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 11/25/2049 | 1.661% | 18,393,564 | 2,558,416 | |
Freddie Mac REMICS(f) | ||||
CMO Series 5152 Class XI | ||||
11/25/2050 | 2.500% | 60,661,761 | 8,326,997 | |
Government National Mortgage Association(l) | ||||
04/20/2048 | 4.500% | 8,370,190 | 8,237,607 | |
Government National Mortgage Association(f) | ||||
CMO Series 2014-184 Class CI | ||||
11/16/2041 | 3.500% | 3,363,874 | 425,366 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 59,271,414 | 8,310,006 | |
CMO Series 2020-191 Class UG | ||||
12/20/2050 | 3.500% | 35,498,015 | 5,903,118 | |
CMO Series 2021-119 Class QI | ||||
07/20/2051 | 3.000% | 33,338,727 | 4,931,418 | |
CMO Series 2021-16 Class KI | ||||
01/20/2051 | 2.500% | 40,694,585 | 5,844,015 | |
CMO Series 2021-179 Class IB | ||||
09/20/2051 | 3.000% | 40,888,709 | 5,955,608 | |
Government National Mortgage Association(b),(f) | ||||
CMO Series 2017-130 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 1.847% | 10,874,749 | 1,074,474 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-149 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2047 | 1.847% | 13,699,490 | 1,523,946 | |
CMO Series 2017-163 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 11/20/2047 | 1.847% | 5,570,276 | 531,322 | |
CMO Series 2017-37 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 03/20/2047 | 1.797% | 8,076,246 | 782,928 | |
CMO Series 2018-103 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 1.847% | 7,840,320 | 824,541 | |
CMO Series 2018-112 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 1.847% | 9,698,642 | 1,006,196 | |
CMO Series 2018-125 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2048 | 1.897% | 12,742,736 | 1,065,560 | |
CMO Series 2018-134 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2048 | 1.847% | 9,849,795 | 1,009,212 | |
CMO Series 2018-139 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2048 | 1.797% | 6,944,596 | 676,138 | |
CMO Series 2018-148 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 01/20/2048 | 1.847% | 19,370,195 | 2,137,003 | |
CMO Series 2018-151 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 1.797% | 16,476,270 | 1,658,175 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 23 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-89 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 06/20/2048 | 1.847% | 10,196,803 | 898,207 | |
CMO Series 2018-91 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 1.847% | 10,223,494 | 1,014,640 | |
CMO Series 2018-97 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 1.847% | 10,085,541 | 789,835 | |
CMO Series 2019-20 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/20/2049 | 1.647% | 16,133,774 | 1,614,662 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 1.797% | 11,550,163 | 1,184,819 | |
CMO Series 2019-56 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 1.797% | 12,381,453 | 1,261,055 | |
CMO Series 2019-59 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/20/2049 | 1.697% | 12,080,374 | 1,216,500 | |
CMO Series 2019-85 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2049 | 1.797% | 10,983,360 | 1,064,219 | |
CMO Series 2019-90 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.150% 07/20/2049 | 1.797% | 16,121,088 | 1,726,876 | |
CMO Series 2020-188 Class SA | ||||
1-month USD LIBOR + 6.300% Cap 6.300% 12/20/2050 | 1.947% | 19,547,606 | 2,569,316 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-21 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2050 | 1.697% | 8,056,886 | 871,165 | |
CMO Series 2020-62 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2050 | 1.797% | 12,182,064 | 1,222,541 | |
CMO Series 2022-18 Class SL | ||||
-1.0 x 30-day Average SOFR + 6.300% Cap 6.300% 01/20/2052 | 2.474% | 32,071,858 | 4,289,726 | |
CMO Series 2022-63 Class GS | ||||
-1.0 x 30-day Average SOFR + 5.500% Cap 5.500% 04/20/2052 | 1.674% | 28,844,970 | 3,184,115 | |
Government National Mortgage Association TBA(m) | ||||
01/23/2053 | 4.000% | 57,000,000 | 53,927,554 | |
01/23/2053 | 4.500% | 24,000,000 | 23,277,901 | |
01/23/2053 | 5.000% | 102,000,000 | 101,054,380 | |
Uniform Mortgage-Backed Security TBA(m) | ||||
01/17/2038 | 3.000% | 66,000,000 | 61,811,877 | |
01/17/2038 | 3.500% | 8,000,000 | 7,652,689 | |
01/12/2053 | 4.500% | 163,260,000 | 157,097,962 | |
01/12/2053 | 5.000% | 142,500,000 | 140,394,051 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,330,253,629) | 1,248,237,681 | |||
Residential Mortgage-Backed Securities - Non-Agency 21.2% | ||||
510 Asset Backed Trust(a),(e) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 12,490,024 | 11,570,379 | |
AlphaFlow Transitional Mortgage Trust(a) | ||||
CMO Series 2021-WL1 Class A1 | ||||
01/25/2026 | 3.280% | 4,335,401 | 4,120,345 | |
Angel Oak Mortgage Trust(a),(e) | ||||
CMO Series 2020-R1 Class M1 | ||||
04/25/2053 | 2.621% | 3,918,000 | 3,219,015 | |
Angel Oak Mortgage Trust I LLC(a),(e) | ||||
CMO Series 2018-3 Class M1 | ||||
09/25/2048 | 4.421% | 10,544,000 | 10,179,974 | |
Arroyo Mortgage Trust(a),(e) | ||||
CMO Series 2019-2 Class A3 | ||||
04/25/2049 | 3.800% | 2,273,050 | 2,024,313 |
24 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2017-1 Class M2 | ||||
1-month USD LIBOR + 3.350% 10/25/2027 | 7.739% | 1,179,985 | 1,180,076 | |
CMO Series 2019-2A Class M1C | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 04/25/2029 | 6.389% | 8,618,425 | 8,557,633 | |
CMO Series 2019-3A Class M1B | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 07/25/2029 | 5.989% | 3,778,224 | 3,773,370 | |
CMO Series 2020-3A Class M1C | ||||
1-month USD LIBOR + 3.700% Floor 3.700% 10/25/2030 | 8.089% | 12,732,328 | 12,798,769 | |
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.200% Floor 2.200% 03/25/2031 | 5.747% | 15,350,000 | 15,146,757 | |
CMO Series 2021-2A Class M1B | ||||
30-day Average SOFR + 1.500% Floor 1.500% 06/25/2031 | 5.021% | 7,000,000 | 6,673,115 | |
Bunker Hill Loan Depositary Trust(a),(e) | ||||
CMO Series 2019-3 Class A3 | ||||
11/25/2059 | 3.135% | 3,186,616 | 3,002,773 | |
BVRT Financing Trust(a),(b),(d) | ||||
CMO Series 2021-3F Class M1 | ||||
30-day Average SOFR + 1.750% Floor 1.750% 07/12/2033 | 3.608% | 13,602,775 | 13,602,775 | |
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 23,700,000 | 23,700,000 | |
CHNGE Mortgage Trust(a),(e) | ||||
CMO Series 2022-2 Class A1 | ||||
03/25/2067 | 3.757% | 14,890,833 | 14,000,603 | |
CMO Series 2022-5 Class A1 | ||||
01/25/2058 | 6.000% | 12,700,000 | 12,361,268 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.076% 09/25/2058 | 5.445% | 865,903 | 845,642 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class B3 | ||||
01/25/2053 | 4.250% | 2,232,146 | 2,100,107 | |
Subordinated CMO Series 2014-C Class B1 | ||||
02/25/2054 | 4.250% | 3,093,413 | 2,973,156 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COLT Mortgage Loan Trust(a),(e) | ||||
CMO Series 2020-2 Class A2 | ||||
03/25/2065 | 3.094% | 3,906,000 | 3,650,087 | |
CMO Series 2021-3 Class A1 | ||||
09/27/2066 | 0.956% | 11,499,300 | 8,867,294 | |
CMO Series 2021-3 Class A2 | ||||
09/27/2066 | 1.162% | 4,758,331 | 3,614,489 | |
CMO Series 2021-5 Class A3 | ||||
11/26/2066 | 2.807% | 8,381,000 | 5,304,688 | |
CSMC Trust(a),(e) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.447% | 7,142,262 | 7,052,601 | |
Deephaven Residential Mortgage Trust(a),(e) | ||||
CMO Series 2021-4 Class A3 | ||||
11/25/2066 | 2.239% | 6,660,543 | 5,527,186 | |
Ellington Financial Mortgage Trust(a),(e) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 5,761,000 | 4,742,084 | |
Figure Line of Credit Trust(a),(e) | ||||
CMO Series 2020-1 Class A | ||||
09/25/2049 | 4.040% | 2,221,272 | 2,117,650 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2021-DNA5 Class M2 | ||||
30-day Average SOFR + 1.650% 01/25/2034 | 5.578% | 5,839,875 | 5,749,558 | |
CMO Series 2022-DNA1 Class M1B | ||||
30-day Average SOFR + 1.850% 01/25/2042 | 5.778% | 8,250,000 | 7,829,121 | |
Subordinated CMO Series 2020-HQA3 Class B1 | ||||
1-month USD LIBOR + 5.750% 07/25/2050 | 10.139% | 3,559,605 | 3,665,751 | |
Subordinated CMO Series 2022-DNA6 Class M1A | ||||
30-day Average SOFR + 2.150% 09/25/2042 | 6.078% | 9,915,712 | 9,915,664 | |
GCAT LLC(a),(e) | ||||
CMO Series 2020-3 Class A1 | ||||
09/25/2025 | 2.981% | 8,589,096 | 8,293,017 | |
CMO Series 2021-CM1 Class A1 | ||||
04/25/2065 | 1.469% | 10,127,076 | 9,496,274 | |
GCAT Trust(a),(e) | ||||
CMO Series 2019-NQM3 Class A3 | ||||
11/25/2059 | 3.043% | 4,111,820 | 3,740,331 | |
CMO Series 2021-CM2 Class A1 | ||||
08/25/2066 | 2.352% | 5,923,851 | 5,336,862 | |
CMO Series 2021-NQM6 Class A2 | ||||
08/25/2066 | 2.710% | 5,000,000 | 3,547,369 | |
CMO Series 2021-NQM6 Class A3 | ||||
08/25/2066 | 2.810% | 8,003,000 | 5,162,093 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 25 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 1.600% 01/25/2034 | 5.528% | 15,662,000 | 15,278,218 | |
Subordinated CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 2.850% 10/25/2034 | 6.371% | 9,750,000 | 9,711,560 | |
Homeward Opportunities Fund Trust(a),(h) | ||||
CMO Series 2020-BPL1 Class A1 | ||||
08/25/2025 | 3.228% | 7,106,842 | 7,089,286 | |
Imperial Fund Mortgage Trust(a),(e) | ||||
CMO Series 2021-NQM4 Class A2 | ||||
01/25/2057 | 2.296% | 4,591,006 | 3,680,044 | |
Legacy Mortgage Asset Trust(a),(e) | ||||
CMO Series 2021-SL2 Class A | ||||
10/25/2068 | 1.875% | 16,814,333 | 15,093,144 | |
Loan Revolving Advance Investment Trust(a),(b),(d) | ||||
CMO Series 2021-2 Class A1X | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 06/30/2023 | 7.042% | 2,514,928 | 2,514,928 | |
MFA Trust(a),(e) | ||||
CMO Series 2020-NQM2 Class M1 | ||||
04/25/2065 | 3.034% | 10,000,000 | 7,670,474 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
CMO Series 2021-GNT1 Class A | ||||
11/25/2026 | 3.474% | 12,195,278 | 10,736,506 | |
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 5,931,072 | 5,405,200 | |
Oaktown Re II Ltd.(a),(b) | ||||
CMO Series 2018-1A Class M1 | ||||
1-month USD LIBOR + 1.550% 07/25/2028 | 5.939% | 1,962,255 | 1,957,913 | |
Oaktown Re III Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 07/25/2029 | 6.339% | 11,518,724 | 11,336,157 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 10/25/2033 | 5.978% | 4,100,000 | 4,014,375 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 6.805% | 5,359,922 | 5,086,599 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 7.239% | 54,900,000 | 53,655,939 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 6.694% | 73,650,000 | 72,288,705 | |
Point Securitization Trust(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 14,818,389 | 14,172,778 | |
Preston Ridge Partners Mortgage Trust(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 24,137,408 | 21,925,960 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 11,860,128 | 10,713,412 | |
CMO Series 2021-7 Class A1 | ||||
08/25/2026 | 1.867% | 9,560,572 | 8,589,246 | |
CMO Series 2021-8 Class A1 | ||||
09/25/2026 | 1.743% | 10,595,645 | 9,424,413 | |
Pretium Mortgage Credit Partners(a),(e) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 8,155,296 | 7,282,655 | |
Pretium Mortgage Credit Partners LLC(a),(e) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 7,067,680 | 6,378,249 | |
PRPM LLC(a),(e) | ||||
CMO Series 2021-RPL1 Class A1 | ||||
07/25/2051 | 1.319% | 6,747,759 | 5,939,794 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2019-2 Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 06/25/2029 | 6.139% | 1,077,370 | 1,076,212 | |
Residential Mortgage Loan Trust(a),(e) | ||||
CMO Series 2019-3 Class A3 | ||||
09/25/2059 | 3.044% | 485,784 | 469,770 | |
Saluda Grade Alternative Mortgage Trust(a) | ||||
CMO Series 2020-FIG1 Class A1 | ||||
09/25/2050 | 3.568% | 948,708 | 931,813 | |
SG Residential Mortgage Trust(a),(e) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 7,700,000 | 6,793,268 | |
Stanwich Mortgage Loan Co. LLC(a),(e) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 9,974,322 | 8,681,667 | |
Starwood Mortgage Residential Trust(a) | ||||
CMO Series 2020-INV1 Class M1 | ||||
11/25/2055 | 2.501% | 2,900,000 | 2,218,916 |
26 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Starwood Mortgage Residential Trust(a),(e) | ||||
CMO Series 2021-3 Class A1 | ||||
06/25/2056 | 1.127% | 3,358,653 | 2,659,720 | |
CMO Series 2022-2 Class A1 | ||||
02/25/2067 | 3.128% | 3,926,032 | 3,604,147 | |
Stonnington Mortgage Trust(a),(d),(e) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 3.500% | 4,775,278 | 4,775,278 | |
Toorak Mortgage Corp., Ltd.(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 11,000,000 | 10,531,486 | |
Towd Point Mortgage Trust(a),(e) | ||||
CMO Series 2019-4 Class M1B | ||||
10/25/2059 | 3.000% | 24,114,000 | 18,470,193 | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
1-month USD LIBOR + 3.400% Floor 3.400% 08/25/2033 | 7.789% | 1,882,956 | 1,880,680 | |
CMO Series 2021-2 Class M1B | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 10/25/2033 | 6.989% | 15,000,000 | 14,836,548 | |
VCAT Asset Securitization LLC(a),(e) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 13,900,657 | 12,101,443 | |
VCAT LLC(a),(e) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 18,373,449 | 16,187,915 | |
Vericrest Opportunity Loan Transferee XCIX LLC(a),(e) | ||||
CMO Series 2021-NPL8 Class A1 | ||||
04/25/2051 | 2.116% | 11,053,447 | 9,763,694 | |
Verus Securitization Trust(a),(e) | ||||
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 1,803,114 | 1,697,945 | |
CMO Series 2019-INV3 Class A3 | ||||
11/25/2059 | 3.100% | 3,959,669 | 3,712,272 | |
CMO Series 2020-1 Class A3 | ||||
01/25/2060 | 2.724% | 9,893,056 | 9,097,703 | |
CMO Series 2021-5 Class A2 | ||||
09/25/2066 | 1.218% | 3,183,388 | 2,498,114 | |
CMO Series 2021-5 Class A3 | ||||
09/25/2066 | 1.373% | 6,025,698 | 4,633,268 | |
CMO Series 2021-5 Class M1 | ||||
09/25/2066 | 2.331% | 3,800,000 | 2,052,108 | |
CMO Series 2021-7 Class A3 | ||||
10/25/2066 | 2.240% | 9,355,793 | 7,384,104 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Visio Trust(a),(e) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 2,589,872 | 2,388,546 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $769,928,526) | 713,834,554 | |||
Senior Loans 0.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemicals 0.0% | ||||
WR Grace Holdings LLC(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 09/22/2028 | 8.500% | 851,400 | 833,844 | |
Consumer Cyclical Services 0.0% | ||||
8th Avenue Food & Provisions, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% 10/01/2025 | 8.134% | 467,458 | 387,406 | |
Consumer Products 0.1% | ||||
SWF Holdings I Corp.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 10/06/2028 | 8.753% | 1,661,650 | 1,353,414 | |
Media and Entertainment 0.0% | ||||
Cengage Learning, Inc.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 7.814% | 1,389,311 | 1,246,476 | |
Technology 0.1% | ||||
Ascend Learning LLC(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/11/2028 | 7.884% | 790,020 | 745,581 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% Floor 0.500% 12/10/2029 | 10.134% | 475,000 | 405,531 | |
DCert Buyer, Inc.(b),(n) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.000% 02/19/2029 | 11.696% | 790,000 | 718,110 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 27 |
December 31, 2022
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Epicore Software Corp.(b),(n) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% Floor 1.000% 07/31/2028 | 12.134% | 235,000 | 231,123 | |
UKG, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 05/04/2026 | 6.998% | 473,883 | 450,189 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.250% Floor 0.500% 05/03/2027 | 8.998% | 923,000 | 845,007 | |
Total | 3,395,541 | |||
Total Senior Loans (Cost $8,014,764) | 7,216,681 | |||
U.S. Treasury Obligations 1.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2025 | 2.000% | 30,000,000 | 28,321,875 | |
08/15/2045 | 2.875% | 7,608,500 | 6,141,486 | |
Total U.S. Treasury Obligations (Cost $35,666,411) | 34,463,361 |
Options Purchased Calls 0.4% | ||||
Value ($) | ||||
(Cost $33,463,175) | 13,429,147 |
Money Market Funds 8.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(o),(p) | 285,041,710 | 284,956,198 |
Total Money Market Funds (Cost $284,929,029) | 284,956,198 | |
Total Investments in Securities (Cost: $4,267,228,966) | 3,884,824,653 | |
Other Assets & Liabilities, Net | (512,952,638) | |
Net Assets | 3,371,872,015 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
19,942,000 EUR | 21,288,284 USD | UBS | 01/18/2023 | — | (80,406) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 2,586 | 03/2023 | USD | 290,399,719 | — | (804,489) |
U.S. Treasury 5-Year Note | 1,353 | 03/2023 | USD | 146,028,868 | 18,367 | — |
U.S. Treasury 5-Year Note | 1,400 | 03/2023 | USD | 151,101,563 | — | (921,270) |
U.S. Treasury Ultra 10-Year Note | 146 | 03/2023 | USD | 17,269,063 | — | (26,446) |
U.S. Treasury Ultra Bond | 1,548 | 03/2023 | USD | 207,915,750 | — | (4,821,000) |
Total | 18,367 | (6,573,205) |
28 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bobl | (422) | 03/2023 | EUR | (48,846,500) | 1,613,251 | — |
Euro-Bund | (689) | 03/2023 | EUR | (91,588,770) | 6,088,631 | — |
Japanese 10-Year Government Bond | (103) | 03/2023 | JPY | (14,982,380,000) | 1,880,977 | — |
U.S. Treasury 2-Year Note | (875) | 03/2023 | USD | (179,443,360) | — | (234,216) |
Total | 9,582,859 | (234,216) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 93,240,000 | 93,240,000 | 2.25 | 04/27/2023 | 2,237,760 | 134,005 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 190,320,000 | 190,320,000 | 2.50 | 05/12/2023 | 5,690,568 | 673,523 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 131,500,000 | 131,500,000 | 2.25 | 05/26/2023 | 2,695,750 | 317,402 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 199,800,000 | 199,800,000 | 2.75 | 06/26/2023 | 6,488,505 | 1,823,994 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 75,880,000 | 75,880,000 | 2.75 | 07/11/2023 | 2,655,800 | 762,586 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 20,000,000 | 20,000,000 | 3.50 | 10/27/2023 | 760,000 | 849,060 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 154,560,000 | 154,560,000 | 3.30 | 11/14/2023 | 4,945,920 | 5,406,416 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 190,320,000 | 190,320,000 | 2.50 | 05/12/2023 | 5,871,372 | 673,523 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 55,000,000 | 55,000,000 | 3.65 | 11/10/2023 | 2,117,500 | 2,788,638 |
Total | 33,463,175 | 13,429,147 |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | (138,500,000) | (138,500,000) | 3.90 | 01/27/2023 | (2,596,875) | (350,460) |
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | Goldman Sachs International | 11/18/2054 | 3.000 | Monthly | USD | 3,700,000 | 560,781 | (1,850) | 568,702 | — | — | (9,771) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | USD | 17,000,000 | 2,940,470 | (8,500) | 692,118 | — | 2,239,852 | — |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 3,700,000 | 560,781 | (1,850) | 125,732 | — | 433,199 | — |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | USD | 4,000,000 | 691,875 | (2,000) | 232,957 | — | 456,918 | — |
Total | 4,753,907 | (14,200) | 1,619,509 | — | 3,129,969 | (9,771) |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 29 |
December 31, 2022
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 39 | Morgan Stanley | 12/20/2027 | 5.000 | Quarterly | USD | 230,599,000 | (12,036,675) | — | — | — | (12,036,675) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 9,000,000 | (1,556,720) | 4,500 | — | (1,963,632) | 411,412 | — |
Markit CMBX North America Index, Series 10 BBB- | Goldman Sachs International | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 4,000,000 | (691,875) | 2,000 | — | (450,799) | — | (239,076) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 10,000,000 | (1,729,688) | 5,000 | — | (2,160,662) | 435,974 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 10,000,000 | (1,729,688) | 5,000 | — | (1,673,721) | — | (50,967) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 9,500,000 | (1,643,204) | 4,750 | — | (1,531,108) | — | (107,346) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 11,250,000 | (1,945,898) | 5,625 | — | (1,754,596) | — | (185,677) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 10,000,000 | (1,729,688) | 5,000 | — | (1,955,464) | 230,776 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 7,000,000 | (1,210,782) | 3,500 | — | (1,328,353) | 121,071 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.792 | USD | 14,250,000 | (2,464,805) | 7,125 | — | (2,296,661) | — | (161,019) |
Total | (14,702,348) | 42,500 | — | (15,114,996) | 1,199,233 | (744,085) |
* | 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 December 31, 2022, the total value of these securities amounted to $1,705,087,481, which represents 50.57% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2022, the total value of these securities amounted to $709,969, which represents 0.02% of total net assets. |
(d) | Valuation based on significant unobservable inputs. |
(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 December 31, 2022. |
30 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
(f) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(g) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(i) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(j) | Represents a security in default. |
(k) | Principal and interest may not be guaranteed by a governmental entity. |
(l) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(m) | Represents a security purchased on a when-issued basis. |
(n) | The stated interest rate represents the weighted average interest rate at December 31, 2022 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) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(p) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 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, 4.318% | ||||||||
191,934,307 | 1,591,056,663 | (1,498,066,063) | 31,291 | 284,956,198 | (25,092) | 3,602,880 | 285,041,710 |
CMO | Collateralized Mortgage Obligation |
FHLMC | Federal Home Loan Mortgage Corporation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
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). |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 31 |
December 31, 2022
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 — Agency | — | 122,883 | — | 122,883 |
Asset-Backed Securities — Non-Agency | — | 483,629,969 | 709,969 | 484,339,938 |
Commercial Mortgage-Backed Securities - Agency | — | 54,686,487 | — | 54,686,487 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 228,619,884 | — | 228,619,884 |
Convertible Bonds | — | 451,707 | — | 451,707 |
Corporate Bonds & Notes | ��� | 714,046,079 | — | 714,046,079 |
Foreign Government Obligations | — | 85,158,055 | — | 85,158,055 |
Municipal Bonds | — | 15,261,998 | — | 15,261,998 |
Residential Mortgage-Backed Securities - Agency | — | 1,248,237,681 | — | 1,248,237,681 |
Residential Mortgage-Backed Securities - Non-Agency | — | 669,241,573 | 44,592,981 | 713,834,554 |
Senior Loans | — | 7,216,681 | — | 7,216,681 |
U.S. Treasury Obligations | — | 34,463,361 | — | 34,463,361 |
Options Purchased Calls | — | 13,429,147 | — | 13,429,147 |
Money Market Funds | 284,956,198 | — | — | 284,956,198 |
Total Investments in Securities | 284,956,198 | 3,554,565,505 | 45,302,950 | 3,884,824,653 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 9,601,226 | — | — | 9,601,226 |
Swap Contracts | — | 4,329,202 | — | 4,329,202 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (80,406) | — | (80,406) |
Futures Contracts | (6,807,421) | — | — | (6,807,421) |
Options Contracts Written | — | (350,460) | — | (350,460) |
Swap Contracts | — | (12,790,531) | — | (12,790,531) |
Total | 287,750,003 | 3,545,673,310 | 45,302,950 | 3,878,726,263 |
32 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
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 12/31/2021 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 12/31/2022 ($) | |
Asset-Backed Securities — Non-Agency | 70,733,084 | (917,035) | 1,872,278 | (1,675,700) | — | (4,834,427) | — | (64,468,231) | 709,969 |
Residential Mortgage-Backed Securities — Non-Agency | 124,730,661 | — | (32) | (9,781) | — | (80,127,867) | — | — | 44,592,981 |
Total | 195,463,745 | (917,035) | 1,872,246 | (1,685,481) | — | (84,962,294) | — | (64,468,231) | 45,302,950 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 33 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,948,836,762) | $3,586,439,308 |
Affiliated issuers (cost $284,929,029) | 284,956,198 |
Options purchased (cost $33,463,175) | 13,429,147 |
Cash | 1,234,147 |
Foreign currency (cost $267,426) | 268,379 |
Cash collateral held at broker for: | |
Swap contracts | 7,256,000 |
TBA | 5,942,000 |
Margin deposits on: | |
Swap contracts | 15,166,897 |
Unrealized appreciation on swap contracts | 4,329,202 |
Upfront payments on swap contracts | 1,619,509 |
Receivable for: | |
Capital shares sold | 9,166 |
Dividends | 932,152 |
Interest | 21,799,143 |
Foreign tax reclaims | 2,235 |
Variation margin for futures contracts | 1,167,692 |
Variation margin for swap contracts | 177,790 |
Prepaid expenses | 31,274 |
Total assets | 3,944,760,239 |
Liabilities | |
Option contracts written, at value (premiums received $2,596,875) | 350,460 |
Unrealized depreciation on forward foreign currency exchange contracts | 80,406 |
Unrealized depreciation on swap contracts | 753,856 |
Upfront receipts on swap contracts | 15,114,996 |
Payable for: | |
Investments purchased on a delayed delivery basis | 553,707,440 |
Capital shares purchased | 947,196 |
Variation margin for futures contracts | 1,383,366 |
Management services fees | 44,094 |
Distribution and/or service fees | 1,838 |
Service fees | 25,056 |
Compensation of board members | 421,327 |
Compensation of chief compliance officer | 658 |
Other expenses | 57,531 |
Total liabilities | 572,888,224 |
Net assets applicable to outstanding capital stock | $3,371,872,015 |
Represented by | |
Paid in capital | 4,024,017,501 |
Total distributable earnings (loss) | (652,145,486) |
Total - representing net assets applicable to outstanding capital stock | $3,371,872,015 |
Class 1 | |
Net assets | $2,904,350,970 |
Shares outstanding | 351,058,536 |
Net asset value per share | $8.27 |
Class 2 | |
Net assets | $67,592,553 |
Shares outstanding | 8,207,345 |
Net asset value per share | $8.24 |
Class 3 | |
Net assets | $399,928,492 |
Shares outstanding | 48,285,938 |
Net asset value per share | $8.28 |
34 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $3,602,880 |
Interest | 139,187,721 |
Interfund lending | 16,608 |
Total income | 142,807,209 |
Expenses: | |
Management services fees | 17,309,074 |
Distribution and/or service fees | |
Class 2 | 175,962 |
Class 3 | 561,633 |
Service fees | 317,616 |
Compensation of board members | 36,733 |
Custodian fees | 65,628 |
Printing and postage fees | 47,775 |
Audit fees | 52,000 |
Legal fees | 58,433 |
Interest on collateral | 212,819 |
Compensation of chief compliance officer | 506 |
Other | 58,380 |
Total expenses | 18,896,559 |
Net investment income | 123,910,650 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (119,537,908) |
Investments — affiliated issuers | (25,092) |
Foreign currency translations | (34,028) |
Forward foreign currency exchange contracts | (133,308) |
Futures contracts | (253,190,625) |
Options purchased | 31,341,208 |
Options contracts written | (30,458,335) |
Swap contracts | 3,589,137 |
Net realized loss | (368,448,951) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (426,516,300) |
Investments — affiliated issuers | 31,291 |
Foreign currency translations | 12,055 |
Forward foreign currency exchange contracts | (96,349) |
Futures contracts | (1,336,585) |
Options purchased | (12,704,017) |
Options contracts written | (1,835,322) |
Swap contracts | (20,099,048) |
Net change in unrealized appreciation (depreciation) | (462,544,275) |
Net realized and unrealized loss | (830,993,226) |
Net decrease in net assets resulting from operations | $(707,082,576) |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 35 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $123,910,650 | $127,551,633 |
Net realized loss | (368,448,951) | (8,532,852) |
Net change in unrealized appreciation (depreciation) | (462,544,275) | (131,660,820) |
Net decrease in net assets resulting from operations | (707,082,576) | (12,642,039) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (103,080,929) | (410,469,394) |
Class 2 | (2,113,212) | (8,010,306) |
Class 3 | (13,958,149) | (59,202,042) |
Total distributions to shareholders | (119,152,290) | (477,681,742) |
Increase (decrease) in net assets from capital stock activity | (161,424,644) | 68,873,765 |
Total decrease in net assets | (987,659,510) | (421,450,016) |
Net assets at beginning of year | 4,359,531,525 | 4,780,981,541 |
Net assets at end of year | $3,371,872,015 | $4,359,531,525 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,941,741 | 44,305,182 | 14,701,589 | 166,294,346 |
Distributions reinvested | 11,608,213 | 103,080,929 | 39,316,992 | 410,469,394 |
Redemptions | (27,845,537) | (270,077,148) | (48,043,731) | (530,446,805) |
Net increase (decrease) | (11,295,583) | (122,691,037) | 5,974,850 | 46,316,935 |
Class 2 | ||||
Subscriptions | 1,578,929 | 13,941,332 | 1,508,641 | 16,465,741 |
Distributions reinvested | 238,781 | 2,113,212 | 770,222 | 8,010,306 |
Redemptions | (1,494,457) | (13,462,621) | (909,535) | (9,952,699) |
Net increase | 323,253 | 2,591,923 | 1,369,328 | 14,523,348 |
Class 3 | ||||
Subscriptions | 357,632 | 3,020,402 | 823,642 | 9,245,599 |
Distributions reinvested | 1,568,331 | 13,958,149 | 5,665,267 | 59,202,042 |
Redemptions | (6,363,744) | (58,304,081) | (5,517,208) | (60,414,159) |
Net increase (decrease) | (4,437,781) | (41,325,530) | 971,701 | 8,033,482 |
Total net increase (decrease) | (15,410,111) | (161,424,644) | 8,315,879 | 68,873,765 |
36 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 37 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $10.31 | 0.31 | (2.05) | (1.74) | (0.29) | (0.01) | (0.30) |
Year Ended 12/31/2021 | $11.53 | 0.31 | (0.32) | (0.01) | (0.38) | (0.83) | (1.21) |
Year Ended 12/31/2020 | $10.66 | 0.35 | 0.98 | 1.33 | (0.33) | (0.13) | (0.46) |
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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $10.26 | 0.28 | (2.03) | (1.75) | (0.26) | (0.01) | (0.27) |
Year Ended 12/31/2021 | $11.48 | 0.28 | (0.32) | (0.04) | (0.35) | (0.83) | (1.18) |
Year Ended 12/31/2020 | $10.62 | 0.32 | 0.97 | 1.29 | (0.30) | (0.13) | (0.43) |
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) |
Class 3 | |||||||
Year Ended 12/31/2022 | $10.32 | 0.30 | (2.05) | (1.75) | (0.28) | (0.01) | (0.29) |
Year Ended 12/31/2021 | $11.54 | 0.30 | (0.33) | (0.03) | (0.36) | (0.83) | (1.19) |
Year Ended 12/31/2020 | $10.67 | 0.34 | 0.97 | 1.31 | (0.31) | (0.13) | (0.44) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 12/31/2022 | 12/31/2021 | 12/31/2020 | 12/31/2019 | 12/31/2018 |
Class 1 | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class 2 | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class 3 | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
38 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $8.27 | (17.06%) | 0.50%(c) | 0.50%(c) | 3.41% | 165% | $2,904,351 |
Year Ended 12/31/2021 | $10.31 | (0.24%) | 0.49%(c) | 0.49%(c) | 2.81% | 204% | $3,734,781 |
Year Ended 12/31/2020 | $11.53 | 12.58% | 0.49%(c) | 0.49%(c) | 3.16% | 312% | $4,108,990 |
Year Ended 12/31/2019 | $10.66 | 9.25% | 0.49%(c) | 0.49%(c) | 3.46% | 256% | $4,074,589 |
Year Ended 12/31/2018 | $10.08 | 0.40% | 0.49%(c) | 0.49%(c) | 3.21% | 222% | $3,919,654 |
Class 2 | |||||||
Year Ended 12/31/2022 | $8.24 | (17.20%) | 0.75%(c) | 0.75%(c) | 3.17% | 165% | $67,593 |
Year Ended 12/31/2021 | $10.26 | (0.49%) | 0.74%(c) | 0.74%(c) | 2.56% | 204% | $80,859 |
Year Ended 12/31/2020 | $11.48 | 12.28% | 0.74%(c) | 0.74%(c) | 2.93% | 312% | $74,775 |
Year Ended 12/31/2019 | $10.62 | 9.03% | 0.74%(c) | 0.74%(c) | 3.19% | 256% | $53,012 |
Year Ended 12/31/2018 | $10.04 | 0.14% | 0.74%(c) | 0.74%(c) | 2.96% | 222% | $37,454 |
Class 3 | |||||||
Year Ended 12/31/2022 | $8.28 | (17.17%) | 0.62%(c) | 0.62%(c) | 3.28% | 165% | $399,928 |
Year Ended 12/31/2021 | $10.32 | (0.35%) | 0.61%(c) | 0.61%(c) | 2.69% | 204% | $543,892 |
Year Ended 12/31/2020 | $11.54 | 12.45% | 0.61%(c) | 0.61%(c) | 3.04% | 312% | $597,217 |
Year Ended 12/31/2019 | $10.67 | 9.12% | 0.61%(c) | 0.61%(c) | 3.33% | 256% | $532,441 |
Year Ended 12/31/2018 | $10.09 | 0.27% | 0.61%(c) | 0.61%(c) | 3.07% | 222% | $518,931 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 39 |
December 31, 2022
40 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 41 |
December 31, 2022
42 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 43 |
December 31, 2022
44 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 45 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 4,329,202* |
Credit risk | Upfront payments on swap contracts | 1,619,509 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 9,601,226* |
Interest rate risk | Investments, at value — Options purchased | 13,429,147 |
Total | 28,979,084 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 12,790,531* |
Credit risk | Upfront receipts on swap contracts | 15,114,996 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 80,406 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 6,807,421* |
Interest rate risk | Options contracts written, at value | 350,460 |
Total | 35,143,814 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 3,589,137 | 3,589,137 |
Foreign exchange risk | (133,308) | — | — | — | — | (133,308) |
Interest rate risk | — | (253,190,625) | (30,458,335) | 31,341,208 | — | (252,307,752) |
Total | (133,308) | (253,190,625) | (30,458,335) | 31,341,208 | 3,589,137 | (248,851,923) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (20,099,048) | (20,099,048) |
Foreign exchange risk | (96,349) | — | — | — | — | (96,349) |
Interest rate risk | — | (1,336,585) | (1,835,322) | (12,704,017) | — | (15,875,924) |
Total | (96,349) | (1,336,585) | (1,835,322) | (12,704,017) | (20,099,048) | (36,071,321) |
46 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,236,140,721 |
Futures contracts — short | 685,093,959 |
Credit default swap contracts — buy protection | 268,838,753 |
Credit default swap contracts — sell protection | 130,162,500 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 20,926,331 |
Options contracts — written | (15,703,903) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 121,438 | (28,637) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 47 |
December 31, 2022
48 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Citi ($)(a) | Citi ($)(a) | Goldman Sachs ($) | JPMorgan ($) | Morgan Stanley ($) (a) | Morgan Stanley ($) (a) | UBS ($) | Total ($) | |
Assets | ||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | - | 177,790 | - | 177,790 |
Options purchased calls | 9,966,986 | - | - | - | 3,462,161 | - | - | 13,429,147 |
OTC credit default swap contracts (c) | - | 411,412 | 568,702 | 3,926,875 | 1,041,722 | - | - | 5,948,711 |
Total assets | 9,966,986 | 411,412 | 568,702 | 3,926,875 | 4,503,883 | 177,790 | - | 19,555,648 |
Liabilities | ||||||||
Forward foreign currency exchange contracts | - | - | - | - | - | - | 80,406 | 80,406 |
Options contracts written | - | - | - | - | 350,460 | - | - | 350,460 |
OTC credit default swap contracts (c) | - | 1,963,632 | 699,646 | 7,464,077 | 5,741,497 | - | - | 15,868,852 |
Total liabilities | - | 1,963,632 | 699,646 | 7,464,077 | 6,091,957 | - | 80,406 | 16,299,718 |
Total financial and derivative net assets | 9,966,986 | (1,552,220) | (130,944) | (3,537,202) | (1,588,074) | 177,790 | (80,406) | 3,255,930 |
Total collateral received (pledged) (d) | 9,214,000 | (1,552,220) | (130,944) | (3,537,202) | (1,588,074) | - | - | 2,405,560 |
Net amount (e) | 752,986 | - | - | - | - | 177,790 | (80,406) | 850,370 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(c) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 49 |
December 31, 2022
50 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 51 |
December 31, 2022
Contractual expense cap July 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.55% | 0.55% | 0.55% |
Class 2 | 0.80 | 0.80 | 0.80 |
Class 3 | 0.675 | 0.675 | 0.675 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(32,846,740) | 32,846,740 | — |
52 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
116,823,207 | 2,329,083 | 119,152,290 | 349,608,790 | 128,072,952 | 477,681,742 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
77,391,289 | — | (348,299,946) | (380,825,311) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
4,246,056,089 | 26,127,219 | (406,952,530) | (380,825,311) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(145,534,241) | (202,765,705) | (348,299,946) | — |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 53 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 17,212,500 | 3.60 | 8 |
54 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 55 |
December 31, 2022
56 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 57 |
58 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 59 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
60 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 61 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
62 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 | 63 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
64 | Columbia Variable Portfolio – Intermediate Bond Fund | Annual Report 2022 |
December 31, 2022
3 | |
6 | |
8 | |
9 | |
19 | |
20 | |
21 | |
22 | |
24 | |
41 | |
42 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -17.51 | 0.29 | 1.38 | |
Class 2 | 05/03/10 | -17.69 | 0.02 | 1.13 | |
Class 3 | 09/13/04 | -17.58 | 0.15 | 1.26 | |
Bloomberg World Government Inflation-Linked Bond Index USD Hedged | -17.00 | 0.85 | 1.93 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 3 |
(Unaudited)
Quality breakdown (%) (at December 31, 2022) | |
AAA rating | 59.3 |
AA rating | 29.6 |
A rating | 3.1 |
BBB rating | 8.0 |
Total | 100.0 |
4 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
(Unaudited)
Country breakdown (%) (at December 31, 2022) | |
Australia | 1.2 |
Canada | 1.8 |
Denmark | 0.1 |
France | 8.6 |
Germany | 7.0 |
Italy | 5.0 |
Japan | 3.1 |
New Zealand | 0.4 |
Spain | 2.4 |
Sweden | 0.7 |
United Kingdom | 20.9 |
United States(a) | 48.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2022)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 167.2 | (158.0) | 9.2 |
Foreign Currency Derivative Contracts | 11.3 | (120.5) | (109.2) |
Total Notional Market Value of Derivative Contracts | 178.5 | (278.5) | (100.0) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 5 |
(Unaudited)
• | The Fund’s outright short position in U.K. breakevens, especially early in the period, dampened relative results. An acute surge in energy prices in the U.K. pushed the country’s inflation expectations materially higher during the period. Ten-year U.K. breakevens increased approximately 41 basis points just in the first quarter of 2022 and then settled materially higher than realized inflation. (A basis point is 1/100th of a percentage point.) Inflation breakevens are the level of inflation the TIPS market or another inflation-linked securities market is pricing in over the life of the bond. Breakeven rates are the difference in yield between inflation-protected and nominal, or non-inflation-protected, debt of the same maturity. If the breakeven rate is negative, it suggests the markets are betting the economy may face deflation in the near future. If the breakeven rate is positive, it suggests the markets are betting the economy may face inflation in the near future. |
• | The Fund’s tactical positions in European Union supra-sovereign spread assets detracted from performance, as spread levels, or yield differentials to duration-equivalent government bonds, widened. |
• | The Fund’s relative value positions between New Zealand and U.S. real rates detracted from performance, as New Zealand real rates increased more than U.S. real rates during the period. |
• | Tactical interest rate volatility positions also detracted from Fund performance, as rates volatility picked up during the period. |
• | A modest allocation to emerging markets debt and European peripheral spreads also negatively affected the Fund’s relative results. |
• | Finally, during the period, the Fund held a modest long position in macroeconomic strategies, which detracted from performance. |
6 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
(Unaudited)
• | The Fund’s structural underweight in U.S. nominal, or non-inflation-linked, rates was the most notable positive contributor to its performance during the period. The Fund was underweight headline nominal duration in the U.S., as the rates market recalibrated its pricing after the persistently hawkish pivot from the Fed since late 2021. |
• | The Fund’s long position in U.S. breakevens at both the one-year and five-year points on the curve also contributed positively to performance due to the tailwind of high inflation data during the period. |
• | The Fund’s relative value positions between U.S. and European Union breakevens contributed positively to performance, as breakevens in the U.S. slightly outperformed those in the European Union during the period. |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 941.40 | 1,022.06 | 2.92 | 3.04 | 0.60 |
Class 2 | 1,000.00 | 1,000.00 | 940.90 | 1,020.81 | 4.14 | 4.31 | 0.85 |
Class 3 | 1,000.00 | 1,000.00 | 941.50 | 1,021.41 | 3.55 | 3.70 | 0.73 |
8 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency 0.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 0.6% | ||||
AMSR Trust(a) | ||||
Subordinated Series 2022-SFR3 Class D | ||||
10/17/2039 | 4.000% | 155,000 | 134,264 | |
New Residential Mortgage Loan Trust(a) | ||||
Subordinated CMO Series 2022-SFR2 Class D | ||||
09/04/2039 | 4.000% | 155,000 | 132,755 | |
Pagaya AI Technology in Housing Trust(a) | ||||
Series 2022-1 Class D | ||||
08/25/2025 | 4.250% | 100,000 | 90,473 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2022-SFR7 Class D | ||||
10/27/2039 | 5.500% | 200,000 | 183,884 | |
Total | 541,376 | |||
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $566,895) | 541,376 | |||
Foreign Government Obligations(b),(c) 3.3% | ||||
Germany 3.3% | ||||
Federal Republic of Germany(a) | ||||
12/12/2024 | 2.200% | EUR | 960,000 | 1,017,554 |
10/15/2027 | 1.300% | EUR | 2,085,000 | 2,109,286 |
Total | 3,126,840 | |||
Total Foreign Government Obligations (Cost $3,123,693) | 3,126,840 | |||
Inflation-Indexed Bonds(b) 95.2% | ||||
Australia 1.2% | ||||
Australia Government Bond(a) | ||||
09/20/2030 | 2.500% | AUD | 390,246 | 286,219 |
11/21/2032 | 0.250% | AUD | 42,881 | 25,544 |
08/21/2035 | 2.000% | AUD | 302,122 | 211,439 |
08/21/2040 | 1.250% | AUD | 136,076 | 83,871 |
02/21/2050 | 1.000% | AUD | 128,985 | 70,214 |
Australia Government Index-Linked Bond(a) | ||||
09/20/2025 | 3.000% | AUD | 589,918 | 430,196 |
Total | 1,107,483 | |||
Canada 1.8% | ||||
Canadian Government Real Return Bond | ||||
12/01/2026 | 4.250% | CAD | 253,865 | 206,764 |
12/01/2031 | 4.000% | CAD | 361,770 | 324,840 |
12/01/2036 | 3.000% | CAD | 261,272 | 233,975 |
12/01/2041 | 2.000% | CAD | 297,246 | 246,339 |
12/01/2044 | 1.500% | CAD | 392,391 | 302,675 |
12/01/2047 | 1.250% | CAD | 318,028 | 236,310 |
12/01/2050 | 0.500% | CAD | 207,044 | 128,902 |
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
12/01/2054 | 0.250% | CAD | 38,532 | 22,008 |
Total | 1,701,813 | |||
Denmark 0.1% | ||||
Denmark I/L Government Bond(a) | ||||
11/15/2030 | 0.100% | DKK | 843,187 | 116,137 |
France 8.6% | ||||
France Government Bond OAT(a) | ||||
03/01/2025 | 0.100% | EUR | 549,156 | 592,667 |
07/25/2027 | 1.850% | EUR | 824,410 | 940,110 |
07/25/2029 | 3.400% | EUR | 403,600 | 529,377 |
07/25/2030 | 0.700% | EUR | 700,843 | 754,862 |
07/25/2032 | 3.150% | EUR | 469,290 | 614,094 |
07/25/2047 | 0.100% | EUR | 487,069 | 442,463 |
French Republic Government Bond OAT(a) | ||||
07/25/2024 | 0.250% | EUR | 679,364 | 732,453 |
03/01/2026 | 0.100% | EUR | 505,300 | 535,346 |
03/01/2028 | 0.100% | EUR | 463,460 | 496,435 |
03/01/2029 | 0.100% | EUR | 411,718 | 427,684 |
07/25/2031 | 0.100% | EUR | 460,076 | 471,167 |
03/01/2032 | 0.100% | EUR | 108,641 | 114,632 |
03/01/2036 | 0.100% | EUR | 276,239 | 280,793 |
07/25/2036 | 0.100% | EUR | 343,705 | 330,010 |
07/25/2038 | 0.100% | EUR | 129,872 | 124,247 |
07/25/2040 | 1.800% | EUR | 587,899 | 727,874 |
07/25/2053 | 0.100% | EUR | 152,458 | 135,886 |
Total | 8,250,100 | |||
Germany 3.6% | ||||
Bundesrepublik Deutschland Bundesobligation Inflation-Linked Bond(a) | ||||
04/15/2030 | 0.500% | EUR | 949,728 | 1,030,022 |
Deutsche Bundesrepublik Inflation-Linked Bond(a) | ||||
04/15/2026 | 0.100% | EUR | 661,832 | 702,616 |
04/15/2033 | 0.100% | EUR | 1,103,608 | 1,158,668 |
04/15/2046 | 0.100% | EUR | 495,517 | 522,634 |
Total | 3,413,940 | |||
Italy 5.0% | ||||
Italy Buoni Poliennali Del Tesoro(a) | ||||
09/15/2024 | 2.350% | EUR | 538,882 | 594,311 |
09/15/2026 | 3.100% | EUR | 491,991 | 558,371 |
05/15/2028 | 1.300% | EUR | 625,763 | 647,056 |
09/15/2032 | 1.250% | EUR | 571,753 | 553,246 |
05/15/2033 | 0.100% | EUR | 330,441 | 275,734 |
09/15/2035 | 2.350% | EUR | 561,795 | 592,844 |
09/15/2041 | 2.550% | EUR | 549,868 | 596,306 |
05/15/2051 | 0.150% | EUR | 225,307 | 137,759 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 9 |
December 31, 2022
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Italy Buoni Poliennali Del Tesoro | ||||
05/15/2026 | 0.650% | EUR | 264,357 | 273,859 |
05/15/2030 | 0.400% | EUR | 565,612 | 529,175 |
Total | 4,758,661 | |||
Japan 3.1% | ||||
Japanese Government CPI-Linked Bond | ||||
03/10/2024 | 0.100% | JPY | 108,200 | 842 |
09/10/2024 | 0.100% | JPY | 44,857,800 | 350,313 |
03/10/2025 | 0.100% | JPY | 73,533,500 | 574,241 |
03/10/2026 | 0.100% | JPY | 57,659,270 | 454,784 |
03/10/2027 | 0.100% | JPY | 48,101,235 | 382,924 |
03/10/2028 | 0.100% | JPY | 31,536,372 | 248,520 |
03/10/2029 | 0.100% | JPY | 50,255,667 | 397,481 |
03/10/2030 | 0.200% | JPY | 18,478,886 | 147,179 |
03/10/2031 | 0.005% | JPY | 28,072,033 | 221,614 |
03/10/2032 | 0.005% | JPY | 20,334,931 | 161,723 |
Total | 2,939,621 | |||
New Zealand 0.4% | ||||
New Zealand Government Inflation-Linked Bond(a) | ||||
09/20/2030 | 3.000% | NZD | 108,746 | 73,471 |
09/20/2035 | 2.500% | NZD | 241,518 | 155,510 |
New Zealand Government Inflation-Linked Bond | ||||
09/20/2040 | 2.500% | NZD | 286,089 | 183,659 |
Total | 412,640 | |||
Spain 2.5% | ||||
Spain Government Inflation-Linked Bond(a) | ||||
11/30/2024 | 1.800% | EUR | 488,681 | 538,475 |
11/30/2027 | 0.650% | EUR | 534,441 | 565,362 |
11/30/2030 | 1.000% | EUR | 595,638 | 631,843 |
11/30/2033 | 0.700% | EUR | 608,242 | 608,451 |
Total | 2,344,131 | |||
Sweden 0.7% | ||||
Sweden Inflation-Linked Bond | ||||
06/01/2025 | 1.000% | SEK | 3,666,573 | 362,731 |
12/01/2028 | 3.500% | SEK | 1,881,091 | 215,181 |
Sweden Inflation-Linked Bond(a) | ||||
06/01/2030 | 0.125% | SEK | 411,001 | 38,908 |
06/01/2032 | 0.125% | SEK | 735,277 | 68,800 |
06/01/2039 | 0.125% | SEK | 281,270 | 25,624 |
Total | 711,244 | |||
United Kingdom 20.9% | ||||
United Kingdom Gilt Inflation-Linked Bond(a) | ||||
03/22/2024 | 0.125% | GBP | 447,804 | 550,242 |
07/17/2024 | 2.500% | GBP | 723,238 | 956,280 |
03/22/2026 | 0.125% | GBP | 620,213 | 756,810 |
11/22/2027 | 1.250% | GBP | 852,819 | 1,090,958 |
08/10/2028 | 0.125% | GBP | 694,679 | 841,940 |
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
03/22/2029 | 0.125% | GBP | 734,574 | 886,236 |
07/22/2030 | 4.125% | GBP | 336,234 | 549,310 |
08/10/2031 | 0.125% | GBP | 381,862 | 464,615 |
03/22/2034 | 0.750% | GBP | 643,709 | 818,529 |
01/26/2035 | 2.000% | GBP | 563,067 | 843,412 |
11/22/2036 | 0.125% | GBP | 588,597 | 688,824 |
11/22/2037 | 1.125% | GBP | 721,551 | 961,820 |
03/22/2039 | 0.125% | GBP | 251,895 | 289,338 |
03/22/2040 | 0.625% | GBP | 723,276 | 901,025 |
08/10/2041 | 0.125% | GBP | 502,006 | 571,732 |
11/22/2042 | 0.625% | GBP | 636,580 | 794,008 |
03/22/2044 | 0.125% | GBP | 719,413 | 801,539 |
03/22/2046 | 0.125% | GBP | 606,114 | 665,916 |
11/22/2047 | 0.750% | GBP | 589,457 | 744,660 |
08/10/2048 | 0.125% | GBP | 492,191 | 534,319 |
03/22/2050 | 0.500% | GBP | 629,362 | 753,441 |
03/22/2051 | 0.125% | GBP | 272,288 | 293,903 |
03/22/2052 | 0.250% | GBP | 595,532 | 670,297 |
11/22/2055 | 1.250% | GBP | 577,771 | 864,232 |
11/22/2056 | 0.125% | GBP | 291,314 | 316,081 |
03/22/2058 | 0.125% | GBP | 475,701 | 518,383 |
03/22/2062 | 0.375% | GBP | 596,150 | 720,913 |
11/22/2065 | 0.125% | GBP | 332,096 | 371,836 |
03/22/2068 | 0.125% | GBP | 521,233 | 584,926 |
03/22/2073 | 0.125% | GBP | 150,071 | 176,678 |
Total | 19,982,203 | |||
United States 47.3% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
01/15/2024 | 0.625% | 1,715,065 | 1,678,761 | |
04/15/2024 | 0.500% | 1,240,533 | 1,206,559 | |
07/15/2024 | 0.125% | 1,236,086 | 1,196,721 | |
10/15/2024 | 0.125% | 638,765 | 615,384 | |
01/15/2025 | 2.375% | 1,335,768 | 1,337,184 | |
04/15/2025 | 0.125% | 1,329,512 | 1,266,452 | |
07/15/2025 | 0.375% | 1,771,679 | 1,701,413 | |
10/15/2025 | 0.125% | 1,286,197 | 1,221,833 | |
01/15/2026 | 0.625% | 1,649,063 | 1,582,222 | |
01/15/2026 | 2.000% | 1,043,404 | 1,041,758 | |
04/15/2026 | 0.125% | 1,494,129 | 1,403,915 | |
07/15/2026 | 0.125% | 1,567,549 | 1,476,432 | |
10/15/2026 | 0.125% | 1,352,158 | 1,267,556 | |
01/15/2027 | 0.375% | 1,395,627 | 1,315,107 | |
01/15/2027 | 2.375% | 916,093 | 933,292 | |
04/15/2027 | 0.125% | 1,366,678 | 1,272,804 | |
07/15/2027 | 0.375% | 706,504 | 665,776 | |
10/15/2027 | 1.625% | 357,091 | 356,505 | |
01/15/2028 | 1.750% | 796,505 | 795,995 | |
04/15/2028 | 3.625% | 978,261 | 1,066,136 | |
07/15/2028 | 0.750% | 1,037,499 | 988,017 | |
01/15/2029 | 0.875% | 1,437,455 | 1,368,592 | |
01/15/2029 | 2.500% | 732,096 | 762,357 | |
04/15/2029 | 3.875% | 906,280 | 1,017,049 | |
07/15/2030 | 0.125% | 1,441,103 | 1,289,344 | |
01/15/2031 | 0.125% | 1,522,398 | 1,350,094 | |
04/15/2032 | 3.375% | 278,668 | 317,985 | |
07/15/2032 | 0.625% | 1,446,025 | 1,324,028 |
10 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2040 | 2.125% | 693,446 | 732,813 | |
02/15/2041 | 2.125% | 925,249 | 976,051 | |
02/15/2042 | 0.750% | 901,991 | 754,297 | |
02/15/2043 | 0.625% | 1,017,391 | 818,707 | |
02/15/2044 | 1.375% | 939,720 | 868,833 | |
02/15/2045 | 0.750% | 879,439 | 709,863 | |
02/15/2046 | 1.000% | 811,133 | 688,132 | |
02/15/2047 | 0.875% | 728,290 | 596,333 | |
02/15/2048 | 1.000% | 737,087 | 617,455 | |
02/15/2049 | 1.000% | 526,947 | 440,828 | |
02/15/2050 | 0.250% | 492,575 | 332,101 | |
02/15/2052 | 0.125% | 153,816 | 99,174 | |
U.S. Treasury Inflation-Indexed Bond(d) | ||||
07/15/2029 | 0.250% | 1,403,705 | 1,284,379 | |
01/15/2030 | 0.125% | 1,644,573 | 1,476,680 | |
07/15/2031 | 0.125% | 1,645,390 | 1,451,533 | |
01/15/2032 | 0.125% | 1,703,764 | 1,490,296 | |
Total | 45,156,746 | |||
Total Inflation-Indexed Bonds (Cost $108,775,236) | 90,894,719 | |||
Residential Mortgage-Backed Securities - Non-Agency 0.8% | ||||
United States 0.8% | ||||
CSMC Trust(a),(e) | ||||
CMO Series 2022-NQM5 Class A1 | ||||
05/25/2067 | 5.169% | 268,237 | 268,205 | |
Homeward Opportunities Fund Trust(a),(f) | ||||
CMO Series 2022-1 Class A1 | ||||
07/25/2067 | 5.073% | 103,077 | 102,485 | |
PRKCM Trust(a),(e) | ||||
CMO Series 2022-AFC2 Class A1 | ||||
08/25/2057 | 5.335% | 99,086 | 98,660 | |
SG Residential Mortgage Trust(a),(e) | ||||
CMO Series 2022-2 Class A1 | ||||
08/25/2062 | 5.345% | 97,470 | 98,796 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Spruce Hill Mortgage Loan Trust(a),(e) | ||||
CMO Series 2022-SH1 Class A1A | ||||
07/25/2057 | 4.100% | 99,172 | 88,266 | |
Verus Securitization Trust(a),(e) | ||||
CMO Series 2022-7 Class A1 | ||||
07/25/2067 | 5.350% | 110,358 | 110,782 | |
Total | 767,194 | |||
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $759,145) | 767,194 |
Options Purchased Calls 0.1% | |||||
Value ($) | |||||
(Cost $232,287) | 146,968 | ||||
Options Purchased Puts 0.2% | |||||
(Cost $173,428) | 227,994 |
Money Market Funds 0.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(g),(h) | 100,106 | 100,076 |
Total Money Market Funds (Cost $100,076) | 100,076 | |
Total Investments in Securities (Cost $113,730,760) | 95,805,167 | |
Other Assets & Liabilities, Net | (296,834) | |
Net Assets | $95,508,333 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
1,011,697 EUR | 1,077,806 USD | Citi | 02/02/2023 | — | (7,453) |
14,000 GBP | 17,183 USD | Citi | 02/02/2023 | 244 | — |
637,000 NZD | 396,214 USD | Citi | 02/02/2023 | — | (8,402) |
39,803 USD | 54,000 CAD | Citi | 02/02/2023 | 84 | — |
274,824 USD | 1,932,000 DKK | Citi | 02/02/2023 | 3,954 | — |
402,934 USD | 381,000 EUR | Citi | 02/02/2023 | 5,769 | — |
185,534 USD | 152,023 GBP | Citi | 02/02/2023 | — | (1,593) |
50,000 USD | 985,500 MXN | Citi | 02/08/2023 | 225 | — |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 11 |
December 31, 2022
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
1,666,935 AUD | 1,123,783 USD | Deutsche Bank | 02/02/2023 | �� | (12,600) |
2,364,000 CAD | 1,746,602 USD | Deutsche Bank | 02/02/2023 | 415 | — |
44,512 CAD | 32,855 USD | Deutsche Bank | 02/02/2023 | — | (24) |
2,760,992 DKK | 386,125 USD | Deutsche Bank | 02/02/2023 | — | (12,272) |
21,411,752 EUR | 22,311,345 USD | Deutsche Bank | 02/02/2023 | — | (657,298) |
19,310,233 GBP | 23,163,333 USD | Deutsche Bank | 02/02/2023 | — | (201,187) |
389,693,445 JPY | 2,838,937 USD | Deutsche Bank | 02/02/2023 | — | (142,400) |
23,618 NZD | 14,681 USD | Deutsche Bank | 02/02/2023 | — | (321) |
7,235,878 SEK | 690,833 USD | Deutsche Bank | 02/02/2023 | — | (3,840) |
21,748 USD | 32,033 AUD | Deutsche Bank | 02/02/2023 | 89 | — |
1,166,941 USD | 1,095,280 EUR | Deutsche Bank | 02/02/2023 | 7,979 | — |
1,285,941 USD | 1,068,176 GBP | Deutsche Bank | 02/02/2023 | 6,505 | — |
1,616,818 USD | 1,327,000 GBP | Deutsche Bank | 02/02/2023 | — | (11,207) |
6,415 USD | 66,000 SEK | Deutsche Bank | 02/02/2023 | — | (79) |
992,601 MXN | 50,000 USD | Deutsche Bank | 02/08/2023 | — | (587) |
Total | 25,264 | (1,059,263) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
3-Month SOFR | 19 | 09/2023 | USD | 4,514,400 | — | (5,503) |
Long Gilt | 8 | 03/2023 | GBP | 799,200 | — | (11,551) |
U.S. Treasury 2-Year Note | 38 | 03/2023 | USD | 7,792,969 | — | (21,955) |
U.S. Treasury 5-Year Note | 15 | 03/2023 | USD | 1,618,945 | — | (13,262) |
U.S. Treasury Ultra Bond | 9 | 03/2023 | USD | 1,208,813 | — | (75,308) |
Total | — | (127,579) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Government 10-Year Bond | (2) | 03/2023 | CAD | (245,100) | 4,236 | — |
Euro-Bobl | (17) | 03/2023 | EUR | (1,967,750) | 20,616 | — |
Euro-Bund | (7) | 03/2023 | EUR | (930,510) | 20,037 | — |
Euro-Schatz | (9) | 03/2023 | EUR | (948,780) | 764 | — |
Japanese 10-Year Government Bond | (1) | 03/2023 | JPY | (145,460,000) | 21,122 | — |
Total | 66,775 | — |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | 1,617,000 | 1,617,000 | 2.87 | 08/30/2023 | 59,869 | 25,503 |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | 729,893 | 729,893 | 3.53 | 10/12/2023 | 30,583 | 30,954 |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | 2,077,000 | 2,077,000 | 3.06 | 12/06/2023 | 82,976 | 56,698 |
1-Year Mid-Curve SOFR | UBS | USD | 12,750,475 | 53 | 97.00 | 06/16/2023 | 33,842 | 20,869 |
3-Month SOFR | UBS | USD | 25,910,663 | 109 | 95.13 | 01/13/2023 | 25,017 | 12,944 |
Total | 232,287 | 146,968 |
12 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | 1,617,000 | 1,617,000 | 2.87 | 08/30/2023 | 59,869 | 96,672 |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | 729,893 | 729,893 | 3.53 | 10/12/2023 | 30,583 | 22,683 |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | 2,077,000 | 2,077,000 | 3.06 | 12/06/2023 | 82,976 | 108,639 |
Total | 173,428 | 227,994 |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate | Citi | USD | (768,200) | (768,200) | 3.32 | 11/16/2023 | (28,884) | (27,539) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (1,069,994) | (1,069,994) | 2.54 | 8/07/2023 | (38,012) | (8,679) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (2,491,000) | (2,491,000) | 3.18 | 6/13/2023 | (98,644) | (44,874) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (841,554) | (841,554) | 3.19 | 6/15/2023 | (32,232) | (15,836) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (205,000) | (205,000) | 2.75 | 7/19/2023 | (7,438) | (2,144) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (540,000) | (540,000) | 2.44 | 8/10/2023 | (18,940) | (3,751) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (601,000) | (601,000) | 2.68 | 8/21/2023 | (21,696) | (6,659) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (394,142) | (394,142) | 3.26 | 10/03/2023 | (15,958) | (11,903) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (587,700) | (587,700) | 3.69 | 11/10/2023 | (22,435) | (30,725) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (721,000) | (721,000) | 3.02 | 12/14/2023 | (28,732) | (19,283) |
1-Year Mid-Curve SOFR | UBS | USD | (12,750,475) | (53) | 97.63 | 6/16/2023 | (15,846) | (7,948) |
3-Month SOFR | UBS | USD | (25,910,663) | (109) | 95.38 | 1/13/2023 | (7,943) | (1,363) |
Total | (336,760) | (180,704) |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (768,200) | (768,200) | 3.32 | 11/16/2023 | (28,884) | (30,852) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (2,491,000) | (2,491,000) | 3.18 | 06/13/2023 | (98,644) | (102,167) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (841,554) | (841,554) | 3.19 | 06/15/2023 | (32,232) | (33,918) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (205,000) | (205,000) | 2.75 | 07/19/2023 | (7,352) | (13,622) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (540,000) | (540,000) | 2.44 | 08/10/2023 | (18,940) | (47,196) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (601,000) | (601,000) | 2.68 | 08/21/2023 | (21,696) | (42,873) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (394,142) | (394,142) | 3.26 | 10/03/2023 | (15,958) | (16,240) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (587,700) | (587,700) | 3.69 | 11/10/2023 | (22,435) | (16,105) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 13 |
December 31, 2022
Put option contracts written (continued) | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (721,000) | (721,000) | 3.02 | 12/14/2023 | (28,732) | (39,022) |
10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (1,069,994) | (1,069,994) | 2.54 | 08/07/2023 | (38,012) | (85,880) |
Total | (312,885) | (427,875) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 3.170% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/21/2023 | USD | 125,000 | 337 | — | — | 337 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.915% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 09/22/2024 | USD | 630,000 | (3,851) | — | — | — | (3,851) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.705% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/06/2024 | USD | 750,000 | (1,231) | — | — | — | (1,231) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.995% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/21/2024 | USD | 125,000 | (802) | — | — | — | (802) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.483% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/23/2024 | USD | 1,500,000 | 3,312 | — | — | 3,312 | — |
Eurostat Eurozone HICP ex-Tobacco NSA | Fixed rate of 3.080% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 09/15/2027 | EUR | 100,000 | 146 | — | — | 146 | — |
Eurostat Eurozone HICP ex-Tobacco NSA | Fixed rate of 2.555% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/15/2027 | EUR | 220,000 | 5,235 | — | — | 5,235 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.607% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/12/2027 | USD | 385,000 | 157 | — | — | 157 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.615% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/12/2027 | USD | 865,000 | 14 | — | — | 14 | — |
Fixed rate of 3.320% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/15/2027 | EUR | 235,000 | 447 | — | — | 447 | — |
Fixed rate of 2.765% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/15/2027 | EUR | 235,000 | 7 | — | — | 7 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.505% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/22/2027 | USD | 1,350,000 | 5,303 | — | — | 5,303 | — |
Fixed rate of 2.829% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 07/05/2032 | USD | 370,432 | (20,743) | — | — | — | (20,743) |
Fixed rate of 2.781% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 07/05/2032 | USD | 370,433 | (22,238) | — | — | — | (22,238) |
Fixed rate of 2.707% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 07/06/2032 | USD | 250,400 | (16,614) | — | — | — | (16,614) |
Fixed rate of 2.619% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 07/07/2032 | USD | 168,378 | (12,433) | — | — | — | (12,433) |
Fixed rate of 2.597% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 07/26/2032 | USD | 148,983 | (11,408) | — | — | — | (11,408) |
SOFR | Fixed rate of 2.754% | Receives Annually, Pays Annually | Goldman Sachs | 08/23/2032 | USD | 310,000 | 19,832 | — | — | 19,832 | — |
SOFR | Fixed rate of 2.925% | Receives Annually, Pays Annually | Goldman Sachs | 09/01/2032 | USD | 326,717 | 16,254 | — | — | 16,254 | — |
SOFR | Fixed rate of 2.934% | Receives Annually, Pays Annually | Goldman Sachs | 09/02/2032 | USD | 309,000 | 15,160 | — | — | 15,160 | — |
SOFR | Fixed rate of 2.989% | Receives Annually, Pays Annually | Goldman Sachs | 09/02/2032 | USD | 309,000 | 13,723 | — | — | 13,723 | — |
14 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 2.920% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 09/02/2032 | USD | 82,339 | (4,136) | — | — | — | (4,136) |
SOFR | Fixed rate of 3.078% | Receives Annually, Pays Annually | Goldman Sachs | 09/09/2032 | USD | 182,000 | 6,749 | — | — | 6,749 | — |
Fixed rate of 2.670% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 09/15/2032 | EUR | 100,000 | (770) | — | — | — | (770) |
SOFR | Fixed rate of 3.469% | Receives Annually, Pays Annually | Goldman Sachs | 09/30/2032 | USD | 287,528 | 1,307 | — | — | 1,307 | — |
SOFR | Fixed rate of 3.559% | Receives Annually, Pays Annually | Goldman Sachs | 10/03/2032 | USD | 431,300 | (1,303) | — | — | — | (1,303) |
Fixed rate of 3.479% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 10/04/2032 | USD | 202,000 | (759) | — | — | — | (759) |
Fixed rate of 3.413% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 10/05/2032 | USD | 117,000 | (1,096) | — | — | — | (1,096) |
SOFR | Fixed rate of 3.617% | Receives Annually, Pays Annually | Goldman Sachs | 10/12/2032 | USD | 289,171 | (2,260) | — | — | — | (2,260) |
SOFR | Fixed rate of 3.646% | Receives Annually, Pays Annually | Goldman Sachs | 10/14/2032 | USD | 111,000 | (1,136) | — | — | — | (1,136) |
Fixed rate of 2.415% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/15/2032 | EUR | 220,000 | (6,316) | — | — | — | (6,316) |
SOFR | Fixed rate of 3.617% | Receives Annually, Pays Annually | Goldman Sachs | 10/17/2032 | USD | 231,500 | (1,799) | — | — | — | (1,799) |
SOFR | Fixed rate of 3.848% | Receives Annually, Pays Annually | Goldman Sachs | 10/21/2032 | USD | 398,000 | (10,804) | — | — | — | (10,804) |
SOFR | Fixed rate of 3.855% | Receives Annually, Pays Annually | Goldman Sachs | 10/24/2032 | USD | 344,000 | (9,526) | — | — | — | (9,526) |
SOFR | Fixed rate of 3.935% | Receives Annually, Pays Annually | Goldman Sachs | 10/25/2032 | USD | 240,000 | (8,402) | — | — | — | (8,402) |
Fixed rate of 3.826% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 10/27/2032 | USD | 275,401 | 6,940 | — | — | 6,940 | — |
Fixed rate of 3.556% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 11/14/2032 | USD | 166,000 | 426 | — | — | 426 | — |
SOFR | Fixed rate of 3.809% | Receives Annually, Pays Annually | Goldman Sachs | 11/15/2032 | USD | 110,000 | (2,616) | — | — | — | (2,616) |
SOFR | Fixed rate of 3.820% | Receives Annually, Pays Annually | Goldman Sachs | 11/15/2032 | USD | 296,000 | (7,315) | — | — | — | (7,315) |
Fixed rate of 3.581% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 11/16/2032 | USD | 262,000 | 1,227 | — | — | 1,227 | — |
Fixed rate of 2.596% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 11/18/2032 | USD | 60,000 | (89) | — | — | — | (89) |
Fixed rate of 3.470% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 11/18/2032 | USD | 177,000 | (815) | — | — | — | (815) |
Fixed rate of 3.413% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 11/21/2032 | USD | 235,000 | (2,186) | — | — | — | (2,186) |
Fixed rate of 3.236% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 12/05/2032 | USD | 291,500 | (6,987) | — | — | — | (6,987) |
Fixed rate of 3.210% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 12/06/2032 | USD | 174,000 | (4,546) | — | — | — | (4,546) |
Fixed rate of 3.205% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 12/06/2032 | USD | 246,000 | (6,540) | — | — | — | (6,540) |
Fixed rate of 3.185% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 12/12/2032 | USD | 291,500 | (8,213) | — | — | — | (8,213) |
SOFR | Fixed rate of 3.286% | Receives Annually, Pays Annually | Goldman Sachs | 12/13/2032 | USD | 168,000 | 3,305 | — | — | 3,305 | — |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 15 |
December 31, 2022
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 3.803% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/15/2032 | GBP | 855,000 | 11,376 | — | — | 11,376 | — |
Eurostat Eurozone HICP ex-Tobacco NSA | Fixed rate of 2.470% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/15/2032 | EUR | 995,000 | 11,091 | — | — | 11,091 | — |
Eurostat Eurozone HICP ex-Tobacco NSA | Fixed rate of 2.570% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/15/2032 | EUR | 235,000 | 231 | — | — | 231 | — |
Fixed rate of 2.080% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/15/2032 | EUR | 235,000 | (1,300) | — | — | — | (1,300) |
Fixed rate of 2.485% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/15/2032 | EUR | 1,950,000 | (18,908) | — | — | — | (18,908) |
SOFR | Fixed rate of 3.361% | Receives Annually, Pays Annually | Goldman Sachs | 12/22/2032 | USD | 273,000 | 3,589 | — | — | 3,589 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.631% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/29/2052 | USD | 530,000 | (10,880) | — | — | — | (10,880) |
Fixed rate of 2.433% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 07/15/2052 | EUR | 30,000 | (3,075) | — | — | — | (3,075) |
Eurostat Eurozone HICP ex-Tobacco NSA | Fixed rate of 2.604% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/15/2052 | EUR | 15,000 | 587 | — | — | 587 | — |
Fixed rate of 2.441% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/15/2052 | EUR | 30,000 | (2,785) | — | — | — | (2,785) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.426% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/17/2052 | USD | 20,000 | 374 | — | — | 374 | — |
Fixed rate of 2.523% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 09/15/2052 | EUR | 30,000 | (1,781) | — | — | — | (1,781) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.485% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 09/20/2052 | USD | 40,000 | 9 | — | — | 9 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.618% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/27/2052 | USD | 345,000 | (10,829) | — | — | — | (10,829) |
Fixed rate of 2.647% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 11/15/2052 | EUR | 15,000 | (164) | — | — | — | (164) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.493% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/12/2052 | USD | 20,000 | (20) | — | — | — | (20) |
Total | (99,538) | — | — | 127,138 | (226,676) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
Eurostat Eurozone HICP ex-Tobacco NSA | Harmonised Index of Consumer Price Index Excluding Tobacco | (0.400)% |
SOFR | Secured Overnight Financing Rate | 4.300% |
UK Retail Price Index All Items Monthly | United Kingdom Retail Price Index All Items | 10.500% |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 6.454% |
16 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
(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 December 31, 2022, the total value of these securities amounted to $43,967,344, which represents 46.04% of total net assets. |
(b) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2022. |
(f) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(g) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(h) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
3,241,255 | 52,392,550 | (55,533,907) | 178 | 100,076 | (1,701) | 18,500 | 100,106 |
CMO | Collateralized Mortgage Obligation |
SOFR | Secured Overnight Financing Rate |
AUD | Australian Dollar |
CAD | Canada Dollar |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 17 |
December 31, 2022
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 | ||||
Commercial Mortgage-Backed Securities - Non-Agency | — | 541,376 | — | 541,376 |
Foreign Government Obligations | — | 3,126,840 | — | 3,126,840 |
Inflation-Indexed Bonds | — | 90,894,719 | — | 90,894,719 |
Residential Mortgage-Backed Securities - Non-Agency | — | 767,194 | — | 767,194 |
Options Purchased Calls | 33,813 | 113,155 | — | 146,968 |
Options Purchased Puts | — | 227,994 | — | 227,994 |
Money Market Funds | 100,076 | — | — | 100,076 |
Total Investments in Securities | 133,889 | 95,671,278 | — | 95,805,167 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 25,264 | — | 25,264 |
Futures Contracts | 66,775 | — | — | 66,775 |
Swap Contracts | — | 127,138 | — | 127,138 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (1,059,263) | — | (1,059,263) |
Futures Contracts | (127,579) | — | — | (127,579) |
Options Contracts Written | (9,311) | (599,268) | — | (608,579) |
Swap Contracts | — | (226,676) | — | (226,676) |
Total | 63,774 | 93,938,473 | — | 94,002,247 |
18 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $113,224,969) | $95,330,129 |
Affiliated issuers (cost $100,076) | 100,076 |
Options purchased (cost $405,715) | 374,962 |
Foreign currency (cost $258,801) | 258,958 |
Margin deposits on: | |
Futures contracts | 319,934 |
Swap contracts | 273,000 |
Unrealized appreciation on forward foreign currency exchange contracts | 25,264 |
Receivable for: | |
Investments sold | 1,114,353 |
Investments sold on a delayed delivery basis | 1,529,381 |
Capital shares sold | 4,349 |
Dividends | 2,843 |
Interest | 267,435 |
Foreign tax reclaims | 2,653 |
Variation margin for futures contracts | 19,728 |
Variation margin for swap contracts | 27,421 |
Expense reimbursement due from Investment Manager | 381 |
Prepaid expenses | 6,409 |
Total assets | 99,657,276 |
Liabilities | |
Option contracts written, at value (premiums received $649,645) | 608,579 |
Due to broker | 206,004 |
Due to custodian | 2,142 |
Unrealized depreciation on forward foreign currency exchange contracts | 1,059,263 |
Payable for: | |
Investments purchased | 358,374 |
Investments purchased on a delayed delivery basis | 1,525,031 |
Capital shares purchased | 154,872 |
Variation margin for futures contracts | 14,032 |
Variation margin for swap contracts | 10,531 |
Management services fees | 1,343 |
Distribution and/or service fees | 418 |
Service fees | 4,829 |
Compensation of board members | 165,660 |
Compensation of chief compliance officer | 19 |
Other expenses | 37,846 |
Total liabilities | 4,148,943 |
Net assets applicable to outstanding capital stock | $95,508,333 |
Represented by | |
Paid in capital | 112,503,921 |
Total distributable earnings (loss) | (16,995,588) |
Total - representing net assets applicable to outstanding capital stock | $95,508,333 |
Class 1 | |
Net assets | $1,219,403 |
Shares outstanding | 257,049 |
Net asset value per share | $4.74 |
Class 2 | |
Net assets | $26,850,491 |
Shares outstanding | 5,808,898 |
Net asset value per share | $4.62 |
Class 3 | |
Net assets | $67,438,439 |
Shares outstanding | 14,308,398 |
Net asset value per share | $4.71 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 19 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $18,500 |
Interest | 7,650,086 |
Total income | 7,668,586 |
Expenses: | |
Management services fees | 557,900 |
Distribution and/or service fees | |
Class 2 | 75,292 |
Class 3 | 97,779 |
Service fees | 65,591 |
Compensation of board members | 3,266 |
Custodian fees | 34,144 |
Printing and postage fees | 18,937 |
Audit fees | 52,000 |
Legal fees | 13,521 |
Interest on collateral | 2,876 |
Compensation of chief compliance officer | 16 |
Other | 7,309 |
Total expenses | 928,631 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (96,299) |
Total net expenses | 832,332 |
Net investment income | 6,836,254 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (6,508,556) |
Investments — affiliated issuers | (1,701) |
Foreign currency translations | (219,886) |
Forward foreign currency exchange contracts | 6,547,340 |
Futures contracts | 782,560 |
Options purchased | 296,630 |
Options contracts written | (446,879) |
Swap contracts | 94,156 |
Net realized gain | 543,664 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (28,067,484) |
Investments — affiliated issuers | 178 |
Foreign currency translations | (1,600) |
Forward foreign currency exchange contracts | (318,593) |
Futures contracts | (50,426) |
Options purchased | (10,007) |
Options contracts written | 15,861 |
Swap contracts | (372,094) |
Net change in unrealized appreciation (depreciation) | (28,804,165) |
Net realized and unrealized loss | (28,260,501) |
Net decrease in net assets resulting from operations | $(21,424,247) |
20 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $6,836,254 | $2,833,330 |
Net realized gain | 543,664 | 4,975,570 |
Net change in unrealized appreciation (depreciation) | (28,804,165) | (2,611,577) |
Net increase (decrease) in net assets resulting from operations | (21,424,247) | 5,197,323 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (69,557) | (9,823) |
Class 2 | (1,966,413) | (696,846) |
Class 3 | (4,926,070) | (2,466,100) |
Total distributions to shareholders | (6,962,040) | (3,172,769) |
Increase in net assets from capital stock activity | 1,427,545 | 12,563,748 |
Total increase (decrease) in net assets | (26,958,742) | 14,588,302 |
Net assets at beginning of year | 122,467,075 | 107,878,773 |
Net assets at end of year | $95,508,333 | $122,467,075 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 169,425 | 929,298 | 116,795 | 707,018 |
Distributions reinvested | 13,351 | 69,557 | 1,618 | 9,823 |
Redemptions | (36,895) | (196,624) | (25,233) | (154,067) |
Net increase | 145,881 | 802,231 | 93,180 | 562,774 |
Class 2 | ||||
Subscriptions | 1,185,541 | 6,580,899 | 1,754,197 | 10,314,906 |
Distributions reinvested | 387,089 | 1,966,413 | 117,512 | 696,846 |
Redemptions | (942,057) | (4,816,870) | (330,257) | (1,941,198) |
Net increase | 630,573 | 3,730,442 | 1,541,452 | 9,070,554 |
Class 3 | ||||
Subscriptions | 520,950 | 2,750,832 | 1,383,197 | 8,230,554 |
Distributions reinvested | 950,979 | 4,926,070 | 408,972 | 2,466,100 |
Redemptions | (2,050,804) | (10,782,030) | (1,294,141) | (7,766,234) |
Net increase (decrease) | (578,875) | (3,105,128) | 498,028 | 2,930,420 |
Total net increase | 197,579 | 1,427,545 | 2,132,660 | 12,563,748 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 21 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $6.14 | 0.35 | (1.39) | (1.04) | (0.26) | (0.10) | (0.36) |
Year Ended 12/31/2021 | $6.04 | 0.18 | 0.09 | 0.27 | (0.05) | (0.12) | (0.17) |
Year Ended 12/31/2020 | $5.66 | (0.01) | 0.54 | 0.53 | (0.04) | (0.11) | (0.15) |
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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $5.99 | 0.32 | (1.35) | (1.03) | (0.24) | (0.10) | (0.34) |
Year Ended 12/31/2021 | $5.89 | 0.14 | 0.12 | 0.26 | (0.04) | (0.12) | (0.16) |
Year Ended 12/31/2020 | $5.53 | (0.03) | 0.52 | 0.49 | (0.02) | (0.11) | (0.13) |
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) |
Class 3 | |||||||
Year Ended 12/31/2022 | $6.10 | 0.33 | (1.37) | (1.04) | (0.25) | (0.10) | (0.35) |
Year Ended 12/31/2021 | $6.00 | 0.15 | 0.12 | 0.27 | (0.05) | (0.12) | (0.17) |
Year Ended 12/31/2020 | $5.63 | (0.02) | 0.53 | 0.51 | (0.03) | (0.11) | (0.14) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
22 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $4.74 | (17.51%) | 0.70%(c) | 0.60%(c) | 6.63% | 123% | $1,219 |
Year Ended 12/31/2021 | $6.14 | 4.56% | 0.72%(c) | 0.61%(c) | 2.99% | 58% | $682 |
Year Ended 12/31/2020 | $6.04 | 9.37% | 0.74% | 0.65% | (0.09%) | 70% | $109 |
Year Ended 12/31/2019 | $5.66 | 7.90% | 0.71%(c) | 0.61%(c) | 0.57% | 62% | $28 |
Year Ended 12/31/2018 | $5.42 | (0.33%) | 0.71%(c) | 0.61%(c) | 1.41% | 118% | $11 |
Class 2 | |||||||
Year Ended 12/31/2022 | $4.62 | (17.69%) | 0.94%(c) | 0.85%(c) | 6.21% | 123% | $26,850 |
Year Ended 12/31/2021 | $5.99 | 4.43% | 0.97%(c) | 0.87%(c) | 2.41% | 58% | $31,002 |
Year Ended 12/31/2020 | $5.89 | 8.97% | 0.97% | 0.89% | (0.47%) | 70% | $21,434 |
Year Ended 12/31/2019 | $5.53 | 7.63% | 0.96%(c) | 0.86%(c) | 0.38% | 62% | $19,663 |
Year Ended 12/31/2018 | $5.30 | (0.71%) | 0.95%(c) | 0.86%(c) | 1.14% | 118% | $17,272 |
Class 3 | |||||||
Year Ended 12/31/2022 | $4.71 | (17.58%) | 0.82%(c) | 0.73%(c) | 6.26% | 123% | $67,438 |
Year Ended 12/31/2021 | $6.10 | 4.48% | 0.85%(c) | 0.74%(c) | 2.46% | 58% | $90,783 |
Year Ended 12/31/2020 | $6.00 | 9.11% | 0.85% | 0.76% | (0.34%) | 70% | $86,336 |
Year Ended 12/31/2019 | $5.63 | 7.81% | 0.83%(c) | 0.73%(c) | 0.49% | 62% | $89,128 |
Year Ended 12/31/2018 | $5.39 | (0.51%) | 0.82%(c) | 0.74%(c) | 1.28% | 118% | $96,659 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 25,264 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 66,775* |
Interest rate risk | Investments, at value — Options purchased | 374,962 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 127,138* |
Total | 594,139 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 1,059,263 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 127,579* |
Interest rate risk | Options contracts written, at value | 608,579 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 226,676* |
Total | 2,022,097 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 29 |
December 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Foreign exchange risk | 6,547,340 | — | 3,425 | (15,886) | — | 6,534,879 |
Interest rate risk | — | 782,560 | (450,304) | 312,516 | 94,156 | 738,928 |
Total | 6,547,340 | 782,560 | (446,879) | 296,630 | 94,156 | 7,273,807 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Foreign exchange risk | (318,593) | — | — | — | — | (318,593) |
Interest rate risk | — | (50,426) | 15,861 | (10,007) | (372,094) | (416,666) |
Total | (318,593) | (50,426) | 15,861 | (10,007) | (372,094) | (735,259) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 10,254,770 |
Futures contracts — short | 7,549,862 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 211,144 |
Options contracts — written | (527,829) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 1,482,223 | (607,434) |
Interest rate swap contracts | 1,020,146 | (833,031) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
30 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
Citi ($) | Deutsche Bank ($) | Goldman Sachs ($) | UBS ($) | Total ($) | |
Assets | |||||
Centrally cleared interest rate swap contracts (a) | - | - | 27,421 | - | 27,421 |
Forward foreign currency exchange contracts | 10,276 | 14,988 | - | - | 25,264 |
Options purchased calls | - | 113,155 | - | 33,813 | 146,968 |
Options purchased puts | - | 227,994 | - | - | 227,994 |
Total assets | 10,276 | 356,137 | 27,421 | 33,813 | 427,647 |
Liabilities | |||||
Centrally cleared interest rate swap contracts (a) | - | - | 10,531 | - | 10,531 |
Forward foreign currency exchange contracts | 17,448 | 1,041,815 | - | - | 1,059,263 |
Options contracts written | 58,391 | 540,877 | - | 9,311 | 608,579 |
Total liabilities | 75,839 | 1,582,692 | 10,531 | 9,311 | 1,678,373 |
Total financial and derivative net assets | (65,563) | (1,226,555) | 16,890 | 24,502 | (1,250,726) |
Total collateral received (pledged) (b) | (65,563) | (216,608) | - | - | (282,171) |
Net amount (c) | - | (1,009,947) | 16,890 | 24,502 | (968,555) |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 31 |
December 31, 2022
32 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
Purchases ($) | Sales ($) | Net realized gain (loss) ($) |
93,630 | — | — |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 33 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.60% |
Class 2 | 0.85 |
Class 3 | 0.725 |
34 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
4,287,877 | (4,287,879) | 2 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
6,889,270 | 72,770 | 6,962,040 | 2,143,966 | 1,028,803 | 3,172,769 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
7,911,740 | — | (3,544,288) | (21,203,902) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
115,206,149 | 322,511 | (21,526,413) | (21,203,902) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(2,929,582) | (614,706) | (3,544,288) | — |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 35 |
December 31, 2022
36 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 37 |
December 31, 2022
38 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 39 |
December 31, 2022
40 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 41 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
42 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 43 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
44 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 45 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
46 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Annual Report 2022 | 47 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -2.75 | 9.85 | 13.10 | |
Class 2 | 05/03/10 | -3.00 | 9.57 | 12.81 | |
Class 3 | 02/04/04 | -2.89 | 9.70 | 12.96 | |
Russell Midcap Value Index | -12.03 | 5.72 | 10.11 |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 98.7 |
Money Market Funds | 1.3 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 1.1 |
Consumer Discretionary | 9.4 |
Consumer Staples | 3.9 |
Energy | 2.6 |
Financials | 15.5 |
Health Care | 7.0 |
Industrials | 22.1 |
Information Technology | 14.6 |
Materials | 11.7 |
Real Estate | 8.8 |
Utilities | 3.3 |
Total | 100.0 |
4 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
(Unaudited)
• | Stock selection overall contributed most positively to the Fund’s relative results during the period. Sector allocation is a by-product of the bottom-up stock selection process and not a result of top-down tactical decisions but also proved favorable. |
• | Stock selection in the financials, information technology, industrials, materials and real estate sectors bolstered the Fund’s relative performance most during the period. |
• | Additionally, in a year plagued with macroeconomic uncertainty and a shift in monetary policy, investors generally focused on company-specific fundamentals. Therefore, value and quality factors outpaced risk and growth factors during the period, providing a stylistic tailwind for the Fund, as our investment process generally leads to investments in companies exhibiting quality attributes and those trading at a relative discount. |
• | From an individual security perspective, two of the Fund’s top three positive contributors relative to the benchmark during the period were in the energy sector — Valero Energy Corp. and Devon Energy Corp. West Texas Intermediate crude oil prices rallied meaningfully early in the period, as the Russian invasion of Ukraine sparked concerns around a possible global supply shock. Also, energy was the best performing sector in the benchmark during the period, so both names appreciated with the group. |
○ | Valero Energy also benefited from strong crack spreads and lower product inventories during the year. (A crack spread is the overall pricing difference between a barrel of crude oil and the petroleum products refined from it.) Some refining capacity exited the market following the COVID-19 pandemic, which bodes well for the company. Further, Valero Energy was better positioned, in our view, than European refiners given its position in the Gulf Coast, which provides the company access to cheaper natural gas. We sold the Fund’s position in Valero Energy during the year based on its relative valuation. |
○ | We believe Devon Energy’s shareholder-friendly capital strategy further rewarded its share price. |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Steel Dynamics, Inc., one of the largest steel producers in the U.S., was also a significant positive contributor to the Fund’s relative results, as the war in Ukraine, which is disrupting the global steel supply chain, caused steel prices to appreciate. |
• | Having underweighted allocations to the energy and utilities sectors, the two top-performing sectors in the benchmark during the period, detracted most from the Fund’s relative performance. |
○ | The energy sector rallied after Russia invaded Ukraine given fears of a possible global oil supply shock. |
○ | The utilities sector held up fairly well in the down market given its defensive nature. |
• | To a lesser degree, an overweight in the information technology sector, which was among the weakest sectors in the benchmark during the period, also dampened the Fund’s results. |
• | Among the Fund’s biggest individual detractors relative to the benchmark was a position in V.F. Corp., an apparel company with a portfolio of well-known brands, such as Vans, JanSport, Dickies, North Face and Timberland. Its shares underperformed the broader market during the period in part because of a badly-timed acquisition of Supreme, a streetwear company, which resulted in increased leverage on its balance sheet. Further, V.F. Corp.’s flagship Vans brand failed to stabilize after successive quarters of underperformance, mainly driven by stringent COVID-related lockdowns in China and outsized exposure to California, which also was slow to recover from the pandemic. Further, we believed company management’s credibility took a hit after multiple guidance reductions, which shifted sentiment to the downside. The combination of these factors skewed the holding’s risk/reward profile negatively, in our view, and so we sold the Fund’s position in V.F. Corp. by the end of the annual period. |
• | MKS Instruments, Inc., a provider of instruments that enable process control for the semiconductor and other periphery markets, was another top detractor. Its shares appreciated following its above-consensus second quarter 2022 earnings report released in early August. However, its shares performed poorly since. In our view, the announced closure of its Atotech acquisition in mid-August may have injected an element of uncertainty into the investment thesis, despite long-term synergies. Investors may have perceived the acquisition could delay the earnings accretion given the transaction was financed with floating debt. However, we believe the acquisition enables MKS Instruments to enter a new market segment, most notably the electronics materials and chemicals markets. Therefore, we feel the long-term fundamental synergies from the combination will likely be rewarded going forward and thus maintained the Fund’s position in the company. |
• | Another significant detractor was Vertiv Holdings Co., which offers power management, infrastructure and information technology solutions to data centers. Its shares fell, as the company meaningfully missed estimates on its fourth quarter 2021 earnings and lowered its fiscal year 2022 guidance, citing inflationary headwinds as a key factor. Its management, in our view, was candid about being behind on adjusting pricing to offset some of the inflationary pressures. By the time they were able to deploy a pricing strategy, it was too late, and company margins had already eroded. Following these disappointing developments, we sold the Fund’s position in the company given what we saw as its diminished risk/reward profile. |
6 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,092.60 | 1,021.01 | 4.25 | 4.10 | 0.81 |
Class 2 | 1,000.00 | 1,000.00 | 1,091.10 | 1,019.70 | 5.61 | 5.42 | 1.07 |
Class 3 | 1,000.00 | 1,000.00 | 1,091.80 | 1,020.36 | 4.93 | 4.76 | 0.94 |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Communication Services 1.1% | ||
Entertainment 1.1% | ||
Live Nation Entertainment, Inc.(a) | 72,500 | 5,056,150 |
Total Communication Services | 5,056,150 | |
Consumer Discretionary 9.2% | ||
Auto Components 3.0% | ||
Aptiv PLC(a) | 64,400 | 5,997,572 |
BorgWarner, Inc. | 204,700 | 8,239,175 |
Total | 14,236,747 | |
Hotels, Restaurants & Leisure 3.7% | ||
Darden Restaurants, Inc. | 21,800 | 3,015,594 |
Hilton Worldwide Holdings, Inc. | 45,400 | 5,736,744 |
Yum! Brands, Inc. | 68,000 | 8,709,440 |
Total | 17,461,778 | |
Household Durables 0.8% | ||
Newell Brands, Inc. | 312,600 | 4,088,808 |
Specialty Retail 1.7% | ||
Ross Stores, Inc. | 72,000 | 8,357,040 |
Total Consumer Discretionary | 44,144,373 | |
Consumer Staples 3.9% | ||
Food & Staples Retailing 2.1% | ||
Sysco Corp. | 132,000 | 10,091,400 |
Food Products 1.8% | ||
Archer-Daniels-Midland Co. | 17,500 | 1,624,875 |
Tyson Foods, Inc., Class A | 108,600 | 6,760,350 |
Total | 8,385,225 | |
Total Consumer Staples | 18,476,625 | |
Energy 2.6% | ||
Oil, Gas & Consumable Fuels 2.6% | ||
Coterra Energy, Inc. | 261,800 | 6,432,426 |
Devon Energy Corp. | 95,100 | 5,849,601 |
Total | 12,282,027 | |
Total Energy | 12,282,027 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 15.3% | ||
Banks 3.8% | ||
Huntington Bancshares, Inc. | 226,000 | 3,186,600 |
Prosperity Bancshares, Inc. | 102,400 | 7,442,432 |
Zions Bancorp | 154,300 | 7,585,388 |
Total | 18,214,420 | |
Capital Markets 2.6% | ||
Bank of New York Mellon Corp. (The) | 172,000 | 7,829,440 |
T. Rowe Price Group, Inc. | 43,400 | 4,733,204 |
Total | 12,562,644 | |
Insurance 8.9% | ||
Allstate Corp. (The) | 41,600 | 5,640,960 |
American Financial Group, Inc. | 51,600 | 7,083,648 |
Everest Re Group Ltd. | 24,900 | 8,248,623 |
Old Republic International Corp. | 281,000 | 6,786,150 |
Progressive Corp. (The) | 74,500 | 9,663,395 |
WR Berkley Corp. | 69,400 | 5,036,358 |
Total | 42,459,134 | |
Total Financials | 73,236,198 | |
Health Care 6.9% | ||
Health Care Equipment & Supplies 3.9% | ||
Cooper Companies, Inc. (The) | 23,900 | 7,903,013 |
Hologic, Inc.(a) | 99,200 | 7,421,152 |
Zimmer Biomet Holdings, Inc. | 24,200 | 3,085,500 |
Total | 18,409,665 | |
Health Care Providers & Services 3.0% | ||
Molina Healthcare, Inc.(a) | 14,900 | 4,920,278 |
Quest Diagnostics, Inc. | 61,300 | 9,589,772 |
Total | 14,510,050 | |
Total Health Care | 32,919,715 | |
Industrials 21.8% | ||
Aerospace & Defense 1.9% | ||
Textron, Inc. | 128,600 | 9,104,880 |
Airlines 1.2% | ||
Alaska Air Group, Inc.(a) | 135,300 | 5,809,782 |
8 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 1.7% | ||
Carrier Global Corp. | 75,800 | 3,126,750 |
Owens Corning | 58,300 | 4,972,990 |
Total | 8,099,740 | |
Commercial Services & Supplies 0.5% | ||
Republic Services, Inc. | 19,900 | 2,566,901 |
Electrical Equipment 1.3% | ||
Hubbell, Inc. | 26,000 | 6,101,680 |
Machinery 10.0% | ||
AGCO Corp. | 64,100 | 8,890,029 |
Lincoln Electric Holdings, Inc. | 33,500 | 4,840,415 |
Middleby Corp. (The)(a) | 53,100 | 7,110,090 |
Oshkosh Corp. | 63,000 | 5,555,970 |
Parker-Hannifin Corp. | 21,000 | 6,111,000 |
Toro Co. (The) | 75,600 | 8,557,920 |
Xylem, Inc. | 58,500 | 6,468,345 |
Total | 47,533,769 | |
Professional Services 2.8% | ||
Leidos Holdings, Inc. | 79,300 | 8,341,567 |
ManpowerGroup, Inc. | 61,100 | 5,084,131 |
Total | 13,425,698 | |
Road & Rail 2.1% | ||
JB Hunt Transport Services, Inc. | 26,400 | 4,603,104 |
Landstar System, Inc. | 32,300 | 5,261,670 |
Total | 9,864,774 | |
Trading Companies & Distributors 0.3% | ||
United Rentals, Inc.(a) | 4,700 | 1,670,474 |
Total Industrials | 104,177,698 | |
Information Technology 14.4% | ||
Communications Equipment 1.1% | ||
Motorola Solutions, Inc. | 20,300 | 5,231,513 |
Electronic Equipment, Instruments & Components 3.4% | ||
Amphenol Corp., Class A | 96,600 | 7,355,124 |
Flex Ltd.(a) | 420,200 | 9,017,492 |
Total | 16,372,616 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 5.7% | ||
DXC Technology Co.(a) | 175,000 | 4,637,500 |
Genpact Ltd. | 176,400 | 8,170,848 |
Global Payments, Inc. | 60,900 | 6,048,588 |
MAXIMUS, Inc. | 112,000 | 8,212,960 |
Total | 27,069,896 | |
Semiconductors & Semiconductor Equipment 2.6% | ||
MKS Instruments, Inc. | 74,000 | 6,270,020 |
Skyworks Solutions, Inc. | 67,600 | 6,160,388 |
Total | 12,430,408 | |
Technology Hardware, Storage & Peripherals 1.6% | ||
Hewlett Packard Enterprise Co. | 314,900 | 5,025,804 |
Western Digital Corp.(a) | 76,800 | 2,423,040 |
Total | 7,448,844 | |
Total Information Technology | 68,553,277 | |
Materials 11.6% | ||
Chemicals 2.8% | ||
Corteva, Inc. | 28,300 | 1,663,474 |
RPM International, Inc. | 55,600 | 5,418,220 |
Westlake Corp. | 60,300 | 6,183,162 |
Total | 13,264,856 | |
Containers & Packaging 5.7% | ||
AptarGroup, Inc. | 60,300 | 6,631,794 |
Avery Dennison Corp. | 39,700 | 7,185,700 |
Crown Holdings, Inc. | 79,900 | 6,568,579 |
Packaging Corp. of America | 54,300 | 6,945,513 |
Total | 27,331,586 | |
Metals & Mining 3.1% | ||
Franco-Nevada Corp. | 47,000 | 6,414,560 |
Reliance Steel & Aluminum Co. | 23,600 | 4,777,584 |
Steel Dynamics, Inc. | 35,500 | 3,468,350 |
Total | 14,660,494 | |
Total Materials | 55,256,936 |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate 8.7% | ||
Equity Real Estate Investment Trusts (REITS) 8.7% | ||
Alexandria Real Estate Equities, Inc. | 65,000 | 9,468,550 |
American Homes 4 Rent, Class A | 141,100 | 4,252,754 |
Camden Property Trust | 49,800 | 5,571,624 |
Equity LifeStyle Properties, Inc. | 102,200 | 6,602,120 |
Lamar Advertising Co., Class A | 84,100 | 7,939,040 |
National Retail Properties, Inc. | 168,800 | 7,724,288 |
Total | 41,558,376 | |
Total Real Estate | 41,558,376 | |
Utilities 3.2% | ||
Electric Utilities 3.2% | ||
Alliant Energy Corp. | 137,100 | 7,569,291 |
Xcel Energy, Inc. | 110,500 | 7,747,155 |
Total | 15,316,446 | |
Total Utilities | 15,316,446 | |
Total Common Stocks (Cost $405,721,238) | 470,977,821 | |
Money Market Funds 1.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 6,340,254 | 6,338,352 |
Total Money Market Funds (Cost $6,337,855) | 6,338,352 | |
Total Investments in Securities (Cost: $412,059,093) | 477,316,173 | |
Other Assets & Liabilities, Net | 98,037 | |
Net Assets | 477,414,210 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
11,523,412 | 67,618,038 | (72,803,955) | 857 | 6,338,352 | (1,189) | 141,835 | 6,340,254 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
December 31, 2022
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 | 5,056,150 | — | — | 5,056,150 |
Consumer Discretionary | 44,144,373 | — | — | 44,144,373 |
Consumer Staples | 18,476,625 | — | — | 18,476,625 |
Energy | 12,282,027 | — | — | 12,282,027 |
Financials | 73,236,198 | — | — | 73,236,198 |
Health Care | 32,919,715 | — | — | 32,919,715 |
Industrials | 104,177,698 | — | — | 104,177,698 |
Information Technology | 68,553,277 | — | — | 68,553,277 |
Materials | 55,256,936 | — | — | 55,256,936 |
Real Estate | 41,558,376 | — | — | 41,558,376 |
Utilities | 15,316,446 | — | — | 15,316,446 |
Total Common Stocks | 470,977,821 | — | — | 470,977,821 |
Money Market Funds | 6,338,352 | — | — | 6,338,352 |
Total Investments in Securities | 477,316,173 | — | — | 477,316,173 |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $405,721,238) | $470,977,821 |
Affiliated issuers (cost $6,337,855) | 6,338,352 |
Receivable for: | |
Investments sold | 2,702,929 |
Capital shares sold | 33,460 |
Dividends | 605,045 |
Foreign tax reclaims | 2,752 |
Prepaid expenses | 9,582 |
Total assets | 480,669,941 |
Liabilities | |
Payable for: | |
Investments purchased | 2,352,777 |
Capital shares purchased | 778,078 |
Management services fees | 10,146 |
Distribution and/or service fees | 805 |
Service fees | 7,862 |
Compensation of board members | 82,884 |
Compensation of chief compliance officer | 91 |
Other expenses | 23,088 |
Total liabilities | 3,255,731 |
Net assets applicable to outstanding capital stock | $477,414,210 |
Represented by | |
Trust capital | $477,414,210 |
Total - representing net assets applicable to outstanding capital stock | $477,414,210 |
Class 1 | |
Net assets | $318,667,640 |
Shares outstanding | 7,584,029 |
Net asset value per share | $42.02 |
Class 2 | |
Net assets | $74,701,106 |
Shares outstanding | 1,833,914 |
Net asset value per share | $40.73 |
Class 3 | |
Net assets | $84,045,464 |
Shares outstanding | 2,030,381 |
Net asset value per share | $41.39 |
12 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $10,825,609 |
Dividends — affiliated issuers | 141,835 |
Interfund lending | 778 |
Foreign taxes withheld | (4,128) |
Total income | 10,964,094 |
Expenses: | |
Management services fees | 3,863,125 |
Distribution and/or service fees | |
Class 2 | 180,739 |
Class 3 | 103,591 |
Service fees | 96,338 |
Compensation of board members | 15,784 |
Custodian fees | 10,062 |
Printing and postage fees | 17,134 |
Audit fees | 29,500 |
Legal fees | 18,481 |
Compensation of chief compliance officer | 73 |
Other | 13,226 |
Total expenses | 4,348,053 |
Net investment income | 6,616,041 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 56,859,862 |
Investments — affiliated issuers | (1,189) |
Net realized gain | 56,858,673 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (79,762,139) |
Investments — affiliated issuers | 857 |
Net change in unrealized appreciation (depreciation) | (79,761,282) |
Net realized and unrealized loss | (22,902,609) |
Net decrease in net assets resulting from operations | $(16,286,568) |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $6,616,041 | $8,698,681 |
Net realized gain | 56,858,673 | 112,740,272 |
Net change in unrealized appreciation (depreciation) | (79,761,282) | 56,319,672 |
Net increase (decrease) in net assets resulting from operations | (16,286,568) | 177,758,625 |
Decrease in net assets from capital stock activity | (72,071,476) | (310,724,170) |
Total decrease in net assets | (88,358,044) | (132,965,545) |
Net assets at beginning of year | 565,772,254 | 698,737,799 |
Net assets at end of year | $477,414,210 | $565,772,254 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 76,357 | 3,135,494 | 68,326 | 2,794,000 |
Redemptions | (1,839,139) | (76,652,678) | (8,547,264) | (323,905,306) |
Net decrease | (1,762,782) | (73,517,184) | (8,478,938) | (321,111,306) |
Class 2 | ||||
Subscriptions | 204,963 | 8,232,124 | 321,458 | 12,549,323 |
Redemptions | (136,336) | (5,519,635) | (191,212) | (7,321,921) |
Net increase | 68,627 | 2,712,489 | 130,246 | 5,227,402 |
Class 3 | ||||
Subscriptions | 118,871 | 4,844,929 | 249,282 | 9,878,828 |
Redemptions | (149,166) | (6,111,710) | (123,171) | (4,719,094) |
Net increase (decrease) | (30,295) | (1,266,781) | 126,111 | 5,159,734 |
Total net decrease | (1,724,450) | (72,071,476) | (8,222,581) | (310,724,170) |
14 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $43.21 | 0.56 | (1.75) | (1.19) |
Year Ended 12/31/2021 | $32.76 | 0.58(c) | 9.87 | 10.45 |
Year Ended 12/31/2020 | $30.32 | 0.38 | 2.06 | 2.44 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $41.99 | 0.45 | (1.71) | (1.26) |
Year Ended 12/31/2021 | $31.92 | 0.50(c) | 9.57 | 10.07 |
Year Ended 12/31/2020 | $29.61 | 0.31 | 2.00 | 2.31 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $42.62 | 0.51 | (1.74) | (1.23) |
Year Ended 12/31/2021 | $32.35 | 0.55(c) | 9.72 | 10.27 |
Year Ended 12/31/2020 | $29.98 | 0.35 | 2.02 | 2.37 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.15 per share. |
16 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $42.02 | (2.75%) | 0.81% | 0.81% | 1.37% | 30% | $318,668 |
Year Ended 12/31/2021 | $43.21 | 31.90% | 0.80% | 0.80% | 1.48% | 24% | $403,832 |
Year Ended 12/31/2020 | $32.76 | 8.05% | 0.79% | 0.79% | 1.41% | 41% | $583,965 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $40.73 | (3.00%) | 1.06% | 1.06% | 1.13% | 30% | $74,701 |
Year Ended 12/31/2021 | $41.99 | 31.55% | 1.05% | 1.05% | 1.28% | 24% | $74,122 |
Year Ended 12/31/2020 | $31.92 | 7.80% | 1.04% | 1.04% | 1.16% | 41% | $52,184 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $41.39 | (2.89%) | 0.93% | 0.93% | 1.26% | 30% | $84,045 |
Year Ended 12/31/2021 | $42.62 | 31.75% | 0.93% | 0.93% | 1.41% | 24% | $87,819 |
Year Ended 12/31/2020 | $32.35 | 7.91% | 0.92% | 0.92% | 1.29% | 41% | $62,589 |
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% | $53,581 |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.83% | 0.85% |
Class 2 | 1.08 | 1.10 |
Class 3 | 0.955 | 0.975 |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 21 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,600,000 | 3.59 | 3 |
22 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 25 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
26 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
28 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 29 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
30 | CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
CTIVP® – Victory Sycamore Established Value Fund | Annual Report 2022 | 31 |
December 31, 2022
3 | |
5 | |
8 | |
9 | |
14 | |
15 | |
16 | |
18 | |
20 | |
30 | |
31 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -17.35 | 7.84 | 10.80 | |
Class 2 | 05/03/10 | -17.55 | 7.57 | 10.53 | |
Class 3 | 05/01/06 | -17.43 | 7.71 | 10.67 | |
S&P 500 Index | -18.11 | 9.42 | 12.56 |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 99.9 |
Money Market Funds | 0.1 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 5.7 |
Consumer Discretionary | 11.2 |
Consumer Staples | 7.0 |
Energy | 2.5 |
Financials | 10.7 |
Health Care | 18.6 |
Industrials | 11.3 |
Information Technology | 24.5 |
Materials | 2.5 |
Real Estate | 1.5 |
Utilities | 4.5 |
Total | 100.0 |
4 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
(Unaudited)
• | The largest contributions to performance in our portion of the Fund’s portfolio during the period came from the pharmaceuticals and medical technology, industrial cyclicals, and semiconductors and technology hardware industries. |
• | Individual top contributors to performance during the period included AbbVie, Inc., Norfolk Southern Corp. and Northrop Grumman Corp. |
○ | Within the health care sector, our overweight in biotechnology company AbbVie contributed to performance during the year. AbbVie’s stock not only benefited from the growth-to-value rotation, but also from the success of the company’s rheumatoid arthritis drug Rinvoq and psoriasis drug Skyrizi. AbbVie continues to see strong performance given their existing pipeline. In addition, given their earnings-per-share growth visibility and reasonable valuation, we remain overweight the name. |
○ | Within the industrials sector, an overweight in road and rail company Norfolk Southern contributed to performance during the period. The stock outperformed as the company’s revenue per unit was stronger than consensus, which was boosted by fuel surcharges. We remain positive on the stock and are optimistic that management may continue to improve service and headcount issues, driving further improvements in volume and operating ratio. |
○ | Within industrial cyclicals, our overweight in aerospace and defense company Northrop Grumman served as a contributor to performance during the year as defense stocks outperformed given the Russia-Ukraine conflict and recession fears. Defense prime contractors seem expensive particularly with the backdrop of flat topline growth anticipated next year and sustained supply chain issues. As a result, we currently prefer names with more secular growth and margin opportunity in commercial aerospace over defense. |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 5 |
(Unaudited)
• | During the period, both stock selection and sector allocation contributed to relative performance in our portion of the Fund. |
○ | Stock selection in consumer discretionary contributed the most to relative performance. |
○ | Within industrials and business services, stock selection and an overweight allocation were beneficial. |
○ | An underweight allocation and stock selection in communication services also added value. |
• | Individual top contributors to relative performance during the period included O’Reilly Automotive, Inc. Avoiding Tesla, Inc. and an underweight position in Meta Platforms, Inc. also contributed to relative performance. |
○ | O’Reilly Automotive is an aftermarket auto parts retailer. The company benefited from a resilient “do it yourself” (DIY) consumer and outperformance in its DIY business segment as more people opted to maintain their current vehicles instead of buying new in the current inflationary, high interest-rate environment. Free cash flow also remained impressive, and the company continued to buy back its stock. |
○ | Not owning Tesla contributed to relative performance, as the company meaningfully underperformed for the year. At this time, we do not foresee holding Tesla within the portfolio, as the stock does not fit our investment framework, and we consider it to have an unattractive risk/return dynamic and increased competition within the electric vehicle space. |
○ | Our underweight to Meta Platforms benefited relative results, as shares of the technology conglomerate sold off sharply due to a combination of headwinds from Apple iOS privacy changes, a significant drop in advertising demand with macro headwinds putting downward pressure on advertiser budgets, and a material step-up in investments around the metaverse initiative. |
• | Detracting most from performance in our portion of the Fund during the period were commodities, media and basic materials. |
• | Individual holdings that detracted most from performance in our portion of the Fund during the period included Shopify, Inc., Advanced Micro Devices, Inc. and Snap, Inc. |
○ | Within IT services, our overweight in Shopify detracted as the stock underperformed due to slowing e-commerce growth and increasing capital intensity from the company’s pivot towards building the Shopify Fulfillment Network (SFN). Amazon’s Buy-with-Prime product also added competitive concerns. As such, we eliminated our position in Shopify and, until we get more clarity on the general e-commerce growth trajectory and SFN build-out, we will remain on the sidelines. |
○ | Within semiconductors, an overweight in Advanced Micro Devices detracted from performance amid market volatility in leading growth stocks. Shares were under pressure throughout the year as the company saw a large correction in their PC segment, which had been a beneficiary of COVID-driven demand. We are now moving into a period in which some semiconductor companies are shipping below consumption and clearing out inventory. Given that Advanced Micro Devices’ share gains seem to be accelerating in datacenter and should remain strong, in our view, well into 2024, we remain comfortable with our overweight position. |
○ | Within interactive media, our overweight in Snap detracted from performance during the year. The company’s share price underperformed after being hard hit by a slowdown in advertising due to the weakening macro environment. While we have observed a slowdown in digital advertising in general, Snap has seen higher volatility due to being a smaller platform and its vertical exposure to some weaker categories. We ultimately sold the position over the summer as we felt there was too little visibility to have any confidence in the near-term numbers. |
6 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
(Unaudited)
• | An underweight exposure to energy, the best-performing sector in the benchmark, detracted the most from relative performance in our portion of the Fund. Stock selection in materials also weighed on relative returns. |
• | Individual detractors from performance in our portion of the Fund during the period included Alphabet, Inc. Not owning ExxonMobil Corporation or Chevron Corporation detracted from relative performance. |
○ | ExxonMobil and Chevron recorded positive, double-digit absolute returns within the benchmark for the period, benefiting from strong global demand in oil and gas amid a highly supportive macroeconomic backdrop. We did not own the stocks during the period, and this detracted from relative performance. |
○ | Alphabet shares fell significantly for the year, as overall revenue growth slowed. Investors also were concerned about declining advertisement spending and likely weak spending trends in 2023. |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,023.30 | 1,021.61 | 3.50 | 3.50 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,021.90 | 1,020.36 | 4.76 | 4.76 | 0.94 |
Class 3 | 1,000.00 | 1,000.00 | 1,022.60 | 1,021.01 | 4.11 | 4.10 | 0.81 |
8 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
December 31, 2022
Common Stocks 99.9% | ||
Issuer | Shares | Value ($) |
Communication Services 5.7% | ||
Diversified Telecommunication Services 0.6% | ||
Verizon Communications, Inc. | 382,152 | 15,056,789 |
Entertainment 0.5% | ||
Activision Blizzard, Inc. | 25,024 | 1,915,587 |
Electronic Arts, Inc. | 100,676 | 12,300,594 |
Total | 14,216,181 | |
Interactive Media & Services 4.6% | ||
Alphabet, Inc., Class A(a) | 523,298 | 46,170,583 |
Alphabet, Inc., Class C(a) | 773,387 | 68,622,628 |
Meta Platforms, Inc., Class A(a) | 35,101 | 4,224,054 |
Total | 119,017,265 | |
Total Communication Services | 148,290,235 | |
Consumer Discretionary 11.2% | ||
Automobiles 0.7% | ||
Tesla, Inc.(a) | 154,457 | 19,026,013 |
Hotels, Restaurants & Leisure 2.7% | ||
Booking Holdings, Inc.(a) | 5,400 | 10,882,512 |
Marriott International, Inc., Class A | 49,277 | 7,336,852 |
McDonald’s Corp. | 189,830 | 50,025,900 |
Total | 68,245,264 | |
Internet & Direct Marketing Retail 2.1% | ||
Amazon.com, Inc.(a) | 650,467 | 54,639,228 |
Multiline Retail 1.6% | ||
Dollar General Corp. | 171,536 | 42,240,740 |
Specialty Retail 3.5% | ||
Home Depot, Inc. (The) | 49,753 | 15,714,983 |
Lowe’s Companies, Inc. | 78,493 | 15,638,945 |
O’Reilly Automotive, Inc.(a) | 24,143 | 20,377,416 |
Ross Stores, Inc. | 110,971 | 12,880,404 |
TJX Companies, Inc. (The) | 169,905 | 13,524,438 |
Ulta Beauty, Inc.(a) | 26,652 | 12,501,654 |
Total | 90,637,840 | |
Textiles, Apparel & Luxury Goods 0.6% | ||
NIKE, Inc., Class B | 127,692 | 14,941,241 |
Total Consumer Discretionary | 289,730,326 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 6.9% | ||
Beverages 2.7% | ||
Coca-Cola Co. (The) | 704,850 | 44,835,509 |
Constellation Brands, Inc., Class A | 48,879 | 11,327,708 |
Keurig Dr. Pepper, Inc. | 390,179 | 13,913,783 |
Total | 70,077,000 | |
Food & Staples Retailing 1.5% | ||
Costco Wholesale Corp. | 31,016 | 14,158,804 |
Sysco Corp. | 137,305 | 10,496,967 |
Walmart, Inc. | 112,283 | 15,920,607 |
Total | 40,576,378 | |
Food Products 1.9% | ||
General Mills, Inc. | 179,200 | 15,025,920 |
Hershey Co. (The) | 69,878 | 16,181,648 |
Mondelez International, Inc., Class A | 259,094 | 17,268,615 |
Total | 48,476,183 | |
Household Products 0.8% | ||
Procter & Gamble Co. (The) | 133,921 | 20,297,067 |
Total Consumer Staples | 179,426,628 | |
Energy 2.5% | ||
Energy Equipment & Services 1.0% | ||
Baker Hughes Co. | 905,891 | 26,750,961 |
Oil, Gas & Consumable Fuels 1.5% | ||
ConocoPhillips Co. | 176,254 | 20,797,972 |
Pioneer Natural Resources Co. | 74,403 | 16,992,901 |
Total | 37,790,873 | |
Total Energy | 64,541,834 | |
Financials 10.7% | ||
Banks 4.1% | ||
Bank of America Corp. | 512,977 | 16,989,798 |
JPMorgan Chase & Co. | 176,730 | 23,699,493 |
Truist Financial Corp. | 669,990 | 28,829,670 |
U.S. Bancorp | 370,074 | 16,138,927 |
Wells Fargo & Co. | 493,070 | 20,358,860 |
Total | 106,016,748 |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 3.7% | ||
Charles Schwab Corp. (The) | 150,302 | 12,514,144 |
Goldman Sachs Group, Inc. (The) | 29,321 | 10,068,245 |
Morgan Stanley | 349,787 | 29,738,891 |
Raymond James Financial, Inc. | 94,789 | 10,128,205 |
S&P Global, Inc. | 98,353 | 32,942,354 |
Total | 95,391,839 | |
Insurance 2.9% | ||
Allstate Corp. (The) | 95,022 | 12,884,983 |
Chubb Ltd. | 74,541 | 16,443,745 |
Hartford Financial Services Group, Inc. (The) | 220,370 | 16,710,657 |
Progressive Corp. (The) | 226,268 | 29,349,222 |
Total | 75,388,607 | |
Total Financials | 276,797,194 | |
Health Care 18.6% | ||
Biotechnology 4.5% | ||
AbbVie, Inc. | 282,467 | 45,649,492 |
Regeneron Pharmaceuticals, Inc.(a) | 58,798 | 42,422,169 |
Vertex Pharmaceuticals, Inc.(a) | 97,401 | 28,127,461 |
Total | 116,199,122 | |
Health Care Equipment & Supplies 2.5% | ||
Boston Scientific Corp.(a) | 563,421 | 26,069,490 |
Intuitive Surgical, Inc.(a) | 47,887 | 12,706,815 |
ResMed, Inc. | 33,246 | 6,919,490 |
STERIS PLC | 94,546 | 17,461,701 |
Total | 63,157,496 | |
Health Care Providers & Services 6.1% | ||
AmerisourceBergen Corp. | 81,613 | 13,524,090 |
Centene Corp.(a) | 211,996 | 17,385,792 |
CVS Health Corp. | 135,500 | 12,627,245 |
Elevance Health, Inc. | 56,307 | 28,883,802 |
Quest Diagnostics, Inc. | 78,588 | 12,294,306 |
UnitedHealth Group, Inc. | 139,793 | 74,115,453 |
Total | 158,830,688 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Life Sciences Tools & Services 3.3% | ||
Agilent Technologies, Inc. | 68,700 | 10,280,955 |
Danaher Corp. | 83,490 | 22,159,916 |
Mettler-Toledo International, Inc.(a) | 9,704 | 14,026,647 |
Thermo Fisher Scientific, Inc. | 71,554 | 39,404,072 |
Total | 85,871,590 | |
Pharmaceuticals 2.2% | ||
Bristol-Myers Squibb Co. | 415,637 | 29,905,082 |
Eli Lilly & Co. | 32,792 | 11,996,625 |
Merck & Co., Inc. | 133,400 | 14,800,730 |
Total | 56,702,437 | |
Total Health Care | 480,761,333 | |
Industrials 11.3% | ||
Aerospace & Defense 1.1% | ||
L3Harris Technologies, Inc. | 49,780 | 10,364,694 |
Northrop Grumman Corp. | 35,037 | 19,116,537 |
Total | 29,481,231 | |
Building Products 0.8% | ||
Trane Technologies PLC | 120,558 | 20,264,594 |
Commercial Services & Supplies 0.5% | ||
Republic Services, Inc. | 100,309 | 12,938,858 |
Electrical Equipment 2.6% | ||
AMETEK, Inc. | 108,300 | 15,131,676 |
Eaton Corp. PLC | 256,895 | 40,319,671 |
Emerson Electric Co. | 118,704 | 11,402,706 |
Total | 66,854,053 | |
Machinery 2.4% | ||
Cummins, Inc. | 91,231 | 22,104,359 |
Deere & Co. | 51,628 | 22,136,021 |
Dover Corp. | 58,379 | 7,905,100 |
IDEX Corp. | 40,526 | 9,253,302 |
Total | 61,398,782 | |
Professional Services 1.4% | ||
Booz Allen Hamilton Holding Corp. | 120,258 | 12,569,366 |
Leidos Holdings, Inc. | 94,636 | 9,954,761 |
Verisk Analytics, Inc. | 73,588 | 12,982,395 |
Total | 35,506,522 |
10 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Road & Rail 2.5% | ||
CSX Corp. | 593,846 | 18,397,349 |
Norfolk Southern Corp. | 96,703 | 23,829,554 |
Old Dominion Freight Line, Inc. | 24,363 | 6,913,732 |
Uber Technologies, Inc.(a) | 645,696 | 15,968,062 |
Total | 65,108,697 | |
Total Industrials | 291,552,737 | |
Information Technology 24.5% | ||
Electronic Equipment, Instruments & Components 0.4% | ||
TE Connectivity Ltd. | 95,865 | 11,005,302 |
IT Services 4.5% | ||
Accenture PLC, Class A | 107,611 | 28,714,919 |
Broadridge Financial Solutions, Inc. | 109,180 | 14,644,314 |
MasterCard, Inc., Class A | 108,174 | 37,615,345 |
Visa, Inc., Class A | 164,255 | 34,125,619 |
Total | 115,100,197 | |
Semiconductors & Semiconductor Equipment 7.6% | ||
Advanced Micro Devices, Inc.(a) | 222,250 | 14,395,133 |
Analog Devices, Inc. | 83,867 | 13,756,704 |
Applied Materials, Inc. | 202,371 | 19,706,888 |
ASML Holding NV | 16,901 | 9,234,706 |
Broadcom, Inc. | 27,103 | 15,154,100 |
KLA Corp. | 73,023 | 27,531,862 |
Micron Technology, Inc. | 213,200 | 10,655,736 |
NVIDIA Corp. | 145,956 | 21,330,010 |
NXP Semiconductors NV | 237,960 | 37,604,819 |
Teradyne, Inc. | 113,984 | 9,956,502 |
Texas Instruments, Inc. | 99,760 | 16,482,347 |
Total | 195,808,807 | |
Software 8.6% | ||
Intuit, Inc. | 66,894 | 26,036,483 |
Microsoft Corp. | 765,727 | 183,636,649 |
Oracle Corp. | 169,178 | 13,828,610 |
Total | 223,501,742 | |
Technology Hardware, Storage & Peripherals 3.4% | ||
Apple, Inc. | 672,382 | 87,362,593 |
Total Information Technology | 632,778,641 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 2.5% | ||
Chemicals 2.0% | ||
Eastman Chemical Co. | 142,055 | 11,568,959 |
Linde PLC | 34,772 | 11,341,931 |
PPG Industries, Inc. | 145,261 | 18,265,118 |
Sherwin-Williams Co. (The) | 39,200 | 9,303,336 |
Total | 50,479,344 | |
Construction Materials 0.5% | ||
Vulcan Materials Co. | 80,500 | 14,096,355 |
Total Materials | 64,575,699 | |
Real Estate 1.5% | ||
Equity Real Estate Investment Trusts (REITS) 1.5% | ||
Prologis, Inc. | 336,735 | 37,960,137 |
Total Real Estate | 37,960,137 | |
Utilities 4.5% | ||
Electric Utilities 3.3% | ||
NextEra Energy, Inc. | 534,312 | 44,668,483 |
PG&E Corp.(a) | 366,736 | 5,963,128 |
Southern Co. (The) | 311,239 | 22,225,577 |
Xcel Energy, Inc. | 189,484 | 13,284,723 |
Total | 86,141,911 | |
Multi-Utilities 1.2% | ||
Ameren Corp. | 308,083 | 27,394,741 |
WEC Energy Group, Inc. | 36,778 | 3,448,305 |
Total | 30,843,046 | |
Total Utilities | 116,984,957 | |
Total Common Stocks (Cost $2,658,749,626) | 2,583,399,721 | |
Money Market Funds 0.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 3,501,781 | 3,500,730 |
Total Money Market Funds (Cost $3,500,730) | 3,500,730 | |
Total Investments in Securities (Cost: $2,662,250,356) | 2,586,900,451 | |
Other Assets & Liabilities, Net | 410,001 | |
Net Assets | 2,587,310,452 |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 11 |
December 31, 2022
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
32,304,518 | 445,185,461 | (473,991,578) | 2,329 | 3,500,730 | (1,844) | 355,179 | 3,501,781 |
■ | 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 | 148,290,235 | — | — | 148,290,235 |
Consumer Discretionary | 289,730,326 | — | — | 289,730,326 |
Consumer Staples | 179,426,628 | — | — | 179,426,628 |
Energy | 64,541,834 | — | — | 64,541,834 |
Financials | 276,797,194 | — | — | 276,797,194 |
Health Care | 480,761,333 | — | — | 480,761,333 |
Industrials | 291,552,737 | — | — | 291,552,737 |
12 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
December 31, 2022
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | 632,778,641 | — | — | 632,778,641 |
Materials | 64,575,699 | — | — | 64,575,699 |
Real Estate | 37,960,137 | — | — | 37,960,137 |
Utilities | 116,984,957 | — | — | 116,984,957 |
Total Common Stocks | 2,583,399,721 | — | — | 2,583,399,721 |
Money Market Funds | 3,500,730 | — | — | 3,500,730 |
Total Investments in Securities | 2,586,900,451 | — | — | 2,586,900,451 |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 13 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,658,749,626) | $2,583,399,721 |
Affiliated issuers (cost $3,500,730) | 3,500,730 |
Receivable for: | |
Investments sold | 11,423,166 |
Capital shares sold | 134 |
Dividends | 1,619,445 |
Foreign tax reclaims | 20,359 |
Prepaid expenses | 23,844 |
Total assets | 2,599,987,399 |
Liabilities | |
Due to custodian | 20,359 |
Payable for: | |
Investments purchased | 11,171,800 |
Capital shares purchased | 1,174,940 |
Management services fees | 48,237 |
Distribution and/or service fees | 164 |
Service fees | 1,852 |
Compensation of board members | 198,930 |
Compensation of chief compliance officer | 504 |
Other expenses | 60,161 |
Total liabilities | 12,676,947 |
Net assets applicable to outstanding capital stock | $2,587,310,452 |
Represented by | |
Trust capital | $2,587,310,452 |
Total - representing net assets applicable to outstanding capital stock | $2,587,310,452 |
Class 1 | |
Net assets | $2,550,752,658 |
Shares outstanding | 85,388,174 |
Net asset value per share | $29.87 |
Class 2 | |
Net assets | $11,041,962 |
Shares outstanding | 380,981 |
Net asset value per share | $28.98 |
Class 3 | |
Net assets | $25,515,832 |
Shares outstanding | 867,665 |
Net asset value per share | $29.41 |
14 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $38,952,526 |
Dividends — affiliated issuers | 355,179 |
Foreign taxes withheld | (121,732) |
Total income | 39,185,973 |
Expenses: | |
Management services fees | 18,857,025 |
Distribution and/or service fees | |
Class 2 | 29,103 |
Class 3 | 35,530 |
Service fees | 24,178 |
Compensation of board members | 41,214 |
Custodian fees | 30,729 |
Printing and postage fees | 15,356 |
Audit fees | 54,500 |
Legal fees | 47,741 |
Interest on collateral | 8 |
Interest on interfund lending | 368 |
Compensation of chief compliance officer | 428 |
Other | 46,569 |
Total expenses | 19,182,749 |
Net investment income | 20,003,224 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 80,885,117 |
Investments — affiliated issuers | (1,844) |
Futures contracts | (2,157,114) |
Net realized gain | 78,726,159 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (661,634,436) |
Investments — affiliated issuers | 2,329 |
Net change in unrealized appreciation (depreciation) | (661,632,107) |
Net realized and unrealized loss | (582,905,948) |
Net decrease in net assets resulting from operations | $(562,902,724) |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 15 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $20,003,224 | $15,073,505 |
Net realized gain | 78,726,159 | 771,184,254 |
Net change in unrealized appreciation (depreciation) | (661,632,107) | (22,901,158) |
Net increase (decrease) in net assets resulting from operations | (562,902,724) | 763,356,601 |
Decrease in net assets from capital stock activity | (152,668,685) | (587,945,720) |
Total increase (decrease) in net assets | (715,571,409) | 175,410,881 |
Net assets at beginning of year | 3,302,881,861 | 3,127,470,980 |
Net assets at end of year | $2,587,310,452 | $3,302,881,861 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 927,486 | 28,019,410 | 5,448,922 | 171,600,336 |
Redemptions | (5,614,948) | (177,484,540) | (25,917,436) | (753,572,961) |
Net decrease | (4,687,462) | (149,465,130) | (20,468,514) | (581,972,625) |
Class 2 | ||||
Subscriptions | 35,520 | 1,094,619 | 21,302 | 652,265 |
Redemptions | (35,680) | (1,092,841) | (53,149) | (1,681,208) |
Net increase (decrease) | (160) | 1,778 | (31,847) | (1,028,943) |
Class 3 | ||||
Subscriptions | 8,401 | 260,399 | 23,798 | 763,604 |
Redemptions | (112,158) | (3,465,732) | (181,965) | (5,707,756) |
Net decrease | (103,757) | (3,205,333) | (158,167) | (4,944,152) |
Total net decrease | (4,791,379) | (152,668,685) | (20,658,528) | (587,945,720) |
16 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 17 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $36.14 | 0.22 | (6.49) | (6.27) |
Year Ended 12/31/2021 | $27.91 | 0.16 | 8.07 | 8.23 |
Year Ended 12/31/2020 | $23.85 | 0.24 | 3.82 | 4.06 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $35.15 | 0.14 | (6.31) | (6.17) |
Year Ended 12/31/2021 | $27.21 | 0.08 | 7.86 | 7.94 |
Year Ended 12/31/2020 | $23.31 | 0.18 | 3.72 | 3.90 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $35.62 | 0.18 | (6.39) | (6.21) |
Year Ended 12/31/2021 | $27.54 | 0.12 | 7.96 | 8.08 |
Year Ended 12/31/2020 | $23.57 | 0.21 | 3.76 | 3.97 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
18 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $29.87 | (17.35%) | 0.68%(c),(d) | 0.68%(c),(d) | 0.72% | 75% | $2,550,753 |
Year Ended 12/31/2021 | $36.14 | 29.49% | 0.68%(c) | 0.68%(c) | 0.50% | 99% | $3,254,887 |
Year Ended 12/31/2020 | $27.91 | 17.02% | 0.68% | 0.68% | 1.02% | 92% | $3,085,119 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $28.98 | (17.55%) | 0.93%(c),(d) | 0.93%(c),(d) | 0.47% | 75% | $11,042 |
Year Ended 12/31/2021 | $35.15 | 29.18% | 0.93%(c) | 0.93%(c) | 0.26% | 99% | $13,396 |
Year Ended 12/31/2020 | $27.21 | 16.73% | 0.93% | 0.93% | 0.76% | 92% | $11,239 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $29.41 | (17.43%) | 0.81%(c),(d) | 0.81%(c),(d) | 0.59% | 75% | $25,516 |
Year Ended 12/31/2021 | $35.62 | 29.34% | 0.80%(c) | 0.80%(c) | 0.38% | 99% | $34,599 |
Year Ended 12/31/2020 | $27.54 | 16.84% | 0.80% | 0.80% | 0.89% | 92% | $31,113 |
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% | $31,196 |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
December 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (2,157,114) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 12,497,766 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 25 |
December 31, 2022
Contractual expense cap July 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.69% | 0.69% | 0.69% |
Class 2 | 0.94 | 0.94 | 0.94 |
Class 3 | 0.815 | 0.815 | 0.815 |
26 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 481,818 | 2.67 | 11 |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 29 |
30 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 31 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
32 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 33 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
34 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 | 35 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
36 | Variable Portfolio – Partners Core Equity Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
8 | |
9 | |
16 | |
17 | |
18 | |
20 | |
22 | |
29 | |
30 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -12.94 | 3.14 | 7.01 | |
Class 2 | 05/03/10 | -13.16 | 2.88 | 6.74 | |
Class 3 | 08/14/01 | -13.06 | 3.00 | 6.87 | |
Russell 2000 Value Index | -14.48 | 4.13 | 8.48 |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 97.9 |
Money Market Funds | 2.1 |
Rights | 0.0(a) |
Total | 100.0 |
(a) | Rounds to zero. |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 0.5 |
Consumer Discretionary | 10.5 |
Consumer Staples | 4.2 |
Energy | 4.1 |
Financials | 19.1 |
Health Care | 7.6 |
Industrials | 22.2 |
Information Technology | 11.9 |
Materials | 7.3 |
Real Estate | 8.4 |
Utilities | 4.2 |
Total | 100.0 |
4 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
(Unaudited)
• | The top three sectors contributing to our portion of Fund performance during the period were: industrials, driven by security selection and overweights relative to the benchmark; real estate, also driven by security selection but by an underweight relative to the benchmark; and consumer discretionary, driven by both allocation/selection and a relative underweight to the benchmark. |
• | Among portfolio holdings, SPX Technologies, Inc., Modine Manufacturing Co. and Helmerich & Payne, Inc. were top contributors to Fund performance. |
○ | SPX Technologies has been successful with its acquisition and divestiture efforts and strong adherence to return on invested capital (ROIC), which have put the firm in a stronger financial position. |
○ | Modine Manufacturing also made a positive contribution, thanks to its new management team’s focus and execution on ROIC improvement. |
○ | Helmerich & Payne optimized their drilling fleet while focusing capital allocation on debt reduction and shareholder returns. The company’s strategy, alongside rising energy prices, helped drive strong performance. |
• | The relative outperformance of our portion of the Fund during the period was driven by a combination of stock selection and style allocations. |
• | Among sectors, health care holdings were a major contributor to relative performance in our portion of the Fund. Not being exposed to the poorly performing biotechnology subsector contributed to this result, but several of the portfolio’s health care holdings posted significantly positive returns. |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Performance was also positively impacted by a relative outperformance by holdings in information technology, which held up much better than the benchmark peers in a difficult market for the sector. The Fund’s relative underweight position to the poorly performing communication services sector, mainly the media and entertainment subsector, was another contributor. |
• | Among portfolio holdings that contributed to performance in our portion of the Fund, specialty health care company Lantheus Holdings, Inc. has benefited from evidence of resumed hospital volumes and increasing comfort with upside potential from the Progenics Pharmaceuticals acquisition, namely its new prostate diagnostic, has the potential to reverse recent share underperformance in our view. The company was also getting recognition from the market for its forthcoming PYL Imaging agent, which aims to improve upon current techniques for prostate cancer diagnosis. In May of 2022 the company received FDA approval to begin marketing its state-of-the-art agent for the identification of prostate cancer, which we believe significantly added to the company’s prospect of future earnings. |
• | Another contributor, Matador Resources Co., a leading independent oil and gas exploration and production (E&P) company, was purchased in December 2020. We saw it as one of few E&P companies that would have increased production, reduced capital expenditures, and improved capital efficiency in 2021, providing it with above-average cash flow growth. As energy shares surged in 2021 and 2022, the stock hit our price target, at which point we sold it. |
• | Federal Signal Corp. serves municipal and industrial customers by manufacturing street sweepers, vacuum trucks, and water blasters, as well as security equipment including police sirens, warning systems, and signaling products. Purchased in March 2022, the company’s shares traded near pre-COVID levels due to supply chain issues, which we believe will improve. In our view, a proven management team, a consistent organic and acquisition growth strategy, and an advantageous mix of products have positioned the company to emerge from its recent challenges stronger with higher earnings power. |
• | The consumer staples sector, driven by security selection and an overweight relative to the benchmark, detracted from performance in our portion of the Fund during the period. |
• | The energy sector, driven by allocation and a relative underweight, also weighed on performance. |
• | Security selection and an overweight, relative the benchmark, in the materials sector, also detracted. |
• | Among Fund holdings that detracted from performance, medical device company Orthofix Medical, Inc., was impacted by delays and suspensions of elective surgeries, which slowed growth materially. |
• | Specialty food company Hain Celestial Group, Inc. faced significant inflationary and supply chain issues over the past year and the invasion of Ukraine further accelerated these issues. Although Hain aggressively raised prices to offset these higher costs, the timing of a full recovery and the overall elasticity of their price increases are more in question as future demand patterns become less clear. |
• | Glatfelter Corp., a manufacturer of engineered materials, was also a detractor. The company continued to be under substantial pressure due to its manufacturing footprint having sizeable exposure to the European Union, including many facilities in Germany. Given the natural gas and overall energy crisis that has unfolded in Glatfelter’s core manufacturing markets, along with higher-than-desired leverage during this uncertain backdrop, we exited the position during the period. |
• | Performance in our potion of the Fund was hampered by holdings in the energy, utilities and financials sectors. |
○ | Our portion of the Fund was significantly underweighted in the energy sector, relative to the benchmark, in the first half of the year, which was a large drag on relative performance as oil and natural gas prices spiked. |
○ | Our exposure to companies serving the offshore drilling market was also a cause of relative underperformance as the market favored companies benefiting from the increase in onshore shale drilling. |
6 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
(Unaudited)
○ | The Fund’s relative underweight to the utility and financials sectors was a detractor, as was the property and casualty subsector. |
• | Among Fund holdings that detracted from performance, Cognyte Software Ltd., dealt with supply chain issues on hardware that they sold to host their software, followed by lower conversions on the pipeline. Part of the pipeline conversion was related to the inability to travel related to COVID-19. Many companies were able to close deals during the COVID-19 pandemic over online platforms. However, due to the secure nature of their products, most of their customers (security agencies around the world) were not comfortable discussing deals on virtual meetings. Cognyte also struggled as countries responded to the Russia/Ukraine crisis and focused their spending on defense versus security software, which drove revenues down and had an outsized impact on earnings. |
• | Great Lakes Dredge and Dock Corp. experienced outsized declines due to temporary, company-specific issues. The stock declined over 40% after the company reported a challenging third quarter due to adverse weather conditions and multiple operational issues. |
• | The shares of Graftech International Ltd., a leading supplier of graphite electrodes to steelmaking electric arc furnaces, declined as Mexican regulators issued a temporary shutdown notice in September 2022 for the company’s Monterrey facility where it has been operating since the 1960’s. The duration of the shutdown was unknown, but we believed the company would eventually be able to restart operations. This proved to be correct as production re-started in the fourth quarter of 2022. |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,042.10 | 1,020.76 | 4.40 | 4.36 | 0.86 |
Class 2 | 1,000.00 | 1,000.00 | 1,041.10 | 1,019.50 | 5.68 | 5.62 | 1.11 |
Class 3 | 1,000.00 | 1,000.00 | 1,041.50 | 1,020.16 | 5.02 | 4.96 | 0.98 |
8 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
Common Stocks 97.9% | ||
Issuer | Shares | Value ($) |
Communication Services 0.5% | ||
Media 0.5% | ||
John Wiley & Sons, Inc., Class A | 76,813 | 3,077,129 |
Total Communication Services | 3,077,129 | |
Consumer Discretionary 10.3% | ||
Auto Components 1.7% | ||
Adient PLC(a) | 80,514 | 2,793,031 |
Modine Manufacturing Co.(a) | 195,678 | 3,886,165 |
Standard Motor Products, Inc. | 100,020 | 3,480,696 |
Total | 10,159,892 | |
Automobiles 0.7% | ||
Harley-Davidson, Inc. | 30,065 | 1,250,704 |
Winnebago Industries, Inc. | 52,866 | 2,786,038 |
Total | 4,036,742 | |
Hotels, Restaurants & Leisure 1.3% | ||
Bloomin’ Brands, Inc. | 168,137 | 3,382,917 |
Cracker Barrel Old Country Store, Inc. | 23,260 | 2,203,652 |
El Pollo Loco Holdings, Inc. | 150,648 | 1,500,454 |
Papa John’s International, Inc. | 9,894 | 814,375 |
Total | 7,901,398 | |
Household Durables 1.8% | ||
La-Z-Boy, Inc. | 129,177 | 2,947,819 |
Taylor Morrison Home Corp., Class A(a) | 112,560 | 3,416,196 |
Tri Pointe Homes, Inc.(a) | 162,131 | 3,014,016 |
Universal Electronics, Inc.(a) | 56,625 | 1,178,366 |
Total | 10,556,397 | |
Internet & Direct Marketing Retail 0.2% | ||
Quotient Technology, Inc.(a) | 298,461 | 1,023,721 |
Multiline Retail 0.5% | ||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 68,906 | 3,227,557 |
Specialty Retail 1.2% | ||
American Eagle Outfitters, Inc. | 95,520 | 1,333,459 |
Designer Brands, Inc. | 204,556 | 2,000,558 |
Urban Outfitters, Inc.(a) | 162,520 | 3,876,102 |
Total | 7,210,119 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 2.9% | ||
Carter’s, Inc. | 74,821 | 5,582,395 |
Gildan Activewear, Inc. | 87,541 | 2,398,623 |
Oxford Industries, Inc. | 25,340 | 2,361,181 |
PVH Corp. | 24,770 | 1,748,514 |
Steven Madden Ltd. | 152,111 | 4,861,468 |
Total | 16,952,181 | |
Total Consumer Discretionary | 61,068,007 | |
Consumer Staples 4.1% | ||
Food & Staples Retailing 0.3% | ||
Sprouts Farmers Market, Inc.(a) | 54,065 | 1,750,084 |
Food Products 1.5% | ||
Hain Celestial Group, Inc. (The)(a) | 302,349 | 4,892,007 |
TreeHouse Foods, Inc.(a) | 86,507 | 4,271,716 |
Total | 9,163,723 | |
Household Products 0.8% | ||
Central Garden & Pet Co., Class A(a) | 82,848 | 2,965,958 |
Spectrum Brands Holdings, Inc. | 28,879 | 1,759,309 |
Total | 4,725,267 | |
Personal Products 1.5% | ||
Coty, Inc., Class A(a) | 763,936 | 6,539,292 |
Edgewell Personal Care Co. | 64,813 | 2,497,893 |
Total | 9,037,185 | |
Total Consumer Staples | 24,676,259 | |
Energy 4.0% | ||
Energy Equipment & Services 2.2% | ||
Dril-Quip, Inc.(a) | 227,425 | 6,179,137 |
Expro Group Holdings NV(a) | 198,595 | 3,600,527 |
Helmerich & Payne, Inc. | 66,941 | 3,318,266 |
Total | 13,097,930 |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Oil, Gas & Consumable Fuels 1.8% | ||
Earthstone Energy, Inc., Class A(a) | 173,089 | 2,463,056 |
PDC Energy, Inc. | 35,876 | 2,277,409 |
Range Resources Corp. | 92,130 | 2,305,093 |
SM Energy Co. | 100,276 | 3,492,613 |
Total | 10,538,171 | |
Total Energy | 23,636,101 | |
Financials 18.8% | ||
Banks 16.0% | ||
Ameris Bancorp | 84,125 | 3,965,652 |
Atlantic Union Bankshares Corp. | 98,734 | 3,469,513 |
Banc of California, Inc. | 192,920 | 3,073,216 |
Berkshire Hills Bancorp, Inc. | 108,047 | 3,230,605 |
Community Bank System, Inc. | 37,485 | 2,359,681 |
ConnectOne Bancorp, Inc. | 111,079 | 2,689,223 |
Dime Community Bancshares, Inc. | 111,489 | 3,548,695 |
Eastern Bankshares, Inc. | 198,565 | 3,425,246 |
Enterprise Financial Services Corp. | 133,565 | 6,539,342 |
First BanCorp | 78,033 | 3,342,934 |
First Merchants Corp. | 87,958 | 3,615,953 |
Glacier Bancorp, Inc. | 73,116 | 3,613,393 |
Hancock Whitney Corp. | 79,688 | 3,856,102 |
Lakeland Financial Corp. | 18,594 | 1,356,804 |
National Bank Holdings Corp., Class A | 98,199 | 4,131,232 |
Old National Bancorp | 221,735 | 3,986,795 |
Pacific Premier Bancorp, Inc. | 178,564 | 5,635,480 |
Seacoast Banking Corp. of Florida | 238,959 | 7,453,131 |
Simmons First National Corp., Class A | 138,284 | 2,984,169 |
South State Corp. | 40,412 | 3,085,860 |
Texas Capital Bancshares, Inc.(a) | 67,305 | 4,059,165 |
Umpqua Holdings Corp. | 143,050 | 2,553,443 |
United Community Banks, Inc. | 114,908 | 3,883,890 |
Veritex Holdings, Inc. | 99,407 | 2,791,349 |
Washington Federal, Inc. | 99,642 | 3,342,989 |
WesBanco, Inc. | 85,032 | 3,144,483 |
Total | 95,138,345 | |
Capital Markets 0.4% | ||
BrightSphere Investment Group, Inc. | 127,883 | 2,631,832 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Finance 0.9% | ||
Green Dot Corp., Class A(a) | 76,867 | 1,216,036 |
PRA Group, Inc.(a) | 112,937 | 3,815,012 |
Total | 5,031,048 | |
Diversified Financial Services 0.5% | ||
Compass Diversified Holdings | 158,485 | 2,889,181 |
Insurance 0.4% | ||
Argo Group International Holdings Ltd. | 85,335 | 2,205,910 |
eHealth, Inc.(a) | 47,994 | 232,291 |
Total | 2,438,201 | |
Thrifts & Mortgage Finance 0.6% | ||
MGIC Investment Corp. | 250,003 | 3,250,039 |
Total Financials | 111,378,646 | |
Health Care 7.4% | ||
Biotechnology 1.1% | ||
Alkermes PLC(a) | 64,977 | 1,697,849 |
BioCryst Pharmaceuticals, Inc.(a) | 216,006 | 2,479,749 |
Blueprint Medicines Corp.(a) | 16,699 | 731,583 |
Immunogen, Inc.(a) | 284,237 | 1,409,816 |
Total | 6,318,997 | |
Health Care Equipment & Supplies 4.3% | ||
Angiodynamics, Inc.(a) | 66,893 | 921,117 |
ICU Medical, Inc.(a) | 45,032 | 7,091,639 |
Integer Holdings Corp.(a) | 58,806 | 4,025,859 |
Lantheus Holdings, Inc.(a) | 57,497 | 2,930,047 |
NuVasive, Inc.(a) | 46,809 | 1,930,403 |
Orthofix Medical, Inc.(a) | 349,234 | 7,169,774 |
SurModics, Inc.(a) | 41,362 | 1,411,271 |
Total | 25,480,110 | |
Health Care Providers & Services 1.0% | ||
ModivCare, Inc.(a) | 27,432 | 2,461,473 |
Owens & Minor, Inc.(a) | 94,175 | 1,839,238 |
Pediatrix Medical Group, Inc.(a) | 109,715 | 1,630,365 |
Total | 5,931,076 | |
Health Care Technology 0.5% | ||
NextGen Healthcare, Inc.(a) | 152,235 | 2,858,973 |
10 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Life Sciences Tools & Services 0.2% | ||
NeoGenomics, Inc.(a) | 134,019 | 1,238,336 |
Pharmaceuticals 0.3% | ||
ANI Pharmaceuticals, Inc.(a) | 52,162 | 2,098,477 |
Total Health Care | 43,925,969 | |
Industrials 21.7% | ||
Aerospace & Defense 1.3% | ||
AAR Corp.(a) | 73,385 | 3,294,986 |
Aerojet Rocketdyne Holdings, Inc.(a) | 9,672 | 540,955 |
Mercury Systems, Inc.(a) | 88,076 | 3,940,520 |
Total | 7,776,461 | |
Air Freight & Logistics 0.6% | ||
HUB Group, Inc., Class A(a) | 44,495 | 3,536,907 |
Building Products 2.3% | ||
Apogee Enterprises, Inc. | 102,597 | 4,561,463 |
Armstrong World Industries, Inc. | 41,297 | 2,832,561 |
PGT, Inc.(a) | 151,634 | 2,723,347 |
Quanex Building Products Corp. | 147,336 | 3,488,916 |
Total | 13,606,287 | |
Commercial Services & Supplies 3.7% | ||
ABM Industries, Inc. | 87,257 | 3,875,956 |
Brady Corp., Class A | 72,750 | 3,426,525 |
Deluxe Corp. | 137,532 | 2,335,293 |
KAR Auction Services, Inc.(a) | 165,638 | 2,161,576 |
MillerKnoll, Inc. | 119,343 | 2,507,397 |
SP Plus Corp.(a) | 229,196 | 7,957,685 |
Total | 22,264,432 | |
Construction & Engineering 1.6% | ||
Granite Construction, Inc. | 110,691 | 3,881,934 |
Great Lakes Dredge & Dock Corp.(a) | 259,973 | 1,546,839 |
Sterling Infrastructure, Inc.(a) | 133,290 | 4,371,912 |
Total | 9,800,685 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electrical Equipment 2.9% | ||
AZZ, Inc. | 103,212 | 4,149,122 |
EnerSys | 56,975 | 4,207,034 |
GrafTech International Ltd. | 326,023 | 1,551,870 |
Regal Rexnord Corp. | 62,502 | 7,498,990 |
Total | 17,407,016 | |
Machinery 6.5% | ||
Albany International Corp., Class A | 45,813 | 4,516,704 |
Astec Industries, Inc. | 103,556 | 4,210,587 |
CIRCOR International, Inc.(a) | 155,851 | 3,734,190 |
Columbus McKinnon Corp. | 54,848 | 1,780,914 |
Desktop Metal, Inc., Class A(a) | 177,679 | 241,643 |
Federal Signal Corp. | 71,172 | 3,307,363 |
Hillenbrand, Inc. | 79,974 | 3,412,491 |
Mueller Water Products, Inc., Class A | 155,710 | 1,675,440 |
REV Group, Inc. | 309,389 | 3,904,489 |
SPX Technologies, Inc.(a) | 96,595 | 6,341,462 |
Tennant Co. | 15,878 | 977,608 |
Terex Corp. | 101,239 | 4,324,930 |
Total | 38,427,821 | |
Professional Services 1.7% | ||
CBIZ, Inc.(a) | 87,110 | 4,081,103 |
Huron Consulting Group, Inc.(a) | 14,993 | 1,088,492 |
KBR, Inc. | 87,982 | 4,645,450 |
Total | 9,815,045 | |
Road & Rail 1.1% | ||
Marten Transport Ltd. | 160,432 | 3,173,345 |
Werner Enterprises, Inc. | 79,080 | 3,183,761 |
Total | 6,357,106 | |
Total Industrials | 128,991,760 | |
Information Technology 11.7% | ||
Communications Equipment 1.1% | ||
AudioCodes Ltd. | 148,829 | 2,662,551 |
Netscout Systems, Inc.(a) | 119,510 | 3,885,270 |
Total | 6,547,821 |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 11 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electronic Equipment, Instruments & Components 4.6% | ||
Advanced Energy Industries, Inc. | 30,496 | 2,615,947 |
Belden, Inc. | 153,616 | 11,044,990 |
FARO Technologies, Inc.(a) | 93,347 | 2,745,335 |
Knowles Corp.(a) | 238,563 | 3,917,205 |
Methode Electronics, Inc. | 100,486 | 4,458,564 |
Plexus Corp.(a) | 23,689 | 2,438,309 |
Total | 27,220,350 | |
IT Services 2.1% | ||
Conduent, Inc.(a) | 1,185,286 | 4,800,408 |
CSG Systems International, Inc. | 71,299 | 4,078,303 |
MAXIMUS, Inc. | 46,602 | 3,417,325 |
Total | 12,296,036 | |
Semiconductors & Semiconductor Equipment 0.6% | ||
Kulicke & Soffa Industries, Inc. | 75,692 | 3,350,128 |
Software 3.3% | ||
Cognyte Software Ltd.(a) | 293,771 | 913,628 |
NCR Corp.(a) | 76,167 | 1,783,069 |
OneSpan, Inc.(a) | 34,048 | 380,997 |
Progress Software Corp. | 281,380 | 14,195,621 |
Verint Systems, Inc.(a) | 72,050 | 2,613,974 |
Total | 19,887,289 | |
Total Information Technology | 69,301,624 | |
Materials 7.1% | ||
Chemicals 1.8% | ||
Element Solutions, Inc. | 151,710 | 2,759,605 |
Minerals Technologies, Inc. | 52,032 | 3,159,383 |
Orion Engineered Carbons SA | 206,407 | 3,676,109 |
Sensient Technologies Corp. | 20,732 | 1,511,777 |
Total | 11,106,874 | |
Construction Materials 0.5% | ||
Summit Materials, Inc., Class A(a) | 104,531 | 2,967,644 |
Containers & Packaging 1.7% | ||
Greif, Inc., Class A | 48,538 | 3,254,958 |
Myers Industries, Inc. | 139,614 | 3,103,619 |
Silgan Holdings, Inc. | 70,987 | 3,679,966 |
Total | 10,038,543 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 3.0% | ||
Alamos Gold, Inc., Class A | 389,171 | 3,934,519 |
Compass Minerals International, Inc. | 154,751 | 6,344,791 |
Kaiser Aluminum Corp. | 45,198 | 3,433,240 |
Materion Corp. | 38,557 | 3,374,123 |
Schnitzer Steel Industries, Inc., Class A | 22,369 | 685,610 |
Total | 17,772,283 | |
Paper & Forest Products 0.1% | ||
Glatfelter Corp. | 212,411 | 590,503 |
Total Materials | 42,475,847 | |
Real Estate 8.2% | ||
Equity Real Estate Investment Trusts (REITS) 8.0% | ||
Brandywine Realty Trust | 170,715 | 1,049,897 |
CareTrust REIT, Inc. | 136,156 | 2,529,779 |
Cousins Properties, Inc. | 77,079 | 1,949,328 |
Elme Communities | 176,640 | 3,144,192 |
Empire State Realty Trust, Inc., Class A | 577,189 | 3,890,254 |
Equity Commonwealth | 524,016 | 13,084,680 |
Four Corners Property Trust, Inc. | 117,542 | 3,047,864 |
Kite Realty Group Trust | 207,721 | 4,372,527 |
Pebblebrook Hotel Trust | 154,101 | 2,063,412 |
Physicians Realty Trust | 143,321 | 2,073,855 |
STAG Industrial, Inc. | 83,232 | 2,689,226 |
Sunstone Hotel Investors, Inc. | 255,764 | 2,470,680 |
Terreno Realty Corp. | 42,789 | 2,433,410 |
UMH Properties, Inc. | 186,011 | 2,994,777 |
Total | 47,793,881 | |
Real Estate Management & Development 0.2% | ||
DigitalBridge Group, Inc. | 86,528 | 946,616 |
Total Real Estate | 48,740,497 | |
Utilities 4.1% | ||
Electric Utilities 2.0% | ||
Allete, Inc. | 58,252 | 3,757,837 |
OGE Energy Corp. | 88,608 | 3,504,446 |
PNM Resources, Inc. | 90,552 | 4,418,032 |
Total | 11,680,315 |
12 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Gas Utilities 1.2% | ||
New Jersey Resources Corp. | 75,051 | 3,724,031 |
Spire, Inc. | 48,848 | 3,363,673 |
Total | 7,087,704 | |
Multi-Utilities 0.9% | ||
Avista Corp. | 45,899 | 2,035,162 |
NorthWestern Corp. | 58,736 | 3,485,394 |
Total | 5,520,556 | |
Total Utilities | 24,288,575 | |
Total Common Stocks (Cost $633,966,023) | 581,560,414 | |
Rights 0.0% | ||
Health Care 0.0% | ||
Biotechnology 0.0% | ||
Aduro Biotech CVR(a),(b),(c),(d) | 4,550 | 4,869 |
Total Health Care | 4,869 |
Rights (continued) | ||
Issuer | Shares | Value ($) |
Industrials —% | ||
Airlines —% | ||
American Airlines Escrow(a),(b),(d) | 185,100 | 0 |
Total Industrials | 0 | |
Total Rights (Cost $—) | 4,869 | |
Money Market Funds 2.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(e),(f) | 12,307,405 | 12,303,713 |
Total Money Market Funds (Cost $12,302,456) | 12,303,713 | |
Total Investments in Securities (Cost: $646,268,479) | 593,868,996 | |
Other Assets & Liabilities, Net | (131,817) | |
Net Assets | 593,737,179 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2022, the total value of these securities amounted to $4,869, which represents less than 0.01% of total net assets. |
(c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures established by the Fund’s Board of Trustees. At December 31, 2022, the total market value of these securities amounted to $4,869, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Aduro Biotech CVR | 10/21/2021 | 4,550 | — | 4,869 |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
17,679,884 | 113,733,840 | (119,111,905) | 1,894 | 12,303,713 | (2,061) | 203,997 | 12,307,405 |
CVR | Contingent Value Rights |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 13 |
December 31, 2022
■ | 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 | 3,077,129 | — | — | 3,077,129 |
Consumer Discretionary | 61,068,007 | — | — | 61,068,007 |
Consumer Staples | 24,676,259 | — | — | 24,676,259 |
Energy | 23,636,101 | — | — | 23,636,101 |
Financials | 111,378,646 | — | — | 111,378,646 |
Health Care | 43,925,969 | — | — | 43,925,969 |
Industrials | 128,991,760 | — | — | 128,991,760 |
Information Technology | 69,301,624 | — | — | 69,301,624 |
Materials | 42,475,847 | — | — | 42,475,847 |
Real Estate | 48,740,497 | — | — | 48,740,497 |
Utilities | 24,288,575 | — | — | 24,288,575 |
Total Common Stocks | 581,560,414 | — | — | 581,560,414 |
Rights | ||||
Health Care | — | — | 4,869 | 4,869 |
Industrials | — | — | 0* | 0* |
Total Rights | — | — | 4,869 | 4,869 |
Money Market Funds | 12,303,713 | — | — | 12,303,713 |
Total Investments in Securities | 593,864,127 | — | 4,869 | 593,868,996 |
* | Rounds to zero. |
14 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 15 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $633,966,023) | $581,565,283 |
Affiliated issuers (cost $12,302,456) | 12,303,713 |
Receivable for: | |
Investments sold | 67,918 |
Capital shares sold | 90 |
Dividends | 612,909 |
Foreign tax reclaims | 8,174 |
Expense reimbursement due from Investment Manager | 584 |
Prepaid expenses | 10,195 |
Total assets | 594,568,866 |
Liabilities | |
Payable for: | |
Investments purchased | 203,652 |
Capital shares purchased | 448,483 |
Management services fees | 14,102 |
Distribution and/or service fees | 334 |
Service fees | 4,183 |
Compensation of board members | 136,959 |
Compensation of chief compliance officer | 116 |
Other expenses | 23,858 |
Total liabilities | 831,687 |
Net assets applicable to outstanding capital stock | $593,737,179 |
Represented by | |
Trust capital | $593,737,179 |
Total - representing net assets applicable to outstanding capital stock | $593,737,179 |
Class 1 | |
Net assets | $509,055,383 |
Shares outstanding | 15,571,360 |
Net asset value per share | $32.69 |
Class 2 | |
Net assets | $12,362,820 |
Shares outstanding | 390,379 |
Net asset value per share | $31.67 |
Class 3 | |
Net assets | $72,318,976 |
Shares outstanding | 2,249,168 |
Net asset value per share | $32.15 |
16 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $9,145,894 |
Dividends — affiliated issuers | 203,997 |
Foreign taxes withheld | (27,513) |
Total income | 9,322,378 |
Expenses: | |
Management services fees | 5,568,670 |
Distribution and/or service fees | |
Class 2 | 31,023 |
Class 3 | 98,773 |
Service fees | 54,908 |
Compensation of board members | 13,703 |
Custodian fees | 19,198 |
Printing and postage fees | 23,582 |
Audit fees | 29,500 |
Legal fees | 20,342 |
Compensation of chief compliance officer | 92 |
Other | 15,086 |
Total expenses | 5,874,877 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (119,334) |
Total net expenses | 5,755,543 |
Net investment income | 3,566,835 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 15,753,894 |
Investments — affiliated issuers | (2,061) |
Net realized gain | 15,751,833 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (114,534,417) |
Investments — affiliated issuers | 1,894 |
Net change in unrealized appreciation (depreciation) | (114,532,523) |
Net realized and unrealized loss | (98,780,690) |
Net decrease in net assets resulting from operations | $(95,213,855) |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 17 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $3,566,835 | $2,368,525 |
Net realized gain | 15,751,833 | 231,910,793 |
Net change in unrealized appreciation (depreciation) | (114,532,523) | (47,794,056) |
Net increase (decrease) in net assets resulting from operations | (95,213,855) | 186,485,262 |
Decrease in net assets from capital stock activity | (68,297,056) | (187,908,126) |
Total decrease in net assets | (163,510,911) | (1,422,864) |
Net assets at beginning of year | 757,248,090 | 758,670,954 |
Net assets at end of year | $593,737,179 | $757,248,090 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 179,875 | 5,947,452 | 2,975,268 | 102,803,357 |
Redemptions | (1,947,589) | (66,363,768) | (7,484,942) | (277,462,924) |
Net decrease | (1,767,714) | (60,416,316) | (4,509,674) | (174,659,567) |
Class 2 | ||||
Subscriptions | 80,815 | 2,661,690 | 176,557 | 6,277,270 |
Redemptions | (51,278) | (1,688,812) | (91,680) | (3,249,897) |
Net increase | 29,537 | 972,878 | 84,877 | 3,027,373 |
Class 3 | ||||
Subscriptions | 12,670 | 413,447 | 63,120 | 2,226,610 |
Redemptions | (277,160) | (9,267,065) | (532,846) | (18,502,542) |
Net decrease | (264,490) | (8,853,618) | (469,726) | (16,275,932) |
Total net decrease | (2,002,667) | (68,297,056) | (4,894,523) | (187,908,126) |
18 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 19 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $37.55 | 0.19 | (5.05) | (4.86) |
Year Ended 12/31/2021 | $30.28 | 0.12 | 7.15 | 7.27 |
Year Ended 12/31/2020 | $29.04 | 0.16 | 1.08 | 1.24 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $36.47 | 0.11 | (4.91) | (4.80) |
Year Ended 12/31/2021 | $29.47 | 0.03 | 6.97 | 7.00 |
Year Ended 12/31/2020 | $28.34 | 0.10 | 1.03 | 1.13 |
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) |
Class 3 | ||||
Year Ended 12/31/2022 | $36.98 | 0.15 | (4.98) | (4.83) |
Year Ended 12/31/2021 | $29.85 | 0.07 | 7.06 | 7.13 |
Year Ended 12/31/2020 | $28.67 | 0.13 | 1.05 | 1.18 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
20 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $32.69 | (12.94%) | 0.89% | 0.87% | 0.57% | 23% | $509,055 |
Year Ended 12/31/2021 | $37.55 | 24.01% | 0.88%(c) | 0.88%(c) | 0.33% | 104% | $651,132 |
Year Ended 12/31/2020 | $30.28 | 4.27% | 0.90% | 0.88% | 0.68% | 91% | $661,480 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $31.67 | (13.16%) | 1.14% | 1.12% | 0.34% | 23% | $12,363 |
Year Ended 12/31/2021 | $36.47 | 23.75% | 1.14%(c) | 1.13%(c) | 0.10% | 104% | $13,159 |
Year Ended 12/31/2020 | $29.47 | 3.99% | 1.15% | 1.13% | 0.41% | 91% | $8,133 |
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 |
Class 3 | |||||||
Year Ended 12/31/2022 | $32.15 | (13.06%) | 1.01% | 0.99% | 0.44% | 23% | $72,319 |
Year Ended 12/31/2021 | $36.98 | 23.89% | 1.01%(c) | 1.01%(c) | 0.20% | 104% | $92,957 |
Year Ended 12/31/2020 | $29.85 | 4.12% | 1.02% | 1.01% | 0.54% | 91% | $89,057 |
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 |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.86% | 0.88% |
Class 2 | 1.11 | 1.13 |
Class 3 | 0.985 | 1.005 |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 29 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
30 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 31 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
32 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 33 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
34 | Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Variable Portfolio – Partners Small Cap Value Fund | Annual Report 2022 | 35 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
11 | |
12 | |
13 | |
14 | |
16 | |
24 | |
25 | |
31 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -41.07 | 5.40 | 10.36 | |
Class 2 | 05/07/10 | -41.21 | 5.14 | 10.07 | |
Russell 1000 Growth Index | -29.14 | 10.96 | 14.10 |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 97.7 |
Money Market Funds | 2.3 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 9.5 |
Consumer Discretionary | 20.2 |
Consumer Staples | 3.8 |
Financials | 7.2 |
Health Care | 15.1 |
Industrials | 9.5 |
Information Technology | 31.2 |
Materials | 3.5 |
Total | 100.0 |
4 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
(Unaudited)
• | During the period, the Fund’s underperformance compared to the benchmark was attributable primarily to stock selection. |
○ | The Fund usually underperforms when the equity market favors lower quality, more speculative securities or when the market is highly rotational or thematic. The Fund typically outperforms when high quality stocks are in favor and when stock selection, rather than themes or sectors, matters. Due to our investment philosophy and process, stock selection typically drives the majority of the Fund’s relative performance over most time periods. |
○ | Our stock selection focuses on finding high quality companies, developing the insights around competitive advantage and niche characteristics that can make them successful over time, and having the perspective to hold them when there are short-term disruptions, as long as those disruptions do not affect the investment thesis. |
• | Stock selection in the information technology, communication services and industrials sectors detracted most during the period. |
• | Having an overweighted allocation to communication services, which was the weakest sector in the benchmark during the period, also hurt. |
• | Among individual holdings, detracting most from the Fund’s results relative to the benchmark was an overweight position in Shopify, Inc. Shopify operates a cloud-based software and services platform that enables merchants to build an e-commerce presence. We attribute its stock’s weakness during the period both to the broader sell-off in high-growth equities and to investor concerns around the company’s ongoing reinvestment plans geared towards building out greater fulfillment and warehousing capabilities. Slower growth across e-commerce following a period of heightened demand earlier in the COVID-19 pandemic and emergence of new competition to its Shop Pay payment services business also pressured its stock. |
• | Snowflake, Inc. is a cloud data platform provider. Its platform enables customers to consolidate data into a single source and therefore derive important business insights, build data-driven applications, and share data more effectively. During the period, Snowflake experienced healthy fundamentals despite macroeconomic headwinds, including strong |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 5 |
(Unaudited)
demand for its Data Cloud, as enterprises increasingly move their data to the public cloud to store, process and better analyze more data in their daily business operations. However, Snowflake’s stock declined on weak market conditions for high-growth equities broadly. | |
• | Roblox Corp. is a video game platform provider primarily focused on children under the age of 13. Its platform serves three primary functions — acting as a browser or interface for playing games; serving as a game engine for the creation of new games; and providing the infrastructure for hosting games. Though the company posted year-over-year revenue growth, its shares were weak during the period, as investors were disappointed by its management’s lower-than-expected near-term profit guidance. The company has been accelerating infrastructure investments to accommodate a larger user base, which may impede near-term profitability, but we believed at the end of the period that such investments will strengthen the company’s positioning over the longer term. |
• | Favorable stock selection in the consumer discretionary sector contributed positively to the Fund’s results during the period. |
• | Having a position in cash, albeit modest, during a period when the benchmark declined significantly, further boosted the Fund’s relative results. |
• | From an individual security perspective, the Fund benefited most relative to the benchmark from having an underweight position in software and cloud computing services provider Microsoft Corp. Shares in Microsoft weakened during the period on mixed earnings results, characterized by solid deal activity and ongoing enterprise migration to cloud computing but slower demand across its personal computer and advertising businesses and lower consumption among its cloud computing customers. |
• | Similarly, an underweight position in NVIDIA Corp., a leading maker of graphics processing units, proved beneficial. Its shares performed poorly during the period due to weaker demand in its datacenter and gaming-oriented businesses, resulting, in turn, from broader macroeconomic headwinds. The Fund’s position in NVIDIA was sold during the period. |
• | An underweight Fund position in social networking platform and Facebook parent company Meta Platforms Inc. contributed positively to relative results as well. Shares of Meta Platforms declined during the period due to weaker demand across the advertising market, challenges in efficiently tracking and targeting users following new privacy measures instated on the Apple ecosystem, and greater competitive pressures from other large social networks. |
6 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 975.20 | 1,021.51 | 3.52 | 3.60 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 973.80 | 1,020.26 | 4.75 | 4.86 | 0.96 |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 97.7% | ||
Issuer | Shares | Value ($) |
Communication Services 9.3% | ||
Entertainment 1.1% | ||
Roblox Corp., Class A(a) | 449,321 | 12,787,676 |
Interactive Media & Services 6.7% | ||
Alphabet, Inc., Class C(a) | 576,521 | 51,154,709 |
Meta Platforms, Inc., Class A(a) | 107,386 | 12,922,831 |
ZoomInfo Technologies, Inc.(a) | 549,056 | 16,532,076 |
Total | 80,609,616 | |
Media 1.5% | ||
Trade Desk, Inc. (The), Class A(a) | 414,067 | 18,562,623 |
Total Communication Services | 111,959,915 | |
Consumer Discretionary 19.8% | ||
Hotels, Restaurants & Leisure 3.2% | ||
Airbnb, Inc., Class A(a) | 130,094 | 11,123,037 |
Domino’s Pizza, Inc. | 78,462 | 27,179,237 |
Total | 38,302,274 | |
Internet & Direct Marketing Retail 9.1% | ||
Amazon.com, Inc.(a) | 868,788 | 72,978,192 |
Chewy, Inc., Class A(a) | 641,096 | 23,771,839 |
DoorDash, Inc., Class A(a) | 276,640 | 13,505,565 |
Total | 110,255,596 | |
Specialty Retail 7.5% | ||
AutoZone, Inc.(a) | 19,107 | 47,121,301 |
Floor & Decor Holdings, Inc., Class A(a) | 51,619 | 3,594,231 |
Home Depot, Inc. (The) | 124,615 | 39,360,894 |
Total | 90,076,426 | |
Total Consumer Discretionary | 238,634,296 | |
Consumer Staples 3.7% | ||
Food & Staples Retailing 2.6% | ||
Costco Wholesale Corp. | 69,668 | 31,803,442 |
Food Products 1.1% | ||
McCormick & Co., Inc. | 158,151 | 13,109,136 |
Total Consumer Staples | 44,912,578 | |
Financials 7.0% | ||
Capital Markets 1.6% | ||
Intercontinental Exchange, Inc. | 189,972 | 19,489,227 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 5.4% | ||
Brown & Brown, Inc. | 330,101 | 18,805,854 |
Progressive Corp. (The) | 355,604 | 46,125,395 |
Total | 64,931,249 | |
Total Financials | 84,420,476 | |
Health Care 14.7% | ||
Health Care Equipment & Supplies 1.7% | ||
Intuitive Surgical, Inc.(a) | 76,086 | 20,189,420 |
Health Care Technology 1.5% | ||
Veeva Systems Inc., Class A(a) | 115,660 | 18,665,211 |
Life Sciences Tools & Services 4.7% | ||
Danaher Corp. | 76,148 | 20,211,202 |
Illumina, Inc.(a) | 81,297 | 16,438,253 |
Thermo Fisher Scientific, Inc. | 35,453 | 19,523,613 |
Total | 56,173,068 | |
Pharmaceuticals 6.8% | ||
Eli Lilly & Co. | 80,372 | 29,403,293 |
Royalty Pharma PLC, Class A | 1,346,133 | 53,199,176 |
Total | 82,602,469 | |
Total Health Care | 177,630,168 | |
Industrials 9.3% | ||
Aerospace & Defense 4.3% | ||
Axon Enterprise, Inc.(a) | 57,355 | 9,516,915 |
HEICO Corp., Class A | 97,998 | 11,745,060 |
Lockheed Martin Corp. | 63,152 | 30,722,817 |
Total | 51,984,792 | |
Road & Rail 5.0% | ||
Uber Technologies, Inc.(a) | 795,676 | 19,677,067 |
Union Pacific Corp. | 198,264 | 41,054,527 |
Total | 60,731,594 | |
Total Industrials | 112,716,386 | |
Information Technology 30.5% | ||
Electronic Equipment, Instruments & Components 2.6% | ||
Adyen NV(a) | 22,199 | 30,817,759 |
8 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 8.1% | ||
Block, Inc., Class A(a) | 90,092 | 5,661,381 |
Cloudflare, Inc.(a) | 407,158 | 18,407,613 |
Okta, Inc.(a) | 126,189 | 8,622,495 |
Shopify, Inc., Class A(a) | 578,100 | 20,065,851 |
Snowflake, Inc., Class A(a) | 142,261 | 20,420,144 |
Visa, Inc., Class A | 121,129 | 25,165,761 |
Total | 98,343,245 | |
Semiconductors & Semiconductor Equipment 5.1% | ||
ASML Holding NV | 111,808 | 61,091,891 |
Software 7.6% | ||
Datadog, Inc., Class A(a) | 249,036 | 18,304,146 |
Microsoft Corp. | 306,047 | 73,396,192 |
Total | 91,700,338 | |
Technology Hardware, Storage & Peripherals 7.1% | ||
Apple, Inc. | 664,754 | 86,371,487 |
Total Information Technology | 368,324,720 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 3.4% | ||
Chemicals 3.4% | ||
Sherwin-Williams Co. (The) | 173,748 | 41,235,613 |
Total Materials | 41,235,613 | |
Total Common Stocks (Cost $1,415,568,152) | 1,179,834,152 | |
Money Market Funds 2.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 28,019,178 | 28,010,773 |
Total Money Market Funds (Cost $28,008,018) | 28,010,773 | |
Total Investments in Securities (Cost: $1,443,576,170) | 1,207,844,925 | |
Other Assets & Liabilities, Net | (2,737) | |
Net Assets | 1,207,842,188 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
149,748,884 | 373,021,221 | (494,772,387) | 13,055 | 28,010,773 | (46,264) | 993,026 | 28,019,178 |
■ | 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® – Morgan Stanley Advantage Fund | Annual Report 2022 | 9 |
December 31, 2022
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 | 111,959,915 | — | — | 111,959,915 |
Consumer Discretionary | 238,634,296 | — | — | 238,634,296 |
Consumer Staples | 44,912,578 | — | — | 44,912,578 |
Financials | 84,420,476 | — | — | 84,420,476 |
Health Care | 177,630,168 | — | — | 177,630,168 |
Industrials | 112,716,386 | — | — | 112,716,386 |
Information Technology | 337,506,961 | 30,817,759 | — | 368,324,720 |
Materials | 41,235,613 | — | — | 41,235,613 |
Total Common Stocks | 1,149,016,393 | 30,817,759 | — | 1,179,834,152 |
Money Market Funds | 28,010,773 | — | — | 28,010,773 |
Total Investments in Securities | 1,177,027,166 | 30,817,759 | — | 1,207,844,925 |
10 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,415,568,152) | $1,179,834,152 |
Affiliated issuers (cost $28,008,018) | 28,010,773 |
Foreign currency (cost $1,355) | 1,363 |
Receivable for: | |
Capital shares sold | 3,304 |
Dividends | 187,816 |
Prepaid expenses | 15,600 |
Total assets | 1,208,053,008 |
Liabilities | |
Payable for: | |
Capital shares purchased | 20,159 |
Management services fees | 23,188 |
Distribution and/or service fees | 166 |
Service fees | 1,374 |
Compensation of board members | 136,941 |
Compensation of chief compliance officer | 246 |
Audit fees | 14,750 |
Other expenses | 13,996 |
Total liabilities | 210,820 |
Net assets applicable to outstanding capital stock | $1,207,842,188 |
Represented by | |
Trust capital | $1,207,842,188 |
Total - representing net assets applicable to outstanding capital stock | $1,207,842,188 |
Class 1 | |
Net assets | $1,183,777,247 |
Shares outstanding | 33,474,681 |
Net asset value per share | $35.36 |
Class 2 | |
Net assets | $24,064,941 |
Shares outstanding | 702,355 |
Net asset value per share | $34.26 |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 11 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $6,570,867 |
Dividends — affiliated issuers | 993,026 |
Interfund lending | 3,600 |
Foreign taxes withheld | (111,259) |
Total income | 7,456,234 |
Expenses: | |
Management services fees | 9,556,377 |
Distribution and/or service fees | |
Class 2 | 72,816 |
Service fees | 19,383 |
Compensation of board members | 25,752 |
Custodian fees | 10,682 |
Printing and postage fees | 19,513 |
Audit fees | 29,610 |
Legal fees | 29,752 |
Compensation of chief compliance officer | 150 |
Other | 26,730 |
Total expenses | 9,790,765 |
Net investment loss | (2,334,531) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (396,230,907) |
Investments — affiliated issuers | (46,264) |
Foreign currency translations | (19,217) |
Net realized loss | (396,296,388) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (426,437,701) |
Investments — affiliated issuers | 13,055 |
Foreign currency translations | 16 |
Net change in unrealized appreciation (depreciation) | (426,424,630) |
Net realized and unrealized loss | (822,721,018) |
Net decrease in net assets resulting from operations | $(825,055,549) |
12 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment loss | $(2,334,531) | $(11,892,942) |
Net realized gain (loss) | (396,296,388) | 361,853,437 |
Net change in unrealized appreciation (depreciation) | (426,424,630) | (415,129,345) |
Net decrease in net assets resulting from operations | (825,055,549) | (65,168,850) |
Increase in net assets from capital stock activity | 46,513,043 | 217,285,953 |
Total increase (decrease) in net assets | (778,542,506) | 152,117,103 |
Net assets at beginning of year | 1,986,384,694 | 1,834,267,591 |
Net assets at end of year | $1,207,842,188 | $1,986,384,694 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,160,086 | 51,274,625 | 7,298,747 | 447,072,798 |
Redemptions | (36,204) | (1,603,224) | (3,593,672) | (235,388,856) |
Net increase | 1,123,882 | 49,671,401 | 3,705,075 | 211,683,942 |
Class 2 | ||||
Subscriptions | 58,154 | 2,446,134 | 227,756 | 14,336,865 |
Redemptions | (132,018) | (5,604,492) | (139,424) | (8,734,854) |
Net increase (decrease) | (73,864) | (3,158,358) | 88,332 | 5,602,011 |
Total net increase | 1,050,018 | 46,513,043 | 3,793,407 | 217,285,953 |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $60.00 | (0.07) | (24.57) | (24.64) |
Year Ended 12/31/2021 | $62.57 | (0.36) | (2.21) | (2.57) |
Year Ended 12/31/2020 | $35.57 | (0.19) | 27.19 | 27.00 |
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 |
Class 2 | ||||
Year Ended 12/31/2022 | $58.28 | (0.17) | (23.85) | (24.02) |
Year Ended 12/31/2021 | $60.93 | (0.51) | (2.14) | (2.65) |
Year Ended 12/31/2020 | $34.72 | (0.30) | 26.51 | 26.21 |
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 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
14 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $35.36 | (41.07%) | 0.70% | 0.70% | (0.16%) | 82% | $1,183,777 |
Year Ended 12/31/2021 | $60.00 | (4.11%) | 0.67% | 0.67% | (0.55%) | 73% | $1,941,145 |
Year Ended 12/31/2020 | $62.57 | 75.91% | 0.68%(c) | 0.68%(c) | (0.42%) | 70% | $1,792,357 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $34.26 | (41.21%) | 0.95% | 0.95% | (0.42%) | 82% | $24,065 |
Year Ended 12/31/2021 | $58.28 | (4.35%) | 0.92% | 0.92% | (0.80%) | 73% | $45,239 |
Year Ended 12/31/2020 | $60.93 | 75.49% | 0.93%(c) | 0.93%(c) | (0.66%) | 70% | $41,911 |
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% | $13,254 |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 15 |
December 31, 2022
16 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 19 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.73% | 0.74% |
Class 2 | 0.98 | 0.99 |
20 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 7,966,667 | 2.39 | 6 |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 23 |
24 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 25 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
26 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
28 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 29 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
30 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 31 |
(Unaudited)
The Board, at its June 23, 2022 Board 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Advisory Agreements; |
• | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
32 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
(Unaudited)
The Board also took into account the information it received concerning the Investment Manager’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 33 |
(Unaudited)
the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
34 | CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 |
(Unaudited)
allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
CTIVP® – Morgan Stanley Advantage Fund | Annual Report 2022 | 35 |
December 31, 2022
3 | |
6 | |
8 | |
9 | |
27 | |
28 | |
29 | |
30 | |
32 | |
46 | |
47 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -15.29 | 0.06 | 1.22 | |
Class 2 | 05/07/10 | -15.51 | -0.20 | 0.97 | |
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Asset-Backed Securities — Non-Agency | 10.5 |
Commercial Mortgage-Backed Securities - Non-Agency | 3.0 |
Corporate Bonds & Notes | 27.7 |
Foreign Government Obligations | 1.2 |
Inflation-Indexed Bonds | 1.4 |
Money Market Funds | 1.2 |
Municipal Bonds | 1.9 |
Residential Mortgage-Backed Securities - Agency | 24.1 |
Residential Mortgage-Backed Securities - Non-Agency | 6.5 |
U.S. Treasury Obligations | 22.5 |
Total | 100.0 |
Quality breakdown (%) (at December 31, 2022) | |
AAA rating | 49.2 |
AA rating | 5.1 |
A rating | 15.7 |
BBB rating | 22.2 |
BB rating | 4.5 |
B rating | 1.3 |
CCC rating | 0.1 |
Not rated | 1.9 |
Total | 100.0 |
4 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
(Unaudited)
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2022)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 126.5 | (24.4) | 102.1 |
Foreign Currency Derivative Contracts | 0.0 | (2.1) | (2.1) |
Total Notional Market Value of Derivative Contracts | 126.5 | (26.5) | 100.0 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Underperformance of riskier assets during 2022 largely accounted for the Fund’s lagging results relative to the benchmark during the period, as decades-high inflation, soaring interest rates and mounting economic uncertainty drove weak performance among credit-sensitive securities. |
• | Sector allocation decisions dampened results overall, attributable primarily to an out-of-benchmark exposure to high-yield corporate bonds. |
• | An overweight position versus the benchmark in emerging markets debt also hurt. |
• | Security selection as a whole detracted, especially within the securitized sector, including selection among non-agency collateralized mortgage obligations, asset-based securities and non-agency commercial mortgage-backed securities. |
6 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
(Unaudited)
• | Security selection in the investment-grade corporate bond and emerging markets debt sectors detracted from relative results as well. |
• | Duration positioning added value for the period overall. Given our expectations for U.S. Treasury yields to rise, the Fund maintained a slightly shorter duration relative to the benchmark during the first half of the period. As yields did rise during these months, this strategy proved beneficial. We began extending the Fund’s duration in the second half of the year, as U.S. Treasury yields climbed to multi-year highs and recession risk rose. A shorter duration means that a fund is less sensitive to changes in interest rates. |
• | Yield curve positioning also contributed positively to the Fund’s relative results. The Fund’s underweighting of the short-term end of the U.S. Treasury yield curve, established due to expectations for aggressive Fed tightening, especially helped. |
• | The Fund’s out-of-benchmark allocation to inflation-linked securities contributed positively, particularly in the first several months of the year when inflation expectations surged. Given the strong outperformance of inflation-linked securities, we shifted the Fund’s inflation exposure to a more defensive posture later in the period. |
• | Overweighted allocations relative to the benchmark in securitized bonds and investment-grade corporate bonds modestly contributed to the Fund’s results. |
• | Security selection among agency mortgage-backed securities also modestly boosted the Fund’s performance during the period. |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 960.60 | 1,022.56 | 2.46 | 2.54 | 0.50 |
Class 2 | 1,000.00 | 1,000.00 | 959.60 | 1,021.31 | 3.68 | 3.80 | 0.75 |
8 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Asset-Backed Securities — Non-Agency(a) 10.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aaset Trust(b) | ||||
Subordinated Series 2021-2A Class B | ||||
01/15/2047 | 3.538% | 6,905,406 | 5,030,339 | |
AIMCO CLO Ltd.(b),(c) | ||||
Series 2019-10A Class CR | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 07/22/2032 | 6.225% | 4,750,000 | 4,464,411 | |
Aligned Data Centers Issuer LLC(b) | ||||
Series 2022-1A Class A2 | ||||
10/15/2047 | 6.350% | 5,800,000 | 5,749,106 | |
Subordinated Series 2021-1A Class B | ||||
08/15/2046 | 2.482% | 6,300,000 | 5,188,036 | |
Applebee’s Funding LLC/IHOP Funding LLC(b) | ||||
Series 2019-1A Class AII | ||||
06/07/2049 | 4.723% | 4,950,000 | 4,480,299 | |
ARES L CLO Ltd.(b),(c) | ||||
Series 2018-50A Class CR | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 01/15/2032 | 5.979% | 4,150,000 | 3,917,197 | |
ARES LII CLO Ltd.(b),(c) | ||||
Series 2019-52A Class CR | ||||
3-month USD LIBOR + 2.100% Floor 2.100% 04/22/2031 | 6.425% | 3,550,000 | 3,336,262 | |
Ares XL CLO Ltd.(b),(c) | ||||
Series 2016-40A Class CRR | ||||
3-month USD LIBOR + 2.800% Floor 2.800% 01/15/2029 | 6.879% | 6,400,000 | 5,838,022 | |
Atrium IX(b),(c) | ||||
Series 209A Class BR2 | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 05/28/2030 | 6.236% | 3,050,000 | 2,959,464 | |
BDS Ltd.(b),(c) | ||||
Series 2021-FL7 Class C | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 06/16/2036 | 6.039% | 8,075,000 | 7,592,197 | |
Blackbird Capital Aircraft(b) | ||||
Series 2021-1A Class A | ||||
07/15/2046 | 2.443% | 5,280,899 | 4,332,187 | |
Subordinated Series 2021-1A Class B | ||||
07/15/2046 | 3.446% | 4,927,556 | 3,711,000 |
Asset-Backed Securities — Non-Agency(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carlyle US CLO Ltd.(b),(c) | ||||
Series 2019-2A Class 2AR | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 07/15/2032 | 5.729% | 2,575,000 | 2,472,296 | |
Castlelake Aircraft Securitization Trust(b) | ||||
Series 2018-1 Class A | ||||
06/15/2043 | 4.125% | 2,703,019 | 2,369,162 | |
Castlelake Aircraft Structured Trust(b) | ||||
Series 2017-1R Class A | ||||
08/15/2041 | 2.741% | 4,040,778 | 3,495,405 | |
Clsec Holdings LLC | ||||
Subordinated Series 2021-1 Class C | ||||
05/11/2037 | 6.171% | 12,551,882 | 10,120,550 | |
Cologix Canadian Issuer LP(b) | ||||
Series 2022-1CAN Class A2 | ||||
01/25/2052 | 4.940% | CAD | 10,300,000 | 6,939,705 |
Dewolf Park CLO Ltd.(b),(c) | ||||
Series 2017-1A Class CR | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 10/15/2030 | 4.362% | 5,000,000 | 4,716,335 | |
DI Issuer LLC(b) | ||||
Series 2021-1A Class A2 | ||||
09/15/2051 | 3.722% | 13,188,560 | 11,536,379 | |
Edgeconnex Data Centers Issuer LLC(b) | ||||
Series 2022-1 Class A2 | ||||
03/25/2052 | 4.250% | 5,821,927 | 5,647,519 | |
Flexential Issuer(b) | ||||
Series 2021-1A Class A2 | ||||
11/27/2051 | 3.250% | 7,994,000 | 6,975,756 | |
Goldentree Loan Management US CLO 4 Ltd.(b),(c) | ||||
Series 2019-4A Class CR | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 04/24/2031 | 6.325% | 7,785,000 | 7,354,599 | |
Goodgreen(b),(d) | ||||
Series 2018-1A Class A | ||||
10/15/2053 | 3.930% | 3,594,874 | 3,306,469 | |
Goodgreen Trust(b) | ||||
Series 2021-1A Class A | ||||
10/15/2056 | 2.660% | 2,931,921 | 2,376,607 | |
Greystone CRE Notes Ltd.(b),(c) | ||||
Series 2019-FL2 Class C | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 09/15/2037 | 6.318% | 4,579,500 | 4,376,965 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 9 |
December 31, 2022
Asset-Backed Securities — Non-Agency(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-FL2 Class D | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 09/15/2037 | 6.718% | 3,969,000 | 3,798,689 | |
KKR CLO Ltd.(b),(c) | ||||
Series 2018 Class CR | ||||
3-month USD LIBOR + 2.100% Floor 2.100% 07/18/2030 | 4.840% | 3,525,000 | 3,355,345 | |
KKR Static CLO I Ltd.(b),(c) | ||||
Series 2022-1A Class B | ||||
3-month Term SOFR + 2.600% Floor 2.600% 07/20/2031 | 5.077% | 3,625,000 | 3,510,606 | |
Lunar Aircraft Ltd.(b) | ||||
Series 2020-1A Class A | ||||
02/15/2045 | 3.376% | 5,889,686 | 4,830,797 | |
Lunar Structured Aircraft Portfolio Notes(b) | ||||
Series 2021-1 Class A | ||||
10/15/2046 | 2.636% | 7,736,911 | 6,201,600 | |
Subordinated Series 2021-1 Class B | ||||
10/15/2046 | 3.432% | 2,856,447 | 2,188,018 | |
MAPS Trust(b) | ||||
Series 2021-1A Class A | ||||
06/15/2046 | 2.521% | 5,945,493 | 4,933,171 | |
Nassau Ltd.(b),(c) | ||||
Series 2019-IA Class BR | ||||
3-month USD LIBOR + 2.600% Floor 2.600% 04/15/2031 | 6.679% | 7,000,000 | 6,464,969 | |
Navigator Aircraft ABS Ltd.(b),(d) | ||||
Series 2021-1 Class A | ||||
11/15/2046 | 2.771% | 7,821,279 | 6,569,497 | |
Octagon Investment Partners 31 LLC(b),(c) | ||||
Series 2017-1A Class CR | ||||
3-month USD LIBOR + 2.050% Floor 2.050% 07/20/2030 | 6.293% | 5,250,000 | 4,988,545 | |
Octagon Investment Partners XV Ltd.(b),(c) | ||||
Series 2013-1A Class CRR | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 07/19/2030 | 6.227% | 3,100,000 | 2,917,484 | |
Palmer Square Loan Funding Ltd.(b),(c) | ||||
Series 2022-1A Class D | ||||
3-month USD LIBOR + 5.000% Floor 5.000% 04/15/2030 | 8.864% | 4,700,000 | 4,158,137 |
Asset-Backed Securities — Non-Agency(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2022-2A Class A2 | ||||
3-month Term SOFR + 1.900% Floor 1.900% 10/15/2030 | 5.764% | 3,625,000 | 3,460,788 | |
Series 2022-5A Class A2 | ||||
3-month Term SOFR + 2.650% Floor 2.650% 01/15/2031 | 5.174% | 2,400,000 | 2,369,738 | |
PFP Ltd.(b),(c) | ||||
Subordinated Series 2021-8 Class D | ||||
1-month USD LIBOR + 2.150% Floor 2.150% 08/09/2037 | 6.468% | 5,700,000 | 5,307,427 | |
Pioneer Aircraft Finance Ltd.(b) | ||||
Series 2019-1 Class A | ||||
06/15/2044 | 3.967% | 6,474,642 | 5,145,021 | |
Ready Capital Mortgage Financing LLC(b),(c) | ||||
Subordinated Series 2021-FL5 Class C | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 04/25/2038 | 6.639% | 3,841,000 | 3,662,536 | |
Rockford Tower CLO Ltd.(b),(c) | ||||
Series 2020-1A Class C | ||||
3-month USD LIBOR + 2.350% 01/20/2032 | 6.593% | 5,125,000 | 4,836,411 | |
Sierra Timeshare Receivables Funding LLC(b) | ||||
Series 2019-2A Class C | ||||
05/20/2036 | 3.120% | 1,419,445 | 1,332,189 | |
Slam Ltd.(b) | ||||
Series 2021-1A Class A | ||||
06/15/2046 | 2.434% | 5,024,879 | 4,157,283 | |
Stack Infrastructure Issuer LLC(b) | ||||
Series 2021-1A Class A2 | ||||
03/26/2046 | 1.877% | 3,999,000 | 3,453,698 | |
START Ireland(b) | ||||
Series 2019-1 Class A | ||||
03/15/2044 | 4.089% | 5,409,829 | 4,612,901 | |
Stonepeak ABS(b) | ||||
Series 2021-1A Class AA | ||||
02/28/2033 | 2.301% | 4,784,041 | 4,255,863 | |
TCI-Symphony CLO Ltd.(b),(c) | ||||
Series 2017-1A Class CR | ||||
3-month USD LIBOR + 1.800% Floor 1.800% 07/15/2030 | 5.879% | 6,700,000 | 6,321,711 |
10 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Asset-Backed Securities — Non-Agency(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wellfleet CLO Ltd.(b),(c) | ||||
Series 2022-1A Class B1 | ||||
3-month Term SOFR + 2.350% Floor 2.350% 04/15/2034 | 6.214% | 3,250,000 | 3,150,761 | |
Total Asset-Backed Securities — Non-Agency (Cost $262,488,162) | 234,269,452 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.0% | ||||
BBCMS Mortgage Trust(b),(c) | ||||
Subordinated Series 2019-BWAY Class E | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 11/25/2034 | 7.168% | 8,236,000 | 6,274,507 | |
BX Commercial Mortgage Trust(b),(c) | ||||
Subordinated CMO Series 2021-VOLT Class F | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 09/15/2036 | 6.718% | 8,900,000 | 8,188,044 | |
BX Commercial Mortgage Trust(b),(d) | ||||
Subordinated Series 2020-VIVA Class D | ||||
03/11/2044 | 3.549% | 6,750,000 | 5,055,597 | |
BX Trust(b) | ||||
Series 2019-OC11 Class C | ||||
12/09/2041 | 3.856% | 3,439,000 | 2,833,718 | |
BXMT Ltd.(b),(d) | ||||
Subordinated Series 2020-FL2 Class D | ||||
02/15/2038 | 6.277% | 7,034,000 | 6,640,842 | |
ELP Commercial Mortgage Trust(b),(c) | ||||
Subordinated Series 2021-ELP Class E | ||||
1-month USD LIBOR + 2.118% Floor 2.118% 11/15/2038 | 6.436% | 10,484,000 | 9,638,856 | |
FirstKey Homes Trust(b) | ||||
Subordinated Series 2020-SFR2 Class E | ||||
10/19/2037 | 2.668% | 5,000,000 | 4,406,419 | |
One Market Plaza Trust(b) | ||||
Subordinated Series 2017-1MKT Class B | ||||
02/10/2032 | 3.845% | 5,370,000 | 5,103,482 | |
Tricon American Homes(b) | ||||
Series 2020-SFR1 Class C | ||||
07/17/2038 | 2.249% | 7,400,000 | 6,430,095 | |
Tricon American Homes Trust(b) | ||||
Subordinated Series 2020-SFR2 Class D | ||||
11/17/2039 | 2.281% | 7,500,000 | 6,177,883 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WMRK Commercial Mortgage Trust(b),(c) | ||||
Series 2022-Class A | ||||
1-month Term SOFR + 2.789% Floor 2.789% 11/15/2027 | 6.289% | 5,360,000 | 5,341,064 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $75,489,089) | 66,090,507 | |||
Corporate Bonds & Notes 27.5% | ||||
Aerospace & Defense 0.3% | ||||
Lockheed Martin Corp. | ||||
01/15/2033 | 5.250% | 1,302,000 | 1,346,071 | |
Raytheon Technologies Corp. | ||||
07/01/2050 | 3.125% | 1,250,000 | 880,554 | |
TransDigm, Inc. | ||||
01/15/2029 | 4.625% | 1,100,000 | 966,545 | |
United Technologies Corp. | ||||
11/16/2028 | 4.125% | 3,575,000 | 3,426,026 | |
Total | 6,619,196 | |||
Agencies 0.1% | ||||
Tennessee Valley Authority | ||||
09/15/2031 | 1.500% | 2,100,000 | 1,648,529 | |
Airlines 0.5% | ||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b) | ||||
04/20/2026 | 5.500% | 4,938,308 | 4,748,986 | |
British Airways Pass-Through Trust(b) | ||||
03/15/2035 | 2.900% | 819,690 | 663,105 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(b) | ||||
10/20/2028 | 4.750% | 2,577,000 | 2,427,300 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(b) | ||||
06/20/2027 | 6.500% | 2,036,851 | 2,029,410 | |
United Airlines Pass-Through Trust | ||||
Series 2020-1 Class B | ||||
01/15/2026 | 4.875% | 1,636,014 | 1,540,103 | |
Total | 11,408,904 | |||
Automotive 0.6% | ||||
Aptiv PLC | ||||
12/01/2051 | 3.100% | 970,000 | 574,995 | |
Ford Motor Credit Co. LLC | ||||
11/13/2025 | 3.375% | 4,245,000 | 3,845,013 | |
11/04/2027 | 7.350% | 1,065,000 | 1,091,306 | |
General Motors Co. | ||||
04/01/2038 | 5.150% | 1,303,000 | 1,128,418 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 11 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
General Motors Financial Co., Inc. | ||||
06/20/2025 | 2.750% | 5,666,000 | 5,306,114 | |
10/15/2028 | 2.400% | 2,032,000 | 1,690,487 | |
Total | 13,636,333 | |||
Banking 6.0% | ||||
Banco Santander SA(e) | ||||
09/14/2027 | 1.722% | 2,600,000 | 2,222,576 | |
03/24/2028 | 4.175% | 1,000,000 | 926,788 | |
Bank of America Corp.(e) | ||||
07/22/2027 | 1.734% | 7,060,000 | 6,188,331 | |
11/10/2028 | 6.204% | 400,000 | 411,774 | |
12/20/2028 | 3.419% | 6,065,000 | 5,501,147 | |
10/22/2030 | 2.884% | 4,902,000 | 4,117,713 | |
04/27/2033 | 4.571% | 1,425,000 | 1,305,652 | |
07/22/2033 | 5.015% | 1,775,000 | 1,684,086 | |
Subordinated | ||||
09/21/2036 | 2.482% | 2,225,000 | 1,640,302 | |
Bank of Ireland Group PLC(b),(e) | ||||
09/30/2027 | 2.029% | 1,244,000 | 1,050,280 | |
Bank of Nova Scotia (The) | ||||
12/06/2024 | 5.250% | 1,932,000 | 1,933,983 | |
Citigroup, Inc.(e) | ||||
02/24/2028 | 3.070% | 2,381,000 | 2,148,417 | |
07/24/2028 | 3.668% | 1,355,000 | 1,244,472 | |
10/27/2028 | 3.520% | 4,244,000 | 3,865,320 | |
03/17/2033 | 3.785% | 1,190,000 | 1,020,609 | |
Deutsche Bank AG(e) | ||||
Subordinated | ||||
05/24/2028 | 4.296% | 6,286,000 | 5,905,383 | |
FNB Corp. | ||||
02/24/2023 | 2.200% | 3,670,000 | 3,647,755 | |
Goldman Sachs Group Inc (The)(e) | ||||
01/27/2032 | 1.992% | 5,090,000 | 3,874,667 | |
Goldman Sachs Group, Inc. (The)(e) | ||||
01/24/2025 | 1.757% | 4,350,000 | 4,163,046 | |
10/21/2027 | 1.948% | 4,381,000 | 3,823,390 | |
02/24/2028 | 2.640% | 4,325,000 | 3,848,087 | |
04/23/2029 | 3.814% | 649,000 | 590,454 | |
HSBC Holdings PLC(e) | ||||
05/24/2032 | 2.804% | 1,755,000 | 1,354,726 | |
08/11/2033 | 5.402% | 3,015,000 | 2,800,716 | |
Huntington National Bank (The) | ||||
01/10/2030 | 5.650% | 3,095,000 | 3,107,732 | |
JPMorgan Chase & Co.(e) | ||||
04/22/2027 | 1.578% | 2,170,000 | 1,909,920 | |
02/24/2028 | 2.947% | 4,650,000 | 4,209,234 | |
06/01/2029 | 2.069% | 5,700,000 | 4,760,122 | |
04/22/2031 | 2.522% | 9,197,000 | 7,524,295 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley(e) | ||||
01/25/2024 | 0.529% | 8,081,000 | 8,031,135 | |
10/21/2025 | 1.164% | 4,786,000 | 4,403,735 | |
02/18/2026 | 2.630% | 5,368,000 | 5,044,783 | |
01/22/2031 | 2.699% | 3,455,000 | 2,859,285 | |
10/20/2032 | 2.511% | 2,055,000 | 1,606,160 | |
10/18/2033 | 6.342% | 2,495,000 | 2,610,233 | |
Subordinated | ||||
09/16/2036 | 2.484% | 1,036,000 | 755,693 | |
National Australia Bank Ltd.(b) | ||||
Subordinated | ||||
08/21/2030 | 2.332% | 1,736,000 | 1,318,512 | |
PNC Financial Services Group, Inc. (The)(e) | ||||
12/31/2049 | 3.400% | 2,304,000 | 1,824,330 | |
Royal Bank of Canada | ||||
11/01/2027 | 6.000% | 3,135,000 | 3,264,525 | |
Toronto-Dominion Bank (The) | ||||
09/10/2031 | 2.000% | 1,897,000 | 1,493,341 | |
01/12/2032 | 2.450% | 2,000,000 | 1,617,219 | |
06/08/2032 | 4.456% | 1,094,000 | 1,039,981 | |
Truist Financial Corp.(e) | ||||
06/06/2028 | 4.123% | 984,000 | 942,008 | |
UBS Group AG(b),(e) | ||||
08/10/2027 | 1.494% | 4,792,000 | 4,121,801 | |
US Bancorp(e) | ||||
10/21/2033 | 5.850% | 1,035,000 | 1,075,054 | |
Wells Fargo & Co.(e) | ||||
08/15/2026 | 4.540% | 1,490,000 | 1,461,488 | |
03/02/2033 | 3.350% | 1,458,000 | 1,226,062 | |
04/30/2041 | 3.068% | 3,995,000 | 2,855,975 | |
04/25/2053 | 4.611% | 1,100,000 | 935,378 | |
Total | 135,267,675 | |||
Building Materials 0.4% | ||||
Builders FirstSource, Inc.(b) | ||||
03/01/2030 | 5.000% | 5,888,000 | 5,248,919 | |
Eagle Materials, Inc. | ||||
07/01/2031 | 2.500% | 2,119,000 | 1,657,153 | |
Standard Industries, Inc.(b) | ||||
07/15/2030 | 4.375% | 2,646,000 | 2,167,486 | |
Total | 9,073,558 | |||
Cable and Satellite 0.6% | ||||
Charter Communications Operating LLC/Capital | ||||
07/01/2049 | 5.125% | 1,340,000 | 1,022,508 | |
04/01/2051 | 3.700% | 1,910,000 | 1,162,719 |
12 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Comcast Corp. | ||||
06/15/2035 | 5.650% | 1,760,000 | 1,840,827 | |
11/15/2035 | 6.500% | 1,410,000 | 1,567,901 | |
04/01/2040 | 3.750% | 2,780,000 | 2,295,339 | |
11/01/2056 | 2.937% | 1,940,000 | 1,216,818 | |
DISH DBS Corp.(b) | ||||
12/01/2026 | 5.250% | 1,130,000 | 953,188 | |
Time Warner Cable LLC | ||||
09/15/2042 | 4.500% | 3,140,000 | 2,307,944 | |
VTR Finance NV(b) | ||||
07/15/2028 | 6.375% | 3,866,000 | 1,508,957 | |
Total | 13,876,201 | |||
Chemicals 0.2% | ||||
Albemarle Corp. | ||||
06/01/2027 | 4.650% | 2,931,000 | 2,865,985 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 1,009,000 | 953,516 | |
06/01/2043 | 4.950% | 1,480,000 | 1,263,159 | |
Total | 5,082,660 | |||
Construction Machinery 0.4% | ||||
Ashtead Capital, Inc.(b) | ||||
08/11/2032 | 5.500% | 2,370,000 | 2,271,396 | |
John Deere Capital Corp. | ||||
10/11/2029 | 4.850% | 1,042,000 | 1,042,383 | |
09/15/2032 | 4.350% | 3,110,000 | 3,019,786 | |
United Rentals North America, Inc.(b) | ||||
12/15/2029 | 6.000% | 2,290,000 | 2,278,550 | |
Total | 8,612,115 | |||
Consumer Cyclical Services 0.1% | ||||
Block Financial LLC | ||||
08/15/2030 | 3.875% | 2,991,000 | 2,619,710 | |
Consumer Products 0.3% | ||||
Clorox Co. (The) | ||||
05/01/2032 | 4.600% | 4,440,000 | 4,261,332 | |
GSK Consumer Healthcare Capital US LLC | ||||
03/24/2052 | 4.000% | 1,150,000 | 898,532 | |
Tempur Sealy International, Inc.(b) | ||||
10/15/2031 | 3.875% | 2,336,000 | 1,828,712 | |
Total | 6,988,576 | |||
Diversified Manufacturing 0.2% | ||||
Chart Industries, Inc.(b) | ||||
01/01/2030 | 7.500% | 1,110,000 | 1,114,606 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wabtec Corp.(e) | ||||
09/15/2028 | 4.950% | 3,442,000 | 3,308,275 | |
Total | 4,422,881 | |||
Electric 2.7% | ||||
AEP Texas, Inc. | ||||
07/01/2030 | 2.100% | 2,760,000 | 2,234,151 | |
Ameren Corp. | ||||
01/15/2031 | 3.500% | 2,975,000 | 2,626,219 | |
Ameren Illinois Co. | ||||
09/01/2032 | 3.850% | 1,195,000 | 1,112,383 | |
12/01/2052 | 5.900% | 656,000 | 721,545 | |
Baltimore Gas and Electric Co. | ||||
06/15/2031 | 2.250% | 1,623,000 | 1,316,583 | |
06/01/2052 | 4.550% | 867,000 | 775,450 | |
CenterPoint Energy Houston Electric LLC | ||||
10/01/2032 | 4.450% | 2,520,000 | 2,436,870 | |
CenterPoint Energy, Inc. | ||||
06/01/2031 | 2.650% | 1,923,000 | 1,584,780 | |
Commonwealth Edison Co. | ||||
11/15/2049 | 3.200% | 2,730,000 | 1,942,969 | |
Dominion Energy, Inc. | ||||
08/01/2041 | 4.900% | 1,890,000 | 1,670,230 | |
08/15/2052 | 4.850% | 1,470,000 | 1,276,684 | |
Duke Energy Carolinas LLC | ||||
04/15/2031 | 2.550% | 1,050,000 | 877,552 | |
Duke Energy Corp. | ||||
06/15/2031 | 2.550% | 1,160,000 | 946,654 | |
08/15/2052 | 5.000% | 1,540,000 | 1,381,602 | |
Duke Energy Florida LLC | ||||
06/15/2030 | 1.750% | 1,845,000 | 1,470,082 | |
11/15/2042 | 3.850% | 340,000 | 273,404 | |
11/15/2052 | 5.950% | 875,000 | 936,452 | |
Duke Energy Progress LLC | ||||
12/01/2044 | 4.150% | 3,185,000 | 2,664,473 | |
Entergy Arkansas LLC | ||||
06/15/2051 | 2.650% | 1,410,000 | 865,191 | |
Exelon Corp. | ||||
04/15/2046 | 4.450% | 905,000 | 767,480 | |
Exelon Corp.(b) | ||||
03/15/2052 | 4.100% | 513,000 | 412,590 | |
FEL Energy VI Sarl(b) | ||||
12/01/2040 | 5.750% | 4,342,565 | 3,718,389 | |
Florida Power & Light Co. | ||||
02/03/2032 | 2.450% | 1,443,000 | 1,206,293 | |
02/01/2042 | 4.125% | 1,840,000 | 1,593,654 | |
MidAmerican Energy Co. | ||||
10/15/2044 | 4.400% | 2,030,000 | 1,785,504 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 13 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NextEra Energy Capital Holdings, Inc. | ||||
07/15/2032 | 5.000% | 2,265,000 | 2,229,070 | |
Northern States Power Co. | ||||
04/01/2052 | 3.200% | 1,685,000 | 1,207,518 | |
NRG Energy, Inc.(b) | ||||
12/02/2025 | 2.000% | 5,835,000 | 5,199,992 | |
02/15/2032 | 3.875% | 1,567,000 | 1,181,436 | |
Pacific Gas and Electric Co. | ||||
06/01/2041 | 4.200% | 1,090,000 | 816,223 | |
PacifiCorp | ||||
03/15/2051 | 3.300% | 2,070,000 | 1,492,205 | |
PECO Energy Co. | ||||
08/15/2052 | 4.375% | 2,270,000 | 2,005,342 | |
Public Service Electric and Gas Co. | ||||
03/15/2032 | 3.100% | 1,753,000 | 1,535,010 | |
Union Electric Co. | ||||
04/01/2052 | 3.900% | 1,456,000 | 1,181,864 | |
WEC Energy Group, Inc. | ||||
10/15/2027 | 1.375% | 3,690,000 | 3,135,487 | |
Xcel Energy, Inc. | ||||
06/01/2030 | 3.400% | 2,445,000 | 2,180,809 | |
06/01/2032 | 4.600% | 869,000 | 832,698 | |
Total | 59,594,838 | |||
Environmental 0.1% | ||||
Waste Connections, Inc. | ||||
06/01/2032 | 3.200% | 2,501,000 | 2,140,844 | |
Finance Companies 0.4% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
10/29/2024 | 1.650% | 873,000 | 806,164 | |
10/29/2026 | 2.450% | 161,000 | 140,804 | |
Aircastle Ltd.(b) | ||||
08/11/2025 | 5.250% | 2,396,000 | 2,306,885 | |
Aircastle Ltd.(b),(e) | ||||
12/31/2049 | 5.250% | 4,445,000 | 3,330,844 | |
FS KKR Capital Corp.(b) | ||||
02/14/2025 | 4.250% | 782,000 | 734,715 | |
Golub Capital BDC, Inc. | ||||
08/24/2026 | 2.500% | 1,110,000 | 943,060 | |
Owl Rock Capital Corp. | ||||
07/15/2026 | 3.400% | 431,000 | 377,375 | |
OWL Rock Core Income Corp. | ||||
09/23/2026 | 3.125% | 1,310,000 | 1,121,343 | |
Total | 9,761,190 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Food and Beverage 1.2% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 4,685,000 | 4,287,240 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/23/2029 | 4.750% | 4,415,000 | 4,363,840 | |
JDE Peet’s NV(b) | ||||
09/24/2031 | 2.250% | 3,195,000 | 2,381,291 | |
Keurig Dr Pepper, Inc. | ||||
04/15/2032 | 4.050% | 1,075,000 | 978,174 | |
Kraft Heinz Foods Co. | ||||
05/15/2027 | 3.875% | 2,050,000 | 1,958,654 | |
06/04/2042 | 5.000% | 2,499,000 | 2,257,522 | |
Mondelez International, Inc. | ||||
03/17/2027 | 2.625% | 2,100,000 | 1,907,117 | |
PepsiCo, Inc. | ||||
07/18/2032 | 3.900% | 873,000 | 825,537 | |
Sysco Corp. | ||||
04/01/2030 | 5.950% | 5,300,000 | 5,495,870 | |
United Natural Foods, Inc.(b) | ||||
10/15/2028 | 6.750% | 3,140,000 | 3,020,221 | |
Total | 27,475,466 | |||
Gaming 0.8% | ||||
Caesars Entertainment, Inc.(b) | ||||
10/15/2029 | 4.625% | 1,616,000 | 1,314,129 | |
GLP Capital LP/Financing II, Inc. | ||||
04/15/2026 | 5.375% | 2,485,000 | 2,450,344 | |
International Game Technology PLC(b) | ||||
01/15/2029 | 5.250% | 6,160,000 | 5,781,901 | |
Penn National Gaming, Inc.(b) | ||||
07/01/2029 | 4.125% | 2,108,000 | 1,667,632 | |
Scientific Games International, Inc.(b) | ||||
11/15/2029 | 7.250% | 3,281,000 | 3,148,234 | |
VICI Properties LP/Note Co., Inc.(b) | ||||
08/15/2030 | 4.125% | 2,770,000 | 2,421,064 | |
Total | 16,783,304 | |||
Health Care 1.1% | ||||
Baxter International, Inc. | ||||
02/01/2027 | 1.915% | 3,375,000 | 2,997,254 | |
02/01/2032 | 2.539% | 3,270,000 | 2,604,552 | |
CVS Health Corp. | ||||
03/25/2038 | 4.780% | 1,955,000 | 1,791,309 | |
03/25/2048 | 5.050% | 1,305,000 | 1,177,983 | |
Danaher Corp. | ||||
12/10/2051 | 2.800% | 2,110,000 | 1,403,803 |
14 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GE Healthcare Holding LLC(b) | ||||
11/15/2027 | 5.650% | 4,935,000 | 5,007,390 | |
HCA, Inc. | ||||
07/15/2031 | 2.375% | 1,565,000 | 1,215,270 | |
Kaiser Foundation Hospitals | ||||
06/01/2051 | 3.002% | 1,575,000 | 1,071,048 | |
Novant Health, Inc. | ||||
11/01/2051 | 3.168% | 1,880,000 | 1,297,047 | |
Universal Health Services, Inc. | ||||
09/01/2026 | 1.650% | 3,813,000 | 3,272,868 | |
10/15/2030 | 2.650% | 4,480,000 | 3,561,822 | |
Total | 25,400,346 | |||
Healthcare Insurance 0.7% | ||||
Centene Corp. | ||||
12/15/2029 | 4.625% | 3,567,000 | 3,270,757 | |
02/15/2030 | 3.375% | 3,474,000 | 2,940,203 | |
Humana, Inc. | ||||
02/03/2032 | 2.150% | 2,730,000 | 2,135,388 | |
UnitedHealth Group, Inc. | ||||
02/15/2033 | 5.350% | 5,270,000 | 5,458,424 | |
02/15/2053 | 5.875% | 1,665,000 | 1,807,759 | |
Total | 15,612,531 | |||
Home Construction 0.2% | ||||
DR Horton, Inc. | ||||
10/15/2024 | 2.500% | 2,850,000 | 2,711,936 | |
KB Home | ||||
11/15/2029 | 4.800% | 2,605,000 | 2,267,750 | |
Total | 4,979,686 | |||
Independent Energy 1.0% | ||||
Aker BP ASA(b) | ||||
01/15/2030 | 3.750% | 3,030,000 | 2,665,741 | |
01/15/2031 | 4.000% | 1,280,000 | 1,124,981 | |
Antero Resources Corp.(b) | ||||
02/01/2029 | 7.625% | 1,693,000 | 1,714,981 | |
Continental Resources, Inc.(b) | ||||
11/15/2026 | 2.268% | 2,040,000 | 1,769,133 | |
Diamondback Energy, Inc. | ||||
03/15/2033 | 6.250% | 2,140,000 | 2,173,378 | |
EQT Corp. | ||||
04/01/2028 | 5.700% | 2,148,000 | 2,136,024 | |
Geopark Ltd.(b) | ||||
01/17/2027 | 5.500% | 2,250,000 | 1,940,305 | |
MEG Energy Corp.(b) | ||||
02/01/2029 | 5.875% | 4,635,000 | 4,373,057 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Southwestern Energy Co. | ||||
03/15/2030 | 5.375% | 4,742,000 | 4,312,534 | |
Total | 22,210,134 | |||
Integrated Energy 0.2% | ||||
BP Capital Markets America, Inc. | ||||
06/17/2041 | 3.060% | 1,720,000 | 1,282,734 | |
Cenovus Energy, Inc. | ||||
01/15/2032 | 2.650% | 1,910,000 | 1,522,676 | |
Shell International Finance BV | ||||
11/07/2029 | 2.375% | 2,170,000 | 1,876,440 | |
05/11/2045 | 4.375% | 240,000 | 210,239 | |
Total | 4,892,089 | |||
Leisure 0.0% | ||||
Carnival Corp.(b) | ||||
03/01/2027 | 5.750% | 1,370,000 | 977,482 | |
Life Insurance 0.2% | ||||
Athene Global Funding(b) | ||||
08/19/2028 | 1.985% | 1,211,000 | 977,907 | |
Sammons Financial Group, Inc.(b) | ||||
04/08/2032 | 4.750% | 1,055,000 | 875,939 | |
SBL Holdings, Inc.(b) | ||||
11/13/2026 | 5.125% | 548,000 | 478,321 | |
SBL Holdings, Inc.(b),(e) | ||||
12/31/2049 | 6.500% | 2,941,000 | 2,227,734 | |
Total | 4,559,901 | |||
Lodging 0.1% | ||||
Marriott International, Inc. | ||||
10/15/2032 | 3.500% | 1,437,000 | 1,194,462 | |
Media and Entertainment 0.4% | ||||
AMC Networks, Inc. | ||||
02/15/2029 | 4.250% | 1,541,000 | 961,521 | |
Fox Corp. | ||||
01/25/2039 | 5.476% | 935,000 | 850,039 | |
Gray Escrow II, Inc.(b) | ||||
11/15/2031 | 5.375% | 3,640,000 | 2,634,462 | |
Magallanes, Inc.(b) | ||||
03/15/2027 | 3.755% | 1,551,000 | 1,399,844 | |
03/15/2042 | 5.050% | 2,338,000 | 1,797,924 | |
03/15/2052 | 5.141% | 620,000 | 455,256 | |
Viacom, Inc. | ||||
03/15/2043 | 4.375% | 970,000 | 670,247 | |
ViacomCBS, Inc. | ||||
01/15/2031 | 4.950% | 1,185,000 | 1,056,906 | |
Total | 9,826,199 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 15 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Metals and Mining 0.3% | ||||
Glencore Funding LLC(b) | ||||
09/23/2031 | 2.625% | 2,975,000 | 2,371,634 | |
Minera Mexico SA de CV(b) | ||||
01/26/2050 | 4.500% | 668,000 | 508,435 | |
Nucor Corp. | ||||
04/01/2032 | 3.125% | 1,255,000 | 1,066,319 | |
South32 Treasury Ltd.(b) | ||||
04/14/2032 | 4.350% | 2,125,000 | 1,825,321 | |
Total | 5,771,709 | |||
Midstream 1.1% | ||||
Enbridge, Inc. | ||||
08/01/2051 | 3.400% | 800,000 | 546,544 | |
Energy Transfer LP | ||||
02/15/2033 | 5.750% | 2,106,000 | 2,065,773 | |
Energy Transfer Operating LP | ||||
04/15/2029 | 5.250% | 4,110,000 | 3,984,661 | |
Energy Transfer Partners LP | ||||
03/15/2035 | 4.900% | 1,870,000 | 1,664,858 | |
Enterprise Products Operating LLC | ||||
03/15/2044 | 4.850% | 2,795,000 | 2,454,665 | |
02/15/2053 | 3.300% | 1,473,000 | 983,694 | |
Galaxy Pipeline Assets Bidco Ltd.(b) | ||||
09/30/2040 | 2.940% | 5,799,180 | 4,669,002 | |
Kinder Morgan Energy Partners LP | ||||
09/01/2039 | 6.500% | 1,736,000 | 1,769,059 | |
MPLX LP | ||||
08/15/2030 | 2.650% | 2,000,000 | 1,622,657 | |
Sabine Pass Liquefaction LLC | ||||
03/01/2025 | 5.625% | 3,455,000 | 3,463,174 | |
Venture Global Calcasieu Pass LLC(b) | ||||
11/01/2033 | 3.875% | 1,949,000 | 1,591,183 | |
Total | 24,815,270 | |||
Natural Gas 0.4% | ||||
Infraestructura Energetica Nova SAB de CV(b) | ||||
01/15/2051 | 4.750% | 3,400,000 | 2,576,745 | |
Sempra Energy | ||||
06/15/2027 | 3.250% | 3,200,000 | 2,958,989 | |
Southern California Gas Co. | ||||
11/15/2052 | 6.350% | 1,094,000 | 1,205,213 | |
Southern Co. Gas Capital Corp. | ||||
01/15/2031 | 1.750% | 2,835,000 | 2,166,569 | |
Total | 8,907,516 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Office REIT 0.1% | ||||
Alexandria Real Estate Equities, Inc. | ||||
07/30/2029 | 4.500% | 264,000 | 249,992 | |
Corporate Office Properties LP | ||||
01/15/2029 | 2.000% | 1,392,000 | 1,071,609 | |
Total | 1,321,601 | |||
Oil Field Services 0.2% | ||||
Helmerich & Payne, Inc. | ||||
09/29/2031 | 2.900% | 3,232,000 | 2,616,718 | |
Schlumberger Investment SA | ||||
06/26/2030 | 2.650% | 2,090,000 | 1,791,666 | |
Total | 4,408,384 | |||
Other Industry 0.1% | ||||
Quanta Services, Inc. | ||||
01/15/2032 | 2.350% | 3,120,000 | 2,371,463 | |
Other REIT 0.3% | ||||
Broadstone Net Lease LLC | ||||
09/15/2031 | 2.600% | 1,167,000 | 874,386 | |
EPR Properties | ||||
12/15/2026 | 4.750% | 520,000 | 467,611 | |
Ladder Capital Finance Holdings LLLP/Corp.(b) | ||||
10/01/2025 | 5.250% | 1,180,000 | 1,111,485 | |
06/15/2029 | 4.750% | 2,989,000 | 2,413,344 | |
Safehold Operating Partnership LP | ||||
01/15/2032 | 2.850% | 3,257,000 | 2,472,688 | |
Total | 7,339,514 | |||
Other Utility 0.2% | ||||
American Water Capital Corp. | ||||
06/01/2032 | 4.450% | 3,070,000 | 2,945,389 | |
Essential Utilities, Inc. | ||||
04/15/2030 | 2.704% | 2,570,000 | 2,153,564 | |
Total | 5,098,953 | |||
Packaging 0.1% | ||||
Sonoco Products Co. | ||||
02/01/2027 | 2.250% | 2,795,000 | 2,476,600 | |
Paper 0.1% | ||||
Georgia-Pacific LLC(b) | ||||
04/30/2027 | 2.100% | 3,105,000 | 2,785,218 | |
Pharmaceuticals 1.0% | ||||
AbbVie, Inc. | ||||
11/21/2029 | 3.200% | 3,050,000 | 2,749,964 | |
11/06/2042 | 4.400% | 4,700,000 | 4,081,298 |
16 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Amgen, Inc. | ||||
08/18/2029 | 4.050% | 4,715,000 | 4,417,902 | |
Bristol Myers Squibb Co. | ||||
03/15/2032 | 2.950% | 2,680,000 | 2,338,007 | |
11/13/2050 | 2.550% | 1,968,000 | 1,242,965 | |
Merck & Co., Inc. | ||||
06/10/2027 | 1.700% | 2,175,000 | 1,931,654 | |
Roche Holdings, Inc.(b) | ||||
12/13/2051 | 2.607% | 2,850,000 | 1,856,310 | |
Viatris, Inc. | ||||
06/22/2050 | 4.000% | 888,000 | 550,071 | |
Zoetis, Inc. | ||||
11/16/2032 | 5.600% | 2,712,000 | 2,813,864 | |
Total | 21,982,035 | |||
Railroads 0.4% | ||||
Burlington Northern Santa Fe LLC | ||||
04/01/2045 | 4.150% | 2,035,000 | 1,739,704 | |
09/15/2051 | 3.300% | 1,325,000 | 970,494 | |
CSX Corp. | ||||
11/15/2032 | 4.100% | 1,790,000 | 1,676,750 | |
Norfolk Southern Corp. | ||||
06/01/2053 | 4.550% | 1,290,000 | 1,127,185 | |
Union Pacific Corp. | ||||
08/15/2039 | 3.550% | 3,225,000 | 2,660,628 | |
Total | 8,174,761 | |||
Retail REIT 0.2% | ||||
Essential Properties LP | ||||
07/15/2031 | 2.950% | 2,176,000 | 1,577,928 | |
National Retail Properties, Inc. | ||||
10/15/2048 | 4.800% | 1,730,000 | 1,434,317 | |
Realty Income Corp. | ||||
01/15/2031 | 3.250% | 2,065,000 | 1,790,855 | |
Total | 4,803,100 | |||
Retailers 1.2% | ||||
Amazon.com, Inc. | ||||
11/29/2024 | 4.700% | 2,200,000 | 2,199,030 | |
12/01/2025 | 4.600% | 2,200,000 | 2,197,268 | |
12/01/2027 | 4.550% | 1,100,000 | 1,096,810 | |
04/13/2032 | 3.600% | 5,315,000 | 4,875,333 | |
Dick’s Sporting Goods, Inc. | ||||
01/15/2032 | 3.150% | 3,139,000 | 2,461,484 | |
Home Depot, Inc. (The) | ||||
06/15/2047 | 3.900% | 4,608,000 | 3,808,365 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lowe’s Companies, Inc. | ||||
04/01/2031 | 2.625% | 4,855,000 | 4,022,348 | |
04/01/2052 | 4.250% | 4,490,000 | 3,595,905 | |
O’Reilly Automotive, Inc. | ||||
06/15/2032 | 4.700% | 1,687,000 | 1,634,322 | |
Total | 25,890,865 | |||
Technology 1.1% | ||||
Apple, Inc. | ||||
08/08/2029 | 3.250% | 4,065,000 | 3,765,879 | |
08/08/2052 | 3.950% | 2,295,000 | 1,959,761 | |
Broadcom, Inc.(b) | ||||
04/15/2029 | 4.000% | 1,690,000 | 1,537,937 | |
05/15/2037 | 4.926% | 1,933,000 | 1,689,506 | |
Dell International LLC/EMC Corp. | ||||
07/15/2036 | 8.100% | 791,000 | 886,891 | |
Equinix, Inc. | ||||
11/18/2026 | 2.900% | 3,820,000 | 3,489,597 | |
Fiserv, Inc. | ||||
06/01/2030 | 2.650% | 2,505,000 | 2,100,386 | |
Intel Corp. | ||||
08/12/2061 | 3.200% | 2,753,000 | 1,738,880 | |
Micron Technology, Inc. | ||||
11/01/2029 | 6.750% | 1,705,000 | 1,734,850 | |
Oracle Corp. | ||||
05/15/2035 | 3.900% | 1,770,000 | 1,475,050 | |
07/15/2036 | 3.850% | 1,017,000 | 831,956 | |
04/01/2040 | 3.600% | 1,555,000 | 1,148,252 | |
QUALCOMM, Inc. | ||||
05/20/2033 | 5.400% | 705,000 | 734,632 | |
05/20/2053 | 6.000% | 635,000 | 678,391 | |
Total | 23,771,968 | |||
Transportation Services 0.1% | ||||
GXO Logistics, Inc. | ||||
07/15/2031 | 2.650% | 2,318,000 | 1,718,221 | |
Wireless 0.9% | ||||
American Tower Corp. | ||||
03/15/2029 | 3.950% | 2,415,000 | 2,219,416 | |
Sprint Corp. | ||||
02/15/2025 | 7.625% | 5,325,000 | 5,513,669 | |
T-Mobile US, Inc. | ||||
02/01/2028 | 4.750% | 5,483,000 | 5,342,163 | |
04/15/2029 | 3.375% | 4,025,000 | 3,546,346 | |
04/15/2031 | 3.500% | 2,520,000 | 2,182,485 | |
04/15/2040 | 4.375% | 1,915,000 | 1,643,007 | |
Total | 20,447,086 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 17 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wirelines 0.9% | ||||
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 2,149,000 | 2,045,166 | |
05/15/2035 | 4.500% | 2,386,000 | 2,170,106 | |
08/15/2037 | 4.900% | 2,410,000 | 2,219,337 | |
03/09/2049 | 4.550% | 1,480,000 | 1,211,924 | |
Level 3 Financing, Inc.(b) | ||||
09/15/2027 | 4.625% | 2,029,000 | 1,693,279 | |
Telecom Italia Capital SA | ||||
11/15/2033 | 6.375% | 3,600,000 | 2,961,322 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 1,750,000 | 1,350,054 | |
Verizon Communications, Inc. | ||||
09/21/2028 | 4.329% | 2,521,000 | 2,426,674 | |
01/15/2036 | 4.272% | 3,420,000 | 3,056,584 | |
Total | 19,134,446 | |||
Total Corporate Bonds & Notes (Cost $700,365,923) | 615,883,520 | |||
Foreign Government Obligations(f) 1.1% | ||||
Chile 0.1% | ||||
Chile Government International Bond | ||||
01/31/2052 | 4.000% | 1,750,000 | 1,356,497 | |
Jordan 0.1% | ||||
Jordan Government International Bond(b) | ||||
10/10/2047 | 7.375% | 1,800,000 | 1,543,088 | |
Mexico 0.2% | ||||
Petroleos Mexicanos | ||||
01/30/2023 | 3.500% | 1,259,000 | 1,255,835 | |
02/16/2032 | 6.700% | 4,300,000 | 3,385,386 | |
Total | 4,641,221 | |||
Norway 0.0% | ||||
Equinor ASA | ||||
11/18/2049 | 3.250% | 1,590,000 | 1,161,346 | |
Panama 0.0% | ||||
Panama Government International Bond | ||||
01/26/2036 | 6.700% | 1,000,000 | 1,046,783 | |
Qatar 0.1% | ||||
Ooredoo International Finance Ltd.(b) | ||||
04/08/2031 | 2.625% | 1,900,000 | 1,634,266 | |
Saudi Arabia 0.4% | ||||
SA Global Sukuk Ltd.(b) | ||||
06/17/2031 | 2.694% | 7,000,000 | 5,982,633 |
Foreign Government Obligations(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Saudi Government International Bond(b) | ||||
10/25/2032 | 5.500% | 2,490,000 | 2,625,141 | |
Total | 8,607,774 | |||
South Africa 0.0% | ||||
Republic of South Africa Government International Bond | ||||
06/22/2030 | 5.875% | 800,000 | 744,377 | |
United Arab Emirates 0.1% | ||||
Abu Dhabi National Energy Co. PJSC(b) | ||||
04/29/2028 | 2.000% | 2,240,000 | 1,989,528 | |
United States 0.1% | ||||
Antares Holdings LP(b) | ||||
01/15/2027 | 2.750% | 1,876,000 | 1,500,798 | |
DAE Funding LLC(b) | ||||
08/01/2024 | 1.550% | 1,233,000 | 1,148,931 | |
Total | 2,649,729 | |||
Total Foreign Government Obligations (Cost $27,493,061) | 25,374,609 | |||
Inflation-Indexed Bonds 1.4% | ||||
United States 1.4% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
07/15/2023 | 0.375% | 16,645,200 | 16,442,940 | |
01/15/2024 | 0.625% | 15,324,480 | 15,000,099 | |
Total | 31,443,039 | |||
Total Inflation-Indexed Bonds (Cost $31,625,592) | 31,443,039 | |||
Municipal Bonds 1.9% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Higher Education 0.2% | ||||
California State University | ||||
Taxable Refunding Revenue Bonds | ||||
Series 2020B | ||||
11/01/2051 | 2.975% | 2,250,000 | 1,556,713 | |
Rutgers, The State University of New Jersey | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
05/01/2040 | 5.665% | 525,000 | 540,230 | |
University of California | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2021BJ | ||||
05/15/2051 | 3.071% | 2,185,000 | 1,461,877 | |
Total | 3,558,820 |
18 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Hospital 0.1% | ||||
Escambia County Health Facilities Authority | ||||
Taxable Refunding Revenue Bonds | ||||
Health Care Facilities | ||||
Series 2020 (AGM) | ||||
08/15/2040 | 3.607% | 2,170,000 | 1,637,009 | |
Regents of the University of California Medical Center | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2020N | ||||
05/15/2060 | 3.256% | 1,595,000 | 1,033,632 | |
Total | 2,670,641 | |||
Local General Obligation 0.1% | ||||
City of Chicago | ||||
Unlimited General Obligation Bonds | ||||
Taxable | ||||
Series 2017B | ||||
01/01/2029 | 7.045% | 645,000 | 654,844 | |
City of Houston | ||||
Limited General Obligation Bonds | ||||
Taxable | ||||
Series 2017 | ||||
03/01/2047 | 3.961% | 800,000 | 689,744 | |
Los Angeles Community College District | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2049 | 6.750% | 800,000 | 994,520 | |
Total | 2,339,108 | |||
Municipal Power 0.0% | ||||
Sacramento Municipal Utility District | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
05/15/2036 | 6.156% | 900,000 | 977,613 | |
Other Bond Issue 0.1% | ||||
City of San Francisco Public Utilities Commission Water | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
11/01/2040 | 6.000% | 1,050,000 | 1,128,213 | |
San Diego County Regional Airport Authority | ||||
Revenue Bonds | ||||
Taxable Senior Consolidated Rental Car Facility | ||||
Series 2014 | ||||
07/01/2043 | 5.594% | 910,000 | 883,656 | |
Total | 2,011,869 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Ports 0.1% | ||||
Port Authority of New York & New Jersey | ||||
Revenue Bonds | ||||
Consolidated 168th | ||||
Series 2011 | ||||
10/01/2051 | 4.926% | 2,000,000 | 1,885,599 | |
Refunded / Escrowed 0.0% | ||||
City of Chicago | ||||
Prerefunded 01/01/23 Unlimited General Obligation Bonds | ||||
Taxable | ||||
Series 2017B | ||||
01/01/2029 | 7.045% | 95,000 | 95,000 | |
Sales Tax 0.1% | ||||
Santa Clara Valley Transportation Authority | ||||
Revenue Bonds | ||||
Series 2010 (BAM) | ||||
04/01/2032 | 5.876% | 2,220,000 | 2,302,916 | |
Special Non Property Tax 0.1% | ||||
Missouri Highway & Transportation Commission | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
05/01/2033 | 5.445% | 1,700,000 | 1,753,275 | |
New York State Dormitory Authority | ||||
Unrefunded Revenue Bonds | ||||
Taxable | ||||
Series 2019F | ||||
02/15/2043 | 3.190% | 1,265,000 | 931,524 | |
Total | 2,684,799 | |||
State Appropriated 0.2% | ||||
Kentucky Turnpike Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010B | ||||
07/01/2030 | 5.722% | 2,050,000 | 2,091,789 | |
Michigan Strategic Fund | ||||
Taxable Revenue Bonds | ||||
Flint Water Advocacy Fund | ||||
Series 2021 | ||||
09/01/2047 | 3.225% | 3,550,000 | 2,556,776 | |
Total | 4,648,565 | |||
State General Obligation 0.3% | ||||
State of California | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2039 | 7.300% | 3,445,000 | 4,185,243 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 19 |
December 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Unlimited General Obligation Refunding Bonds | ||||
Taxable | ||||
Series 2018 | ||||
04/01/2038 | 4.600% | 2,335,000 | 2,198,095 | |
Total | 6,383,338 | |||
Tobacco 0.2% | ||||
Golden State Tobacco Securitization Corp. | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2021 | ||||
06/01/2034 | 2.746% | 4,635,000 | 3,719,512 | |
Transportation 0.1% | ||||
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Taxable Build America Bonds | ||||
Series 2010 | ||||
11/15/2040 | 6.687% | 1,650,000 | 1,705,556 | |
Turnpike / Bridge / Toll Road 0.3% | ||||
Bay Area Toll Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Subordinated Series 2010S-1 | ||||
04/01/2040 | 6.918% | 1,265,000 | 1,478,057 | |
Foothill-Eastern Transportation Corridor Agency | ||||
Refunding Revenue Bonds | ||||
Taxable Toll Road | ||||
Series 2019A | ||||
01/15/2049 | 4.094% | 2,285,000 | 1,725,502 | |
New Jersey Turnpike Authority | ||||
Revenue Bonds | ||||
Taxable Build America Bonds | ||||
Series 2009 | ||||
01/01/2040 | 7.414% | 1,275,000 | 1,580,533 | |
Ohio Turnpike & Infrastructure Commission | ||||
Taxable Refunding Revenue Bonds | ||||
Junior Lien - Infrastructure Projects | ||||
Series 2020 | ||||
02/15/2048 | 3.216% | 2,640,000 | 1,881,884 | |
Total | 6,665,976 | |||
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 | 1,149,024 | |
Total Municipal Bonds (Cost $49,356,079) | 42,798,336 | |||
Residential Mortgage-Backed Securities - Agency 23.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(c) | ||||
12-month USD LIBOR + 1.869% Cap 10.014% 07/01/2036 | 3.487% | 630,638 | 636,016 | |
1-year CMT + 2.135% Cap 10.642% 10/01/2036 | 4.197% | 512,474 | 521,287 | |
1-year CMT + 2.256% Cap 10.178% 04/01/2037 | 3.297% | 582,700 | 589,668 | |
12-month USD LIBOR + 1.890% Cap 9.016% 07/01/2041 | 3.766% | 179,953 | 179,857 | |
12-month USD LIBOR + 1.650% Cap 7.141% 12/01/2042 | 2.472% | 358,107 | 356,584 | |
Federal Home Loan Mortgage Corp. | ||||
02/01/2038- 11/01/2052 | 6.000% | 23,228,929 | 23,693,368 | |
03/01/2042- 01/01/2052 | 2.500% | 32,111,355 | 27,467,104 | |
05/01/2050- 05/01/2052 | 3.500% | 19,868,215 | 18,231,118 | |
07/01/2051- 02/01/2052 | 3.000% | 39,323,345 | 34,699,294 | |
08/01/2051 | 2.000% | 26,919,402 | 21,949,358 | |
08/01/2051- 05/01/2052 | 4.000% | 15,324,262 | 14,437,403 | |
07/01/2052- 08/01/2052 | 5.000% | 13,492,390 | 13,332,897 | |
Federal National Mortgage Association | ||||
12/01/2033- 09/01/2037 | 6.000% | 648,464 | 672,860 | |
03/01/2034- 05/01/2052 | 3.500% | 44,389,742 | 40,882,746 | |
05/01/2036- 03/01/2052 | 2.000% | 53,913,016 | 46,696,920 | |
04/01/2039- 07/01/2052 | 4.500% | 9,844,725 | 9,613,621 | |
05/01/2039 | 6.500% | 167,516 | 178,700 | |
08/01/2041- 11/01/2059 | 4.000% | 26,284,986 | 24,921,721 | |
03/01/2042- 05/01/2052 | 2.500% | 49,640,967 | 42,473,476 | |
05/01/2050- 06/01/2052 | 3.000% | 53,195,831 | 47,105,669 | |
08/01/2052- 10/01/2052 | 5.000% | 36,456,135 | 35,992,765 | |
10/01/2052 | 5.500% | 9,927,971 | 9,960,419 |
20 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.176% 06/01/2035 | 5.136% | 836,731 | 839,626 | |
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.128% 06/01/2035 | 5.170% | 230,919 | 231,597 | |
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.282% 06/01/2035 | 5.248% | 336,928 | 337,550 | |
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.078% 06/01/2035 | 5.314% | 267,110 | 267,363 | |
1-year CMT + 2.153% Floor 2.153%, Cap 9.618% 03/01/2038 | 3.848% | 786,356 | 799,892 | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 8.181% 03/01/2047 | 3.181% | 1,009,272 | 965,191 | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 8.115% 04/01/2047 | 3.115% | 857,299 | 819,447 | |
CMO Series 2005-106 Class UF | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 7.000% 11/25/2035 | 4.689% | 355,140 | 352,222 | |
Government National Mortgage Association | ||||
02/15/2040- 06/15/2041 | 4.500% | 7,007,570 | 6,959,272 | |
03/15/2040 | 5.000% | 441,939 | 452,337 | |
11/20/2040 | 4.000% | 416,166 | 402,111 | |
04/20/2042- 06/20/2051 | 3.500% | 10,532,826 | 9,872,590 | |
04/20/2050- 07/20/2050 | 3.000% | 23,951,716 | 21,534,609 | |
10/20/2050 | 2.000% | 33,260,777 | 28,073,931 | |
11/20/2050- 09/20/2051 | 2.500% | 33,434,577 | 28,780,425 | |
09/20/2052- 12/20/2052 | 5.500% | 20,283,662 | 20,417,022 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $562,241,101) | 535,698,036 | |||
Residential Mortgage-Backed Securities - Non-Agency 6.4% | ||||
Angel Oak Mortgage Trust(b),(d) | ||||
CMO Series 2019-5 Class M1 | ||||
10/25/2049 | 3.304% | 5,000,000 | 4,372,652 | |
Arroyo Mortgage Trust(b),(d) | ||||
CMO Series 2019-2 Class M1 | ||||
04/25/2049 | 4.760% | 7,000,000 | 5,813,086 | |
Arroyo Mortgage Trust(b) | ||||
CMO Series 2020-1 Class M1 | ||||
03/25/2055 | 4.277% | 2,850,000 | 2,327,154 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bear Stearns Adjustable Rate Mortgage Trust(c) | ||||
CMO Series 2006-1 Class A1 | ||||
1-year CMT + 2.250% Floor 2.250%, Cap 9.895% 02/25/2036 | 7.010% | 666,249 | 636,184 | |
Bellemeade Re Ltd.(b),(c) | ||||
CMO Series 2017-1 Class M2 | ||||
1-month USD LIBOR + 3.350% 10/25/2027 | 7.739% | 1,620,951 | 1,621,075 | |
CMO Series 2018-1A Class M2 | ||||
1-month USD LIBOR + 2.900% 04/25/2028 | 7.289% | 4,765,287 | 4,754,388 | |
CMO Series 2019-3A Class M1C | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 07/25/2029 | 6.339% | 1,590,000 | 1,575,471 | |
CMO Series 2021-3A Class M1B | ||||
30-day Average SOFR + 1.400% Floor 1.400% 09/25/2031 | 5.328% | 9,575,000 | 9,066,880 | |
CHNGE Mortgage Trust(b),(d) | ||||
CMO Series 2022-NQM1 Class A2 | ||||
06/25/2067 | 5.820% | 4,872,872 | 4,757,430 | |
Citigroup Mortgage Loan Trust(b),(d) | ||||
Subordinated CMO Series 2015-PS1 Class B3 | ||||
09/25/2042 | 5.137% | 4,572,102 | 4,279,624 | |
Credit Suisse Mortgage Capital Certificates(b),(d) | ||||
Subordinated CMO Series 2020-SPT1 Class B2 | ||||
04/25/2065 | 3.388% | 8,000,000 | 5,981,918 | |
Credit Suisse Mortgage Capital Trust(b),(d) | ||||
Subordinated CMO Series 2019-AFC1 Class B1 | ||||
07/25/2049 | 4.065% | 5,775,000 | 4,049,115 | |
Credit Suisse Mortgage Trust(b),(d) | ||||
CMO Series 2021-NQM8 Class M1 | ||||
10/25/2066 | 3.256% | 2,200,000 | 1,315,344 | |
Subordinated CMO Series 2019-NQM1 Class B1 | ||||
10/25/2059 | 3.890% | 6,224,000 | 4,769,897 | |
Eagle Re Ltd.(b),(c) | ||||
CMO Series 2018-1 Class B1 | ||||
1-month USD LIBOR + 4.000% Floor 4.000% 11/25/2028 | 8.389% | 3,000,000 | 3,054,048 | |
CMO Series 2018-1 Class M2 | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 11/25/2028 | 7.389% | 8,130,000 | 8,140,179 | |
Ellington Financial Mortgage Trust(b),(d) | ||||
Subordinated CMO Series 2020-1 Class B1 | ||||
05/25/2065 | 5.113% | 4,962,000 | 4,493,909 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 21 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae Connecticut Avenue Securities(c) | ||||
CMO Series 2014-C02 Class 2M2 | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 05/25/2024 | 6.989% | 999,242 | 998,202 | |
CMO Series 2014-C04 Class 1M2 | ||||
1-month USD LIBOR + 4.900% Floor 4.900% 11/25/2024 | 9.289% | 1,246,983 | 1,279,438 | |
CMO Series 2015-C02 Class 1M2 | ||||
1-month USD LIBOR + 4.000% Floor 4.000% 05/25/2025 | 8.389% | 624,367 | 627,476 | |
CMO Series 2016-C01 Class 1M2 | ||||
1-month USD LIBOR + 6.750% Floor 6.750% 08/25/2028 | 11.139% | 1,467,113 | 1,531,758 | |
Fannie Mae Connecticut Avenue Securities(b),(c) | ||||
CMO Series 2015-C01 Class 1M2 | ||||
1-month USD LIBOR + 4.300% Floor 4.300% 02/25/2025 | 8.689% | 202,702 | 209,933 | |
Federal Home Loan Mortgage Corp. STACR REMIC Trust(b),(c) | ||||
CMO Series 2020-HQA4 Class M2 | ||||
1-month USD LIBOR + 3.150% 09/25/2050 | 7.539% | 24,518 | 24,519 | |
Freddie Mac STACR REMIC Trust(b),(c) | ||||
CMO Series 2020-HQA2 Class M2 | ||||
1-month USD LIBOR + 3.100% 03/25/2050 | 7.489% | 1,669,704 | 1,686,768 | |
Home Re Ltd.(b),(c) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month USD LIBOR + 3.000% 10/25/2028 | 7.389% | 5,816,433 | 5,799,826 | |
Subordinated CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 2.850% 10/25/2034 | 6.371% | 2,550,000 | 2,539,946 | |
Homeward Opportunities Fund I Trust(b),(d) | ||||
CMO Series 2020-2 Class B3 | ||||
05/25/2065 | 5.494% | 7,075,000 | 5,903,103 | |
JPMorgan Mortgage Trust(d) | ||||
CMO Series 2005-S2 Class 3A1 | ||||
02/25/2032 | 7.167% | 182,041 | 169,081 | |
CMO Series 2006-A4 Class 3A1 | ||||
06/25/2036 | 3.340% | 906,593 | 647,444 | |
JPMorgan Mortgage Trust | ||||
CMO Series 2006-S1 Class 1A2 | ||||
04/25/2036 | 6.500% | 1,896,432 | 1,877,139 | |
JPMorgan Mortgage Trust(b),(d) | ||||
Subordinated CMO Series 2019-LTV3 Class B4 | ||||
03/25/2050 | 4.384% | 6,493,167 | 5,424,982 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
JPMorgan Wealth Management(b),(c) | ||||
CMO Series 2021-CL1 Class M4 | ||||
30-day Average SOFR + 2.750% 03/25/2051 | 6.678% | 1,028,145 | 865,804 | |
MASTR Adjustable Rate Mortgages Trust(d) | ||||
CMO Series 2004-13 Class 3A7 | ||||
11/21/2034 | 3.874% | 318,994 | 286,184 | |
Merrill Lynch Mortgage Investors Trust(d) | ||||
CMO Series 2005-A2 Class A2 | ||||
02/25/2035 | 3.046% | 653,177 | 597,444 | |
Oaktown Re V Ltd.(b),(c) | ||||
CMO Series 2020-2A Class M1B | ||||
1-month USD LIBOR + 3.600% Floor 3.600% 10/25/2030 | 7.989% | 359,861 | 359,672 | |
PRKCM Trust(b),(d) | ||||
CMO Series 2021-AFC1 Class M1 | ||||
08/25/2056 | 3.114% | 6,966,000 | 4,265,874 | |
Radnor Re Ltd.(b),(c) | ||||
CMO Series 2018-1 Class B1 | ||||
1-month USD LIBOR + 3.800% 03/25/2028 | 8.189% | 3,000,000 | 2,998,561 | |
Subordinated CMO Series 2021-2 Class M1A | ||||
30-day Average SOFR + 1.850% Floor 1.850% 11/25/2031 | 5.371% | 3,417,746 | 3,382,479 | |
Subordinated CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 3.700% Floor 3.700% 11/25/2031 | 7.221% | 3,088,000 | 2,916,561 | |
Residential Mortgage Loan Trust(b),(d) | ||||
Subordinated CMO Series 2019-3 Class B1 | ||||
09/25/2059 | 3.810% | 4,750,000 | 3,923,837 | |
STACR Trust(b),(c) | ||||
CMO Series 2018-HRP1 Class M2 | ||||
1-month USD LIBOR + 1.650% 04/25/2043 | 6.039% | 236,142 | 235,830 | |
Starwood Mortgage Residential Trust(b) | ||||
CMO Series 2020-2 Class B2E | ||||
04/25/2060 | 3.000% | 5,000,000 | 4,072,461 | |
Starwood Mortgage Residential Trust(b),(d) | ||||
CMO Series 2020-3 Class B1 | ||||
04/25/2065 | 4.750% | 4,000,000 | 2,954,852 | |
Structured Adjustable Rate Mortgage Loan Trust(d) | ||||
CMO Series 2004-8 Class 2A1 | ||||
07/25/2034 | 4.342% | 585,892 | 563,003 | |
Verus Securitization Trust(b) | ||||
CMO Series 2021-R1 Class M1 | ||||
10/25/2063 | 2.338% | 3,030,000 | 2,392,926 |
22 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verus Securitization Trust(b),(d) | ||||
CMO Series 2022-INV1 Class A2 | ||||
08/25/2067 | 5.802% | 4,498,890 | 4,477,666 | |
Subordinated CMO Series 2019-4 Class B1 | ||||
11/25/2059 | 3.860% | 5,211,000 | 4,086,235 | |
Subordinated CMO Series 2020-4 Class B1 | ||||
05/25/2065 | 5.046% | 5,000,000 | 3,859,334 | |
Vista Point Securitization Trust(b),(d) | ||||
Subordinated CMO Series 2020-2 Class B1 | ||||
04/25/2065 | 4.900% | 2,000,000 | 1,649,037 | |
WaMu Mortgage Pass-Through Certificates Trust | ||||
CMO Series 2003-S11 Class 3A5 | ||||
11/25/2033 | 5.950% | 86,500 | 77,593 | |
Wells Fargo Mortgage-Backed Securities Trust | ||||
CMO Series 2006-7 Class 3A1 | ||||
06/25/2036 | 6.000% | 152,269 | 134,682 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $165,561,400) | 143,828,004 | |||
U.S. Treasury Obligations 22.4% | ||||
U.S. Treasury(g) | ||||
02/15/2025 | 1.500% | 28,000,000 | 26,352,813 | |
U.S. Treasury | ||||
09/30/2025 | 3.000% | 25,000,000 | 24,164,062 | |
11/15/2025 | 4.500% | 27,000,000 | 27,170,860 | |
12/15/2025 | 4.000% | 55,000,000 | 54,656,250 | |
11/30/2027 | 3.875% | 75,000,000 | 74,595,703 | |
08/31/2029 | 3.125% | 3,500,000 | 3,322,813 | |
09/30/2029 | 3.875% | 5,000,000 | 4,964,063 | |
11/30/2029 | 3.875% | 30,000,000 | 29,798,437 | |
05/15/2032 | 2.875% | 20,000,000 | 18,437,500 | |
08/15/2032 | 2.750% | 33,000,000 | 30,040,312 | |
11/15/2032 | 4.125% | 17,500,000 | 17,850,000 | |
02/15/2039 | 3.500% | 5,500,000 | 5,173,437 | |
08/15/2040 | 1.125% | 2,000,000 | 1,245,625 | |
11/15/2040 | 1.375% | 3,000,000 | 1,952,344 | |
02/15/2041 | 1.875% | 3,000,000 | 2,122,500 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
05/15/2041 | 2.250% | 9,000,000 | 6,766,875 | |
08/15/2041 | 3.750% | 2,000,000 | 1,900,938 | |
11/15/2041 | 2.000% | 2,500,000 | 1,788,281 | |
11/15/2041 | 3.125% | 6,400,000 | 5,532,000 | |
02/15/2042 | 2.375% | 7,000,000 | 5,348,437 | |
05/15/2042 | 3.000% | 15,000,000 | 12,623,437 | |
05/15/2042 | 3.250% | 22,000,000 | 19,311,875 | |
08/15/2042 | 3.375% | 41,000,000 | 36,662,969 | |
11/15/2042 | 4.000% | 6,300,000 | 6,173,016 | |
11/15/2043 | 3.750% | 3,000,000 | 2,815,781 | |
02/15/2044 | 3.625% | 900,000 | 827,297 | |
11/15/2044 | 3.000% | 15,000,000 | 12,414,844 | |
11/15/2047 | 2.750% | 3,000,000 | 2,353,594 | |
11/15/2048 | 3.375% | 8,500,000 | 7,534,453 | |
05/15/2049 | 2.875% | 5,500,000 | 4,445,547 | |
08/15/2049 | 2.250% | 7,000,000 | 4,949,219 | |
11/15/2049 | 2.375% | 5,000,000 | 3,637,500 | |
02/15/2051 | 1.875% | 3,800,000 | 2,427,844 | |
05/15/2051 | 2.375% | 4,500,000 | 3,244,219 | |
08/15/2051 | 2.000% | 7,000,000 | 4,606,875 | |
02/15/2052 | 2.250% | 3,500,000 | 2,446,172 | |
05/15/2052 | 2.875% | 10,000,000 | 8,053,125 | |
08/15/2052 | 3.000% | 4,500,000 | 3,730,781 | |
11/15/2052 | 4.000% | 18,400,000 | 18,500,625 | |
Total U.S. Treasury Obligations (Cost $537,690,690) | 499,942,423 |
Money Market Funds 1.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(h),(i) | 27,536,031 | 27,527,770 |
Total Money Market Funds (Cost $27,527,004) | 27,527,770 | |
Total Investments in Securities (Cost: $2,439,838,101) | 2,222,855,696 | |
Other Assets & Liabilities, Net | 15,026,341 | |
Net Assets | 2,237,882,037 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
9,590,238 CAD | 7,055,827 USD | Goldman Sachs | 03/15/2023 | — | (30,905) |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 23 |
December 31, 2022
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 1,683 | 03/2023 | USD | 188,995,641 | — | (3,008,324) |
U.S. Treasury 2-Year Note | 439 | 03/2023 | USD | 90,029,297 | — | (398,790) |
U.S. Treasury 5-Year Note | 586 | 03/2023 | USD | 63,246,797 | — | (570,041) |
U.S. Treasury Ultra 10-Year Note | 527 | 03/2023 | USD | 62,334,219 | — | (835,976) |
U.S. Treasury Ultra Bond | 222 | 03/2023 | USD | 29,817,375 | — | (1,236,449) |
Total | — | (6,049,580) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 38 | Goldman Sachs | 06/20/2027 | 5.000 | Quarterly | USD | 39,644,550 | (843,985) | — | — | — | (843,985) |
Markit CDX North America High Yield Index, Series 39 | Goldman Sachs | 12/20/2027 | 5.000 | Quarterly | USD | 44,150,000 | (503,315) | — | — | — | (503,315) |
Total | (1,347,300) | — | — | — | (1,347,300) |
(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 December 31, 2022, the total value of these securities amounted to $568,466,557, which represents 25.40% of total net assets. |
(c) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
(d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2022. |
(e) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(f) | Principal and interest may not be guaranteed by a governmental entity. |
(g) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(h) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(i) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
48,600,720 | 1,732,697,607 | (1,753,771,323) | 766 | 27,527,770 | 3,289 | 1,355,816 | 27,536,031 |
AGM | Assured Guaranty Municipal Corporation |
BAM | Build America Mutual Assurance Co. |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
24 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
CAD | Canada 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 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 234,269,452 | — | 234,269,452 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 66,090,507 | — | 66,090,507 |
Corporate Bonds & Notes | — | 615,883,520 | — | 615,883,520 |
Foreign Government Obligations | — | 25,374,609 | — | 25,374,609 |
Inflation-Indexed Bonds | — | 31,443,039 | — | 31,443,039 |
Municipal Bonds | — | 42,798,336 | — | 42,798,336 |
Residential Mortgage-Backed Securities - Agency | — | 535,698,036 | — | 535,698,036 |
Residential Mortgage-Backed Securities - Non-Agency | — | 143,828,004 | — | 143,828,004 |
U.S. Treasury Obligations | — | 499,942,423 | — | 499,942,423 |
Money Market Funds | 27,527,770 | — | — | 27,527,770 |
Total Investments in Securities | 27,527,770 | 2,195,327,926 | — | 2,222,855,696 |
Investments in Derivatives | ||||
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (30,905) | — | (30,905) |
Futures Contracts | (6,049,580) | — | — | (6,049,580) |
Swap Contracts | — | (1,347,300) | — | (1,347,300) |
Total | 21,478,190 | 2,193,949,721 | — | 2,215,427,911 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 25 |
December 31, 2022
See the Portfolio of Investments for all investment classifications not indicated in the table.
26 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,412,311,097) | $2,195,327,926 |
Affiliated issuers (cost $27,527,004) | 27,527,770 |
Cash | 330,239 |
Foreign currency (cost $320,985) | 323,609 |
Receivable for: | |
Investments sold | 1,237,914 |
Capital shares sold | 328 |
Dividends | 191,218 |
Interest | 14,523,343 |
Foreign tax reclaims | 21,587 |
Variation margin for futures contracts | 34,891 |
Variation margin for swap contracts | 48,966 |
Prepaid expenses | 22,668 |
Total assets | 2,239,590,459 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 30,905 |
Cash collateral due to broker for: | |
TBA | 28,000 |
Payable for: | |
Investments purchased | 278,397 |
Capital shares purchased | 601,980 |
Variation margin for futures contracts | 477,187 |
Management services fees | 29,890 |
Distribution and/or service fees | 127 |
Service fees | 966 |
Compensation of board members | 213,851 |
Compensation of chief compliance officer | 441 |
Other expenses | 46,678 |
Total liabilities | 1,708,422 |
Net assets applicable to outstanding capital stock | $2,237,882,037 |
Represented by | |
Paid in capital | 2,644,182,639 |
Total distributable earnings (loss) | (406,300,602) |
Total - representing net assets applicable to outstanding capital stock | $2,237,882,037 |
Class 1 | |
Net assets | $2,219,347,758 |
Shares outstanding | 246,747,444 |
Net asset value per share | $8.99 |
Class 2 | |
Net assets | $18,534,279 |
Shares outstanding | 2,069,744 |
Net asset value per share | $8.95 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 27 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,966 |
Dividends — affiliated issuers | 1,355,816 |
Interest | 84,293,455 |
Interfund lending | 3,513 |
Total income | 85,656,750 |
Expenses: | |
Management services fees | 11,764,340 |
Distribution and/or service fees | |
Class 2 | 47,729 |
Service fees | 11,956 |
Compensation of board members | 35,079 |
Custodian fees | 61,018 |
Printing and postage fees | 12,675 |
Audit fees | 39,500 |
Legal fees | 43,024 |
Interest on collateral | 35,674 |
Compensation of chief compliance officer | 342 |
Other | 40,826 |
Total expenses | 12,092,163 |
Net investment income | 73,564,587 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (244,069,457) |
Investments — affiliated issuers | 3,289 |
Foreign currency translations | 142,799 |
Forward foreign currency exchange contracts | (223,113) |
Futures contracts | (6,491,610) |
Swap contracts | 3,777,796 |
Net realized loss | (246,860,296) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (238,990,874) |
Investments — affiliated issuers | 766 |
Foreign currency translations | 622 |
Forward foreign currency exchange contracts | 724,068 |
Futures contracts | (6,249,554) |
Swap contracts | (1,347,300) |
Net change in unrealized appreciation (depreciation) | (245,862,272) |
Net realized and unrealized loss | (492,722,568) |
Net decrease in net assets resulting from operations | $(419,157,981) |
28 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $73,564,587 | $73,914,449 |
Net realized gain (loss) | (246,860,296) | 62,970,219 |
Net change in unrealized appreciation (depreciation) | (245,862,272) | (119,514,148) |
Net increase (decrease) in net assets resulting from operations | (419,157,981) | 17,370,520 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (137,963,723) | (134,005,891) |
Class 2 | (1,078,112) | (843,022) |
Total distributions to shareholders | (139,041,835) | (134,848,913) |
Decrease in net assets from capital stock activity | (139,015,555) | (21,372,193) |
Total decrease in net assets | (697,215,371) | (138,850,586) |
Net assets at beginning of year | 2,935,097,408 | 3,073,947,994 |
Net assets at end of year | $2,237,882,037 | $2,935,097,408 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,471,973 | 14,224,157 | 26,745,015 | 307,565,641 |
Distributions reinvested | 14,446,463 | 137,963,723 | 11,869,433 | 134,005,891 |
Redemptions | (28,043,771) | (293,997,166) | (40,256,186) | (462,087,935) |
Net decrease | (12,125,335) | (141,809,286) | (1,641,738) | (20,516,403) |
Class 2 | ||||
Subscriptions | 379,780 | 3,799,338 | 309,648 | 3,535,099 |
Distributions reinvested | 113,247 | 1,078,112 | 74,935 | 843,022 |
Redemptions | (215,932) | (2,083,719) | (458,601) | (5,233,911) |
Net increase (decrease) | 277,095 | 2,793,731 | (74,018) | (855,790) |
Total net decrease | (11,848,240) | (139,015,555) | (1,715,756) | (21,372,193) |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 29 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $11.26 | 0.30 | (1.99) | (1.69) | (0.31) | (0.27) | (0.58) |
Year Ended 12/31/2021 | $11.72 | 0.28 | (0.23) | 0.05 | (0.26) | (0.25) | (0.51) |
Year Ended 12/31/2020 | $11.01 | 0.24 | 0.70 | 0.94 | (0.23) | — | (0.23) |
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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $11.21 | 0.27 | (1.98) | (1.71) | (0.28) | (0.27) | (0.55) |
Year Ended 12/31/2021 | $11.66 | 0.25 | (0.21) | 0.04 | (0.24) | (0.25) | (0.49) |
Year Ended 12/31/2020 | $10.96 | 0.21 | 0.69 | 0.90 | (0.20) | — | (0.20) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
30 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $8.99 | (15.29%) | 0.50%(c) | 0.50%(c) | 3.03% | 194% | $2,219,348 |
Year Ended 12/31/2021 | $11.26 | 0.45% | 0.49%(c) | 0.49%(c) | 2.44% | 218% | $2,915,004 |
Year Ended 12/31/2020 | $11.72 | 8.55% | 0.49%(c) | 0.49%(c) | 2.12% | 226% | $3,052,174 |
Year Ended 12/31/2019 | $11.01 | 9.73% | 0.50%(c) | 0.50%(c) | 2.84% | 94% | $2,900,664 |
Year Ended 12/31/2018 | $10.65 | (1.05%) | 0.48%(c) | 0.48%(c) | 3.42% | 136% | $1,992,309 |
Class 2 | |||||||
Year Ended 12/31/2022 | $8.95 | (15.51%) | 0.75%(c) | 0.75%(c) | 2.79% | 194% | $18,534 |
Year Ended 12/31/2021 | $11.21 | 0.29% | 0.74%(c) | 0.74%(c) | 2.18% | 218% | $20,094 |
Year Ended 12/31/2020 | $11.66 | 8.24% | 0.74%(c) | 0.74%(c) | 1.88% | 226% | $21,774 |
Year Ended 12/31/2019 | $10.96 | 9.40% | 0.75%(c) | 0.75%(c) | 2.58% | 94% | $18,712 |
Year Ended 12/31/2018 | $10.61 | (1.31%) | 0.73%(c) | 0.73%(c) | 3.17% | 136% | $13,100 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 31 |
December 31, 2022
32 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 33 |
December 31, 2022
34 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 35 |
December 31, 2022
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,347,300* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 30,905 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 6,049,580* |
Total | 7,427,785 |
* | 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. |
36 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
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 | — | — | 3,777,796 | 3,777,796 | ||
Foreign exchange risk | (223,113) | — | — | (223,113) | ||
Interest rate risk | — | (6,491,610) | — | (6,491,610) | ||
Total | (223,113) | (6,491,610) | 3,777,796 | (2,936,927) | ||
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 | — | — | (1,347,300) | (1,347,300) | ||
Foreign exchange risk | 724,068 | — | — | 724,068 | ||
Interest rate risk | — | (6,249,554) | — | (6,249,554) | ||
Total | 724,068 | (6,249,554) | (1,347,300) | (6,872,786) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 296,249,833 |
Futures contracts — short | 35,970,328 |
Credit default swap contracts — buy protection | 151,985,888 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 153,899 | (88,908) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 37 |
December 31, 2022
Goldman Sachs ($) (a) | Goldman Sachs ($) (a) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (b) | 48,966 | - | 48,966 |
Liabilities | |||
Forward foreign currency exchange contracts | 30,905 | 30,905 | |
Total financial and derivative net assets | 48,966 | (30,905) | 18,061 |
Total collateral received (pledged) (c) | - | - | - |
Net amount (d) | 48,966 | (30,905) | 18,061 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
38 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 39 |
December 31, 2022
40 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.54% |
Class 2 | 0.79 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
1,070,569 | (1,070,568) | (1) |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
110,264,824 | 28,777,011 | 139,041,835 | 134,848,913 | — | 134,848,913 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 41 |
December 31, 2022
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
73,331,796 | — | (254,341,028) | (225,081,656) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
2,440,509,567 | 7,719,883 | (232,801,539) | (225,081,656) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(171,642,227) | (82,698,801) | (254,341,028) | — |
42 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 11,800,000 | 3.57 | 3 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 43 |
December 31, 2022
44 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 45 |
46 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 47 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
48 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 49 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
50 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 | 51 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
52 | CTIVP® – American Century Diversified Bond Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
8 | |
9 | |
65 | |
66 | |
67 | |
68 | |
70 | |
85 | |
86 | |
91 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -13.29 | 0.12 | 1.05 | |
Class 2 | 05/07/10 | -13.60 | -0.13 | 0.79 | |
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Asset-Backed Securities — Non-Agency | 10.1 |
Commercial Mortgage-Backed Securities - Agency | 5.5 |
Commercial Mortgage-Backed Securities - Non-Agency | 6.0 |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 27.4 |
Foreign Government Obligations | 1.0 |
Money Market Funds | 1.4 |
Municipal Bonds | 0.2 |
Residential Mortgage-Backed Securities - Agency | 21.3 |
Residential Mortgage-Backed Securities - Non-Agency | 4.2 |
U.S. Government & Agency Obligations | 0.7 |
U.S. Treasury Obligations | 22.2 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at December 31, 2022) | |
AAA rating | 58.8 |
AA rating | 2.2 |
A rating | 11.6 |
BBB rating | 15.0 |
BB rating | 5.7 |
B rating | 2.6 |
CCC rating | 0.1 |
CC rating | 0.1 |
C rating | 0.0(a) |
Not rated | 3.9 |
Total | 100.0 |
(a) | Rounds to zero. |
4 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
(Unaudited)
• | Positioning in spread products was negative in our portion of the Fund and nearly offset the outperformance our portion of the Fund realized from mortgages during the period. |
• | Positioned with a small overweight to credit throughout most of the year, our credit sector overweight detracted from performance in our portion of the Fund as spreads widened dramatically. |
• | From a security selection perspective within credit, detractors were concentrated in the technology, insurance, energy, capital goods and U.S. bank subsectors. |
• | In structured products, a sector overweight to the asset-backed securities (ABS) sector was a detractor from performance during the year. |
• | Security selection in ABS sector detracted, resulting from positions in non-qualified mortgage residential mortgage-backed securities (RMBS) and private credit student loan ABS. |
• | Overweight positioning across spread sectors generally detracted from returns in our portion of the Fund as spreads across all sectors widened during the year in sympathy with the softer market backdrop for risk assets. |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Overweight positioning across securitized credit sectors, such as non-agency MBS, commercial mortgage-backed securities (CMBS) and ABS, detracted from returns. Positive performance from lower spread duration ABS was offset by negative performance from CMBS and non-agency RMBS. |
• | Out-of-benchmark positioning in high-yield corporate credit detracted from returns in our portion of the Fund. |
• | Security selection within investment-grade corporate credit and emerging markets debt detracted from returns. |
• | Security selection in credit contributed to performance in our portion of the Fund during the period. Contributors were concentrated in the sovereigns, health care, utilities, communications and non-U.S. bank subsectors. |
• | Within agency mortgages, sector positioning and security selection both led the slight outperformance. We maintained an underweight position in our portion of the Fund for most of the period, which contributed meaningfully given the dramatic spread widening. |
• | Security selection and positioning in conventional 30-year and 20-year mortgages were the most notable contributors to performance. |
• | Positioning in credit card and auto ABS was a small contributor to performance. |
• | Within CMBS, sector positioning and security selection, from conduit, single-asset/single-borrower CMBS and agency CMBS, was also a small contributor. |
• | Dynamic duration and yield curve positioning was the largest contributor to the Fund’s excess return. |
○ | The Fund entered the year with an expectation that the yield curve would steepen. Throughout much of the course of 2022, from January through November, the Fund was generally positioned underweight duration relative to the benchmark, by between -0.1 and -0.5 years. |
○ | A large portion of the duration underweight was expressed in the 20-year part of the yield curve, as we expected higher rates in this part of the curve due to poor supply/demand and liquidity driven dynamics. |
○ | As the Fed delivered larger and more aggressive rate hikes than previously expected, we reduced duration in the front end of the yield curve, while remaining slightly overweight in the belly of the yield curve. |
○ | In November, the Fund covered its duration underweight, adding duration in the front and belly of the yield curve, as the pace of inflation slowed and concerns over a recession rose. The Fund ended the year +0.2 years overweight duration. |
• | Underweight positioning to the agency MBS sector and intra-sector positioning within agency CMBS was another meaningful contributor to returns. |
6 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
(Unaudited)
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 970.00 | 1,022.71 | 2.32 | 2.38 | 0.47 |
Class 2 | 1,000.00 | 1,000.00 | 969.10 | 1,021.41 | 3.60 | 3.70 | 0.73 |
8 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Asset-Backed Securities — Non-Agency 10.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Academic Loan Funding Trust(a),(b) | ||||
Series 2013-1A Class A | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 12/26/2044 | 5.189% | 534,307 | 500,841 | |
ACC Trust(a) | ||||
Series 2021-1 Class D | ||||
03/22/2027 | 5.250% | 5,200,000 | 5,085,871 | |
Subordinated Series 2021-1 Class C | ||||
12/20/2024 | 2.080% | 2,150,000 | 2,128,612 | |
Ally Auto Receivables Trust | ||||
Series 2022-1 Class A3 | ||||
11/15/2026 | 3.310% | 2,356,000 | 2,293,494 | |
Series 2022-2 Class A4 | ||||
04/17/2028 | 4.870% | 2,019,000 | 2,011,182 | |
Subordinated Series 2022-3 Class A4 | ||||
06/15/2031 | 5.070% | 1,013,000 | 1,021,072 | |
American Express Credit Account Master Trust | ||||
Series 2022-3 Class A | ||||
08/15/2027 | 3.750% | 4,380,000 | 4,279,791 | |
Series 2022-4 Class A | ||||
10/15/2027 | 4.950% | 3,273,000 | 3,298,164 | |
American Tower Trust I(a) | ||||
Series 13 Class 2A | ||||
03/15/2023 | 3.070% | 1,900,000 | 1,889,362 | |
AmeriCredit Automobile Receivables Trust | ||||
Series 2022-1 Class A3 | ||||
11/18/2026 | 2.450% | 792,000 | 767,546 | |
Series 2022-2 Class A3 | ||||
04/18/2028 | 4.380% | 1,937,000 | 1,894,198 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2019-3A Class A | ||||
03/20/2026 | 2.360% | 1,653,000 | 1,537,561 | |
Series 2021-2A Class A | ||||
02/20/2028 | 1.660% | 4,254,000 | 3,687,590 | |
Series 2022-3 Class A | ||||
02/20/2027 | 4.620% | 3,653,000 | 3,568,308 | |
Series 2022-4A Class A | ||||
02/20/2029 | 4.770% | 1,812,000 | 1,739,819 | |
BA Credit Card Trust | ||||
Series 2022-A1 Class A1 | ||||
11/15/2027 | 3.530% | 3,861,000 | 3,754,543 | |
Series 2022-A2 Class A2 | ||||
04/17/2028 | 5.000% | 2,779,000 | 2,809,721 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Business Jet Securities LLC(a) | ||||
Series 2021-1A Class A | ||||
04/15/2036 | 2.162% | 1,762,006 | 1,547,136 | |
Subordinated Series 2021-1 Class B | ||||
04/15/2036 | 2.918% | 2,237,809 | 1,896,668 | |
Subordinated Series 2022-1A Class C | ||||
06/15/2037 | 6.413% | 4,977,002 | 4,617,052 | |
Capital One Multi-Asset Execution Trust | ||||
Series 2021-A2 Class A2 | ||||
07/15/2030 | 1.390% | 2,991,000 | 2,495,566 | |
Series 2022-A2 Class A | ||||
05/15/2027 | 3.490% | 2,773,000 | 2,697,311 | |
Series 2022-A3 Class A | ||||
10/15/2027 | 4.950% | 2,339,000 | 2,357,518 | |
Cars Net Lease Mortgage Notes(a) | ||||
Series 2020-1A Class A3 | ||||
12/15/2050 | 3.100% | 851,400 | 733,436 | |
Carvana Auto Receivables Trust(a) | ||||
Subordinated Series 2019-3A Class D | ||||
04/15/2025 | 3.040% | 3,688,921 | 3,638,752 | |
Chase Auto Owner Trust(a) | ||||
Series 2022-AA Class A4 | ||||
03/27/2028 | 3.990% | 1,305,000 | 1,259,950 | |
Chase Funding Trust(b) | ||||
Series 2003-2 Class 2A2 | ||||
1-month USD LIBOR + 0.560% Floor 0.560% 02/25/2033 | 4.949% | 500,782 | 474,893 | |
Chase Funding Trust(c) | ||||
Series 2003-4 Class 1A5 | ||||
05/25/2033 | 4.887% | 184,396 | 172,673 | |
Series 2003-6 Class 1A5 | ||||
11/25/2034 | 4.888% | 143,019 | 140,484 | |
Chase Issuance Trust | ||||
Series 2022-A1 Class A | ||||
09/15/2027 | 3.970% | 849,000 | 826,863 | |
College Ave Student Loans LLC(a),(b) | ||||
Series 2017-A Class A1 | ||||
1-month USD LIBOR + 1.650% Floor 1.650% 11/26/2046 | 6.039% | 661,709 | 637,393 | |
College Ave Student Loans LLC(a) | ||||
Series 2018-A Class A2 | ||||
12/26/2047 | 4.130% | 400,886 | 382,678 | |
Series 2019-A Class A2 | ||||
12/28/2048 | 3.280% | 998,826 | 932,865 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 9 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2021-A Class A2 | ||||
07/25/2051 | 1.600% | 2,295,672 | 1,940,379 | |
Consumer Receivables Asset Investment Trust(a),(b) | ||||
Series 2021-1 Class A1X | ||||
3-month USD LIBOR + 3.000% Floor 3.000% 03/24/2023 | 8.208% | 1,741,690 | 1,741,683 | |
COOF Securitization Trust Ltd.(a),(c),(d) | ||||
CMO Series 2014-1 Class A | ||||
06/25/2040 | 2.783% | 292,643 | 19,771 | |
Credit Acceptance Auto Loan Trust(a) | ||||
Series 2021-2A Class A | ||||
02/15/2030 | 0.960% | 1,250,000 | 1,198,818 | |
Series 2021-3A Class B | ||||
07/15/2030 | 1.380% | 4,162,000 | 3,808,056 | |
Subordinated Series 2020-1A Class B | ||||
04/16/2029 | 2.390% | 2,084,529 | 2,073,678 | |
Subordinated Series 2021-3A Class C | ||||
09/16/2030 | 1.630% | 1,504,000 | 1,365,763 | |
DataBank Issuer(a) | ||||
Series 2021-1A Class A2 | ||||
02/27/2051 | 2.060% | 2,850,000 | 2,468,526 | |
Diamond Resorts Owner Trust(a) | ||||
Subordinated Series 2021-1A Class D | ||||
11/21/2033 | 3.830% | 1,917,249 | 1,763,510 | |
Discover Card Execution Note Trust | ||||
Series 2022-A3 Class A3 | ||||
07/15/2027 | 3.560% | 5,968,000 | 5,782,812 | |
Drive Auto Receivables Trust | ||||
Subordinated Series 2020-2 Class C | ||||
08/17/2026 | 2.280% | 1,139,222 | 1,130,576 | |
DT Auto Owner Trust(a) | ||||
Subordinated Series 2019-4A Class C | ||||
07/15/2025 | 2.730% | 7,314 | 7,304 | |
Subordinated Series 2021-2A Class C | ||||
02/16/2027 | 1.100% | 2,104,000 | 1,996,745 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2022-3A Class E | ||||
01/15/2030 | 9.090% | 7,000,000 | 6,569,233 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2022-2A Class D | ||||
07/17/2028 | 4.560% | 6,035,000 | 5,601,405 | |
Subordinated Series 2022-5A Class D | ||||
02/15/2029 | 7.400% | 5,000,000 | 4,983,920 | |
Flagship Credit Auto Trust(a) | ||||
Series 2019-4 Class D | ||||
01/15/2026 | 3.120% | 3,600,000 | 3,443,381 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Credit Auto Lease Trust | ||||
Series 2022-A Class A3 | ||||
05/15/2025 | 3.230% | 3,804,000 | 3,729,804 | |
Series 2022-A Class A4 | ||||
07/15/2025 | 3.370% | 1,830,000 | 1,776,099 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2020-2 Class A | ||||
04/15/2033 | 1.060% | 1,379,000 | 1,236,053 | |
Series 2022-1 Class A | ||||
11/15/2034 | 3.880% | 6,426,000 | 6,153,938 | |
Ford Credit Auto Owner Trust | ||||
Series 2022-C Class A4 | ||||
12/15/2027 | 4.590% | 3,263,000 | 3,203,209 | |
Series 2022-D Class A4 | ||||
03/15/2028 | 5.300% | 917,000 | 916,285 | |
Foundation Finance Trust(a) | ||||
Series 2019-1A Class A | ||||
11/15/2034 | 3.860% | 293,480 | 287,390 | |
Series 2020-1A Class A | ||||
07/16/2040 | 3.540% | 1,463,781 | 1,402,903 | |
Foursight Capital Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-2 Class D | ||||
09/15/2027 | 1.920% | 850,000 | 785,496 | |
Franklin Limited Duration Income Trust(a),(c),(e),(f) | ||||
Series 2019-1 Class A | ||||
08/15/2024 | 5.500% | 29,432 | 27,960 | |
FREED ABS Trust(a) | ||||
Subordinated Series 2021-1CP Class B | ||||
03/20/2028 | 1.410% | 929,619 | 924,524 | |
Subordinated Series 2021-2 Class C | ||||
06/19/2028 | 1.940% | 2,300,000 | 2,235,122 | |
Subordinated Series 2021-3FP Class D | ||||
11/20/2028 | 2.370% | 2,230,000 | 2,028,868 | |
Subordinated Series 2022-1FP Class D | ||||
03/19/2029 | 3.350% | 4,150,000 | 3,839,851 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2021-1A Class D | ||||
01/15/2027 | 1.680% | 1,200,000 | 1,134,870 | |
Subordinated Series 2021-1A Class E | ||||
01/18/2028 | 3.140% | 7,240,000 | 6,690,433 | |
Subordinated Series 2021-3A Class D | ||||
07/15/2027 | 1.480% | 8,330,000 | 7,462,724 | |
GLS Auto Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class D | ||||
04/15/2027 | 1.420% | 2,250,000 | 2,067,466 | |
GM Financial Automobile Leasing Trust | ||||
Series 2022-2 Class A3 | ||||
06/20/2025 | 3.420% | 1,065,000 | 1,036,805 |
10 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2022-2 Class A4 | ||||
05/20/2026 | 3.540% | 2,113,000 | 2,043,695 | |
Series 2022-3 Class A4 | ||||
08/20/2026 | 4.110% | 2,739,000 | 2,691,115 | |
GM Financial Consumer Automobile Receivables Trust | ||||
Series 2022-2 Class A3 | ||||
02/16/2027 | 3.100% | 5,446,000 | 5,284,039 | |
Series 2022-2 Class A4 | ||||
04/17/2028 | 3.250% | 2,905,000 | 2,768,499 | |
Series 2022-4 Class A3 | ||||
08/16/2027 | 4.820% | 2,644,000 | 2,646,422 | |
Series 2022-4 Class A4 | ||||
08/16/2028 | 4.880% | 2,884,000 | 2,870,213 | |
GM Financial Revolving Receivables Trust(a) | ||||
Series 2022-1 Class A | ||||
10/11/2035 | 5.910% | 2,406,000 | 2,351,871 | |
Gold Key Resorts(a) | ||||
Series 2014-A Class A | ||||
03/17/2031 | 3.220% | 18,758 | 18,434 | |
Goodgreen Trust(a) | ||||
Series 2017-1A Class A | ||||
10/15/2052 | 3.740% | 169,427 | 156,945 | |
Series 2017-2A Class A | ||||
10/15/2053 | 3.260% | 880,602 | 791,152 | |
Series 2019-2A Class A | ||||
04/15/2055 | 2.760% | 1,203,677 | 1,035,112 | |
Goodgreen Trust(a),(e),(f) | ||||
Series 2017-R1A Class R | ||||
10/20/2052 | 5.000% | 790,829 | 636,142 | |
HERO Funding Trust(a) | ||||
Series 2016-3A Class A1 | ||||
09/20/2042 | 3.080% | 292,646 | 273,583 | |
Series 2017-1A Class A2 | ||||
09/20/2047 | 4.460% | 455,434 | 431,330 | |
Series 2017-3A Class A2 | ||||
09/20/2048 | 3.950% | 596,912 | 551,264 | |
Hertz Vehicle Financing III LLC(a) | ||||
Series 2022-1A Class A | ||||
06/25/2026 | 1.990% | 5,050,000 | 4,624,745 | |
Hertz Vehicle Financing III LP(a) | ||||
Series 2021-2A Class A | ||||
12/27/2027 | 1.680% | 2,318,000 | 2,007,708 | |
Hertz Vehicle Financing LLC(a) | ||||
Series 2022-2A Class A | ||||
06/26/2028 | 2.330% | 4,542,000 | 3,980,454 | |
Series 2022-4A Class A | ||||
09/25/2026 | 3.730% | 2,253,000 | 2,153,315 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2022-5A Class A | ||||
09/25/2028 | 3.890% | 4,542,000 | 4,167,179 | |
HGI CRE CLO Ltd.(a),(b) | ||||
Series 2022-FL3 Class D | ||||
30-day Average SOFR + 3.750% Floor 3.750% 04/19/2037 | 7.558% | 3,998,500 | 3,677,466 | |
Hilton Grand Vacations Trust(a) | ||||
Series 2017-AA Class A | ||||
12/26/2028 | 2.660% | 156,896 | 152,846 | |
Honda Auto Receivables Owner Trust | ||||
Series 2022-2 Class A4 | ||||
12/18/2028 | 3.760% | 1,247,000 | 1,188,991 | |
Hyundai Auto Lease Securitization Trust(a) | ||||
Series 2022-C Class A4 | ||||
08/17/2026 | 4.480% | 2,675,000 | 2,632,920 | |
Hyundai Auto Receivables Trust | ||||
Series 2021-C Class A4 | ||||
12/15/2027 | 1.030% | 1,650,000 | 1,478,447 | |
Series 2022-A Class A3 | ||||
10/15/2026 | 2.220% | 3,070,000 | 2,924,025 | |
Series 2022-C Class A3 | ||||
06/15/2027 | 5.390% | 2,288,000 | 2,313,025 | |
Series 2022-C Class A4 | ||||
10/16/2028 | 5.520% | 2,123,000 | 2,146,365 | |
LendingPoint Asset Securitization Trust(a) | ||||
Series 2020-REV1 Class C | ||||
10/15/2028 | 7.699% | 3,708,000 | 3,599,430 | |
Subordinated Series 2021-A Class B | ||||
12/15/2028 | 1.460% | 2,103,685 | 2,086,493 | |
Subordinated Series 2021-A Class C | ||||
12/15/2028 | 2.750% | 3,805,000 | 3,599,724 | |
Subordinated Series 2021-B Class B | ||||
02/15/2029 | 1.680% | 4,852,000 | 4,641,747 | |
Lendmark Funding Trust(a) | ||||
Subordinated Series 2019-2A Class D | ||||
04/20/2028 | 5.240% | 4,300,000 | 3,745,084 | |
Subordinated Series 2021-1A Class B | ||||
11/20/2031 | 2.470% | 1,625,000 | 1,314,374 | |
Subordinated Series 2021-1A Class C | ||||
11/20/2031 | 3.410% | 5,000,000 | 4,029,373 | |
LP LMS Asset Securitization Trust(a),(e),(f) | ||||
Subordinated Series 2021-2A Class B | ||||
01/15/2029 | 2.330% | 7,381,000 | 6,757,651 | |
LPMS(a),(e),(f) | ||||
Series 2021-1A Class B | ||||
04/15/2041 | 3.966% | 7,000,000 | 6,824,180 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 11 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mariner Finance Issuance Trust(a) | ||||
Series 2019-AA Class B | ||||
07/20/2032 | 3.510% | 2,115,000 | 2,027,039 | |
Series 2019-AA Class C | ||||
07/20/2032 | 4.010% | 5,560,000 | 5,148,022 | |
Series 2019-AA Class D | ||||
07/20/2032 | 5.440% | 6,000,000 | 5,341,159 | |
Subordinated Series 2022-AA Class D | ||||
10/20/2037 | 9.100% | 3,650,000 | 3,755,534 | |
Mercedes-Benz Auto Receivables Trust | ||||
Series 2022-1 Class A4 | ||||
02/15/2029 | 5.250% | 2,122,000 | 2,111,904 | |
Mercury Financial Credit Card Master Trust(a) | ||||
Series 2021-1A Class A | ||||
03/20/2026 | 1.540% | 2,470,000 | 2,364,560 | |
Mid-State Capital Corp. Trust(a) | ||||
Series 2006-1 Class M1 | ||||
10/15/2040 | 6.083% | 601,589 | 582,473 | |
Mission Lane Credit Card Master Trust(a) | ||||
Series 2021-A Class A | ||||
09/15/2026 | 1.590% | 4,395,000 | 4,241,397 | |
Navient Private Education Loan Trust(a),(b) | ||||
Series 2016-AA Class A2B | ||||
1-month USD LIBOR + 2.150% 12/15/2045 | 6.468% | 1,497,021 | 1,509,904 | |
Navient Private Education Loan Trust(a) | ||||
Series 2020-IA Class A1A | ||||
04/15/2069 | 1.330% | 4,101,442 | 3,473,877 | |
Navient Private Education Refi Loan Trust(a) | ||||
Series 2018-A Class A2 | ||||
02/18/2042 | 3.190% | 32,214 | 31,768 | |
Series 2018-CA Class A2 | ||||
06/16/2042 | 3.520% | 83,812 | 81,753 | |
Series 2018-DA Class A2A | ||||
12/15/2059 | 4.000% | 1,842,597 | 1,759,630 | |
Series 2019-A Class A2A | ||||
01/15/2043 | 3.420% | 1,067,699 | 1,016,708 | |
Series 2019-CA Class A2 | ||||
02/15/2068 | 3.130% | 703,671 | 663,721 | |
Series 2019-D Class A2A | ||||
12/15/2059 | 3.010% | 2,100,263 | 1,943,813 | |
Series 2019-FA Class A2 | ||||
08/15/2068 | 2.600% | 1,557,615 | 1,443,661 | |
Series 2020-BA Class A2 | ||||
01/15/2069 | 2.120% | 859,570 | 778,993 | |
Series 2020-EA Class A | ||||
05/15/2069 | 1.690% | 4,162,539 | 3,667,371 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2020-GA Class A | ||||
09/16/2069 | 1.170% | 1,920,483 | 1,653,341 | |
Series 2020-HA Class A | ||||
01/15/2069 | 1.310% | 1,259,475 | 1,117,578 | |
Series 2021-A Class A | ||||
05/15/2069 | 0.840% | 3,014,287 | 2,604,745 | |
Series 2021-BA Class A | ||||
07/15/2069 | 0.940% | 842,178 | 709,667 | |
Series 2021-CA Class A | ||||
10/15/2069 | 1.060% | 3,221,666 | 2,732,003 | |
Series 2021-EA Class A | ||||
12/16/2069 | 0.970% | 5,333,634 | 4,506,088 | |
Series 2021-FA Class A | ||||
02/18/2070 | 1.110% | 2,755,881 | 2,326,787 | |
Series 2021-GA Class A | ||||
04/15/2070 | 1.580% | 1,927,385 | 1,647,374 | |
Series 2022-A Class A | ||||
07/15/2070 | 2.230% | 6,666,272 | 5,784,353 | |
Navient Student Loan Trust(a) | ||||
Series 2019-BA Class A2A | ||||
12/15/2059 | 3.390% | 1,592,289 | 1,501,719 | |
Series 2021-3A Class A1A | ||||
08/25/2070 | 1.770% | 3,038,269 | 2,601,489 | |
Nelnet Student Loan Trust(b) | ||||
Series 2004-3 Class A5 | ||||
3-month USD LIBOR + 0.180% Floor 0.180% 10/27/2036 | 4.538% | 832,296 | 808,474 | |
Series 2004-4 Class A5 | ||||
3-month USD LIBOR + 0.160% Floor 0.160% 01/25/2037 | 4.518% | 1,504,921 | 1,472,921 | |
Series 2005-1 Class A5 | ||||
3-month USD LIBOR + 0.110% Floor 0.110% 10/25/2033 | 4.468% | 1,420,506 | 1,370,638 | |
Series 2005-2 Class A5 | ||||
3-month USD LIBOR + 0.100% Floor 0.100% 03/23/2037 | 4.853% | 3,444,094 | 3,340,601 | |
Series 2005-3 Class A5 | ||||
3-month USD LIBOR + 0.120% Floor 0.120% 12/24/2035 | 4.873% | 4,190,966 | 4,060,599 | |
Series 2005-4 Class A4 | ||||
3-month USD LIBOR + 0.180% Floor 0.180% 03/22/2032 | 4.933% | 336,487 | 327,084 |
12 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nissan Auto Lease Trust | ||||
Series 2022-A Class A3 | ||||
05/15/2025 | 3.810% | 3,654,000 | 3,591,408 | |
Nissan Auto Receivables Owner Trust | ||||
Series 2022-B Class A4 | ||||
11/15/2029 | 4.450% | 2,256,000 | 2,205,737 | |
Octane Receivables Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
04/20/2027 | 1.530% | 700,000 | 640,058 | |
Subordinated Series 2021-1A Class C | ||||
11/20/2028 | 2.230% | 600,000 | 545,889 | |
Oportun Funding XIV LLC(a) | ||||
Series 2021-1 Class A | ||||
03/08/2028 | 1.210% | 1,385,000 | 1,282,671 | |
Oportun Issuance Trust(a) | ||||
Subordinated Series 2022-A Class C | ||||
06/09/2031 | 7.400% | 5,250,000 | 4,783,751 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-1 Class B | ||||
11/15/2027 | 2.130% | 4,498,146 | 4,089,063 | |
PenFed Auto Receivables Owner Trust(a) | ||||
Series 2022-A Class A3 | ||||
04/15/2026 | 3.960% | 1,929,000 | 1,892,243 | |
Series 2022-A Class A4 | ||||
12/15/2028 | 4.180% | 948,000 | 931,674 | |
Regional Management Issuance Trust(a) | ||||
Subordinated Series 2021-2 Class D | ||||
08/15/2033 | 4.940% | 4,300,000 | 3,239,706 | |
Renew(a) | ||||
Series 2017-1A Class A | ||||
09/20/2052 | 3.670% | 217,070 | 196,271 | |
Santander Drive Auto Receivables Trust | ||||
Series 2022-2 Class A3 | ||||
10/15/2026 | 2.980% | 5,746,000 | 5,615,346 | |
Series 2022-3 Class A3 | ||||
12/15/2026 | 3.400% | 1,914,000 | 1,881,717 | |
Series 2022-4 Class A3 | ||||
02/16/2027 | 4.140% | 2,778,000 | 2,729,058 | |
Series 2022-5 Class A3 | ||||
08/17/2026 | 4.110% | 2,298,000 | 2,251,411 | |
Series 2022-6 Class A3 | ||||
11/16/2026 | 4.490% | 4,756,000 | 4,683,741 | |
Series 2022-7 Class A3 | ||||
04/15/2027 | 5.750% | 1,536,000 | 1,550,168 | |
SART(f) | ||||
Series 2017-1 Class X | ||||
11/17/2025 | 4.750% | 507,626 | 482,245 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SART(a),(f) | ||||
Series 2018-1 Class A | ||||
06/15/2025 | 4.750% | 699,737 | 657,753 | |
SCF Equipment Leasing LLC(a) | ||||
Subordinated Series 2021-1A Class F | ||||
08/20/2032 | 5.520% | 5,000,000 | 4,555,407 | |
Subordinated Series 2022-2A Class E | ||||
06/20/2035 | 6.500% | 4,484,000 | 3,458,641 | |
Sierra Timeshare Receivables Funding LLC(a) | ||||
Subordinated Series 2020-2A Class D | ||||
07/20/2037 | 6.590% | 4,546,396 | 4,347,531 | |
SLC Student Loan Trust(b) | ||||
Series 2010-1 Class A | ||||
3-month USD LIBOR + 0.875% Floor 0.875% 11/25/2042 | 5.574% | 345,506 | 343,001 | |
SMB Private Education Loan Trust(a),(b) | ||||
Series 2016-B Class A2B | ||||
1-month USD LIBOR + 1.450% 02/17/2032 | 5.768% | 400,832 | 397,916 | |
Series 2016-C Class A2B | ||||
1-month USD LIBOR + 1.100% Floor 1.100% 09/15/2034 | 5.418% | 548,877 | 546,710 | |
Series 2021-C Class A2 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 01/15/2053 | 5.118% | 3,689,008 | 3,496,915 | |
Series 2022-D Class A1B | ||||
30-day Average SOFR + 1.800% Floor 1.800% 10/15/2058 | 5.018% | 2,301,803 | 2,293,368 | |
SMB Private Education Loan Trust(a) | ||||
Series 2018-A Class A2A | ||||
02/15/2036 | 3.500% | 4,331,297 | 4,193,307 | |
Series 2018-C Class A2A | ||||
11/15/2035 | 3.630% | 1,543,376 | 1,454,010 | |
Series 2019-A Class A2A | ||||
07/15/2036 | 3.440% | 3,094,040 | 2,985,389 | |
Series 2020-BA Class A1A | ||||
07/15/2053 | 1.290% | 1,564,919 | 1,411,830 | |
Series 2020-PTA Class A2A | ||||
09/15/2054 | 1.600% | 2,423,698 | 2,153,052 | |
Series 2020-PTB Class A2A | ||||
09/15/2054 | 1.600% | 6,855,503 | 6,077,545 | |
Series 2021-A Class APT1 | ||||
01/15/2053 | 1.070% | 5,520,170 | 4,726,142 | |
Series 2021-B Class A | ||||
07/17/2051 | 1.310% | 1,549,052 | 1,385,842 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 13 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2021-D Class A1A | ||||
03/17/2053 | 1.340% | 4,217,768 | 3,726,343 | |
Series 2021-E Class A1A | ||||
02/15/2051 | 1.680% | 3,009,090 | 2,710,576 | |
Series 2022-C Class A1A | ||||
05/16/2050 | 4.480% | 1,697,492 | 1,633,927 | |
SoFi Professional Loan Program LLC(a) | ||||
Series 2017-D Class A2FX | ||||
09/25/2040 | 2.650% | 126,167 | 120,656 | |
Series 2017-E Class A2B | ||||
11/26/2040 | 2.720% | 175,289 | 173,964 | |
SoFi Professional Loan Program Trust(a) | ||||
Series 2020-C Class AFX | ||||
02/15/2046 | 1.950% | 287,420 | 261,025 | |
Series 2021-A Class AFX | ||||
08/17/2043 | 1.030% | 970,075 | 768,101 | |
Series 2021-B Class AFX | ||||
02/15/2047 | 1.140% | 2,221,779 | 1,753,808 | |
Synchrony Card Funding LLC | ||||
Series 2022-A1 Class A | ||||
04/15/2028 | 3.370% | 3,302,000 | 3,177,535 | |
Series 2022-A2 Class A | ||||
07/15/2028 | 3.860% | 2,830,000 | 2,760,494 | |
Theorem Funding Trust(a) | ||||
Series 2021-1A Class A | ||||
12/15/2027 | 1.210% | 1,372,161 | 1,349,814 | |
Series 2022-2A Class A | ||||
12/15/2028 | 6.060% | 2,954,914 | 2,903,058 | |
T-Mobile US Trust(a) | ||||
Series 2022-1A Class A | ||||
05/22/2028 | 4.910% | 3,521,000 | 3,507,910 | |
Toyota Auto Loan Extended Note Trust(a) | ||||
Series 2022-1A Class A | ||||
04/25/2035 | 3.820% | 2,281,000 | 2,181,796 | |
Toyota Auto Receivables Owner Trust | ||||
Series 2022-B Class A4 | ||||
08/16/2027 | 3.110% | 2,166,000 | 2,041,544 | |
Series 2022-C Class A4 | ||||
02/15/2028 | 3.770% | 2,089,000 | 1,993,125 | |
Series 2022-D Class A4 | ||||
04/17/2028 | 5.430% | 1,158,000 | 1,165,459 | |
Triton Container Finance VIII LLC(a) | ||||
Series 2020-1A Class A | ||||
09/20/2045 | 2.110% | 1,203,420 | 1,032,738 | |
United Auto Credit Securitization Trust(a) | ||||
Series 2022-2 Class E | ||||
04/10/2029 | 10.000% | 1,000,000 | 966,466 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST4 Class A | ||||
07/20/2027 | 2.000% | 2,546,090 | 2,354,386 | |
Series 2021-ST8 Class A | ||||
10/20/2029 | 1.750% | 2,612,405 | 2,424,419 | |
Upstart Securitization Trust(a) | ||||
Series 2021-1 Class A | ||||
03/20/2031 | 0.870% | 107,613 | 107,371 | |
Series 2021-1 Class B | ||||
03/20/2031 | 1.890% | 1,336,000 | 1,302,837 | |
US Auto Funding(a) | ||||
Subordinated Series 2021-1A Class B | ||||
03/17/2025 | 1.490% | 2,200,000 | 2,175,880 | |
Subordinated Series 2021-1A Class C | ||||
05/15/2026 | 2.200% | 6,000,000 | 5,751,187 | |
US Auto Funding Trust(a) | ||||
Subordinated Series 2022-1A Class D | ||||
07/15/2027 | 9.140% | 5,000,000 | 4,632,954 | |
Verizon Master Trust | ||||
Series 2022-2 Class A | ||||
07/20/2028 | 1.530% | 1,761,000 | 1,643,857 | |
Verizon Master Trust(c) | ||||
Series 2022-4 Class A | ||||
11/20/2028 | 3.400% | 3,777,000 | 3,658,648 | |
Series 2022-6 Class A | ||||
01/22/2029 | 3.670% | 3,392,000 | 3,285,370 | |
Veros Auto Receivables Trust(a) | ||||
Subordinated Series 2021-1 Class B | ||||
10/15/2026 | 1.490% | 2,800,000 | 2,641,643 | |
VM Debt LLC(a),(f) | ||||
Series 2019-1 Class A1A | ||||
07/18/2027 | 7.460% | 9,000,000 | 8,160,930 | |
VSE Voi Mortgage LLC(a) | ||||
Series 2018-A Class A | ||||
02/20/2036 | 3.560% | 252,064 | 243,854 | |
World Omni Automobile Lease Securitization Trust | ||||
Series 2022-A Class A3 | ||||
02/18/2025 | 3.210% | 2,042,000 | 2,003,728 | |
Series 2022-A Class A4 | ||||
06/15/2027 | 3.340% | 1,203,000 | 1,168,492 | |
Total Asset-Backed Securities — Non-Agency (Cost $530,239,131) | 497,878,790 | |||
Commercial Mortgage-Backed Securities - Agency 5.6% | ||||
Fannie Mae Multifamily REMIC Trust(c) | ||||
Series 2022-M10 Class A2 | ||||
01/25/2032 | 1.938% | 7,800,000 | 6,342,753 |
14 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae Multifamily REMIC Trust | ||||
Series 2022-M1S Class A2 | ||||
04/25/2032 | 2.081% | 8,700,000 | 7,161,105 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series 2017 K065 Class A2 | ||||
04/25/2027 | 3.243% | 1,408,000 | 1,326,368 | |
Series 2017 K065 Class AM | ||||
05/25/2027 | 3.326% | 755,000 | 717,616 | |
Series 2017 K066 Class A2 | ||||
06/25/2027 | 3.117% | 1,858,000 | 1,757,342 | |
Series K144 (FHLMC) | ||||
04/25/2032 | 2.450% | 2,320,000 | 1,960,035 | |
Series K145 Class A2 (FHLMC) | ||||
06/25/2055 | 2.580% | 2,320,000 | 1,980,452 | |
Series K145 Class AM (FHLMC) | ||||
06/25/2055 | 2.580% | 8,250,000 | 6,995,624 | |
Series K146 Class A2 (FHLMC) | ||||
06/25/2032 | 2.920% | 10,324,000 | 9,073,192 | |
Series KS07 Class A2 | ||||
09/25/2025 | 2.735% | 3,600,000 | 3,424,774 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) | ||||
Series 2017-K070 Class A2 | ||||
11/25/2027 | 3.303% | 1,311,000 | 1,246,289 | |
Series K081 Class A2 | ||||
08/25/2028 | 3.900% | 2,245,000 | 2,180,269 | |
Series K147 Class A2 (FHLMC) | ||||
06/25/2032 | 3.000% | 4,424,000 | 3,913,562 | |
Series KG07 Class A2 (FHLMC) | ||||
08/25/2032 | 3.123% | 2,313,000 | 2,063,532 | |
Series W5FX Class AFX | ||||
04/25/2028 | 3.214% | 1,256,000 | 1,165,152 | |
Federal National Mortgage Association | ||||
12/01/2025 | 3.765% | 6,535,680 | 6,398,092 | |
07/01/2026 | 4.450% | 2,434,313 | 2,421,637 | |
12/01/2026 | 3.240% | 1,500,000 | 1,426,451 | |
01/01/2027 | 3.710% | 2,888,300 | 2,794,556 | |
02/01/2027 | 3.340% | 1,000,000 | 956,632 | |
03/01/2027 | 2.910% | 3,282,100 | 3,080,748 | |
05/01/2027 | 2.430% | 2,307,670 | 2,114,659 | |
06/01/2027 | 2.370% | 4,550,000 | 4,153,377 | |
06/01/2027 | 3.000% | 1,949,870 | 1,832,503 | |
06/01/2028 | 3.570% | 2,787,000 | 2,650,717 | |
11/01/2028 | 1.800% | 7,300,000 | 6,291,556 | |
11/01/2028 | 4.250% | 549,586 | 544,375 | |
02/01/2029 | 3.740% | 1,515,000 | 1,455,271 | |
10/01/2029 | 3.121% | 2,227,408 | 2,075,563 | |
02/01/2030 | 2.570% | 2,526,033 | 2,251,978 | |
02/01/2030 | 2.920% | 2,684,309 | 2,438,726 | |
02/01/2030 | 3.550% | 1,000,000 | 935,591 | |
05/01/2030 | 3.420% | 8,944,364 | 8,380,404 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
06/01/2030 | 3.130% | 4,812,000 | 4,397,081 | |
07/01/2030 | 3.850% | 4,413,472 | 4,253,840 | |
02/01/2031 | 3.260% | 6,236,000 | 5,695,341 | |
01/01/2032 | 2.730% | 2,534,671 | 2,214,319 | |
01/01/2032 | 2.730% | 1,825,000 | 1,590,210 | |
01/01/2032 | 2.780% | 2,159,816 | 1,910,047 | |
01/01/2032 | 2.970% | 1,569,953 | 1,408,213 | |
02/01/2032 | 2.990% | 2,908,808 | 2,610,236 | |
05/01/2032 | 3.090% | 5,565,000 | 4,972,989 | |
06/01/2032 | 3.540% | 7,921,000 | 7,356,070 | |
11/01/2032 | 4.180% | 6,605,000 | 6,418,328 | |
11/01/2032 | 4.230% | 3,995,273 | 3,906,812 | |
11/01/2032 | 4.705% | 3,400,000 | 3,446,852 | |
12/01/2032 | 4.830% | 4,717,000 | 4,830,566 | |
11/01/2033 | 2.430% | 1,333,671 | 1,121,234 | |
12/01/2033 | 2.500% | 1,641,279 | 1,379,456 | |
04/01/2035 | 3.330% | 2,386,142 | 2,099,301 | |
10/01/2035 | 2.880% | 5,000,000 | 4,039,962 | |
Series 2015-M10 Class A2 | ||||
04/25/2027 | 3.092% | 8,126,570 | 7,683,440 | |
Series 2017-M5 Class A2 | ||||
04/25/2029 | 3.176% | 1,576,093 | 1,459,643 | |
Series 2017-T1 Class A | ||||
06/25/2027 | 2.898% | 2,763,164 | 2,586,026 | |
Series 2021-M3 Class 1A1 | ||||
11/25/2033 | 1.000% | 3,578,368 | 3,366,296 | |
Series 2022-M13 Class A2 | ||||
06/25/2032 | 2.593% | 13,271,000 | 11,490,176 | |
Federal National Mortgage Association(c) | ||||
06/01/2037 | 5.888% | 364,578 | 359,347 | |
CMO Series 2013-M13 Class A2 | ||||
04/25/2023 | 2.517% | 518,071 | 512,405 | |
CMO Series 2014-M3 Class A2 | ||||
01/25/2024 | 3.501% | 382,259 | 375,284 | |
CMO Series 2015-M11 Class A2 | ||||
04/25/2025 | 2.854% | 1,807,851 | 1,737,590 | |
Series 2017-M12 Class A2 | ||||
06/25/2027 | 3.062% | 1,660,350 | 1,557,172 | |
Series 2017-M7 Class A2 | ||||
02/25/2027 | 2.961% | 491,345 | 462,498 | |
Series 2018-M10 Class A2 | ||||
07/25/2028 | 3.358% | 2,683,000 | 2,557,981 | |
Series 2018-M3 Class A2 | ||||
02/25/2030 | 3.069% | 929,775 | 853,214 | |
Series 2018-M4 Class A2 | ||||
03/25/2028 | 3.056% | 1,319,931 | 1,228,700 | |
Series 2022-M3 Class A2 | ||||
11/25/2031 | 1.707% | 16,900,000 | 13,296,597 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 15 |
December 31, 2022
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c),(d) | ||||
Series 2021-M3 Class X1 | ||||
11/25/2033 | 1.943% | 36,192,966 | 3,234,486 | |
Freddie Mac Multiclass Certificates(c),(d) | ||||
Series 2021-P011 Class X1 | ||||
09/25/2045 | 1.793% | 20,828,680 | 2,603,389 | |
Freddie Mac Multifamily Certificates | ||||
Series K153 Class A2 | ||||
01/25/2033 | 3.820% | 5,800,000 | 5,451,915 | |
Freddie Mac Multifamily Structured Credit Risk(a),(b) | ||||
Series 2021-MN1 Class M2 | ||||
3-month Term SOFR + 3.750% 01/25/2051 | 7.297% | 1,000,000 | 893,074 | |
Freddie Mac Multifamily Structured Pass Through Certificates(c) | ||||
Series K-150 Class A2 | ||||
09/25/2032 | 3.710% | 13,100,000 | 12,276,002 | |
Freddie Mac Multifamily Structured Pass-Through Certificates(c),(d) | ||||
Series KL05 Class X1P (FHLMC) | ||||
06/25/2029 | 0.892% | 75,000,000 | 3,668,452 | |
FREMF Mortgage Trust(a),(c) | ||||
Subordinated Series 2015-K44 Class B | ||||
01/25/2048 | 3.719% | 3,410,000 | 3,244,014 | |
Subordinated Series 2016-K59 Class B | ||||
11/25/2049 | 3.579% | 2,383,000 | 2,288,120 | |
Subordinated Series 2016-K722 Class B | ||||
07/25/2049 | 3.949% | 1,400,000 | 1,389,793 | |
Subordinated Series 2019-K92 Class B | ||||
05/25/2052 | 4.198% | 6,000,000 | 5,413,771 | |
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 | 4.192% | 545,438 | 540,517 | |
CMO Series 2015-H15 Class FJ | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 06/20/2065 | 4.282% | 2,183,787 | 2,160,906 | |
CMO Series 2015-H16 Class FG | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 07/20/2065 | 4.282% | 2,050,083 | 2,026,302 | |
CMO Series 2015-H16 Class FL | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 07/20/2065 | 4.282% | 1,139,076 | 1,126,262 | |
CMO Series 2015-H18 Class FA | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 11.000% 06/20/2065 | 4.292% | 502,354 | 497,736 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(c) | ||||
CMO Series 2014-168 Class VB | ||||
06/16/2047 | 3.420% | 1,026,382 | 1,021,716 | |
Multifamily Connecticut Avenue Securities Trust(a),(b) | ||||
Subordinated Series 2020-01 Class M10 | ||||
1-month USD LIBOR + 3.750% Floor 3.750% 03/25/2050 | 8.139% | 6,008,000 | 5,548,651 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $289,018,022) | 270,073,233 | |||
Commercial Mortgage-Backed Securities - Non-Agency 6.0% | ||||
3650R Commercial Mortgage Trust | ||||
Series 2021-PF1 Class A5 | ||||
11/15/2054 | 2.522% | 1,397,000 | 1,136,139 | |
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 2,230,161 | 2,132,834 | |
Series 2014-SFR2 Class E | ||||
10/17/2036 | 6.231% | 500,000 | 486,262 | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 982,054 | 941,341 | |
Series 2014-SFR3 Class E | ||||
12/17/2036 | 6.418% | 1,000,000 | 982,810 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 1,071,619 | 1,011,183 | |
Series 2015-SFR1 Class E | ||||
04/17/2052 | 5.639% | 1,150,000 | 1,111,084 | |
Subordinated Series 2014-SFR3 Class C | ||||
12/17/2036 | 4.596% | 200,000 | 194,474 | |
Subordinated Series 2015-SFR2 Class D | ||||
10/17/2045 | 5.036% | 2,000,000 | 1,907,012 | |
Subordinated Series 2015-SFR2 Class E | ||||
10/17/2045 | 6.070% | 1,820,000 | 1,766,871 | |
AMSR Trust(a) | ||||
Series 2020-SFR5 Class D | ||||
11/17/2037 | 2.180% | 3,750,000 | 3,306,792 | |
Subordinated Series 2020-SFR2 Class C | ||||
07/17/2037 | 2.533% | 4,000,000 | 3,623,026 | |
Subordinated Series 2020-SFR3 Class E1 | ||||
09/17/2037 | 2.556% | 3,600,000 | 3,206,591 | |
Subordinated Series 2020-SFR4 Class E2 | ||||
11/17/2037 | 2.456% | 4,275,000 | 3,724,350 | |
Subordinated Series 2020-SFR5 Class F | ||||
11/17/2037 | 2.686% | 5,000,000 | 4,361,871 | |
Subordinated Series 2021-SFR2 Class D | ||||
08/17/2026 | 2.278% | 4,800,000 | 4,128,621 |
16 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-SFR2 Class E1 | ||||
08/17/2026 | 2.477% | 5,200,000 | 4,475,616 | |
Subordinated Series 2021-SFR3 Class E2 | ||||
10/17/2038 | 2.427% | 3,845,000 | 3,216,756 | |
Subordinated Series 2022-SFR1 Class F | ||||
03/17/2039 | 6.021% | 8,500,000 | 7,533,824 | |
AMSR Trust(a),(c) | ||||
Series 2021-SFR1 Class E1 | ||||
06/17/2038 | 2.751% | 2,250,000 | 1,741,884 | |
Series 2021-SFR1 Class E2 | ||||
06/17/2038 | 2.900% | 2,250,000 | 1,739,811 | |
AREIT Trust(a),(b) | ||||
Series 2021-CRE5 Class C | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 08/17/2026 | 6.589% | 8,000,000 | 7,451,394 | |
BANK(c) | ||||
Series 2022-BNK44 Class A5 | ||||
10/15/2032 | 5.746% | 2,095,000 | 2,181,353 | |
Barclays Commercial Mortgage Trust | ||||
Series 2019-C3 Class A3 | ||||
05/15/2052 | 3.319% | 2,208,000 | 1,989,289 | |
BBCMS Mortgage Trust | ||||
Series 2018-C2 Class ASB | ||||
12/15/2051 | 4.236% | 643,000 | 619,011 | |
BBCMS Mortgage Trust(c) | ||||
Series 2022-C18 Class A5 | ||||
12/15/2055 | 5.710% | 886,000 | 926,421 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 3,700,000 | 3,442,822 | |
Bear Stearns Commercial Mortgage Securities Trust(a),(c),(d) | ||||
CMO Series 2007-T26 Class X1 | ||||
01/12/2045 | 0.951% | 68,526 | 2 | |
Benchmark Mortgage Trust(c) | ||||
Series 2022-B35 Class A5 | ||||
05/15/2055 | 4.594% | 719,000 | 687,736 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2021-VOLT Class A | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 09/15/2036 | 5.018% | 6,056,000 | 5,833,567 | |
Series 2021-XL2 Class A | ||||
1-month USD LIBOR + 0.689% Floor 0.689% 10/15/2038 | 5.006% | 2,785,706 | 2,677,407 | |
Camden Property Trust(a),(f) | ||||
Series 2016-SFR1 Class A | ||||
12/05/2026 | 5.000% | 4,595,976 | 4,554,612 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CFCRE Commercial Mortgage Trust | ||||
Series 2017-C8 Class ASB | ||||
06/15/2050 | 3.367% | 776,081 | 744,989 | |
Citigroup Commercial Mortgage Trust | ||||
Series 2020-GC46 Class A5 | ||||
02/15/2053 | 2.717% | 6,215,000 | 5,246,141 | |
Citigroup Commercial Mortgage Trust(c) | ||||
Series 2022-GC48 Class A5 | ||||
05/15/2054 | 4.580% | 1,743,000 | 1,677,585 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust(a),(c),(d) | ||||
CMO Series 2006-CD2 Class X | ||||
01/15/2046 | 0.023% | 825,238 | 1 | |
Comm Mortgage Trust(c) | ||||
Series 2013-CR13 Class A4 | ||||
11/10/2046 | 4.194% | 943,000 | 926,459 | |
COMM Mortgage Trust(c) | ||||
Series 2013-CR10 Class A4 | ||||
08/10/2046 | 4.210% | 36,000 | 35,756 | |
COMM Mortgage Trust | ||||
Series 2013-CR11 Class A4 | ||||
08/10/2050 | 4.258% | 6,921,000 | 6,807,957 | |
Series 2013-CR6 Class A4 | ||||
03/10/2046 | 3.101% | 1,608,392 | 1,603,227 | |
Series 2014-UBS4 Class A4 | ||||
08/10/2047 | 3.420% | 1,700,000 | 1,643,944 | |
Series 2015-LC19 Class A3 | ||||
02/10/2048 | 2.922% | 4,425,760 | 4,245,006 | |
Series 2015-LC23 Class A3 | ||||
10/10/2048 | 3.521% | 1,565,000 | 1,485,152 | |
COMM Mortgage Trust(a),(c) | ||||
Series 2018-HOME Class A | ||||
04/10/2033 | 3.815% | 3,125,000 | 2,837,689 | |
COMM Mortgage Trust(a) | ||||
Series 2020-CBM Class A2 | ||||
02/10/2037 | 2.896% | 4,000,000 | 3,668,447 | |
Subordinated Series 2020-CBM Class C | ||||
02/10/2037 | 3.402% | 3,480,000 | 3,119,211 | |
Commercial Mortgage Trust(a) | ||||
Series 2013-300P Class A1 | ||||
08/10/2030 | 4.353% | 2,000,000 | 1,933,780 | |
Commercial Mortgage Trust(a),(c) | ||||
Series 2013-SFS Class A2 | ||||
04/12/2035 | 2.987% | 624,000 | 615,960 | |
Commercial Mortgage Trust | ||||
Series 2014-CR19 Class ASB | ||||
08/10/2047 | 3.499% | 381,838 | 373,874 | |
Series 2014-UBS2 Class A5 | ||||
03/10/2047 | 3.961% | 1,396,375 | 1,364,687 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 17 |
December 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2015-CR25 Class A4 | ||||
08/10/2048 | 3.759% | 2,187,000 | 2,082,242 | |
CoreVest American Finance Trust(a) | ||||
Series 2019-3 Class A | ||||
10/15/2052 | 2.705% | 1,253,443 | 1,189,041 | |
Subordinated Series 2019-1 Class B | ||||
03/15/2052 | 3.880% | 1,960,000 | 1,897,758 | |
CSAIL Commercial Mortgage Trust | ||||
Series 2019-C16 Class A2 | ||||
06/15/2052 | 3.067% | 1,046,000 | 914,235 | |
Series 2021-C20 Class A3 | ||||
03/15/2054 | 2.805% | 856,000 | 712,611 | |
EQUS Mortgage Trust(a),(b) | ||||
Series 2021-EQAZ Class A | ||||
1-month USD LIBOR + 0.755% Floor 0.755% 10/15/2038 | 5.073% | 2,370,952 | 2,282,159 | |
FirstKey Homes Trust(a) | ||||
Subordinated Series 2020-SFR1 Class D | ||||
08/17/2037 | 2.241% | 3,600,000 | 3,215,081 | |
Subordinated Series 2021-SFR1 Class E2 | ||||
08/17/2038 | 2.489% | 6,000,000 | 5,004,897 | |
Subordinated Series 2021-SFR1 Class F1 | ||||
08/17/2038 | 3.238% | 4,800,000 | 4,047,664 | |
Subordinated Series 2021-SFR2 Class E2 | ||||
09/17/2038 | 2.358% | 5,600,000 | 4,601,177 | |
Subordinated Series 2022-SFR2 Class E1 | ||||
07/17/2039 | 4.500% | 6,800,000 | 5,891,918 | |
Freddie Mac Multifamily Structured Credit Risk(a),(b) | ||||
Series 2021-MN1 Class M1 | ||||
30-day Average SOFR + 3.000% 01/25/2051 | 5.928% | 3,152,052 | 2,949,815 | |
Series 2021-MN2 Class M2 | ||||
30-day Average SOFR + 3.350% 07/25/2041 | 6.897% | 7,250,000 | 6,260,400 | |
Series 2022-MN4 Class M1 | ||||
30-day Average SOFR + 4.250% 05/25/2052 | 8.194% | 3,975,560 | 3,913,164 | |
Series 2022-MN4 Class M2 | ||||
30-day Average SOFR + 6.500% 05/25/2052 | 10.444% | 2,500,000 | 2,456,160 | |
FREMF Mortgage Trust(a),(c) | ||||
Series 2020-K737 Class B | ||||
01/25/2053 | 3.305% | 4,000,000 | 3,653,796 | |
FRTKL(a) | ||||
Subordinated CMO Series 2021-SFR1 Class E1 | ||||
09/17/2038 | 2.372% | 3,709,000 | 3,084,650 | |
Subordinated CMO Series 2021-SFR1 Class E2 | ||||
09/17/2038 | 2.522% | 2,781,000 | 2,306,459 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-SFR1 Class F | ||||
09/17/2038 | 3.171% | 4,400,000 | 3,610,583 | |
GS Mortgage Securities Trust | ||||
Series 2013-GC14 Class A5 | ||||
08/10/2046 | 4.243% | 1,209,000 | 1,197,021 | |
Series 2014-GC18 Class A4 | ||||
01/10/2047 | 4.074% | 3,217,000 | 3,147,701 | |
Series 2015-GC32 Class A3 | ||||
07/10/2048 | 3.498% | 1,028,451 | 980,827 | |
Series 2015-GC32 Class AAB | ||||
07/10/2048 | 3.513% | 3,688,869 | 3,576,778 | |
Series 2020-GC47 Class A5 | ||||
05/12/2053 | 2.377% | 978,000 | 799,746 | |
Series 2020-GSA2 Class A4 | ||||
12/12/2053 | 1.721% | 3,042,000 | 2,386,396 | |
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust(a) | ||||
Series 2010-1 Class A1 | ||||
01/25/2051 | 5.314% | 1,384,921 | 1,348,381 | |
Independence Plaza Trust(a) | ||||
Series 2018-INDP Class A | ||||
07/10/2035 | 3.763% | 2,060,000 | 1,923,341 | |
JPMBB Commercial Mortgage Securities Trust | ||||
Series 2013-C12 Class A5 | ||||
07/15/2045 | 3.664% | 1,929,000 | 1,892,729 | |
Series 2013-C17 Class A4 | ||||
01/15/2047 | 4.199% | 605,000 | 595,183 | |
Series 2014-C23 Class A4 | ||||
09/15/2047 | 3.670% | 485,836 | 469,617 | |
Series 2015-C28 Class A3 | ||||
10/15/2048 | 2.912% | 2,443,579 | 2,305,908 | |
JPMorgan Chase Commercial Mortgage Securities Trust(c),(d) | ||||
CMO Series 2006-CB15 Class X1 | ||||
06/12/2043 | 0.296% | 873,932 | 3,047 | |
JPMorgan Chase Commercial Mortgage Securities Trust | ||||
Series 2013-C16 Class A4 | ||||
12/15/2046 | 4.166% | 2,645,000 | 2,607,690 | |
KGS-Alpha SBA COOF Trust(a),(c),(d) | ||||
CMO Series 2012-2 Class A | ||||
08/25/2038 | 0.716% | 826,427 | 12,895 | |
CMO Series 2013-2 Class A | ||||
03/25/2039 | 1.620% | 1,327,719 | 38,828 | |
CMO Series 2014-2 Class A | ||||
04/25/2040 | 3.162% | 344,521 | 21,834 | |
Ladder Capital Commercial Mortgage Trust(a) | ||||
Series 2013-GCP Class A2 | ||||
02/15/2036 | 3.985% | 1,535,000 | 1,367,037 |
18 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Med Trust(a),(b) | ||||
Series 2021-MDLN Class A | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 11/15/2038 | 5.268% | 3,683,000 | 3,544,448 | |
Morgan Stanley Capital I Trust(a),(c),(d) | ||||
CMO Series 2006-T21 Class X | ||||
10/12/2052 | 0.062% | 1,795,157 | 3 | |
Morgan Stanley Capital I Trust(c) | ||||
Series 2018-L1 Class A4 | ||||
10/15/2051 | 4.407% | 888,000 | 839,563 | |
Morgan Stanley Capital I Trust | ||||
Series 2019-L2 Class A3 | ||||
03/15/2052 | 3.806% | 1,425,000 | 1,300,878 | |
Series 2020-HR8 Class A3 | ||||
07/15/2053 | 1.790% | 1,424,000 | 1,130,954 | |
MRCD MARK Mortgage Trust(a) | ||||
Series 2019-PARK Class A | ||||
12/15/2036 | 2.718% | 4,000,000 | 3,676,780 | |
Series 2019-PARK Class D | ||||
12/15/2036 | 2.718% | 2,375,000 | 2,104,951 | |
New Residential Mortgage Loan Trust(a) | ||||
Subordinated Series 2022-SFR1 Class E1 | ||||
02/17/2039 | 3.550% | 7,036,000 | 6,107,309 | |
Progress Residential Trust(a) | ||||
Series 2021-SFR5 Class E1 | ||||
07/17/2038 | 2.209% | 8,435,000 | 7,023,884 | |
Series 2021-SFR6 Class E1 | ||||
07/17/2038 | 2.425% | 5,000,000 | 4,203,182 | |
Subordinated Series 2021-SFR2 Class E2 | ||||
04/19/2038 | 2.647% | 4,750,000 | 4,013,971 | |
Subordinated Series 2021-SFR5 Class E2 | ||||
07/17/2038 | 2.359% | 4,730,000 | 3,916,685 | |
Subordinated Series 2021-SFR7 Class E1 | ||||
08/17/2040 | 2.591% | 2,500,000 | 1,924,183 | |
Subordinated Series 2021-SFR8 Class D | ||||
10/17/2038 | 2.082% | 6,000,000 | 4,936,391 | |
Subordinated Series 2021-SFR9 Class E2 | ||||
11/17/2040 | 3.010% | 2,899,000 | 2,260,798 | |
Subordinated Series 2022-SFR1 Class F | ||||
02/17/2041 | 4.880% | 7,000,000 | 5,316,620 | |
Subordinated Series 2022-SFR3 Class F | ||||
04/17/2039 | 6.600% | 5,560,000 | 4,952,208 | |
Progress Residential Trust(a),(g) | ||||
Subordinated Series 2020-SFR2 Class GREG | ||||
06/17/2037 | 0.000% | 5,154,026 | 4,248,832 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Progress Residential Trust | ||||
Subordinated Series 2022-SFR2 Class E1 | ||||
04/17/2027 | 4.550% | 3,100,000 | 2,650,033 | |
RBS Commercial Funding, Inc., Trust(a) | ||||
Series 2013-SMV Class A | ||||
03/11/2031 | 3.260% | 797,000 | 792,168 | |
SLG Office Trust(a) | ||||
Series 2021-OVA Class A | ||||
07/15/2041 | 2.585% | 5,710,000 | 4,579,312 | |
Starwood Waypoint Homes Trust(e),(f) | ||||
Series 2019-STL Class A | ||||
10/11/2026 | 7.250% | 2,300,000 | 2,213,750 | |
TPI Re-REMIC Trust(a),(g) | ||||
Series 2022-FRR1 Class DK33 | ||||
07/25/2046 | 0.000% | 3,500,000 | 3,250,974 | |
Series 2022-FRR1 Class DK34 | ||||
07/25/2046 | 0.000% | 7,175,000 | 6,664,497 | |
Series 2022-FRR1 Class DK35 | ||||
08/25/2046 | 0.000% | 2,639,000 | 2,451,234 | |
UBS-Barclays Commercial Mortgage Trust | ||||
Series 2013-C6 Class A4 | ||||
04/10/2046 | 3.244% | 577,670 | 568,053 | |
Wachovia Bank Commercial Mortgage Trust(a),(c),(d) | ||||
CMO Series 2004-C12 Class | ||||
07/15/2041 | 0.662% | 771,174 | 1,652 | |
CMO Series 2006-C24 Class XC | ||||
03/15/2045 | 0.000% | 428,166 | 4 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2021-SAVE Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 02/15/2040 | 5.468% | 2,368,002 | 2,211,315 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $325,275,591) | 293,056,032 | |||
Convertible Bonds 0.0% | ||||
Banking 0.0% | ||||
ING Groep NV(h) | ||||
12/31/2049 | 3.875% | 1,500,000 | 1,095,055 | |
Westpac Banking Corp. | ||||
Subordinated | ||||
07/24/2039 | 4.421% | 346,000 | 286,326 | |
Total | 1,381,381 | |||
Total Convertible Bonds (Cost $1,846,000) | 1,381,381 | |||
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 19 |
December 31, 2022
Corporate Bonds & Notes 27.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.5% | ||||
Airbus Group SE(a) | ||||
04/10/2027 | 3.150% | 409,000 | 380,244 | |
04/10/2047 | 3.950% | 150,000 | 122,330 | |
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 417,000 | 322,879 | |
09/15/2050 | 3.000% | 209,000 | 137,107 | |
Boeing Co. (The) | ||||
02/04/2026 | 2.196% | 3,213,000 | 2,920,365 | |
05/01/2026 | 3.100% | 1,700,000 | 1,598,271 | |
05/01/2027 | 5.040% | 495,000 | 489,826 | |
03/01/2028 | 3.250% | 998,000 | 893,308 | |
02/01/2035 | 3.250% | 1,040,000 | 789,849 | |
02/01/2050 | 3.750% | 1,856,000 | 1,279,344 | |
05/01/2060 | 5.930% | 2,411,000 | 2,213,954 | |
Lockheed Martin Corp. | ||||
11/15/2027 | 5.100% | 2,364,000 | 2,421,194 | |
05/15/2036 | 4.500% | 400,000 | 381,063 | |
11/15/2054 | 5.700% | 1,891,000 | 2,005,381 | |
11/15/2063 | 5.900% | 945,000 | 1,020,710 | |
Northrop Grumman Corp. | ||||
05/01/2030 | 4.400% | 3,027,000 | 2,912,211 | |
Raytheon Technologies Corp. | ||||
03/15/2024 | 3.200% | 175,000 | 171,163 | |
04/15/2047 | 4.350% | 180,000 | 154,420 | |
Spirit AeroSystems, Inc.(a) | ||||
04/15/2025 | 7.500% | 420,000 | 415,044 | |
11/30/2029 | 9.375% | 168,000 | 177,044 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 685,000 | 677,001 | |
TransDigm, Inc. | ||||
11/15/2027 | 5.500% | 685,000 | 643,253 | |
United Technologies Corp. | ||||
11/16/2028 | 4.125% | 378,000 | 362,248 | |
06/01/2042 | 4.500% | 153,000 | 137,691 | |
05/15/2045 | 4.150% | 199,000 | 165,933 | |
11/01/2046 | 3.750% | 450,000 | 350,405 | |
Total | 23,142,238 | |||
Agencies 0.0% | ||||
Crowley Conro LLC | ||||
08/15/2043 | 4.181% | 634,214 | 621,492 | |
Airlines 0.4% | ||||
Air Canada Pass-Through Trust(a) | ||||
05/15/2025 | 4.125% | 1,368,090 | 1,241,286 | |
Series 2017-1 Class A | ||||
01/15/2030 | 3.550% | 432,589 | 340,178 | |
Series 2017-1 Class AA | ||||
01/15/2030 | 3.300% | 305,357 | 258,297 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Airlines Pass-Through Trust | ||||
Series 2016-3 Class AA | ||||
10/15/2028 | 3.000% | 1,266,655 | 1,095,696 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 900,000 | 865,496 | |
04/20/2029 | 5.750% | 2,545,000 | 2,328,319 | |
British Airways Pass-Through Trust(a) | ||||
Series 2018-1 Class A | ||||
09/20/2031 | 4.125% | 478,198 | 401,951 | |
Series 2018-1 Class AA | ||||
09/20/2031 | 3.800% | 344,590 | 312,627 | |
Series 2019-1 Class AA | ||||
12/15/2032 | 3.300% | 583,328 | 495,421 | |
Continental Airlines Pass-Through Trust | ||||
10/29/2024 | 4.000% | 99,915 | 95,041 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2028 | 4.750% | 4,999,000 | 4,708,604 | |
Spirit Airlines Pass-Through Trust | ||||
02/15/2030 | 3.375% | 230,667 | 191,399 | |
United Airlines Pass-Through Trust | ||||
Series 2016-2 Class A | ||||
04/07/2030 | 3.100% | 1,037,323 | 804,760 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 1,040,000 | 968,629 | |
United Airlines, Inc. Pass-Through Trust | ||||
08/15/2025 | 4.300% | 182,742 | 168,447 | |
03/01/2026 | 4.600% | 224,631 | 203,397 | |
Series 2016-1 Class AA | ||||
07/07/2028 | 3.100% | 588,936 | 520,615 | |
Series 2016-1 Class B | ||||
01/07/2026 | 3.650% | 80,510 | 72,017 | |
Series 2018-1 Class A | ||||
03/01/2030 | 3.700% | 1,452,359 | 1,201,528 | |
Series 2018-1 Class AA | ||||
03/01/2030 | 3.500% | 663,473 | 570,597 | |
Series 2019-1 Class A | ||||
08/25/2031 | 4.550% | 774,110 | 637,499 | |
Series 2019-1 Class AA | ||||
08/25/2031 | 4.150% | 865,992 | 763,261 | |
Total | 18,245,065 | |||
Apartment REIT 0.2% | ||||
American Homes 4 Rent LP | ||||
04/15/2032 | 3.625% | 1,631,000 | 1,366,390 | |
04/15/2052 | 4.300% | 731,000 | 540,102 | |
ERP Operating LP | ||||
12/01/2028 | 4.150% | 164,000 | 154,293 |
20 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Essex Portfolio LP | ||||
03/01/2028 | 1.700% | 2,134,000 | 1,779,930 | |
01/15/2031 | 1.650% | 307,000 | 228,648 | |
06/15/2031 | 2.550% | 841,000 | 665,241 | |
03/15/2032 | 2.650% | 295,000 | 233,136 | |
Invitation Homes Operating Partnership LP | ||||
08/15/2031 | 2.000% | 282,000 | 208,137 | |
04/15/2032 | 4.150% | 1,620,000 | 1,413,966 | |
Mid-America Apartments LP | ||||
10/15/2023 | 4.300% | 836,000 | 829,637 | |
11/15/2025 | 4.000% | 1,001,000 | 972,649 | |
03/15/2029 | 3.950% | 818,000 | 773,169 | |
UDR, Inc. | ||||
09/01/2026 | 2.950% | 363,000 | 333,681 | |
01/15/2030 | 3.200% | 188,000 | 163,107 | |
08/15/2031 | 3.000% | 115,000 | 95,984 | |
08/01/2032 | 2.100% | 266,000 | 197,553 | |
Total | 9,955,623 | |||
Automotive 0.7% | ||||
Adient Global Holdings Ltd.(a) | ||||
08/15/2026 | 4.875% | 1,055,000 | 981,835 | |
Allison Transmission, Inc.(a) | ||||
06/01/2029 | 5.875% | 1,030,000 | 967,117 | |
American Axle & Manufacturing, Inc. | ||||
04/01/2027 | 6.500% | 1,805,000 | 1,636,474 | |
BMW US Capital LLC(a) | ||||
09/15/2023 | 2.250% | 245,000 | 240,202 | |
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 741,000 | 744,534 | |
Daimler Trucks Finance North America LLC(a) | ||||
04/07/2025 | 3.500% | 400,000 | 383,784 | |
Dana, Inc. | ||||
06/15/2028 | 5.625% | 1,060,000 | 964,303 | |
Ford Motor Co. | ||||
01/15/2043 | 4.750% | 182,000 | 131,675 | |
Ford Motor Credit Co. LLC | ||||
11/13/2025 | 3.375% | 2,205,000 | 1,997,233 | |
01/08/2026 | 4.389% | 1,685,000 | 1,576,134 | |
08/10/2026 | 2.700% | 1,569,000 | 1,362,517 | |
01/09/2027 | 4.271% | 201,000 | 182,238 | |
08/17/2027 | 4.125% | 2,245,000 | 2,006,140 | |
02/10/2029 | 2.900% | 1,547,000 | 1,234,984 | |
05/03/2029 | 5.113% | 2,055,000 | 1,863,623 | |
06/17/2031 | 3.625% | 700,000 | 551,113 | |
General Motors Co. | ||||
10/15/2029 | 5.400% | 2,227,000 | 2,129,795 | |
10/15/2032 | 5.600% | 456,000 | 425,239 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
General Motors Financial Co., Inc. | ||||
10/15/2024 | 1.200% | 830,000 | 768,845 | |
04/07/2025 | 3.800% | 195,000 | 188,363 | |
01/08/2026 | 1.250% | 714,000 | 629,443 | |
01/08/2031 | 2.350% | 477,000 | 360,268 | |
06/10/2031 | 2.700% | 400,000 | 307,574 | |
01/12/2032 | 3.100% | 914,000 | 717,930 | |
Goodyear Tire & Rubber Co. (The) | ||||
05/31/2025 | 9.500% | 385,000 | 398,138 | |
07/15/2029 | 5.000% | 630,000 | 525,514 | |
04/30/2031 | 5.250% | 495,000 | 415,466 | |
07/15/2031 | 5.250% | 695,000 | 568,780 | |
Hyundai Capital America(a) | ||||
01/08/2024 | 0.800% | 748,000 | 712,230 | |
10/15/2025 | 1.800% | 208,000 | 187,313 | |
01/08/2026 | 1.300% | 2,262,000 | 1,980,524 | |
06/15/2026 | 1.500% | 1,710,000 | 1,486,832 | |
02/10/2027 | 3.000% | 315,000 | 282,524 | |
10/15/2027 | 2.375% | 218,000 | 186,439 | |
01/10/2028 | 1.800% | 331,000 | 271,166 | |
06/15/2028 | 2.000% | 845,000 | 690,128 | |
Nissan Motor Co., Ltd.(a) | ||||
09/17/2027 | 4.345% | 762,000 | 690,608 | |
09/17/2030 | 4.810% | 454,000 | 385,597 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 556,000 | 544,053 | |
Toyota Motor Credit Corp. | ||||
11/10/2027 | 5.450% | 550,000 | 563,001 | |
Total | 32,239,676 | |||
Banking 7.5% | ||||
ABN AMRO Bank NV(a),(h) | ||||
12/13/2029 | 2.470% | 600,000 | 486,251 | |
Subordinated | ||||
03/13/2037 | 3.324% | 1,000,000 | 726,761 | |
AIB Group PLC(a) | ||||
10/12/2023 | 4.750% | 577,000 | 570,548 | |
AIB Group PLC(a),(h) | ||||
04/10/2025 | 4.263% | 655,000 | 633,964 | |
American Express Co. | ||||
11/05/2027 | 5.850% | 1,200,000 | 1,246,729 | |
Subordinated | ||||
12/05/2024 | 3.625% | 170,000 | 165,626 | |
ANZ New Zealand International Ltd.(a) | ||||
02/13/2030 | 2.550% | 298,000 | 246,407 | |
ASB Bank Ltd.(a) | ||||
05/23/2024 | 3.125% | 293,000 | 284,518 | |
Australia & New Zealand Banking Group Ltd.(a) | ||||
Subordinated | ||||
05/19/2026 | 4.400% | 226,000 | 216,542 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 21 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banco Santander SA | ||||
05/28/2025 | 2.746% | 400,000 | 374,504 | |
08/18/2025 | 5.147% | 200,000 | 198,069 | |
03/25/2026 | 1.849% | 400,000 | 355,162 | |
08/18/2027 | 5.294% | 3,000,000 | 2,926,700 | |
Subordinated | ||||
12/03/2030 | 2.749% | 200,000 | 153,137 | |
Banco Santander SA(h) | ||||
09/14/2027 | 1.722% | 200,000 | 170,967 | |
Subordinated | ||||
11/22/2032 | 3.225% | 1,600,000 | 1,211,322 | |
Bank of America Corp.(h) | ||||
07/23/2024 | 3.864% | 250,000 | 247,784 | |
10/01/2025 | 3.093% | 737,000 | 706,093 | |
12/06/2025 | 1.530% | 7,885,000 | 7,273,866 | |
03/11/2027 | 1.658% | 6,741,000 | 5,956,869 | |
07/22/2027 | 1.734% | 6,109,000 | 5,354,747 | |
02/04/2028 | 2.551% | 1,545,000 | 1,372,095 | |
04/24/2028 | 3.705% | 1,800,000 | 1,668,127 | |
12/20/2028 | 3.419% | 5,067,000 | 4,595,929 | |
02/13/2031 | 2.496% | 1,689,000 | 1,372,154 | |
07/23/2031 | 1.898% | 715,000 | 549,725 | |
04/22/2032 | 2.687% | 14,431,000 | 11,545,842 | |
10/20/2032 | 2.572% | 5,315,000 | 4,169,379 | |
02/04/2033 | 2.972% | 2,190,000 | 1,765,830 | |
07/22/2033 | 5.015% | 1,964,000 | 1,863,406 | |
06/19/2041 | 2.676% | 4,775,000 | 3,226,104 | |
Bank of America NA | ||||
Subordinated | ||||
10/15/2036 | 6.000% | 350,000 | 358,840 | |
Bank of Montreal(h) | ||||
Subordinated | ||||
12/15/2032 | 3.803% | 199,000 | 175,336 | |
Bank of New York Mellon Corp. (The) | ||||
08/16/2023 | 2.200% | 375,000 | 368,871 | |
Bank of Nova Scotia (The) | ||||
04/11/2025 | 3.450% | 1,150,000 | 1,108,228 | |
Subordinated | ||||
12/16/2025 | 4.500% | 260,000 | 255,078 | |
Banque Federative du Credit Mutuel SA(a) | ||||
07/20/2023 | 3.750% | 300,000 | 297,694 | |
07/13/2025 | 4.524% | 2,260,000 | 2,220,462 | |
10/04/2026 | 1.604% | 745,000 | 648,196 | |
Barclays PLC(h) | ||||
12/10/2024 | 1.007% | 577,000 | 549,296 | |
08/09/2026 | 5.304% | 690,000 | 685,259 | |
11/02/2028 | 7.385% | 4,701,000 | 4,889,692 | |
11/02/2033 | 7.437% | 2,819,000 | 2,967,730 | |
BBVA USA | ||||
08/27/2024 | 2.500% | 307,000 | 294,529 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BNP Paribas SA(a),(h) | ||||
06/09/2026 | 2.219% | 289,000 | 266,266 | |
01/13/2027 | 1.323% | 230,000 | 201,011 | |
01/13/2031 | 3.052% | 341,000 | 280,897 | |
Subordinated | ||||
08/12/2035 | 2.588% | 488,000 | 357,829 | |
BPCE SA(a) | ||||
01/20/2026 | 1.000% | 401,000 | 351,463 | |
Subordinated | ||||
07/11/2024 | 4.625% | 300,000 | 291,417 | |
BPCE SA(a),(h) | ||||
10/06/2026 | 1.652% | 284,000 | 252,452 | |
01/20/2032 | 2.277% | 855,000 | 641,367 | |
Subordinated | ||||
10/19/2032 | 3.116% | 1,900,000 | 1,385,166 | |
BPCE SA | ||||
12/02/2026 | 3.375% | 700,000 | 656,408 | |
Capital One Financial Corp. | ||||
01/29/2024 | 3.900% | 367,000 | 362,377 | |
Subordinated | ||||
10/29/2025 | 4.200% | 239,000 | 231,009 | |
Capital One Financial Corp.(h) | ||||
11/02/2027 | 1.878% | 450,000 | 393,509 | |
Citigroup, Inc.(h) | ||||
04/24/2025 | 3.352% | 645,000 | 625,305 | |
05/24/2025 | 4.140% | 730,000 | 718,849 | |
01/25/2026 | 2.014% | 5,025,000 | 4,653,057 | |
04/08/2026 | 3.106% | 2,000,000 | 1,891,679 | |
09/29/2026 | 5.610% | 2,511,000 | 2,517,928 | |
06/09/2027 | 1.462% | 1,040,000 | 902,705 | |
02/24/2028 | 3.070% | 690,000 | 622,599 | |
05/24/2028 | 4.658% | 480,000 | 464,107 | |
07/24/2028 | 3.668% | 1,140,000 | 1,047,010 | |
04/23/2029 | 4.075% | 500,000 | 461,097 | |
03/20/2030 | 3.980% | 1,300,000 | 1,173,933 | |
01/29/2031 | 2.666% | 2,000,000 | 1,640,857 | |
11/03/2032 | 2.520% | 2,275,000 | 1,766,358 | |
05/24/2033 | 4.910% | 2,400,000 | 2,249,937 | |
11/17/2033 | 6.270% | 4,646,000 | 4,794,419 | |
01/24/2039 | 3.878% | 1,735,000 | 1,435,876 | |
Citigroup, Inc. | ||||
12/01/2025 | 7.000% | 765,000 | 796,826 | |
10/21/2026 | 3.200% | 1,616,000 | 1,497,973 | |
01/15/2028 | 6.625% | 215,000 | 230,252 | |
Citizens Bank NA | ||||
03/29/2023 | 3.700% | 250,000 | 249,313 | |
Citizens Financial Group, Inc. | ||||
02/06/2030 | 2.500% | 188,000 | 151,185 | |
Comerica, Inc. | ||||
02/01/2029 | 4.000% | 239,000 | 223,686 |
22 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Commonwealth Bank of Australia(a) | ||||
Subordinated | ||||
03/11/2041 | 3.305% | 530,000 | 360,126 | |
Cooperatieve Rabobank UA(a),(h) | ||||
04/06/2028 | 3.649% | 4,923,000 | 4,547,002 | |
04/06/2033 | 3.758% | 3,016,000 | 2,576,199 | |
Cooperatieve Rabobank UA | ||||
Subordinated | ||||
08/04/2025 | 4.375% | 589,000 | 574,723 | |
07/21/2026 | 3.750% | 712,000 | 670,545 | |
Credit Agricole SA(a),(h) | ||||
06/16/2026 | 1.907% | 1,130,000 | 1,030,304 | |
01/26/2027 | 1.247% | 1,790,000 | 1,567,719 | |
Subordinated | ||||
01/10/2033 | 4.000% | 1,634,000 | 1,423,669 | |
Credit Agricole SA(a) | ||||
Subordinated | ||||
03/17/2025 | 4.375% | 340,000 | 328,233 | |
01/14/2030 | 3.250% | 685,000 | 561,080 | |
01/11/2041 | 2.811% | 250,000 | 155,491 | |
Credit Suisse AG | ||||
04/09/2025 | 2.950% | 925,000 | 834,485 | |
Credit Suisse Group AG(a),(h) | ||||
09/11/2025 | 2.593% | 770,000 | 682,002 | |
06/05/2026 | 2.193% | 580,000 | 495,498 | |
02/02/2027 | 1.305% | 1,390,000 | 1,105,634 | |
01/12/2029 | 3.869% | 250,000 | 199,845 | |
11/15/2033 | 9.016% | 3,350,000 | 3,446,164 | |
Credit Suisse Group Funding Guernsey Ltd. | ||||
06/09/2023 | 3.800% | 650,000 | 633,091 | |
03/26/2025 | 3.750% | 250,000 | 225,765 | |
Deutsche Bank AG(h) | ||||
11/24/2026 | 2.129% | 945,000 | 833,590 | |
01/07/2028 | 2.552% | 250,000 | 212,840 | |
Subordinated | ||||
01/07/2033 | 3.742% | 4,088,000 | 2,926,523 | |
Deutsche Bank AG/New York(h) | ||||
09/18/2024 | 2.222% | 1,995,000 | 1,926,364 | |
DNB Bank ASA(a),(h) | ||||
03/30/2028 | 1.605% | 685,000 | 579,316 | |
Federation des Caisses Desjardins du Quebec(a) | ||||
02/10/2025 | 2.050% | 682,000 | 634,449 | |
Fifth Third Bancorp | ||||
01/25/2024 | 3.650% | 179,000 | 176,365 | |
Goldman Sachs Group, Inc. (The)(h) | ||||
09/10/2024 | 0.657% | 4,254,000 | 4,093,353 | |
10/21/2024 | 0.925% | 6,316,000 | 6,064,763 | |
09/29/2025 | 3.272% | 302,000 | 290,419 | |
03/09/2027 | 1.431% | 2,635,000 | 2,305,502 | |
10/21/2027 | 1.948% | 2,105,000 | 1,837,077 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/24/2028 | 2.640% | 1,700,000 | 1,512,543 | |
03/15/2028 | 3.615% | 770,000 | 714,932 | |
06/05/2028 | 3.691% | 1,301,000 | 1,208,587 | |
04/22/2032 | 2.615% | 7,705,000 | 6,140,245 | |
07/21/2032 | 2.383% | 3,630,000 | 2,813,957 | |
02/24/2033 | 3.102% | 2,270,000 | 1,851,050 | |
02/24/2043 | 3.436% | 200,000 | 147,377 | |
Goldman Sachs Group, Inc. (The) | ||||
01/23/2025 | 3.500% | 197,000 | 190,613 | |
11/16/2026 | 3.500% | 900,000 | 845,479 | |
01/26/2027 | 3.850% | 723,000 | 688,399 | |
02/07/2030 | 2.600% | 546,000 | 455,776 | |
Subordinated | ||||
10/21/2025 | 4.250% | 181,000 | 177,044 | |
HSBC Holdings PLC(h) | ||||
05/18/2024 | 3.950% | 224,000 | 222,082 | |
11/03/2026 | 7.336% | 4,878,000 | 5,073,387 | |
11/22/2027 | 2.251% | 2,215,000 | 1,918,774 | |
03/13/2028 | 4.041% | 1,007,000 | 928,754 | |
08/11/2028 | 5.210% | 2,050,000 | 1,974,168 | |
09/22/2028 | 2.013% | 2,500,000 | 2,086,418 | |
11/03/2028 | 7.390% | 2,767,000 | 2,904,044 | |
08/17/2029 | 2.206% | 1,330,000 | 1,074,201 | |
08/18/2031 | 2.357% | 1,420,000 | 1,087,811 | |
05/24/2032 | 2.804% | 3,240,000 | 2,501,033 | |
11/22/2032 | 2.871% | 1,830,000 | 1,401,368 | |
08/11/2033 | 5.402% | 922,000 | 856,471 | |
ING Groep NV(h) | ||||
03/28/2026 | 3.869% | 298,000 | 286,047 | |
04/01/2027 | 1.726% | 275,000 | 242,233 | |
ING Groep NV(a),(h) | ||||
07/01/2026 | 1.400% | 317,000 | 284,708 | |
Intesa Sanpaolo SpA(a),(h) | ||||
Subordinated | ||||
06/01/2042 | 4.950% | 2,956,000 | 1,916,891 | |
JPMorgan Chase & Co.(h) | ||||
12/10/2025 | 1.561% | 12,437,000 | 11,507,614 | |
11/19/2026 | 1.045% | 2,635,000 | 2,326,521 | |
02/04/2027 | 1.040% | 8,502,000 | 7,403,289 | |
04/22/2027 | 1.578% | 2,103,000 | 1,850,950 | |
09/22/2027 | 1.470% | 2,115,000 | 1,828,119 | |
04/26/2028 | 4.323% | 1,385,000 | 1,320,335 | |
06/01/2028 | 2.182% | 2,603,000 | 2,272,348 | |
06/14/2030 | 4.565% | 2,147,000 | 2,027,340 | |
07/25/2033 | 4.912% | 1,778,000 | 1,691,413 | |
Lloyds Banking Group PLC(h) | ||||
03/18/2026 | 3.511% | 290,000 | 275,694 | |
08/11/2026 | 4.716% | 3,689,000 | 3,603,626 | |
05/11/2027 | 1.627% | 356,000 | 307,903 | |
08/11/2033 | 4.976% | 2,081,000 | 1,908,506 | |
Lloyds Banking Group PLC | ||||
03/22/2028 | 4.375% | 392,000 | 371,007 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 23 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
12/10/2025 | 4.582% | 300,000 | 289,731 | |
Macquarie Bank Ltd.(a) | ||||
07/29/2025 | 4.000% | 327,000 | 318,183 | |
01/15/2026 | 3.900% | 370,000 | 357,302 | |
Macquarie Bank Ltd.(a),(h) | ||||
Subordinated | ||||
03/03/2036 | 3.052% | 280,000 | 203,145 | |
Macquarie Group Ltd.(a),(h) | ||||
01/12/2027 | 1.340% | 196,000 | 170,308 | |
01/15/2030 | 5.033% | 390,000 | 368,175 | |
Mitsubishi UFJ Financial Group, Inc. | ||||
07/26/2023 | 3.761% | 228,000 | 226,230 | |
09/13/2023 | 2.527% | 384,000 | 376,369 | |
03/07/2024 | 3.407% | 257,000 | 251,310 | |
02/25/2025 | 2.193% | 709,000 | 663,807 | |
07/17/2030 | 2.048% | 549,000 | 433,203 | |
07/18/2039 | 3.751% | 242,000 | 195,979 | |
Mitsubishi UFJ Financial Group, Inc.(h) | ||||
09/12/2025 | 5.063% | 3,535,000 | 3,512,496 | |
07/20/2027 | 1.538% | 420,000 | 364,655 | |
07/20/2032 | 2.309% | 1,771,000 | 1,365,561 | |
07/20/2033 | 5.133% | 1,258,000 | 1,202,678 | |
Mizuho Financial Group, Inc.(h) | ||||
05/25/2026 | 2.226% | 392,000 | 360,777 | |
05/22/2027 | 1.234% | 385,000 | 333,269 | |
09/13/2028 | 5.414% | 1,165,000 | 1,164,045 | |
09/13/2030 | 2.869% | 219,000 | 182,825 | |
Morgan Stanley(h) | ||||
01/25/2024 | 0.529% | 523,000 | 519,773 | |
01/22/2025 | 0.791% | 5,420,000 | 5,132,924 | |
04/17/2025 | 3.620% | 855,000 | 833,965 | |
05/30/2025 | 0.790% | 5,476,000 | 5,102,364 | |
10/21/2025 | 0.864% | 467,000 | 429,262 | |
04/28/2026 | 2.188% | 1,680,000 | 1,559,044 | |
12/10/2026 | 0.985% | 4,322,000 | 3,793,000 | |
07/20/2027 | 1.512% | 3,306,000 | 2,871,108 | |
04/20/2028 | 4.210% | 2,952,000 | 2,803,937 | |
07/22/2028 | 3.591% | 889,000 | 817,120 | |
01/24/2029 | 3.772% | 333,000 | 304,777 | |
01/23/2030 | 4.431% | 1,547,000 | 1,444,239 | |
02/13/2032 | 1.794% | 4,653,000 | 3,487,655 | |
04/28/2032 | 1.928% | 5,000,000 | 3,777,706 | |
10/20/2032 | 2.511% | 1,380,000 | 1,078,589 | |
01/21/2033 | 2.943% | 291,000 | 236,012 | |
10/18/2033 | 6.342% | 4,641,000 | 4,855,347 | |
04/22/2039 | 4.457% | 215,000 | 188,800 | |
Morgan Stanley | ||||
07/23/2025 | 4.000% | 700,000 | 684,044 | |
01/27/2045 | 4.300% | 170,000 | 144,523 | |
National Australia Bank Ltd.(a) | ||||
Subordinated | ||||
08/21/2030 | 2.332% | 1,000,000 | 759,511 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
National Australia Bank Ltd.(a),(h) | ||||
Subordinated | ||||
08/02/2034 | 3.933% | 935,000 | 787,724 | |
Nationwide Building Society(a) | ||||
08/28/2025 | 1.000% | 203,000 | 180,384 | |
NatWest Group PLC(h) | ||||
11/10/2026 | 7.472% | 855,000 | 890,293 | |
NatWest Markets PLC(a) | ||||
09/29/2026 | 1.600% | 1,530,000 | 1,328,258 | |
Nordea Bank Abp(a) | ||||
09/22/2027 | 5.375% | 200,000 | 200,907 | |
Northern Trust Corp.(h) | ||||
Subordinated | ||||
05/08/2032 | 3.375% | 231,000 | 210,314 | |
PNC Bank NA | ||||
Subordinated | ||||
01/30/2023 | 2.950% | 285,000 | 284,561 | |
PNC Financial Services Group, Inc. (The)(h) | ||||
10/28/2033 | 6.037% | 2,796,000 | 2,922,609 | |
Royal Bank of Canada | ||||
10/05/2023 | 3.700% | 341,000 | 337,675 | |
08/03/2027 | 4.240% | 2,865,000 | 2,793,877 | |
Royal Bank of Scotland Group PLC(h) | ||||
03/22/2025 | 4.269% | 340,000 | 332,065 | |
05/22/2028 | 3.073% | 576,000 | 514,457 | |
05/08/2030 | 4.445% | 208,000 | 188,833 | |
Subordinated | ||||
11/01/2029 | 3.754% | 273,000 | 253,296 | |
Royal Bank of Scotland Group PLC | ||||
04/05/2026 | 4.800% | 375,000 | 366,666 | |
Santander UK Group Holdings PLC(h) | ||||
11/21/2026 | 6.833% | 3,721,000 | 3,772,356 | |
06/14/2027 | 1.673% | 2,071,000 | 1,756,174 | |
01/11/2028 | 2.469% | 420,000 | 359,214 | |
Santander UK Group Holdings PLC(a) | ||||
Subordinated | ||||
09/15/2025 | 4.750% | 640,000 | 613,970 | |
Societe Generale SA(a) | ||||
01/22/2025 | 2.625% | 857,000 | 805,854 | |
01/22/2030 | 3.000% | 354,000 | 288,555 | |
Subordinated | ||||
04/14/2025 | 4.250% | 900,000 | 864,031 | |
Societe Generale SA(a),(h) | ||||
12/14/2026 | 1.488% | 2,401,000 | 2,092,206 | |
01/19/2028 | 2.797% | 1,910,000 | 1,668,449 | |
06/09/2032 | 2.889% | 1,240,000 | 954,503 | |
SouthTrust Bank | ||||
Subordinated | ||||
05/15/2025 | 7.690% | 250,000 | 260,978 |
24 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Standard Chartered PLC(a),(h) | ||||
11/16/2025 | 7.776% | 700,000 | 722,065 | |
01/30/2026 | 2.819% | 494,000 | 459,556 | |
01/14/2027 | 1.456% | 460,000 | 399,564 | |
11/16/2028 | 7.767% | 1,600,000 | 1,695,454 | |
Subordinated | ||||
03/15/2033 | 4.866% | 239,000 | 209,975 | |
Sumitomo Mitsui Financial Group, Inc. | ||||
07/08/2025 | 1.474% | 563,000 | 513,044 | |
07/14/2026 | 2.632% | 201,000 | 184,095 | |
10/19/2026 | 3.010% | 297,000 | 275,250 | |
07/16/2029 | 3.040% | 769,000 | 667,118 | |
SunTrust Bank | ||||
Subordinated | ||||
05/15/2026 | 3.300% | 200,000 | 188,124 | |
SunTrust Banks, Inc. | ||||
05/01/2025 | 4.000% | 191,000 | 186,988 | |
Truist Financial Corp.(h) | ||||
10/28/2033 | 6.123% | 1,309,000 | 1,375,638 | |
U.S. Bancorp | ||||
Subordinated | ||||
04/27/2026 | 3.100% | 251,000 | 237,286 | |
UBS Group AG(a),(h) | ||||
01/30/2027 | 1.364% | 358,000 | 313,654 | |
08/05/2027 | 4.703% | 5,567,000 | 5,390,892 | |
08/10/2027 | 1.494% | 3,564,000 | 3,065,546 | |
05/12/2028 | 4.751% | 1,880,000 | 1,801,094 | |
08/13/2030 | 3.126% | 4,930,000 | 4,163,416 | |
02/11/2033 | 2.746% | 2,500,000 | 1,933,920 | |
08/05/2033 | 4.988% | 914,000 | 846,155 | |
02/11/2043 | 3.179% | 520,000 | 351,663 | |
UBS Group Funding Switzerland AG(a) | ||||
09/24/2025 | 4.125% | 399,000 | 388,346 | |
UniCredit SpA(a),(h) | ||||
09/22/2026 | 2.569% | 1,095,000 | 969,192 | |
Wells Fargo & Co. | ||||
09/29/2025 | 3.550% | 682,000 | 656,043 | |
Subordinated | ||||
06/03/2026 | 4.100% | 265,000 | 256,047 | |
06/14/2046 | 4.400% | 238,000 | 190,166 | |
Wells Fargo & Co.(h) | ||||
02/11/2026 | 2.164% | 273,000 | 254,754 | |
04/25/2026 | 3.908% | 855,000 | 830,412 | |
06/17/2027 | 3.196% | 1,727,000 | 1,603,217 | |
03/24/2028 | 3.526% | 8,873,000 | 8,225,961 | |
06/02/2028 | 2.393% | 491,000 | 433,021 | |
07/25/2028 | 4.808% | 928,000 | 904,642 | |
02/11/2031 | 2.572% | 2,845,000 | 2,353,058 | |
07/25/2033 | 4.897% | 2,530,000 | 2,395,936 | |
04/30/2041 | 3.068% | 4,687,000 | 3,350,677 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Westpac Banking Corp. | ||||
05/13/2026 | 2.850% | 170,000 | 159,203 | |
11/20/2028 | 1.953% | 200,000 | 170,316 | |
Westpac Banking Corp.(h) | ||||
Subordinated | ||||
02/04/2030 | 2.894% | 1,630,000 | 1,494,364 | |
11/23/2031 | 4.322% | 600,000 | 562,340 | |
Total | 364,107,832 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
Blackstone Holdings Finance Co. LLC(a) | ||||
04/22/2033 | 6.200% | 2,801,000 | 2,824,206 | |
Brookfield Finance LLC | ||||
04/15/2050 | 3.450% | 211,000 | 133,796 | |
Brookfield Finance, Inc. | ||||
03/29/2029 | 4.850% | 385,000 | 367,684 | |
09/20/2047 | 4.700% | 76,000 | 60,772 | |
Invesco Finance PLC | ||||
01/15/2026 | 3.750% | 193,000 | 185,285 | |
LPL Holdings, Inc.(a) | ||||
03/15/2029 | 4.000% | 495,000 | 430,745 | |
LSEGA Financing PLC(a) | ||||
04/06/2028 | 2.000% | 721,000 | 614,048 | |
Nomura Holdings, Inc. | ||||
01/16/2025 | 2.648% | 354,000 | 334,343 | |
07/16/2030 | 2.679% | 290,000 | 232,017 | |
Total | 5,182,896 | |||
Building Materials 0.1% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 885,000 | 788,975 | |
Builders FirstSource, Inc.(a) | ||||
02/01/2032 | 4.250% | 1,280,000 | 1,042,081 | |
Cemex SAB de CV(a) | ||||
07/11/2031 | 3.875% | 200,000 | 169,241 | |
CRH America Finance, Inc.(a) | ||||
05/09/2027 | 3.400% | 311,000 | 288,970 | |
Masco Corp. | ||||
10/01/2030 | 2.000% | 400,000 | 310,441 | |
08/15/2032 | 6.500% | 184,000 | 187,426 | |
PGT Innovations, Inc.(a) | ||||
10/01/2029 | 4.375% | 785,000 | 657,546 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 630,000 | 562,745 | |
Standard Industries, Inc.(a) | ||||
01/15/2028 | 4.750% | 1,590,000 | 1,430,821 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 25 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Summit Materials LLC/Finance Corp.(a) | ||||
01/15/2029 | 5.250% | 1,020,000 | 950,261 | |
Total | 6,388,507 | |||
Cable and Satellite 1.0% | ||||
Altice Financing SA(a) | ||||
01/15/2028 | 5.000% | 600,000 | 484,908 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 1,215,000 | 1,133,737 | |
06/01/2029 | 5.375% | 4,990,000 | 4,510,587 | |
03/01/2030 | 4.750% | 4,595,000 | 3,968,646 | |
02/01/2031 | 4.250% | 1,160,000 | 931,335 | |
Charter Communications Operating LLC/Capital | ||||
04/01/2038 | 5.375% | 286,000 | 240,320 | |
06/01/2041 | 3.500% | 488,000 | 320,918 | |
03/01/2042 | 3.500% | 4,129,000 | 2,667,758 | |
03/01/2050 | 4.800% | 392,000 | 286,838 | |
04/01/2051 | 3.700% | 430,000 | 261,764 | |
06/01/2052 | 3.900% | 970,000 | 611,800 | |
Comcast Corp. | ||||
03/01/2026 | 3.150% | 212,000 | 201,987 | |
11/15/2027 | 5.350% | 1,867,000 | 1,908,317 | |
02/01/2030 | 2.650% | 1,020,000 | 880,679 | |
02/15/2031 | 1.500% | 1,109,000 | 863,440 | |
11/15/2032 | 5.500% | 4,746,000 | 4,940,792 | |
08/15/2034 | 4.200% | 400,000 | 369,510 | |
03/01/2038 | 3.900% | 2,000,000 | 1,733,944 | |
11/01/2039 | 3.250% | 218,000 | 170,168 | |
04/01/2040 | 3.750% | 259,000 | 213,846 | |
11/01/2049 | 3.999% | 170,000 | 135,413 | |
02/01/2050 | 3.450% | 181,000 | 132,028 | |
11/01/2051 | 2.887% | 1,087,000 | 703,469 | |
11/01/2052 | 4.049% | 1,058,000 | 851,233 | |
11/01/2056 | 2.937% | 2,445,000 | 1,533,567 | |
11/01/2063 | 2.987% | 1,342,000 | 817,109 | |
Cox Communications, Inc.(a) | ||||
10/01/2030 | 1.800% | 402,000 | 304,286 | |
10/01/2050 | 2.950% | 290,000 | 173,942 | |
CSC Holdings LLC | ||||
06/01/2024 | 5.250% | 970,000 | 904,138 | |
CSC Holdings LLC(a) | ||||
02/01/2029 | 6.500% | 2,847,000 | 2,335,895 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 1,025,000 | 919,190 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 2,105,000 | 1,963,328 | |
07/01/2026 | 7.750% | 2,380,000 | 1,920,675 | |
Hughes Satellite Systems Corp. | ||||
08/01/2026 | 6.625% | 1,185,000 | 1,106,097 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sirius XM Radio, Inc.(a) | ||||
08/01/2027 | 5.000% | 1,855,000 | 1,716,508 | |
07/15/2028 | 4.000% | 795,000 | 690,166 | |
07/01/2029 | 5.500% | 1,235,000 | 1,128,297 | |
TCI Communications, Inc. | ||||
02/15/2028 | 7.125% | 415,000 | 453,412 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 205,000 | 194,401 | |
06/15/2039 | 6.750% | 477,000 | 454,366 | |
Videotron Ltd.(a) | ||||
06/15/2024 | 5.375% | 960,000 | 952,773 | |
04/15/2027 | 5.125% | 690,000 | 651,967 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 910,000 | 817,788 | |
Total | 47,561,342 | |||
Chemicals 0.4% | ||||
Air Liquide Finance SA(a) | ||||
09/27/2023 | 2.250% | 315,000 | 308,289 | |
Air Products & Chemicals, Inc. | ||||
05/15/2027 | 1.850% | 566,000 | 504,132 | |
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 625,000 | 614,757 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 1,435,000 | 1,326,044 | |
Braskem Idesa SAPI(a) | ||||
02/20/2032 | 6.990% | 247,000 | 176,542 | |
Chemours Co. (The)(a) | ||||
11/15/2028 | 5.750% | 1,595,000 | 1,432,177 | |
Chevron Phillips Chemical Co. LLC /LP(a) | ||||
04/01/2025 | 5.125% | 346,000 | 345,377 | |
CVR Partners LP/Nitrogen Finance Corp.(a) | ||||
06/15/2028 | 6.125% | 820,000 | 736,912 | |
Dow Chemical Co. (The) | ||||
11/01/2029 | 7.375% | 2,155,000 | 2,395,370 | |
05/15/2053 | 6.900% | 887,000 | 967,601 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 1,460,000 | 1,246,231 | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 990,000 | 895,464 | |
International Flavors & Fragrances, Inc.(a) | ||||
10/15/2027 | 1.832% | 302,000 | 253,168 | |
11/15/2040 | 3.268% | 172,000 | 122,593 | |
12/01/2050 | 3.468% | 390,000 | 264,873 | |
LYB International Finance III LLC | ||||
10/01/2025 | 1.250% | 368,000 | 328,968 |
26 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nutrien Ltd. | ||||
04/01/2029 | 4.200% | 155,000 | 145,665 | |
03/15/2035 | 4.125% | 239,000 | 206,097 | |
04/01/2049 | 5.000% | 220,000 | 197,208 | |
Olin Corp. | ||||
08/01/2029 | 5.625% | 455,000 | 431,436 | |
PPG Industries, Inc. | ||||
03/15/2026 | 1.200% | 213,000 | 188,821 | |
Rohm and Haas Co. | ||||
07/15/2029 | 7.850% | 1,127,000 | 1,255,195 | |
Trinseo Materials Operating SCA/Finance, Inc.(a) | ||||
09/01/2025 | 5.375% | 1,210,000 | 996,440 | |
Union Carbide Corp. | ||||
10/01/2096 | 7.750% | 920,000 | 1,045,754 | |
WR Grace Holdings LLC(a) | ||||
10/01/2024 | 5.625% | 805,000 | 795,502 | |
Total | 17,180,616 | |||
Construction Machinery 0.3% | ||||
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 1,020,000 | 950,943 | |
John Deere Capital Corp. | ||||
03/08/2027 | 2.350% | 2,119,000 | 1,932,805 | |
09/15/2027 | 4.150% | 4,460,000 | 4,378,829 | |
10/11/2029 | 4.850% | 1,558,000 | 1,558,573 | |
United Rentals North America, Inc. | ||||
01/15/2028 | 4.875% | 2,150,000 | 2,037,148 | |
01/15/2030 | 5.250% | 765,000 | 718,470 | |
02/15/2031 | 3.875% | 1,055,000 | 887,887 | |
Total | 12,464,655 | |||
Consumer Cyclical Services 0.2% | ||||
ADT Security Corp. (The)(a) | ||||
07/15/2032 | 4.875% | 580,000 | 493,372 | |
Allied Universal Holdco LLC/Finance Corp./Atlas Luxco 4 Sarl(a) | ||||
06/01/2028 | 4.625% | 920,000 | 770,378 | |
06/01/2028 | 4.625% | 910,000 | 752,081 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 1,295,000 | 1,015,690 | |
Booking Holdings, Inc. | ||||
03/15/2023 | 2.750% | 321,000 | 319,596 | |
Ford Foundation (The) | ||||
06/01/2070 | 2.815% | 440,000 | 260,525 | |
Garda World Security Corp(a) | ||||
02/15/2027 | 4.625% | 1,050,000 | 928,586 | |
Prime Security Services Borrower LLC/Finance, Inc.(a) | ||||
04/15/2026 | 5.750% | 1,980,000 | 1,907,906 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Service Corp. International | ||||
06/01/2029 | 5.125% | 980,000 | 922,554 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 1,140,000 | 981,343 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 985,000 | 986,405 | |
Total | 9,338,436 | |||
Consumer Products 0.4% | ||||
ACCO Brands Corp.(a) | ||||
03/15/2029 | 4.250% | 1,285,000 | 1,060,634 | |
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 800,000 | 689,981 | |
Central Garden & Pet Co. | ||||
10/15/2030 | 4.125% | 1,255,000 | 1,032,759 | |
Edgewell Personal Care Co.(a) | ||||
06/01/2028 | 5.500% | 1,055,000 | 987,679 | |
Energizer Holdings, Inc.(a) | ||||
06/15/2028 | 4.750% | 1,745,000 | 1,518,670 | |
GSK Consumer Healthcare Capital US LLC | ||||
03/24/2027 | 3.375% | 2,130,000 | 1,984,575 | |
03/24/2029 | 3.375% | 847,000 | 762,024 | |
03/24/2032 | 3.625% | 3,190,000 | 2,810,498 | |
03/24/2052 | 4.000% | 307,000 | 239,869 | |
Mattel, Inc.(a) | ||||
04/01/2029 | 3.750% | 645,000 | 566,919 | |
Mead Johnson Nutrition Co. | ||||
06/01/2044 | 4.600% | 350,000 | 314,043 | |
Natura Cosmeticos SA(a) | ||||
05/03/2028 | 4.125% | 300,000 | 244,998 | |
Newell Brands, Inc. | ||||
09/15/2029 | 6.625% | 1,080,000 | 1,065,968 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 860,000 | 812,333 | |
Scotts Miracle-Gro Co. (The) | ||||
10/15/2029 | 4.500% | 1,635,000 | 1,324,445 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 1,465,000 | 1,281,486 | |
Tempur Sealy International, Inc.(a) | ||||
04/15/2029 | 4.000% | 1,370,000 | 1,150,305 | |
Valvoline, Inc.(a) | ||||
02/15/2030 | 4.250% | 825,000 | 804,952 | |
Total | 18,652,138 | |||
Diversified Manufacturing 0.3% | ||||
Amsted Industries, Inc.(a) | ||||
07/01/2027 | 5.625% | 850,000 | 811,908 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 27 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BWX Technologies, Inc.(a) | ||||
06/30/2028 | 4.125% | 705,000 | 632,827 | |
04/15/2029 | 4.125% | 545,000 | 472,224 | |
Eaton Corp. | ||||
04/01/2024 | 7.625% | 170,000 | 175,350 | |
Griffon Corp. | ||||
03/01/2028 | 5.750% | 1,440,000 | 1,316,854 | |
Honeywell International, Inc. | ||||
02/15/2033 | 5.000% | 2,849,000 | 2,904,470 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 1,365,000 | 1,136,722 | |
Parker-Hannifin Corp. | ||||
09/15/2027 | 4.250% | 2,577,000 | 2,504,120 | |
09/15/2029 | 4.500% | 1,718,000 | 1,652,165 | |
Roper Technologies, Inc. | ||||
09/15/2027 | 1.400% | 569,000 | 482,517 | |
06/30/2030 | 2.000% | 242,000 | 193,481 | |
TriMas Corp.(a) | ||||
04/15/2029 | 4.125% | 725,000 | 636,004 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 790,000 | 702,738 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2028 | 7.250% | 1,805,000 | 1,830,006 | |
WW Grainger, Inc. | ||||
06/15/2045 | 4.600% | 200,000 | 181,818 | |
Xylem, Inc. | ||||
01/30/2031 | 2.250% | 176,000 | 142,908 | |
Total | 15,776,112 | |||
Electric 2.0% | ||||
AEP Transmission Co. LLC | ||||
09/15/2049 | 3.150% | 440,000 | 305,275 | |
08/15/2051 | 2.750% | 600,000 | 381,982 | |
AES Corp. (The) | ||||
01/15/2026 | 1.375% | 957,000 | 852,713 | |
Alabama Power Co. | ||||
02/15/2033 | 5.700% | 159,000 | 162,052 | |
05/15/2038 | 6.125% | 70,000 | 74,397 | |
07/15/2051 | 3.125% | 360,000 | 248,586 | |
Alexander Funding Trust(a) | ||||
11/15/2023 | 1.841% | 1,567,000 | 1,481,061 | |
Ameren Corp. | ||||
03/15/2027 | 1.950% | 240,000 | 211,206 | |
American Transmission Systems, Inc.(a) | ||||
01/15/2032 | 2.650% | 589,000 | 484,390 | |
Ausgrid Finance Pty Ltd.(a) | ||||
05/01/2023 | 3.850% | 850,000 | 845,351 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Baltimore Gas and Electric Co. | ||||
06/15/2031 | 2.250% | 1,264,000 | 1,025,361 | |
08/15/2046 | 3.500% | 376,000 | 282,431 | |
Berkshire Hathaway Energy Co. | ||||
11/15/2023 | 3.750% | 333,000 | 329,219 | |
02/01/2025 | 3.500% | 180,000 | 176,577 | |
Berkshire Hathaway Energy Co.(a) | ||||
05/01/2053 | 4.600% | 197,000 | 173,223 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 360,000 | 343,333 | |
02/15/2028 | 4.500% | 1,115,000 | 996,521 | |
CenterPoint Energy Houston Electric LLC | ||||
03/01/2052 | 3.600% | 933,000 | 720,334 | |
Commonwealth Edison Co. | ||||
06/15/2046 | 3.650% | 243,000 | 183,997 | |
Connecticut Light & Power Co. (The) | ||||
04/01/2048 | 4.000% | 236,000 | 197,154 | |
Consumers Energy Co. | ||||
08/15/2052 | 2.650% | 566,000 | 356,940 | |
05/01/2060 | 2.500% | 723,000 | 410,812 | |
08/31/2064 | 4.350% | 547,000 | 433,609 | |
Dominion Energy, Inc. | ||||
11/15/2032 | 5.375% | 2,787,000 | 2,769,154 | |
DTE Electric Co. | ||||
06/15/2042 | 3.950% | 364,000 | 286,901 | |
04/01/2043 | 4.000% | 775,000 | 645,541 | |
03/01/2050 | 2.950% | 1,475,000 | 1,011,833 | |
03/01/2052 | 3.650% | 675,000 | 525,909 | |
DTE Energy Co. | ||||
06/01/2025 | 1.050% | 756,000 | 684,957 | |
Duke Energy Carolinas LLC | ||||
12/01/2028 | 6.000% | 205,000 | 218,186 | |
04/15/2031 | 2.550% | 860,000 | 718,757 | |
03/15/2032 | 2.850% | 1,569,000 | 1,325,578 | |
12/15/2041 | 4.250% | 313,000 | 270,869 | |
03/15/2052 | 3.550% | 1,143,000 | 863,468 | |
Duke Energy Corp. | ||||
03/15/2028 | 4.300% | 2,222,000 | 2,143,203 | |
06/15/2031 | 2.550% | 925,000 | 754,875 | |
09/01/2046 | 3.750% | 261,000 | 194,473 | |
06/15/2051 | 3.500% | 261,000 | 183,220 | |
Duke Energy Florida LLC | ||||
12/15/2031 | 2.400% | 1,260,000 | 1,026,033 | |
Duke Energy Indiana LLC | ||||
05/15/2046 | 3.750% | 188,000 | 146,247 | |
04/01/2050 | 2.750% | 1,905,000 | 1,201,200 | |
Duke Energy Ohio, Inc. | ||||
02/01/2049 | 4.300% | 295,000 | 243,095 |
28 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Duke Energy Progress LLC | ||||
04/01/2035 | 5.700% | 300,000 | 299,238 | |
10/15/2046 | 3.700% | 323,000 | 247,156 | |
09/15/2047 | 3.600% | 300,000 | 226,088 | |
08/15/2050 | 2.500% | 1,275,000 | 771,693 | |
Duquesne Light Holdings, Inc.(a) | ||||
08/01/2027 | 3.616% | 700,000 | 623,467 | |
10/01/2030 | 2.532% | 373,000 | 296,389 | |
EDP Finance BV(a) | ||||
10/11/2027 | 6.300% | 1,027,000 | 1,056,352 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 600,000 | 466,800 | |
Enel Chile SA | ||||
06/12/2028 | 4.875% | 149,000 | 145,108 | |
Enel Finance International NV(a) | ||||
04/06/2028 | 3.500% | 335,000 | 294,708 | |
07/12/2028 | 1.875% | 1,636,000 | 1,300,039 | |
07/12/2031 | 2.250% | 1,764,000 | 1,292,515 | |
Entergy Arkansas LLC | ||||
06/15/2051 | 2.650% | 1,453,000 | 891,577 | |
Entergy Arkansas, Inc. | ||||
04/01/2026 | 3.500% | 307,000 | 295,129 | |
Entergy Louisiana LLC | ||||
06/01/2031 | 3.050% | 472,000 | 404,137 | |
03/15/2051 | 2.900% | 211,000 | 136,931 | |
Entergy Texas, Inc. | ||||
03/15/2031 | 1.750% | 1,609,000 | 1,259,587 | |
Eversource Energy | ||||
08/15/2026 | 1.400% | 718,000 | 630,899 | |
07/01/2027 | 4.600% | 232,000 | 228,866 | |
08/15/2030 | 1.650% | 1,435,000 | 1,116,188 | |
03/01/2032 | 3.375% | 318,000 | 276,530 | |
Exelon Generation Co. LLC | ||||
06/15/2042 | 5.600% | 1,590,000 | 1,531,829 | |
FirstEnergy Transmission LLC(a) | ||||
04/01/2049 | 4.550% | 905,000 | 736,698 | |
Florida Power & Light Co. | ||||
09/01/2035 | 5.400% | 600,000 | 591,137 | |
03/01/2048 | 3.950% | 1,114,000 | 925,067 | |
Fortis, Inc. | ||||
10/04/2026 | 3.055% | 620,000 | 575,919 | |
ITC Holdings Corp.(a) | ||||
09/22/2027 | 4.950% | 428,000 | 422,828 | |
05/14/2030 | 2.950% | 530,000 | 448,223 | |
Jersey Central Power & Light Co.(a) | ||||
01/15/2026 | 4.300% | 260,000 | 250,951 | |
03/01/2032 | 2.750% | 1,388,000 | 1,114,669 | |
Jersey Central Power & Light Co. | ||||
06/01/2037 | 6.150% | 150,000 | 146,249 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Kansas City Power & Light Co. | ||||
10/01/2041 | 5.300% | 750,000 | 718,798 | |
06/15/2047 | 4.200% | 400,000 | 324,898 | |
Metropolitan Edison Co.(a) | ||||
01/15/2029 | 4.300% | 1,485,000 | 1,391,047 | |
MidAmerican Energy Co. | ||||
11/01/2035 | 5.750% | 600,000 | 623,187 | |
08/01/2052 | 2.700% | 1,095,000 | 705,026 | |
Mid-Atlantic Interstate Transmission LLC(a) | ||||
05/15/2028 | 4.100% | 1,545,000 | 1,453,462 | |
Mississippi Power Co. | ||||
03/30/2028 | 3.950% | 1,514,000 | 1,420,457 | |
03/15/2042 | 4.250% | 581,000 | 472,330 | |
07/30/2051 | 3.100% | 1,515,000 | 968,345 | |
Nevada Power Co. | ||||
04/01/2036 | 6.650% | 225,000 | 245,592 | |
09/15/2040 | 5.375% | 546,000 | 522,338 | |
New England Power Co.(a) | ||||
12/05/2047 | 3.800% | 168,000 | 128,822 | |
Niagara Mohawk Power Corp.(a) | ||||
10/01/2034 | 4.278% | 753,000 | 650,226 | |
Northern States Power Co. | ||||
04/01/2052 | 3.200% | 855,000 | 612,717 | |
06/01/2052 | 4.500% | 440,000 | 399,795 | |
NRG Energy, Inc.(a) | ||||
12/02/2025 | 2.000% | 293,000 | 261,114 | |
12/02/2027 | 2.450% | 960,000 | 796,252 | |
06/15/2029 | 4.450% | 585,000 | 515,667 | |
06/15/2029 | 5.250% | 605,000 | 534,514 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 107,000 | 106,283 | |
01/15/2028 | 5.750% | 1,415,000 | 1,329,365 | |
NSTAR Electric Co. | ||||
06/01/2051 | 3.100% | 779,000 | 540,317 | |
06/01/2052 | 4.550% | 1,026,000 | 936,659 | |
09/15/2052 | 4.950% | 447,000 | 433,954 | |
Ohio Power Co. | ||||
10/01/2051 | 2.900% | 1,195,000 | 781,430 | |
Oklahoma Gas and Electric Co. | ||||
05/26/2023 | 0.553% | 30,000 | 29,421 | |
Oncor Electric Delivery Co. LLC | ||||
03/15/2029 | 5.750% | 155,000 | 160,752 | |
Oncor Electric Delivery Co. LLC(a) | ||||
09/15/2032 | 4.550% | 1,300,000 | 1,272,402 | |
Pacific Gas and Electric Co. | ||||
11/15/2023 | 1.700% | 400,000 | 387,051 | |
02/16/2024 | 3.250% | 860,000 | 838,738 | |
07/01/2025 | 3.450% | 690,000 | 654,562 | |
03/01/2026 | 2.950% | 435,000 | 399,983 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 29 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
08/01/2027 | 2.100% | 676,000 | 578,816 | |
07/01/2040 | 4.500% | 435,000 | 340,514 | |
06/01/2041 | 4.200% | 734,000 | 549,640 | |
04/15/2042 | 4.450% | 2,609,000 | 1,948,244 | |
08/15/2042 | 3.750% | 183,000 | 122,080 | |
02/15/2044 | 4.750% | 425,000 | 330,655 | |
12/01/2047 | 3.950% | 1,997,000 | 1,352,120 | |
07/01/2050 | 4.950% | 2,643,000 | 2,070,674 | |
PacifiCorp | ||||
10/15/2037 | 6.250% | 200,000 | 212,537 | |
02/15/2050 | 4.150% | 1,577,000 | 1,302,515 | |
12/01/2053 | 5.350% | 1,393,000 | 1,393,479 | |
PECO Energy Co. | ||||
06/15/2050 | 2.800% | 490,000 | 323,476 | |
09/15/2051 | 2.850% | 1,524,000 | 1,011,414 | |
Pennsylvania Electric Co.(a) | ||||
03/15/2028 | 3.250% | 1,374,000 | 1,236,312 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 816,000 | 746,700 | |
07/01/2030 | 5.250% | 610,000 | 555,082 | |
Potomac Electric Power Co. | ||||
12/15/2038 | 7.900% | 160,000 | 192,296 | |
03/15/2043 | 4.150% | 250,000 | 211,097 | |
Public Service Co. of Colorado | ||||
01/15/2051 | 2.700% | 505,000 | 325,731 | |
Public Service Co. of New Hampshire | ||||
11/01/2023 | 3.500% | 303,000 | 299,066 | |
Public Service Co. of Oklahoma | ||||
08/15/2051 | 3.150% | 855,000 | 568,364 | |
Public Service Electric and Gas Co. | ||||
08/15/2031 | 1.900% | 1,695,000 | 1,351,540 | |
05/01/2050 | 2.700% | 690,000 | 449,229 | |
08/01/2050 | 2.050% | 350,000 | 195,582 | |
Public Service Enterprise Group, Inc. | ||||
08/15/2030 | 1.600% | 973,000 | 755,909 | |
11/15/2031 | 2.450% | 1,094,000 | 876,269 | |
Puget Sound Energy, Inc. | ||||
09/15/2051 | 2.893% | 800,000 | 513,351 | |
San Diego Gas & Electric Co. | ||||
06/01/2026 | 6.000% | 690,000 | 718,843 | |
08/15/2051 | 2.950% | 535,000 | 363,688 | |
Southern California Edison Co. | ||||
08/01/2025 | 3.700% | 1,000,000 | 968,554 | |
03/01/2028 | 3.650% | 200,000 | 186,745 | |
01/15/2036 | 5.550% | 130,000 | 124,731 | |
02/01/2038 | 5.950% | 210,000 | 212,074 | |
03/01/2048 | 4.125% | 952,000 | 760,548 | |
Southern Power Co. | ||||
09/15/2041 | 5.150% | 398,000 | 359,177 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Southwestern Electric Power Co. | ||||
04/01/2045 | 3.900% | 428,000 | 326,713 | |
Southwestern Public Service Co. | ||||
08/15/2041 | 4.500% | 338,000 | 295,642 | |
Toledo Edison Co. (The) | ||||
05/15/2037 | 6.150% | 205,000 | 211,705 | |
Trans-Allegheny Interstate Line Co.(a) | ||||
06/01/2025 | 3.850% | 597,000 | 577,243 | |
Union Electric Co. | ||||
06/15/2027 | 2.950% | 286,000 | 266,392 | |
04/01/2052 | 3.900% | 230,000 | 186,696 | |
Virginia Electric and Power Co. | ||||
03/15/2023 | 2.750% | 127,000 | 126,469 | |
11/15/2051 | 2.950% | 1,264,000 | 837,616 | |
05/15/2052 | 4.625% | 950,000 | 835,999 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 1,860,000 | 1,776,354 | |
07/31/2027 | 5.000% | 1,185,000 | 1,102,771 | |
Wisconsin Electric Power Co. | ||||
06/01/2025 | 3.100% | 192,000 | 183,099 | |
09/30/2032 | 4.750% | 1,268,000 | 1,245,939 | |
Xcel Energy, Inc. | ||||
09/15/2041 | 4.800% | 90,000 | 78,426 | |
Total | 97,066,610 | |||
Environmental 0.1% | ||||
GFL Environmental, Inc.(a) | ||||
08/01/2025 | 3.750% | 635,000 | 599,682 | |
08/01/2028 | 4.000% | 980,000 | 852,584 | |
06/15/2029 | 4.750% | 365,000 | 318,894 | |
Republic Services, Inc. | ||||
02/15/2031 | 1.450% | 378,000 | 290,289 | |
Stericycle, Inc.(a) | ||||
01/15/2029 | 3.875% | 795,000 | 694,003 | |
Total | 2,755,452 | |||
Finance Companies 0.6% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
07/03/2023 | 4.125% | 500,000 | 495,763 | |
09/15/2023 | 4.500% | 990,000 | 982,633 | |
10/29/2023 | 1.150% | 5,104,000 | 4,910,529 | |
02/15/2024 | 3.150% | 980,000 | 950,485 | |
08/14/2024 | 2.875% | 215,000 | 203,417 | |
10/29/2024 | 1.650% | 220,000 | 203,157 | |
07/15/2025 | 6.500% | 1,285,000 | 1,305,379 | |
04/03/2026 | 4.450% | 400,000 | 383,490 | |
10/29/2026 | 2.450% | 190,000 | 166,166 | |
10/29/2028 | 3.000% | 235,000 | 197,233 | |
01/30/2032 | 3.300% | 225,000 | 175,796 |
30 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Air Lease Corp. | ||||
07/03/2023 | 3.875% | 341,000 | 338,071 | |
09/15/2023 | 3.000% | 177,000 | 173,774 | |
03/01/2025 | 3.250% | 220,000 | 208,913 | |
07/01/2025 | 3.375% | 515,000 | 485,688 | |
01/15/2026 | 2.875% | 749,000 | 693,520 | |
10/01/2029 | 3.250% | 225,000 | 191,511 | |
Aviation Capital Group LLC(a) | ||||
05/01/2023 | 3.875% | 350,000 | 346,348 | |
12/15/2024 | 5.500% | 1,222,000 | 1,198,849 | |
08/01/2025 | 4.125% | 835,000 | 775,964 | |
Avolon Holdings Funding Ltd.(a) | ||||
02/15/2025 | 2.875% | 1,904,000 | 1,759,111 | |
01/15/2026 | 5.500% | 2,935,000 | 2,793,136 | |
02/21/2026 | 2.125% | 730,000 | 629,337 | |
04/15/2026 | 4.250% | 830,000 | 753,083 | |
05/01/2026 | 4.375% | 790,000 | 720,743 | |
11/18/2027 | 2.528% | 2,445,000 | 1,973,882 | |
Blackstone Secured Lending Fund | ||||
07/14/2023 | 3.650% | 960,000 | 948,084 | |
Navient Corp. | ||||
03/25/2024 | 6.125% | 780,000 | 767,618 | |
Owl Rock Capital Corp. III | ||||
04/13/2027 | 3.125% | 1,154,000 | 955,341 | |
Park Aerospace Holdings Ltd.(a) | ||||
03/15/2023 | 4.500% | 175,000 | 174,562 | |
02/15/2024 | 5.500% | 188,000 | 185,687 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 1,705,000 | 1,352,862 | |
Springleaf Finance Corp. | ||||
03/15/2025 | 6.875% | 240,000 | 230,724 | |
03/15/2026 | 7.125% | 1,580,000 | 1,502,294 | |
Total | 29,133,150 | |||
Food and Beverage 0.7% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2036 | 4.700% | 4,268,000 | 4,023,754 | |
02/01/2046 | 4.900% | 5,255,000 | 4,808,846 | |
Anheuser-Busch InBev Finance, Inc. | ||||
02/01/2044 | 4.625% | 30,000 | 26,908 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
04/15/2038 | 4.375% | 2,520,000 | 2,265,601 | |
06/01/2040 | 4.350% | 505,000 | 446,267 | |
10/06/2048 | 4.439% | 455,000 | 389,440 | |
Aramark Services, Inc.(a) | ||||
05/01/2025 | 6.375% | 645,000 | 638,650 | |
Bunge Ltd. Finance Corp. | ||||
08/17/2025 | 1.630% | 975,000 | 888,730 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Campbell Soup Co. | ||||
04/24/2030 | 2.375% | 205,000 | 170,221 | |
04/24/2050 | 3.125% | 249,000 | 168,555 | |
Cargill, Inc.(a) | ||||
03/01/2023 | 3.250% | 140,000 | 139,638 | |
11/01/2036 | 7.250% | 300,000 | 331,802 | |
04/22/2052 | 4.375% | 160,000 | 139,211 | |
Central American Bottling Corp/CBC Bottling Holdco SL/Beliv Holdco SL(a) | ||||
04/27/2029 | 5.250% | 419,000 | 392,113 | |
Coca-Cola Femsa SAB de CV | ||||
01/22/2030 | 2.750% | 339,000 | 294,384 | |
09/01/2032 | 1.850% | 1,000,000 | 758,530 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 1,010,000 | 985,139 | |
Diageo Capital PLC | ||||
09/29/2025 | 1.375% | 348,000 | 319,253 | |
10/24/2027 | 5.300% | 2,339,000 | 2,393,701 | |
01/24/2033 | 5.500% | 2,428,000 | 2,539,384 | |
Fomento Economico Mexicano SAB de CV | ||||
01/16/2050 | 3.500% | 1,270,000 | 889,364 | |
Keurig Dr Pepper, Inc. | ||||
05/25/2025 | 4.417% | 60,000 | 59,376 | |
06/15/2027 | 3.430% | 135,000 | 126,004 | |
Lamb Weston Holdings, Inc.(a) | ||||
05/15/2028 | 4.875% | 1,095,000 | 1,038,062 | |
MARB BondCo PLC(a) | ||||
01/29/2031 | 3.950% | 500,000 | 386,095 | |
Mondelez International, Inc. | ||||
05/04/2025 | 1.500% | 410,000 | 380,022 | |
Nestle Holdings, Inc.(a) | ||||
10/01/2027 | 4.125% | 1,407,000 | 1,374,509 | |
01/15/2053 | 4.700% | 956,000 | 903,201 | |
Performance Food Group, Inc.(a) | ||||
10/15/2027 | 5.500% | 1,220,000 | 1,158,956 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 544,000 | 526,777 | |
04/15/2030 | 4.625% | 915,000 | 789,405 | |
Tyson Foods, Inc. | ||||
08/15/2044 | 5.150% | 281,000 | 260,718 | |
Viterra Finance BV(a) | ||||
04/21/2032 | 5.250% | 2,682,000 | 2,350,955 | |
Total | 32,363,571 | |||
Gaming 0.2% | ||||
Boyd Gaming Corp. | ||||
12/01/2027 | 4.750% | 255,000 | 237,445 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 6.250% | 1,030,000 | 1,002,109 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 31 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GLP Capital LP/Financing II, Inc. | ||||
01/15/2029 | 5.300% | 822,000 | 776,052 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 310,000 | 312,369 | |
MGM Resorts International | ||||
04/15/2027 | 5.500% | 1,620,000 | 1,505,758 | |
Sands China Ltd. | ||||
01/08/2026 | 4.300% | 710,000 | 650,007 | |
Station Casinos LLC(a) | ||||
02/15/2028 | 4.500% | 635,000 | 551,067 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 1,170,000 | 1,091,862 | |
02/01/2027 | 5.750% | 645,000 | 628,292 | |
12/01/2029 | 4.625% | 1,125,000 | 1,023,648 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 715,000 | 681,284 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 710,000 | 706,905 | |
10/01/2029 | 5.125% | 805,000 | 690,360 | |
Total | 9,857,158 | |||
Health Care 1.1% | ||||
Abbott Laboratories | ||||
11/30/2036 | 4.750% | 297,000 | 294,149 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 1,415,000 | 1,343,307 | |
AdaptHealth LLC(a) | ||||
08/01/2029 | 4.625% | 915,000 | 766,953 | |
Advocate Health & Hospitals Corp. | ||||
06/15/2030 | 2.211% | 235,000 | 193,577 | |
Ascension Health | ||||
11/15/2029 | 2.532% | 341,000 | 292,142 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 1,400,000 | 1,271,246 | |
Becton Dickinson and Co. | ||||
12/15/2024 | 3.734% | 44,000 | 42,898 | |
Boston Scientific Corp. | ||||
03/01/2039 | 4.550% | 84,000 | 75,370 | |
Charles River Laboratories International, Inc.(a) | ||||
03/15/2029 | 3.750% | 975,000 | 862,039 | |
Children’s Hospital Corp. (The) | ||||
02/01/2050 | 2.585% | 680,000 | 413,000 | |
Children’s Hospital/DC | ||||
07/15/2050 | 2.928% | 760,000 | 471,632 | |
CHS/Community Health Systems, Inc.(a) | ||||
03/15/2027 | 5.625% | 1,095,000 | 939,536 | |
01/15/2029 | 6.000% | 1,250,000 | 1,046,259 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cigna Corp. | ||||
02/25/2026 | 4.500% | 197,000 | 194,144 | |
07/15/2046 | 4.800% | 218,000 | 195,987 | |
03/15/2050 | 3.400% | 394,000 | 279,563 | |
CommonSpirit Health | ||||
10/01/2025 | 1.547% | 675,000 | 607,466 | |
10/01/2030 | 2.782% | 670,000 | 551,035 | |
10/01/2050 | 3.910% | 660,000 | 488,069 | |
Cottage Health Obligated Group | ||||
11/01/2049 | 3.304% | 610,000 | 434,499 | |
CVS Health Corp. | ||||
08/15/2026 | 3.000% | 915,000 | 854,531 | |
07/20/2035 | 4.875% | 278,000 | 263,846 | |
03/25/2038 | 4.780% | 990,000 | 907,108 | |
03/25/2048 | 5.050% | 2,035,000 | 1,836,931 | |
CVS Pass-Through Trust(a) | ||||
10/10/2025 | 6.204% | 75,788 | 75,528 | |
01/10/2032 | 7.507% | 89,160 | 93,516 | |
01/10/2034 | 5.926% | 631,231 | 618,317 | |
01/10/2036 | 4.704% | 1,567,801 | 1,435,638 | |
08/11/2036 | 4.163% | 137,402 | 122,049 | |
Danaher Corp. | ||||
10/01/2050 | 2.600% | 1,009,000 | 645,900 | |
12/10/2051 | 2.800% | 676,000 | 449,749 | |
DaVita, Inc.(a) | ||||
06/01/2030 | 4.625% | 2,070,000 | 1,668,240 | |
DH Europe Finance II Sarl | ||||
11/15/2024 | 2.200% | 2,325,000 | 2,213,702 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 880,000 | 798,917 | |
02/01/2030 | 4.750% | 865,000 | 761,782 | |
04/01/2031 | 4.625% | 210,000 | 180,332 | |
Hackensack Meridian Health, Inc. | ||||
09/01/2050 | 2.875% | 1,000,000 | 637,209 | |
Hartford HealthCare Corp. | ||||
07/01/2054 | 3.447% | 1,350,000 | 951,162 | |
HCA, Inc. | ||||
02/15/2026 | 5.875% | 1,125,000 | 1,132,194 | |
06/15/2026 | 5.250% | 1,700,000 | 1,680,125 | |
09/01/2028 | 5.625% | 3,810,000 | 3,791,580 | |
02/01/2029 | 5.875% | 2,545,000 | 2,548,700 | |
06/15/2029 | 4.125% | 1,000,000 | 912,903 | |
09/01/2030 | 3.500% | 114,000 | 98,086 | |
06/15/2039 | 5.125% | 660,000 | 588,331 | |
06/15/2047 | 5.500% | 415,000 | 369,176 | |
07/15/2051 | 3.500% | 102,000 | 65,837 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 4,353,000 | 3,409,020 | |
Hologic, Inc.(a) | ||||
02/15/2029 | 3.250% | 1,480,000 | 1,278,128 |
32 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 1,628,000 | 1,553,434 | |
Memorial Health Services | ||||
11/01/2049 | 3.447% | 1,230,000 | 880,271 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 1,515,000 | 1,221,027 | |
MultiCare Health System | ||||
08/15/2050 | 2.803% | 570,000 | 336,522 | |
NYU Langone Hospitals | ||||
07/01/2055 | 3.380% | 550,000 | 366,711 | |
Owens & Minor, Inc. | ||||
12/15/2024 | 4.375% | 865,000 | 834,613 | |
Providence St Joseph Health Obligated Group | ||||
10/01/2026 | 2.746% | 307,000 | 286,613 | |
Quest Diagnostics, Inc. | ||||
06/30/2031 | 2.800% | 179,000 | 149,840 | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 1,400,000 | 1,344,710 | |
11/01/2027 | 5.125% | 2,860,000 | 2,668,765 | |
06/01/2029 | 4.250% | 615,000 | 532,473 | |
Thermo Fisher Scientific, Inc. | ||||
10/15/2028 | 1.750% | 855,000 | 725,056 | |
10/15/2041 | 2.800% | 1,361,000 | 1,002,986 | |
Universal Health Services, Inc. | ||||
10/15/2030 | 2.650% | 26,000 | 20,671 | |
Yale-New Haven Health Services Corp. | ||||
07/01/2050 | 2.496% | 950,000 | 560,894 | |
Total | 53,635,994 | |||
Healthcare Insurance 0.5% | ||||
Aetna, Inc. | ||||
12/15/2037 | 6.750% | 201,000 | 214,715 | |
08/15/2047 | 3.875% | 1,195,000 | 923,199 | |
Anthem, Inc. | ||||
12/01/2024 | 3.350% | 350,000 | 339,729 | |
03/01/2028 | 4.101% | 193,000 | 184,987 | |
12/01/2047 | 4.375% | 94,000 | 80,952 | |
Centene Corp. | ||||
12/15/2027 | 4.250% | 1,045,000 | 981,305 | |
12/15/2029 | 4.625% | 2,305,000 | 2,113,567 | |
02/15/2030 | 3.375% | 2,085,000 | 1,764,629 | |
10/15/2030 | 3.000% | 1,905,000 | 1,560,681 | |
03/01/2031 | 2.500% | 792,000 | 619,640 | |
UnitedHealth Group, Inc. | ||||
03/15/2026 | 3.100% | 219,000 | 209,139 | |
02/15/2028 | 5.250% | 1,422,000 | 1,455,741 | |
05/15/2029 | 4.000% | 1,303,000 | 1,244,166 | |
02/15/2030 | 5.300% | 2,369,000 | 2,446,624 | |
02/15/2033 | 5.350% | 3,929,000 | 4,069,478 | |
07/15/2035 | 4.625% | 1,559,000 | 1,510,695 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
08/15/2039 | 3.500% | 247,000 | 202,558 | |
05/15/2040 | 2.750% | 648,000 | 472,079 | |
05/15/2041 | 3.050% | 446,000 | 336,027 | |
05/15/2051 | 3.250% | 1,888,000 | 1,360,753 | |
02/15/2053 | 5.875% | 2,825,000 | 3,067,219 | |
Total | 25,157,883 | |||
Healthcare REIT 0.0% | ||||
HCP, Inc. | ||||
07/15/2029 | 3.500% | 240,000 | 213,498 | |
MPT Operating Partnership LP/Finance Corp. | ||||
08/01/2029 | 4.625% | 850,000 | 658,466 | |
Sabra Health Care LP | ||||
12/01/2031 | 3.200% | 440,000 | 327,850 | |
Total | 1,199,814 | |||
Home Construction 0.0% | ||||
Weekley Homes LLC/Finance Corp.(a) | ||||
09/15/2028 | 4.875% | 1,025,000 | 862,028 | |
Independent Energy 0.4% | ||||
Aker BP ASA(a) | ||||
01/15/2030 | 3.750% | 282,000 | 248,099 | |
01/15/2031 | 4.000% | 1,081,000 | 950,082 | |
Antero Resources Corp.(a) | ||||
07/15/2026 | 8.375% | 1,275,000 | 1,332,979 | |
Baytex Energy Corp.(a) | ||||
04/01/2027 | 8.750% | 585,000 | 595,015 | |
Chesapeake Energy Corp.(a) | ||||
02/01/2026 | 5.500% | 1,195,000 | 1,153,478 | |
CNX Resources Corp.(a) | ||||
01/15/2029 | 6.000% | 830,000 | 766,079 | |
Comstock Resources, Inc.(a) | ||||
03/01/2029 | 6.750% | 1,085,000 | 979,587 | |
ConocoPhillips Co. | ||||
03/15/2062 | 4.025% | 488,000 | 389,536 | |
Gulfport Energy Corp. | ||||
05/17/2026 | 8.000% | 785,000 | 777,567 | |
Gulfport Energy Corp.(a) | ||||
05/17/2026 | 8.000% | 155,000 | 153,532 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
02/01/2029 | 5.750% | 1,185,000 | 1,058,878 | |
Lundin Energy Finance BV(a) | ||||
07/15/2026 | 2.000% | 2,647,000 | 2,342,676 | |
07/15/2031 | 3.100% | 2,513,000 | 2,060,642 | |
Marathon Oil Corp. | ||||
10/01/2037 | 6.600% | 150,000 | 149,468 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 33 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Occidental Petroleum Corp. | ||||
07/15/2027 | 8.500% | 735,000 | 794,515 | |
09/01/2030 | 6.625% | 1,065,000 | 1,100,449 | |
09/15/2031 | 7.875% | 710,000 | 783,667 | |
Pioneer Natural Resources Co. | ||||
08/15/2030 | 1.900% | 436,000 | 342,122 | |
01/15/2031 | 2.150% | 1,266,000 | 1,004,071 | |
Range Resources Corp. | ||||
05/15/2025 | 4.875% | 1,440,000 | 1,372,550 | |
SM Energy Co. | ||||
01/15/2027 | 6.625% | 910,000 | 877,148 | |
Southwestern Energy Co. | ||||
10/01/2027 | 7.750% | 1,075,000 | 1,109,938 | |
02/01/2029 | 5.375% | 1,000,000 | 926,226 | |
Total | 21,268,304 | |||
Integrated Energy 0.5% | ||||
BP Capital Markets America, Inc. | ||||
02/11/2026 | 3.410% | 177,000 | 170,124 | |
08/10/2030 | 1.749% | 689,000 | 549,685 | |
01/12/2032 | 2.721% | 4,174,000 | 3,494,093 | |
11/10/2050 | 2.772% | 705,000 | 450,440 | |
06/04/2051 | 2.939% | 1,000,000 | 660,227 | |
03/17/2052 | 3.001% | 2,590,000 | 1,724,659 | |
BP Capital Markets PLC | ||||
09/19/2027 | 3.279% | 147,000 | 138,142 | |
BP Capital Markets PLC(h) | ||||
12/31/2049 | 4.375% | 3,790,000 | 3,609,951 | |
12/31/2059 | 4.875% | 3,065,000 | 2,683,415 | |
Chevron USA, Inc. | ||||
10/15/2029 | 3.250% | 165,000 | 151,376 | |
ENI SpA(a) | ||||
09/12/2023 | 4.000% | 310,000 | 306,862 | |
Exxon Mobil Corp. | ||||
08/16/2039 | 2.995% | 278,000 | 213,843 | |
08/16/2049 | 3.095% | 346,000 | 248,616 | |
03/19/2050 | 4.327% | 3,129,000 | 2,767,207 | |
04/15/2051 | 3.452% | 2,378,000 | 1,802,496 | |
Shell International Finance BV | ||||
11/26/2051 | 3.000% | 2,000,000 | 1,361,256 | |
Total Capital International SA | ||||
06/29/2041 | 2.986% | 1,400,000 | 1,045,024 | |
05/29/2050 | 3.127% | 1,400,000 | 995,458 | |
Total | 22,372,874 | |||
Leisure 0.2% | ||||
Boyne USA, Inc.(a) | ||||
05/15/2029 | 4.750% | 1,145,000 | 1,025,178 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carnival Corp.(a) | ||||
08/01/2027 | 9.875% | 1,325,000 | 1,255,110 | |
08/01/2028 | 4.000% | 820,000 | 668,047 | |
Cedar Fair LP | ||||
07/15/2029 | 5.250% | 1,300,000 | 1,172,118 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 670,000 | 680,052 | |
07/15/2028 | 5.250% | 415,000 | 308,253 | |
Live Nation Entertainment, Inc.(a) | ||||
05/15/2027 | 6.500% | 805,000 | 787,774 | |
10/15/2027 | 4.750% | 915,000 | 815,681 | |
Royal Caribbean Cruises Ltd.(a) | ||||
01/15/2029 | 8.250% | 895,000 | 900,106 | |
01/15/2029 | 9.250% | 610,000 | 626,969 | |
Six Flags Entertainment Corp.(a) | ||||
07/31/2024 | 4.875% | 1,040,000 | 1,002,274 | |
Six Flags Theme Parks, Inc.(a) | ||||
07/01/2025 | 7.000% | 302,000 | 304,527 | |
Total | 9,546,089 | |||
Life Insurance 0.3% | ||||
AIA Group Ltd.(a) | ||||
04/06/2028 | 3.900% | 500,000 | 470,088 | |
Subordinated | ||||
09/16/2040 | 3.200% | 540,000 | 387,423 | |
AIG SunAmerica Global Financing X(a) | ||||
03/15/2032 | 6.900% | 199,000 | 212,435 | |
Athene Global Funding(a) | ||||
01/08/2026 | 1.450% | 358,000 | 313,976 | |
11/12/2026 | 2.950% | 1,408,000 | 1,267,699 | |
03/24/2028 | 2.500% | 2,970,000 | 2,494,329 | |
10/04/2031 | 2.646% | 2,802,000 | 2,139,959 | |
Brighthouse Financial, Inc. | ||||
12/22/2051 | 3.850% | 839,000 | 533,011 | |
F&G Global Funding(a) | ||||
06/30/2026 | 1.750% | 130,000 | 115,879 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
01/24/2077 | 4.850% | 208,000 | 171,183 | |
Jackson National Life Global Funding(a) | ||||
06/11/2025 | 3.875% | 279,000 | 267,488 | |
John Hancock Life Insurance Co.(a) | ||||
Subordinated | ||||
02/15/2024 | 7.375% | 250,000 | 254,707 | |
Metropolitan Life Global Funding I(a) | ||||
01/11/2024 | 3.600% | 273,000 | 268,871 | |
09/19/2027 | 3.000% | 170,000 | 154,354 | |
New York Life Global Funding(a) | ||||
01/10/2028 | 3.000% | 404,000 | 371,604 |
34 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2069 | 4.450% | 256,000 | 213,328 | |
Prudential Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
07/01/2025 | 8.300% | 702,000 | 746,375 | |
SBL Holdings, Inc.(a) | ||||
02/18/2031 | 5.000% | 2,939,000 | 2,290,439 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 153,000 | 139,973 | |
05/15/2047 | 4.270% | 300,000 | 247,920 | |
Total | 13,061,041 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2029 | 3.750% | 490,000 | 425,268 | |
Hilton Domestic Operating Co., Inc. | ||||
01/15/2030 | 4.875% | 395,000 | 358,393 | |
Hilton Worldwide Finance LLC/Corp. | ||||
04/01/2027 | 4.875% | 1,175,000 | 1,119,603 | |
Marriott Ownership Resorts, Inc.(a) | ||||
06/15/2029 | 4.500% | 770,000 | 640,749 | |
Total | 2,544,013 | |||
Media and Entertainment 0.6% | ||||
Activision Blizzard, Inc. | ||||
09/15/2050 | 2.500% | 3,736,000 | 2,306,128 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 1,505,000 | 1,304,082 | |
Discovery Communications LLC | ||||
09/20/2047 | 5.200% | 365,000 | 272,703 | |
09/15/2055 | 4.000% | 1,224,000 | 737,407 | |
Gray Television, Inc.(a) | ||||
10/15/2030 | 4.750% | 1,075,000 | 777,821 | |
Grupo Televisa SAB | ||||
01/31/2046 | 6.125% | 356,000 | 354,942 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 415,000 | 381,736 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 1,430,000 | 1,210,459 | |
Lamar Media Corp. | ||||
02/15/2030 | 4.000% | 970,000 | 847,150 | |
Magallanes, Inc.(a) | ||||
03/15/2032 | 4.279% | 2,558,000 | 2,109,113 | |
03/15/2042 | 5.050% | 1,865,000 | 1,434,187 | |
03/15/2052 | 5.141% | 4,303,000 | 3,159,625 | |
03/15/2062 | 5.391% | 2,119,000 | 1,552,286 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Meta Platforms, Inc. | ||||
08/15/2032 | 3.850% | 2,405,000 | 2,124,339 | |
Midas OpCo Holdings LLC(a) | ||||
08/15/2029 | 5.625% | 1,050,000 | 865,608 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 889,000 | 863,790 | |
11/15/2028 | 5.875% | 1,621,000 | 1,644,822 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 998,000 | 977,093 | |
News Corp.(a) | ||||
05/15/2029 | 3.875% | 1,010,000 | 875,168 | |
Nexstar Escrow, Inc.(a) | ||||
07/15/2027 | 5.625% | 1,580,000 | 1,451,145 | |
Outfront Media Capital LLC/Corp.(a) | ||||
06/15/2025 | 6.250% | 920,000 | 915,527 | |
Scripps Escrow II, Inc.(a) | ||||
01/15/2029 | 3.875% | 890,000 | 724,099 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 230,000 | 205,989 | |
Sinclair Television Group, Inc.(a) | ||||
12/01/2030 | 4.125% | 1,325,000 | 989,258 | |
Take-Two Interactive Software, Inc. | ||||
04/14/2027 | 3.700% | 142,000 | 133,667 | |
TEGNA, Inc. | ||||
09/15/2029 | 5.000% | 795,000 | 752,608 | |
Univision Communications, Inc.(a) | ||||
06/01/2027 | 6.625% | 820,000 | 791,946 | |
Walt Disney Co. (The) | ||||
07/15/2024 | 9.500% | 139,000 | 147,826 | |
WMG Acquisition Corp.(a) | ||||
07/15/2030 | 3.875% | 570,000 | 491,216 | |
Total | 30,401,740 | |||
Metals and Mining 0.5% | ||||
Alcoa Nederland Holding BV(a) | ||||
05/15/2028 | 6.125% | 1,950,000 | 1,919,959 | |
Allegheny Technologies, Inc. | ||||
12/01/2027 | 5.875% | 840,000 | 802,827 | |
Anglo American Capital PLC(a) | ||||
03/16/2029 | 3.875% | 2,505,000 | 2,249,273 | |
03/16/2052 | 4.750% | 1,973,000 | 1,640,800 | |
Arconic Corp.(a) | ||||
02/15/2028 | 6.125% | 1,375,000 | 1,292,437 | |
BHP Billiton Finance U.S.A. Ltd. | ||||
03/01/2026 | 6.420% | 468,000 | 489,066 | |
Carpenter Technology Corp. | ||||
07/15/2028 | 6.375% | 485,000 | 462,084 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 35 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cleveland-Cliffs, Inc.(a) | ||||
03/15/2026 | 6.750% | 102,000 | 102,413 | |
03/01/2029 | 4.625% | 1,250,000 | 1,118,264 | |
Cleveland-Cliffs, Inc. | ||||
06/01/2027 | 5.875% | 325,000 | 311,293 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 675,000 | 624,164 | |
FMG Resources Pty Ltd.(a) | ||||
09/15/2027 | 4.500% | 1,365,000 | 1,264,473 | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 2,640,000 | 2,546,036 | |
03/01/2030 | 4.250% | 464,000 | 423,408 | |
08/01/2030 | 4.625% | 1,040,000 | 972,126 | |
11/14/2034 | 5.400% | 1,388,000 | 1,304,794 | |
Glencore Finance Canada Ltd.(a) | ||||
11/15/2037 | 6.900% | 977,000 | 1,036,643 | |
11/15/2041 | 6.000% | 107,000 | 100,622 | |
Glencore Funding LLC(a) | ||||
05/30/2023 | 4.125% | 186,000 | 185,021 | |
03/12/2029 | 4.875% | 753,000 | 721,826 | |
09/01/2030 | 2.500% | 2,040,000 | 1,656,378 | |
09/23/2031 | 2.625% | 1,420,000 | 1,132,007 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 1,055,000 | 924,894 | |
Nucor Corp. | ||||
12/15/2055 | 2.979% | 341,000 | 211,727 | |
Steel Dynamics, Inc. | ||||
10/15/2027 | 1.650% | 212,000 | 177,635 | |
United States Steel Corp. | ||||
03/01/2029 | 6.875% | 490,000 | 475,933 | |
Vale Overseas Ltd. | ||||
07/08/2030 | 3.750% | 640,000 | 560,536 | |
Total | 24,706,639 | |||
Midstream 1.0% | ||||
AmeriGas Partners LP/Finance Corp. | ||||
08/20/2026 | 5.875% | 1,115,000 | 1,061,003 | |
Antero Midstream Partners LP/Finance Corp.(a) | ||||
05/15/2026 | 7.875% | 1,145,000 | 1,162,706 | |
06/15/2029 | 5.375% | 450,000 | 411,627 | |
Blue Racer Midstream LLC/Finance Corp.(a) | ||||
07/15/2026 | 6.625% | 475,000 | 459,271 | |
Buckeye Partners LP | ||||
12/01/2027 | 4.125% | 560,000 | 490,783 | |
11/15/2043 | 5.850% | 770,000 | 573,608 | |
Cameron LNG LLC(a) | ||||
01/15/2039 | 3.701% | 302,000 | 239,051 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 1,755,000 | 1,579,543 | |
01/31/2032 | 3.250% | 1,855,000 | 1,477,528 | |
Crestwood Midstream Partners LP/Finance Corp. | ||||
04/01/2025 | 5.750% | 630,000 | 613,047 | |
Crestwood Midstream Partners LP/Finance Corp.(a) | ||||
04/01/2029 | 8.000% | 774,000 | 772,712 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 1,685,000 | 1,445,597 | |
Enable Midstream Partners LP | ||||
03/15/2027 | 4.400% | 420,000 | 399,525 | |
05/15/2028 | 4.950% | 3,129,000 | 3,004,373 | |
Energy Transfer LP | ||||
02/15/2033 | 5.750% | 3,441,000 | 3,375,273 | |
Energy Transfer Operating LP | ||||
04/15/2047 | 5.300% | 2,447,000 | 2,047,232 | |
05/15/2050 | 5.000% | 506,000 | 408,501 | |
Energy Transfer Partners LP | ||||
06/01/2041 | 6.050% | 877,000 | 830,246 | |
12/15/2045 | 6.125% | 756,000 | 701,046 | |
EnLink Midstream LLC(a) | ||||
01/15/2028 | 5.625% | 555,000 | 529,425 | |
EnLink Midstream Partners LP | ||||
06/01/2025 | 4.150% | 386,000 | 367,620 | |
Enterprise Products Operating LLC | ||||
02/15/2043 | 4.450% | 305,000 | 256,333 | |
02/15/2053 | 3.300% | 390,000 | 260,448 | |
EQM Midstream Partners LP | ||||
08/01/2024 | 4.000% | 260,000 | 250,186 | |
07/15/2028 | 5.500% | 700,000 | 625,311 | |
EQM Midstream Partners LP(a) | ||||
01/15/2031 | 4.750% | 895,000 | 737,509 | |
Flex Intermediate Holdco LLC(a) | ||||
06/30/2031 | 3.363% | 969,000 | 762,400 | |
12/30/2039 | 4.317% | 260,000 | 186,294 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
09/30/2027 | 1.750% | 1,654,024 | 1,532,476 | |
03/31/2034 | 2.160% | 1,819,731 | 1,546,525 | |
03/31/2036 | 2.625% | 1,270,000 | 1,021,998 | |
09/30/2040 | 2.940% | 1,932,093 | 1,555,556 | |
Genesis Energy LP/Finance Corp. | ||||
06/15/2024 | 5.625% | 710,000 | 689,861 | |
Gray Oak Pipeline LLC(a) | ||||
09/15/2023 | 2.000% | 222,000 | 215,581 | |
10/15/2025 | 2.600% | 790,000 | 717,375 | |
Hess Midstream Operations LP(a) | ||||
02/15/2026 | 5.625% | 1,230,000 | 1,193,826 |
36 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 875,000 | 863,507 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 710,000 | 607,825 | |
Kinder Morgan, Inc. | ||||
08/01/2050 | 3.250% | 1,164,000 | 754,836 | |
08/01/2052 | 5.450% | 2,763,000 | 2,495,373 | |
Kinetik Holdings LP(a) | ||||
06/15/2030 | 5.875% | 630,000 | 590,402 | |
NGL Energy Operating LLC/Finance Corp.(a) | ||||
02/01/2026 | 7.500% | 625,000 | 556,694 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 900,000 | 869,247 | |
04/28/2027 | 5.625% | 475,000 | 446,522 | |
Plains All American Pipeline LP/Finance Corp. | ||||
10/15/2023 | 3.850% | 385,000 | 379,591 | |
Sabine Pass Liquefaction LLC | ||||
05/15/2030 | 4.500% | 200,000 | 185,753 | |
Southern Natural Gas Co. LLC | ||||
03/01/2032 | 8.000% | 360,000 | 395,223 | |
Sunoco Logistics Partners Operations LP | ||||
02/15/2040 | 6.850% | 652,000 | 633,742 | |
10/01/2047 | 5.400% | 719,000 | 611,970 | |
Sunoco LP/Finance Corp. | ||||
04/15/2027 | 6.000% | 615,000 | 607,218 | |
05/15/2029 | 4.500% | 405,000 | 354,243 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
10/01/2025 | 7.500% | 580,000 | 585,098 | |
09/01/2031 | 6.000% | 615,000 | 529,671 | |
Targa Resources Corp. | ||||
07/01/2027 | 5.200% | 232,000 | 227,915 | |
Targa Resources Partners LP/Finance Corp. | ||||
03/01/2030 | 5.500% | 499,000 | 470,242 | |
02/01/2031 | 4.875% | 1,993,000 | 1,800,778 | |
TransCanada PipeLines Ltd. | ||||
10/15/2037 | 6.200% | 170,000 | 173,551 | |
Western Midstream Operating LP(h) | ||||
02/01/2030 | 4.300% | 1,055,000 | 924,100 | |
Total | 48,564,897 | |||
Natural Gas 0.1% | ||||
APT Pipelines Ltd.(a) | ||||
07/15/2027 | 4.250% | 194,000 | 181,203 | |
Atmos Energy Corp. | ||||
02/15/2052 | 2.850% | 510,000 | 332,508 | |
10/15/2052 | 5.750% | 185,000 | 194,466 | |
Brooklyn Union Gas Co. (The)(a) | ||||
03/15/2048 | 4.273% | 360,000 | 269,333 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NiSource Finance Corp. | ||||
02/01/2042 | 5.800% | 381,000 | 359,971 | |
NiSource, Inc. | ||||
09/01/2029 | 2.950% | 257,000 | 223,243 | |
02/15/2031 | 1.700% | 307,000 | 233,808 | |
ONE Gas, Inc. | ||||
05/15/2030 | 2.000% | 372,000 | 301,862 | |
Southern California Gas Co. | ||||
02/01/2030 | 2.550% | 374,000 | 318,372 | |
Southern Co. Gas Capital Corp. | ||||
10/01/2023 | 2.450% | 201,000 | 196,702 | |
06/15/2026 | 3.250% | 169,000 | 157,940 | |
10/01/2046 | 3.950% | 247,000 | 185,915 | |
09/30/2051 | 3.150% | 750,000 | 483,973 | |
Total | 3,439,296 | |||
Office REIT 0.0% | ||||
Alexandria Real Estate Equities, Inc. | ||||
04/15/2026 | 3.800% | 122,000 | 118,098 | |
12/15/2030 | 4.900% | 341,000 | 331,915 | |
02/01/2033 | 1.875% | 225,000 | 167,638 | |
02/01/2050 | 4.000% | 225,000 | 171,203 | |
Boston Properties LP | ||||
12/01/2028 | 4.500% | 350,000 | 324,976 | |
Corporate Office Properties LP | ||||
04/15/2031 | 2.750% | 550,000 | 411,719 | |
Office Properties Income Trust | ||||
10/15/2031 | 3.450% | 485,000 | 326,933 | |
Total | 1,852,482 | |||
Oil Field Services 0.1% | ||||
Baker Hughes, Inc. | ||||
09/15/2040 | 5.125% | 300,000 | 278,692 | |
Guara Norte Sarl(a) | ||||
06/15/2034 | 5.198% | 910,570 | 769,603 | |
Halliburton Co. | ||||
11/15/2035 | 4.850% | 169,000 | 156,490 | |
08/01/2043 | 4.750% | 260,000 | 222,327 | |
MV24 Capital BV(a) | ||||
06/01/2034 | 6.748% | 513,900 | 469,716 | |
National Oilwell Varco, Inc. | ||||
12/01/2029 | 3.600% | 1,000,000 | 879,564 | |
Oceaneering International, Inc. | ||||
11/15/2024 | 4.650% | 850,000 | 816,588 | |
Schlumberger Holdings Corp.(a) | ||||
05/17/2028 | 3.900% | 351,000 | 327,859 | |
Total | 3,920,839 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 37 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Other Financial Institutions 0.1% | ||||
Icahn Enterprises LP/Finance Corp. | ||||
05/15/2027 | 5.250% | 1,115,000 | 1,022,452 | |
Kennedy-Wilson, Inc. | ||||
03/01/2029 | 4.750% | 1,430,000 | 1,137,264 | |
Nationstar Mortgage Holdings, Inc.(a) | ||||
01/15/2027 | 6.000% | 1,210,000 | 1,085,318 | |
Total | 3,245,034 | |||
Other Industry 0.1% | ||||
Dycom Industries, Inc.(a) | ||||
04/15/2029 | 4.500% | 815,000 | 713,469 | |
Global Infrastructure Solutions, Inc.(a) | ||||
06/01/2029 | 5.625% | 1,060,000 | 826,535 | |
MasTec, Inc.(a) | ||||
08/15/2028 | 4.500% | 710,000 | 636,458 | |
Pepperdine University | ||||
12/01/2059 | 3.301% | 560,000 | 351,499 | |
President and Fellows of Harvard College | ||||
10/15/2050 | 2.517% | 673,000 | 438,792 | |
Quanta Services, Inc. | ||||
10/01/2024 | 0.950% | 1,689,000 | 1,554,491 | |
Trustees of the University of Pennsylvania (The) | ||||
02/15/2119 | 3.610% | 815,000 | 539,671 | |
University of Miami | ||||
04/01/2052 | 4.063% | 320,000 | 262,738 | |
University of Southern California | ||||
10/01/2120 | 3.226% | 690,000 | 407,841 | |
Total | 5,731,494 | |||
Other REIT 0.3% | ||||
Arbor Realty Trust, Inc.(a) | ||||
09/01/2026 | 4.500% | 6,000,000 | 5,359,992 | |
Digital Realty Trust LP | ||||
08/15/2027 | 3.700% | 231,000 | 214,704 | |
Extra Space Storage LP | ||||
03/15/2032 | 2.350% | 730,000 | 552,757 | |
Goodman Australia Industrial Fund Bond Issuer Pty Ltd.(a) | ||||
09/30/2026 | 3.400% | 314,000 | 290,944 | |
Life Storage LP | ||||
06/15/2029 | 4.000% | 280,000 | 250,339 | |
Prologis LP | ||||
06/30/2026 | 3.250% | 203,000 | 192,812 | |
04/15/2030 | 2.250% | 280,000 | 233,732 | |
04/15/2050 | 3.000% | 546,000 | 365,000 | |
Public Storage | ||||
11/09/2026 | 1.500% | 507,000 | 451,729 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Rexford Industrial Realty LP | ||||
09/01/2031 | 2.150% | 441,000 | 338,028 | |
RHP Hotel Properties LP/Finance Corp. | ||||
10/15/2027 | 4.750% | 1,425,000 | 1,295,373 | |
Sun Communities Operating LP | ||||
11/01/2028 | 2.300% | 816,000 | 681,796 | |
04/15/2032 | 4.200% | 1,631,000 | 1,433,127 | |
Trust F/1401(a) | ||||
01/15/2050 | 6.390% | 1,158,000 | 941,021 | |
WP Carey, Inc. | ||||
10/01/2026 | 4.250% | 345,000 | 332,753 | |
04/01/2033 | 2.250% | 436,000 | 323,349 | |
Total | 13,257,456 | |||
Other Utility 0.0% | ||||
American Water Capital Corp. | ||||
10/15/2037 | 6.593% | 300,000 | 331,050 | |
12/01/2046 | 4.000% | 431,000 | 336,374 | |
05/01/2050 | 3.450% | 408,000 | 301,219 | |
Entergy Texas Restoration Funding II LLC | ||||
12/15/2035 | 3.697% | 585,000 | 524,416 | |
Total | 1,493,059 | |||
Packaging 0.2% | ||||
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 1,465,000 | 1,269,975 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 1,890,000 | 1,838,887 | |
Crown Cork & Seal Co., Inc. | ||||
12/15/2026 | 7.375% | 730,000 | 751,042 | |
LABL Escrow Issuer LLC(a) | ||||
07/15/2026 | 6.750% | 910,000 | 863,800 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
05/13/2027 | 6.625% | 1,175,000 | 1,143,623 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
10/15/2027 | 4.000% | 1,175,000 | 1,043,245 | |
Sealed Air Corp.(a) | ||||
12/01/2027 | 4.000% | 780,000 | 711,264 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 780,000 | 729,103 | |
Total | 8,350,939 | |||
Paper 0.0% | ||||
Graphic Packaging International LLC(a) | ||||
04/15/2026 | 1.512% | 462,000 | 403,475 | |
Klabin Austria GmbH(a) | ||||
04/03/2029 | 5.750% | 300,000 | 295,834 |
38 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Packaging Corp. of America | ||||
12/15/2049 | 4.050% | 268,000 | 205,776 | |
Total | 905,085 | |||
Pharmaceuticals 1.0% | ||||
AbbVie, Inc. | ||||
03/15/2035 | 4.550% | 341,000 | 318,777 | |
05/14/2036 | 4.300% | 614,000 | 555,044 | |
11/21/2039 | 4.050% | 4,813,000 | 4,121,947 | |
11/06/2042 | 4.400% | 280,000 | 243,141 | |
05/14/2046 | 4.450% | 830,000 | 720,243 | |
11/21/2049 | 4.250% | 5,739,000 | 4,824,015 | |
Amgen, Inc. | ||||
08/15/2028 | 1.650% | 225,000 | 187,984 | |
AstraZeneca Finance LLC | ||||
05/28/2028 | 1.750% | 2,954,000 | 2,537,131 | |
AstraZeneca PLC | ||||
08/06/2030 | 1.375% | 860,000 | 679,637 | |
09/15/2037 | 6.450% | 290,000 | 327,312 | |
09/18/2042 | 4.000% | 341,000 | 294,865 | |
Bausch Health Companies, Inc.(a) | ||||
04/01/2026 | 9.250% | 2,070,000 | 1,458,323 | |
08/15/2027 | 5.750% | 990,000 | 673,833 | |
06/01/2028 | 4.875% | 2,530,000 | 1,618,617 | |
02/15/2029 | 5.000% | 3,020,000 | 1,451,347 | |
Biogen, Inc. | ||||
05/01/2030 | 2.250% | 474,000 | 385,249 | |
Bristol Myers Squibb Co. | ||||
02/20/2028 | 3.900% | 307,000 | 296,526 | |
07/26/2029 | 3.400% | 165,000 | 153,198 | |
06/15/2039 | 4.125% | 162,000 | 144,427 | |
02/20/2048 | 4.550% | 106,000 | 96,293 | |
03/15/2052 | 3.700% | 1,630,000 | 1,272,760 | |
Emergent BioSolutions, Inc.(a) | ||||
08/15/2028 | 3.875% | 965,000 | 476,610 | |
Gilead Sciences, Inc. | ||||
09/01/2036 | 4.000% | 756,000 | 666,295 | |
10/01/2040 | 2.600% | 1,975,000 | 1,383,876 | |
03/01/2047 | 4.150% | 341,000 | 282,319 | |
10/01/2050 | 2.800% | 1,372,000 | 887,899 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 825,000 | 713,793 | |
Jazz Securities DAC(a) | ||||
01/15/2029 | 4.375% | 1,250,000 | 1,122,056 | |
Merck & Co., Inc. | ||||
12/10/2051 | 2.750% | 1,860,000 | 1,251,851 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 650,000 | 575,522 | |
04/30/2031 | 5.125% | 1,030,000 | 892,211 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Par Pharmaceutical, Inc.(a),(i) | ||||
04/01/2027 | 0.000% | 785,000 | 596,621 | |
Pfizer, Inc. | ||||
08/18/2031 | 1.750% | 1,714,000 | 1,378,114 | |
05/28/2040 | 2.550% | 2,949,000 | 2,143,602 | |
Regeneron Pharmaceuticals, Inc. | ||||
09/15/2030 | 1.750% | 528,000 | 408,796 | |
Roche Holdings, Inc.(a) | ||||
12/13/2031 | 2.076% | 4,244,000 | 3,443,675 | |
12/13/2051 | 2.607% | 1,305,000 | 849,995 | |
Shire Acquisitions Investments Ireland DAC | ||||
09/23/2023 | 2.875% | 780,000 | 766,404 | |
09/23/2026 | 3.200% | 505,000 | 474,729 | |
Takeda Pharmaceutical Co., Ltd. | ||||
11/26/2023 | 4.400% | 586,000 | 581,265 | |
11/26/2028 | 5.000% | 341,000 | 338,512 | |
03/31/2030 | 2.050% | 2,342,000 | 1,911,333 | |
07/09/2040 | 3.025% | 1,915,000 | 1,405,073 | |
07/09/2050 | 3.175% | 1,009,000 | 690,165 | |
Zoetis, Inc. | ||||
05/15/2030 | 2.000% | 303,000 | 246,014 | |
11/16/2032 | 5.600% | 1,385,000 | 1,437,021 | |
Total | 47,284,420 | |||
Property & Casualty 0.1% | ||||
Berkshire Hathaway Finance Corp. | ||||
01/15/2051 | 2.500% | 1,500,000 | 946,790 | |
Cincinnati Financial Corp. | ||||
11/01/2034 | 6.125% | 341,000 | 351,002 | |
CNA Financial Corp. | ||||
08/15/2027 | 3.450% | 170,000 | 157,755 | |
Enstar Group Ltd. | ||||
09/01/2031 | 3.100% | 2,134,000 | 1,558,204 | |
Liberty Mutual Group, Inc.(a) | ||||
06/15/2052 | 5.500% | 823,000 | 738,313 | |
Marsh & McLennan Companies, Inc. | ||||
11/01/2052 | 6.250% | 467,000 | 521,441 | |
Stewart Information Services Corp. | ||||
11/15/2031 | 3.600% | 1,145,000 | 873,042 | |
Travelers Property Casualty Corp. | ||||
04/15/2026 | 7.750% | 206,000 | 223,453 | |
Total | 5,370,000 | |||
Railroads 0.2% | ||||
Burlington Northern Santa Fe LLC | ||||
08/15/2030 | 7.950% | 170,000 | 197,265 | |
05/01/2040 | 5.750% | 269,000 | 281,546 | |
02/15/2050 | 3.550% | 147,000 | 113,161 | |
02/15/2051 | 3.050% | 785,000 | 545,441 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 39 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canadian National Railway Co. | ||||
08/05/2032 | 3.850% | 1,335,000 | 1,240,405 | |
08/05/2052 | 4.400% | 889,000 | 794,707 | |
Canadian Pacific Railway Co. | ||||
12/02/2024 | 1.350% | 2,105,000 | 1,964,076 | |
12/02/2026 | 1.750% | 408,000 | 363,580 | |
12/02/2031 | 2.450% | 342,000 | 284,662 | |
12/02/2041 | 3.000% | 416,000 | 312,606 | |
CSX Corp. | ||||
11/15/2032 | 4.100% | 2,222,000 | 2,081,417 | |
Kansas City Southern | ||||
05/01/2048 | 4.700% | 494,000 | 429,719 | |
Union Pacific Corp. | ||||
05/20/2031 | 2.375% | 900,000 | 755,546 | |
02/14/2032 | 2.800% | 1,222,000 | 1,050,226 | |
02/14/2042 | 3.375% | 1,017,000 | 808,807 | |
09/15/2067 | 4.100% | 200,000 | 157,622 | |
Total | 11,380,786 | |||
Refining 0.1% | ||||
HF Sinclair Corp. | ||||
10/01/2023 | 2.625% | 1,460,000 | 1,422,196 | |
04/01/2026 | 5.875% | 618,000 | 619,608 | |
Phillips 66 | ||||
11/15/2044 | 4.875% | 40,000 | 36,747 | |
Phillips 66 Co.(a) | ||||
10/01/2026 | 3.550% | 171,000 | 160,349 | |
12/15/2029 | 3.150% | 263,000 | 229,395 | |
Valero Energy Corp. | ||||
09/15/2027 | 2.150% | 341,000 | 299,143 | |
04/15/2032 | 7.500% | 181,000 | 203,663 | |
Total | 2,971,101 | |||
Restaurants 0.1% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
01/15/2028 | 3.875% | 1,385,000 | 1,247,450 | |
10/15/2030 | 4.000% | 190,000 | 154,289 | |
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 1,384,000 | 1,053,376 | |
04/01/2050 | 4.200% | 2,042,000 | 1,707,706 | |
09/09/2052 | 5.150% | 892,000 | 860,995 | |
Yum! Brands, Inc. | ||||
01/31/2032 | 4.625% | 1,215,000 | 1,077,261 | |
Total | 6,101,077 | |||
Retail REIT 0.4% | ||||
Agree LP | ||||
06/15/2028 | 2.000% | 1,772,000 | 1,448,038 | |
10/01/2032 | 4.800% | 888,000 | 816,629 | |
06/15/2033 | 2.600% | 404,000 | 304,333 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brixmor Operating Partnership LP | ||||
02/01/2025 | 3.850% | 341,000 | 327,360 | |
04/01/2028 | 2.250% | 303,000 | 251,990 | |
08/16/2031 | 2.500% | 987,000 | 755,713 | |
DDR Corp. | ||||
02/01/2025 | 3.625% | 164,000 | 154,964 | |
06/01/2027 | 4.700% | 200,000 | 187,877 | |
Federal Realty Investment Trust | ||||
01/15/2024 | 3.950% | 1,128,000 | 1,113,357 | |
Kimco Realty Corp. | ||||
02/01/2033 | 4.600% | 1,335,000 | 1,228,226 | |
National Retail Properties, Inc. | ||||
11/15/2025 | 4.000% | 248,000 | 238,933 | |
12/15/2026 | 3.600% | 211,000 | 196,557 | |
Realty Income Corp. | ||||
07/15/2024 | 3.875% | 219,000 | 214,375 | |
04/15/2025 | 3.875% | 255,000 | 249,335 | |
01/15/2028 | 3.650% | 916,000 | 855,290 | |
06/15/2028 | 2.200% | 874,000 | 749,314 | |
01/15/2031 | 3.250% | 300,000 | 260,173 | |
10/13/2032 | 5.625% | 2,589,000 | 2,642,159 | |
12/15/2032 | 2.850% | 1,180,000 | 958,480 | |
Regency Centers LP | ||||
09/15/2029 | 2.950% | 2,457,000 | 2,060,062 | |
Scentre Group Trust 1/Trust 2(a) | ||||
02/12/2025 | 3.500% | 355,000 | 339,569 | |
Scentre Group Trust 2(a),(h) | ||||
09/24/2080 | 4.750% | 339,000 | 304,979 | |
STORE Capital Corp. | ||||
03/15/2028 | 4.500% | 2,180,000 | 1,964,690 | |
03/15/2029 | 4.625% | 1,040,000 | 929,206 | |
11/18/2030 | 2.750% | 1,442,000 | 1,099,138 | |
12/01/2031 | 2.700% | 567,000 | 412,504 | |
Total | 20,063,251 | |||
Retailers 0.7% | ||||
7-Eleven, Inc.(a) | ||||
02/10/2028 | 1.300% | 208,000 | 172,857 | |
02/10/2041 | 2.500% | 619,000 | 407,505 | |
Alimentation Couche-Tard, Inc.(a) | ||||
01/25/2050 | 3.800% | 433,000 | 305,361 | |
Amazon.com, Inc. | ||||
04/13/2032 | 3.600% | 1,000,000 | 917,278 | |
12/01/2032 | 4.700% | 2,321,000 | 2,305,916 | |
08/22/2037 | 3.875% | 550,000 | 487,833 | |
05/12/2041 | 2.875% | 594,000 | 443,590 | |
05/12/2051 | 3.100% | 725,000 | 519,519 | |
04/13/2052 | 3.950% | 2,305,000 | 1,931,021 | |
Asbury Automotive Group, Inc. | ||||
03/01/2028 | 4.500% | 875,000 | 770,534 |
40 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gap Inc. (The)(a) | ||||
10/01/2029 | 3.625% | 755,000 | 537,271 | |
Gap, Inc. (The)(a) | ||||
10/01/2031 | 3.875% | 460,000 | 324,522 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 1,250,000 | 1,062,749 | |
Home Depot, Inc. (The) | ||||
09/15/2032 | 4.500% | 2,713,000 | 2,658,518 | |
04/15/2040 | 3.300% | 350,000 | 279,254 | |
12/15/2049 | 3.125% | 1,646,000 | 1,175,713 | |
03/15/2051 | 2.375% | 1,357,000 | 821,164 | |
04/15/2052 | 3.625% | 845,000 | 660,451 | |
09/15/2052 | 4.950% | 2,518,000 | 2,432,908 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 2,010,000 | 1,982,464 | |
Lithia Motors, Inc.(a) | ||||
12/15/2027 | 4.625% | 855,000 | 778,795 | |
Lowe’s Companies, Inc. | ||||
10/15/2030 | 1.700% | 450,000 | 351,510 | |
04/01/2052 | 4.250% | 1,782,000 | 1,427,150 | |
04/15/2053 | 5.625% | 4,112,000 | 3,963,068 | |
Nordstrom, Inc. | ||||
08/01/2031 | 4.250% | 1,331,000 | 960,144 | |
O’Reilly Automotive, Inc. | ||||
03/15/2026 | 3.550% | 164,000 | 157,779 | |
09/01/2027 | 3.600% | 432,000 | 407,782 | |
Penske Automotive Group, Inc. | ||||
06/15/2029 | 3.750% | 903,000 | 733,374 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 2,030,000 | 1,839,537 | |
Rite Aid Corp.(a) | ||||
11/15/2026 | 8.000% | 1,250,000 | 658,307 | |
Sonic Automotive, Inc.(a) | ||||
11/15/2029 | 4.625% | 380,000 | 306,410 | |
Walmart, Inc. | ||||
09/09/2052 | 4.500% | 1,338,000 | 1,276,759 | |
William Carter Co. (The)(a) | ||||
03/15/2027 | 5.625% | 405,000 | 389,378 | |
Total | 33,446,421 | |||
Stranded Utility 0.0% | ||||
PG&E Recovery Funding LLC | ||||
07/15/2047 | 5.536% | 825,000 | 841,055 | |
PG&E Wildfire Recovery Funding LLC | ||||
06/01/2036 | 4.263% | 165,000 | 154,597 | |
12/01/2047 | 5.212% | 270,000 | 261,274 | |
06/01/2052 | 5.099% | 510,000 | 485,060 | |
Total | 1,741,986 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Supermarkets 0.1% | ||||
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 3,715,000 | 3,457,063 | |
Kroger Co. (The) | ||||
05/01/2030 | 2.200% | 682,000 | 551,848 | |
02/01/2047 | 4.450% | 240,000 | 202,708 | |
Total | 4,211,619 | |||
Technology 2.0% | ||||
Advanced Micro Devices, Inc. | ||||
06/01/2032 | 3.924% | 2,732,000 | 2,544,726 | |
ams AG(a) | ||||
07/31/2025 | 7.000% | 1,010,000 | 949,978 | |
Apple, Inc. | ||||
08/08/2029 | 3.250% | 3,559,000 | 3,297,113 | |
02/08/2041 | 2.375% | 689,000 | 487,515 | |
08/04/2046 | 3.850% | 229,000 | 195,003 | |
11/13/2047 | 3.750% | 169,000 | 141,113 | |
05/11/2050 | 2.650% | 1,304,000 | 867,186 | |
08/20/2050 | 2.400% | 107,000 | 67,626 | |
02/08/2051 | 2.650% | 580,000 | 387,041 | |
08/08/2052 | 3.950% | 2,593,000 | 2,214,231 | |
02/08/2061 | 2.800% | 603,000 | 386,915 | |
08/05/2061 | 2.850% | 3,630,000 | 2,365,611 | |
08/08/2062 | 4.100% | 1,334,000 | 1,126,236 | |
Arrow Electronics, Inc. | ||||
01/12/2028 | 3.875% | 376,000 | 342,280 | |
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 925,000 | 806,597 | |
Block, Inc. | ||||
06/01/2026 | 2.750% | 545,000 | 487,142 | |
06/01/2031 | 3.500% | 740,000 | 590,652 | |
Broadcom, Inc. | ||||
11/15/2025 | 3.150% | 1,110,000 | 1,052,484 | |
11/15/2030 | 4.150% | 1,001,000 | 896,772 | |
Broadcom, Inc.(a) | ||||
02/15/2031 | 2.450% | 1,481,000 | 1,165,977 | |
04/15/2032 | 4.150% | 1,275,000 | 1,120,742 | |
04/15/2033 | 3.419% | 4,031,000 | 3,235,611 | |
04/15/2034 | 3.469% | 1,892,000 | 1,500,072 | |
05/15/2037 | 4.926% | 1,353,000 | 1,182,567 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 960,000 | 832,811 | |
CommScope Finance LLC(a) | ||||
03/01/2026 | 6.000% | 1,875,000 | 1,730,426 | |
CommScope Technologies LLC(a) | ||||
03/15/2027 | 5.000% | 1,155,000 | 792,157 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 41 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dell International LLC/EMC Corp. | ||||
06/15/2023 | 5.450% | 153,000 | 153,014 | |
06/15/2026 | 6.020% | 2,068,000 | 2,111,191 | |
07/15/2027 | 6.100% | 861,000 | 884,835 | |
10/01/2029 | 5.300% | 600,000 | 585,638 | |
Dell International LLC/EMC Corp.(a) | ||||
12/15/2041 | 3.375% | 2,104,000 | 1,413,071 | |
12/15/2051 | 3.450% | 543,000 | 335,911 | |
Entegris, Inc.(a) | ||||
04/15/2028 | 4.375% | 1,040,000 | 918,529 | |
05/01/2029 | 3.625% | 320,000 | 257,381 | |
Equinix, Inc. | ||||
11/18/2026 | 2.900% | 469,000 | 428,435 | |
Fiserv, Inc. | ||||
07/01/2026 | 3.200% | 360,000 | 337,228 | |
07/01/2049 | 4.400% | 345,000 | 280,587 | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 710,000 | 662,541 | |
06/15/2029 | 3.625% | 845,000 | 740,718 | |
Global Payments, Inc. | ||||
05/15/2030 | 2.900% | 1,850,000 | 1,518,093 | |
11/15/2031 | 2.900% | 1,415,000 | 1,118,288 | |
HP, Inc. | ||||
06/17/2027 | 3.000% | 268,000 | 244,788 | |
Imola Merger Corp.(a) | ||||
05/15/2029 | 4.750% | 1,740,000 | 1,507,606 | |
Intel Corp. | ||||
08/12/2041 | 2.800% | 2,215,000 | 1,543,656 | |
08/05/2052 | 4.900% | 2,049,000 | 1,820,370 | |
02/15/2060 | 3.100% | 239,000 | 149,058 | |
08/05/2062 | 5.050% | 887,000 | 782,679 | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 1,050,000 | 966,911 | |
07/15/2030 | 5.250% | 340,000 | 295,274 | |
KLA Corp. | ||||
03/01/2050 | 3.300% | 925,000 | 670,609 | |
07/15/2052 | 4.950% | 788,000 | 739,562 | |
Leidos, Inc. | ||||
02/15/2031 | 2.300% | 194,000 | 148,462 | |
Microchip Technology, Inc. | ||||
02/15/2024 | 0.972% | 506,000 | 481,060 | |
Microsoft Corp. | ||||
02/12/2035 | 3.500% | 300,000 | 271,813 | |
03/17/2052 | 2.921% | 462,000 | 329,167 | |
03/17/2062 | 3.041% | 314,000 | 218,720 | |
MSCI, Inc.(a) | ||||
09/01/2030 | 3.625% | 380,000 | 316,593 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 1,497,000 | 1,284,493 | |
09/01/2029 | 6.125% | 700,000 | 654,512 | |
NXP BV/Funding LLC/USA, Inc. | ||||
06/01/2027 | 4.400% | 1,025,000 | 982,373 | |
05/01/2030 | 3.400% | 1,177,000 | 1,015,701 | |
02/15/2032 | 2.650% | 1,749,000 | 1,368,036 | |
05/11/2041 | 3.250% | 928,000 | 644,959 | |
ON Semiconductor Corp.(a) | ||||
09/01/2028 | 3.875% | 1,275,000 | 1,114,513 | |
Oracle Corp. | ||||
03/25/2028 | 2.300% | 312,000 | 270,554 | |
07/08/2034 | 4.300% | 164,000 | 144,497 | |
05/15/2035 | 3.900% | 251,000 | 209,174 | |
07/15/2036 | 3.850% | 285,000 | 233,144 | |
11/15/2037 | 3.800% | 2,010,000 | 1,585,651 | |
04/01/2040 | 3.600% | 2,700,000 | 1,993,749 | |
07/15/2046 | 4.000% | 1,644,000 | 1,207,345 | |
03/25/2051 | 3.950% | 1,791,000 | 1,290,401 | |
11/09/2052 | 6.900% | 1,893,000 | 2,048,487 | |
05/15/2055 | 4.375% | 571,000 | 438,468 | |
Presidio Holdings, Inc.(a) | ||||
02/01/2027 | 4.875% | 1,225,000 | 1,117,642 | |
PTC, Inc.(a) | ||||
02/15/2028 | 4.000% | 880,000 | 796,477 | |
QUALCOMM, Inc. | ||||
05/20/2052 | 4.500% | 1,686,000 | 1,485,627 | |
05/20/2053 | 6.000% | 2,133,000 | 2,278,753 | |
S&P Global, Inc.(a) | ||||
03/01/2029 | 2.700% | 422,000 | 371,286 | |
03/01/2032 | 2.900% | 1,545,000 | 1,318,212 | |
Seagate HDD Cayman | ||||
07/15/2029 | 3.125% | 480,000 | 366,490 | |
01/15/2031 | 4.125% | 1,155,000 | 902,764 | |
Sensata Technologies BV(a) | ||||
04/15/2029 | 4.000% | 1,160,000 | 1,000,548 | |
SS&C Technologies, Inc.(a) | ||||
09/30/2027 | 5.500% | 1,020,000 | 960,230 | |
Synaptics, Inc.(a) | ||||
06/15/2029 | 4.000% | 905,000 | 757,363 | |
TSMC Arizona Corp. | ||||
10/25/2031 | 2.500% | 2,260,000 | 1,856,746 | |
04/22/2052 | 4.500% | 340,000 | 306,475 | |
VMware, Inc. | ||||
08/15/2023 | 0.600% | 4,146,000 | 4,028,841 | |
08/15/2024 | 1.000% | 2,943,000 | 2,737,632 | |
08/15/2026 | 1.400% | 2,752,000 | 2,397,004 | |
05/15/2027 | 4.650% | 774,000 | 747,759 | |
05/15/2030 | 4.700% | 1,702,000 | 1,583,398 |
42 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Workday, Inc. | ||||
04/01/2029 | 3.700% | 986,000 | 904,462 | |
Xilinx, Inc. | ||||
06/01/2030 | 2.375% | 725,000 | 609,562 | |
Total | 96,011,700 | |||
Tobacco 0.2% | ||||
BAT Capital Corp. | ||||
08/15/2037 | 4.390% | 5,553,000 | 4,318,319 | |
08/15/2047 | 4.540% | 425,000 | 302,095 | |
Philip Morris International, Inc. | ||||
11/17/2025 | 5.000% | 2,006,000 | 2,016,259 | |
11/17/2027 | 5.125% | 3,009,000 | 3,037,507 | |
11/17/2032 | 5.750% | 1,507,000 | 1,541,410 | |
11/15/2041 | 4.375% | 1,300,000 | 1,070,919 | |
Total | 12,286,509 | |||
Transportation Services 0.1% | ||||
Adani International Container Terminal Private Ltd.(a) | ||||
02/16/2031 | 3.000% | 796,875 | 628,646 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
07/15/2027 | 5.750% | 1,405,000 | 1,276,005 | |
ERAC U.S.A. Finance LLC(a) | ||||
02/15/2045 | 4.500% | 399,000 | 326,651 | |
Hertz Corp. (The)(a) | ||||
12/01/2026 | 4.625% | 860,000 | 720,552 | |
JB Hunt Transport Services, Inc. | ||||
03/01/2026 | 3.875% | 169,000 | 163,651 | |
Penske Truck Leasing Co. LP/Finance Corp.(a) | ||||
03/14/2023 | 2.700% | 350,000 | 348,232 | |
Total | 3,463,737 | |||
Wireless 0.7% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 905,000 | 534,345 | |
Altice France SA(a) | ||||
07/15/2029 | 5.125% | 1,375,000 | 1,028,412 | |
America Movil SAB de CV | ||||
04/22/2029 | 3.625% | 795,000 | 723,928 | |
04/22/2049 | 4.375% | 662,000 | 565,530 | |
America Movil SAB de CV(a) | ||||
04/04/2032 | 5.375% | 404,000 | 365,655 | |
American Tower Corp. | ||||
01/15/2027 | 3.125% | 888,000 | 814,934 | |
03/15/2027 | 3.650% | 1,254,000 | 1,172,887 | |
04/15/2031 | 2.700% | 675,000 | 549,001 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Crown Castle International Corp. | ||||
07/15/2026 | 1.050% | 2,541,000 | 2,199,216 | |
03/01/2027 | 4.000% | 425,000 | 404,717 | |
03/15/2027 | 2.900% | 2,776,000 | 2,526,956 | |
07/01/2030 | 3.300% | 1,465,000 | 1,279,874 | |
04/01/2031 | 2.100% | 372,000 | 292,782 | |
04/01/2041 | 2.900% | 1,559,000 | 1,069,316 | |
Empresa Nacional de Telecomunicaciones SA(a) | ||||
09/14/2032 | 3.050% | 325,000 | 259,397 | |
Rogers Communications, Inc.(a) | ||||
03/15/2052 | 4.550% | 1,052,000 | 820,591 | |
SBA Communications Corp. | ||||
02/01/2029 | 3.125% | 1,260,000 | 1,049,280 | |
Sprint Capital Corp. | ||||
03/15/2032 | 8.750% | 1,030,000 | 1,225,254 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 3,170,000 | 3,335,819 | |
T-Mobile US, Inc. | ||||
02/15/2026 | 2.250% | 3,847,000 | 3,503,552 | |
02/01/2028 | 4.750% | 3,835,000 | 3,736,493 | |
04/15/2029 | 3.375% | 8,046,000 | 7,089,167 | |
02/15/2031 | 2.875% | 387,000 | 319,506 | |
04/15/2031 | 3.500% | 254,000 | 219,981 | |
Vodafone Group PLC | ||||
05/30/2038 | 5.000% | 425,000 | 390,535 | |
09/17/2050 | 4.250% | 337,000 | 260,330 | |
Total | 35,737,458 | |||
Wirelines 0.5% | ||||
AT&T, Inc. | ||||
03/25/2026 | 1.700% | 4,230,000 | 3,817,881 | |
06/01/2027 | 2.300% | 951,000 | 847,468 | |
02/01/2028 | 1.650% | 107,000 | 90,526 | |
12/01/2033 | 2.550% | 2,980,000 | 2,291,618 | |
06/01/2041 | 3.500% | 908,000 | 677,658 | |
12/01/2057 | 3.800% | 2,558,000 | 1,772,919 | |
09/15/2059 | 3.650% | 889,000 | 601,822 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 1,880,000 | 1,633,135 | |
02/15/2027 | 4.000% | 1,925,000 | 1,639,916 | |
Deutsche Telekom AG(a) | ||||
01/21/2050 | 3.625% | 392,000 | 282,681 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 1,025,000 | 759,641 | |
Frontier Communications Holdings LLC(a) | ||||
10/15/2027 | 5.875% | 1,380,000 | 1,284,376 | |
Level 3 Financing, Inc.(a) | ||||
09/15/2027 | 4.625% | 1,920,000 | 1,602,314 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 1,225,000 | 938,033 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 43 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verizon Communications, Inc. | ||||
03/22/2028 | 2.100% | 140,000 | 121,449 | |
02/08/2029 | 3.875% | 235,000 | 220,674 | |
03/21/2031 | 2.550% | 5,600,000 | 4,608,786 | |
03/15/2032 | 2.355% | 1,129,000 | 895,345 | |
11/20/2040 | 2.650% | 1,599,000 | 1,079,350 | |
03/22/2051 | 3.550% | 851,000 | 609,190 | |
Total | 25,774,782 | |||
Total Corporate Bonds & Notes (Cost $1,547,347,244) | 1,353,394,416 | |||
Foreign Government Obligations(j) 1.0% | ||||
Angola 0.0% | ||||
Angolan Government International Bond(a) | ||||
05/09/2028 | 8.250% | 500,000 | 455,024 | |
04/14/2032 | 8.750% | 678,000 | 586,875 | |
Total | 1,041,899 | |||
Australia 0.1% | ||||
Export Finance & Insurance Corp.(a) | ||||
10/26/2027 | 4.625% | 3,202,000 | 3,233,308 | |
Bahrain 0.0% | ||||
Bahrain Government International Bond(a) | ||||
09/16/2032 | 5.450% | 900,000 | 794,811 | |
Bermuda 0.0% | ||||
Bermuda Government International Bond(a) | ||||
07/15/2032 | 5.000% | 1,111,000 | 1,110,621 | |
Canada 0.1% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 530,000 | 476,121 | |
05/15/2029 | 4.250% | 360,000 | 294,042 | |
Ontario Teachers’ Cadillac Fairview Properties Trust(a) | ||||
03/20/2027 | 3.875% | 274,000 | 250,773 | |
Province of Saskatchewan | ||||
06/08/2027 | 3.250% | 1,287,000 | 1,228,865 | |
Total | 2,249,801 | |||
Chile 0.0% | ||||
Chile Government International Bond | ||||
01/27/2032 | 2.550% | 592,000 | 485,247 | |
03/07/2042 | 4.340% | 463,000 | 392,184 | |
Interchile SA(a) | ||||
06/30/2056 | 4.500% | 769,000 | 641,407 | |
Total | 1,518,838 |
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Colombia 0.0% | ||||
Colombia Government International Bond | ||||
01/28/2026 | 4.500% | 300,000 | 282,060 | |
Ecopetrol SA | ||||
01/16/2025 | 4.125% | 300,000 | 285,989 | |
06/26/2026 | 5.375% | 580,000 | 547,083 | |
Total | 1,115,132 | |||
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
09/23/2032 | 4.875% | 1,000,000 | 832,057 | |
02/22/2033 | 6.000% | 725,000 | 655,248 | |
01/30/2060 | 5.875% | 1,500,000 | 1,101,901 | |
Total | 2,589,206 | |||
Ecuador 0.0% | ||||
Ecuador Government International Bond(a),(h) | ||||
07/31/2035 | 2.500% | 600,000 | 277,751 | |
Ghana 0.0% | ||||
Ghana Government International Bond(a),(i) | ||||
06/16/2049 | 0.000% | 500,000 | 171,966 | |
Hungary 0.0% | ||||
Hungary Government International Bond(a) | ||||
06/16/2034 | 5.500% | 260,000 | 243,991 | |
Israel 0.0% | ||||
Israel Electric Corp., Ltd.(a) | ||||
02/22/2032 | 3.750% | 841,000 | 734,445 | |
Italy 0.0% | ||||
Republic of Italy Government International Bond | ||||
05/06/2051 | 3.875% | 323,000 | 213,659 | |
Ivory Coast 0.0% | ||||
Ivory Coast Government International Bond(a) | ||||
06/15/2033 | 6.125% | 1,200,000 | 1,068,280 | |
Kenya 0.1% | ||||
Republic of Kenya Government International Bond(a) | ||||
05/22/2032 | 8.000% | 900,000 | 767,638 | |
01/23/2034 | 6.300% | 790,000 | 608,758 | |
02/28/2048 | 8.250% | 400,000 | 310,297 | |
Total | 1,686,693 | |||
Mexico 0.3% | ||||
Banco Nacional de Comercio Exterior SNC(a),(h) | ||||
08/11/2031 | 2.720% | 520,000 | 431,999 | |
Comision Federal de Electricidad(a) | ||||
02/09/2031 | 3.348% | 600,000 | 470,344 |
44 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico City Airport Trust(a) | ||||
07/31/2047 | 5.500% | 200,000 | 154,315 | |
Mexico Government International Bond | ||||
04/22/2029 | 4.500% | 2,319,000 | 2,212,981 | |
05/24/2031 | 2.659% | 600,000 | 483,454 | |
05/19/2033 | 4.875% | 573,000 | 526,788 | |
02/12/2034 | 3.500% | 2,254,000 | 1,807,340 | |
02/10/2048 | 4.600% | 509,000 | 393,947 | |
02/12/2052 | 4.400% | 2,859,000 | 2,102,931 | |
05/24/2061 | 3.771% | 1,403,000 | 891,221 | |
04/19/2071 | 3.750% | 1,955,000 | 1,221,496 | |
Petroleos Mexicanos | ||||
01/15/2025 | 4.250% | 1,000,000 | 944,485 | |
02/12/2028 | 5.350% | 1,100,000 | 925,538 | |
01/28/2031 | 5.950% | 720,000 | 546,349 | |
Total | 13,113,188 | |||
Netherlands 0.0% | ||||
Greenko Dutch BV(a) | ||||
03/29/2026 | 3.850% | 191,000 | 165,680 | |
Nigeria 0.1% | ||||
Nigeria Government International Bond(a) | ||||
11/28/2027 | 6.500% | 1,200,000 | 967,169 | |
09/28/2028 | 6.125% | 540,000 | 417,496 | |
01/21/2031 | 8.747% | 1,200,000 | 979,790 | |
09/28/2033 | 7.375% | 442,000 | 314,586 | |
Total | 2,679,041 | |||
Norway 0.0% | ||||
Equinor ASA | ||||
09/23/2027 | 7.250% | 400,000 | 443,638 | |
Oman 0.0% | ||||
Oman Government International Bond(a) | ||||
01/17/2028 | 5.625% | 400,000 | 394,631 | |
10/28/2032 | 7.375% | 300,000 | 325,890 | |
Total | 720,521 | |||
Pakistan 0.0% | ||||
Pakistan Government International Bond(a) | ||||
04/08/2026 | 6.000% | 1,100,000 | 435,938 | |
Paraguay 0.1% | ||||
Bioceanico Sovereign Certificate Ltd.(a),(k) | ||||
06/05/2034 | 0.000% | 365,314 | 248,259 | |
Paraguay Government International Bond(a) | ||||
03/13/2048 | 5.600% | 1,800,000 | 1,574,738 | |
03/30/2050 | 5.400% | 1,629,000 | 1,409,085 | |
Total | 3,232,082 |
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Peru 0.0% | ||||
Fondo MIVIVIENDA SA(a) | ||||
04/12/2027 | 4.625% | 300,000 | 283,295 | |
Peruvian Government International Bond | ||||
01/15/2034 | 3.000% | 645,000 | 509,834 | |
11/18/2050 | 5.625% | 98,000 | 97,239 | |
01/15/2072 | 3.600% | 499,000 | 326,141 | |
Total | 1,216,509 | |||
Poland 0.1% | ||||
Republic of Poland Government International Bond | ||||
11/16/2032 | 5.750% | 2,054,000 | 2,184,660 | |
Romania 0.0% | ||||
Romanian Government International Bond(a) | ||||
02/14/2031 | 3.000% | 400,000 | 314,752 | |
Saudi Arabia 0.0% | ||||
Saudi Arabian Oil Co.(a) | ||||
11/24/2023 | 1.250% | 200,000 | 192,417 | |
11/24/2025 | 1.625% | 338,000 | 308,042 | |
Saudi Government International Bond(a) | ||||
02/02/2033 | 2.250% | 743,000 | 602,514 | |
Total | 1,102,973 | |||
Senegal 0.0% | ||||
Senegal Government International Bond(a) | ||||
05/23/2033 | 6.250% | 400,000 | 330,225 | |
03/13/2048 | 6.750% | 400,000 | 281,983 | |
Total | 612,208 | |||
Singapore 0.0% | ||||
BOC Aviation Ltd.(a) | ||||
10/10/2024 | 3.500% | 310,000 | 298,638 | |
South Africa 0.0% | ||||
Eskom Holdings SOC Ltd.(a) | ||||
08/06/2023 | 6.750% | 300,000 | 288,153 | |
Republic of South Africa Government International Bond | ||||
10/12/2028 | 4.300% | 1,100,000 | 980,457 | |
Total | 1,268,610 | |||
South Korea 0.0% | ||||
Export-Import Bank of Korea | ||||
09/15/2032 | 4.500% | 1,301,000 | 1,267,105 | |
United States 0.0% | ||||
Antares Holdings LP(a) | ||||
07/15/2027 | 3.750% | 2,095,000 | 1,682,379 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 45 |
December 31, 2022
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Virgin Islands 0.0% | ||||
China Southern Power Grid International Finance BVI Co., Ltd.(a) | ||||
05/08/2027 | 3.500% | 720,000 | 683,738 | |
Total Foreign Government Obligations (Cost $57,298,667) | 49,472,061 | |||
Municipal Bonds 0.2% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Airport 0.0% | ||||
City of Los Angeles Department of Airports | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
05/15/2039 | 6.582% | 405,000 | 441,457 | |
Higher Education 0.1% | ||||
Ohio State University (The) | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2011A | ||||
06/01/2111 | 4.800% | 2,014,000 | 1,657,676 | |
University of Texas System (The) | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020B | ||||
08/15/2049 | 2.439% | 685,000 | 430,221 | |
Total | 2,087,897 | |||
Hospital 0.0% | ||||
Regents of the University of California Medical Center | ||||
Taxable Revenue Bonds | ||||
Series 2020N | ||||
05/15/2120 | 3.706% | 1,360,000 | 854,610 | |
Joint Power Authority 0.0% | ||||
American Municipal Power, Inc. | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
02/15/2050 | 7.499% | 1,265,000 | 1,518,501 | |
Ports 0.1% | ||||
Port Authority of New York & New Jersey | ||||
Revenue Bonds | ||||
Consolidated 174th | ||||
Series 2012 | ||||
10/01/2062 | 4.458% | 1,850,000 | 1,605,320 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Taxable Consolidated 160th | ||||
Series 2010 | ||||
11/01/2040 | 5.647% | 835,000 | 871,951 | |
Total | 2,477,271 | |||
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 | 429,397 | |
State General Obligation 0.0% | ||||
State of California | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2039 | 7.300% | 295,000 | 358,388 | |
Turnpike / Bridge / Toll Road 0.0% | ||||
North Texas Tollway Authority | ||||
Revenue Bonds | ||||
Series 2009 (BAM) | ||||
01/01/2049 | 6.718% | 1,164,000 | 1,379,588 | |
Water & Sewer 0.0% | ||||
District of Columbia Water & Sewer Authority | ||||
Taxable Revenue Bonds | ||||
Senior Lien | ||||
Series 2014A | ||||
10/01/2114 | 4.814% | 411,000 | 355,694 | |
Total Municipal Bonds (Cost $11,452,965) | 9,902,803 | |||
Residential Mortgage-Backed Securities - Agency 21.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae REMICS | ||||
10/01/2042- 12/01/2043 | 3.500% | 14,029,812 | 13,034,859 | |
CMO Series 2013-11 Class AP | ||||
01/25/2043 | 1.500% | 73,460 | 65,071 | |
CMO Series 2020-50 Class A | ||||
07/25/2050 | 2.000% | 3,773,666 | 3,336,392 | |
CMO Series 2021-27 Class EC | ||||
05/25/2051 | 1.500% | 4,323,310 | 3,533,364 | |
CMO Series 2022-11 Class A | ||||
07/25/2047 | 2.500% | 5,008,136 | 4,517,749 |
46 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae REMICS(b) | ||||
CMO Series 2018-85 Class FE | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 6.500% 12/25/2048 | 4.689% | 3,640,804 | 3,554,536 | |
Federal Home Loan Mortgage Corp. | ||||
10/01/2026- 10/17/2038 | 6.500% | 688,632 | 711,466 | |
12/01/2032- 03/01/2052 | 4.000% | 12,372,100 | 11,748,152 | |
03/01/2033- 05/01/2049 | 3.000% | 22,064,841 | 19,823,918 | |
06/01/2035- 04/01/2036 | 5.500% | 75,810 | 76,882 | |
09/01/2037 | 6.000% | 376,906 | 393,922 | |
11/01/2040- 12/01/2051 | 2.000% | 42,231,918 | 35,505,037 | |
04/01/2042- 03/01/2052 | 2.500% | 22,832,872 | 19,573,550 | |
06/01/2046- 10/01/2046 | 3.500% | 2,359,426 | 2,188,772 | |
06/01/2048 | 4.500% | 1,198,230 | 1,175,236 | |
12/01/2048 | 5.000% | 1,083,037 | 1,087,785 | |
CMO Series 2017-4742 Class PA | ||||
10/15/2047 | 3.000% | 1,265,532 | 1,147,352 | |
CMO Series 2127 Class PG | ||||
02/15/2029 | 6.250% | 70,286 | 70,603 | |
CMO Series 2165 Class PE | ||||
06/15/2029 | 6.000% | 36,735 | 37,317 | |
CMO Series 2326 Class ZQ | ||||
06/15/2031 | 6.500% | 184,584 | 188,334 | |
CMO Series 2399 Class TH | ||||
01/15/2032 | 6.500% | 94,013 | 97,411 | |
CMO Series 2517 Class Z | ||||
10/15/2032 | 5.500% | 49,843 | 48,369 | |
CMO Series 2557 Class HL | ||||
01/15/2033 | 5.300% | 169,302 | 170,500 | |
CMO Series 262 Class 35 | ||||
07/15/2042 | 3.500% | 2,114,470 | 1,976,054 | |
CMO Series 2752 Class EZ | ||||
02/15/2034 | 5.500% | 453,222 | 455,241 | |
CMO Series 2764 Class ZG | ||||
03/15/2034 | 5.500% | 382,219 | 385,201 | |
CMO Series 2953 Class PG | ||||
03/15/2035 | 5.500% | 1,536,282 | 1,558,158 | |
CMO Series 2986 Class CH | ||||
06/15/2025 | 5.000% | 82,624 | 81,800 | |
CMO Series 2989 Class TG | ||||
06/15/2025 | 5.000% | 62,281 | 62,061 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 299 Class 300 | ||||
01/15/2043 | 3.000% | 254,807 | 232,099 | |
CMO Series 2990 Class UZ | ||||
06/15/2035 | 5.750% | 581,562 | 588,040 | |
CMO Series 3101 Class UZ | ||||
01/15/2036 | 6.000% | 159,881 | 166,533 | |
CMO Series 3123 Class AZ | ||||
03/15/2036 | 6.000% | 183,875 | 187,667 | |
CMO Series 3143 Class BC | ||||
02/15/2036 | 5.500% | 215,864 | 222,206 | |
CMO Series 3164 Class MG | ||||
06/15/2036 | 6.000% | 62,644 | 59,755 | |
CMO Series 3195 Class PD | ||||
07/15/2036 | 6.500% | 126,999 | 129,914 | |
CMO Series 3200 Class AY | ||||
08/15/2036 | 5.500% | 142,355 | 144,714 | |
CMO Series 3213 Class JE | ||||
09/15/2036 | 6.000% | 191,915 | 197,101 | |
CMO Series 3229 Class HE | ||||
10/15/2026 | 5.000% | 197,311 | 195,377 | |
CMO Series 3423 Class PB | ||||
03/15/2038 | 5.500% | 464,509 | 473,982 | |
CMO Series 3453 Class B | ||||
05/15/2038 | 5.500% | 10,501 | 10,474 | |
CMO Series 3461 Class Z | ||||
06/15/2038 | 6.000% | 888,843 | 904,371 | |
CMO Series 3501 Class CB | ||||
01/15/2039 | 5.500% | 199,219 | 201,331 | |
CMO Series 3684 Class CY | ||||
06/15/2025 | 4.500% | 280,820 | 278,496 | |
CMO Series 3704 Class CT | ||||
12/15/2036 | 7.000% | 303,382 | 322,680 | |
CMO Series 3704 Class DT | ||||
11/15/2036 | 7.500% | 291,278 | 313,083 | |
CMO Series 3704 Class ET | ||||
12/15/2036 | 7.500% | 203,232 | 219,777 | |
CMO Series 3707 Class B | ||||
08/15/2025 | 4.500% | 323,541 | 321,453 | |
CMO Series 3819 Class ZQ | ||||
04/15/2036 | 6.000% | 310,438 | 321,358 | |
CMO Series 3890 Class ME | ||||
07/15/2041 | 5.000% | 1,000,000 | 1,003,166 | |
CMO Series 4015 Class MY | ||||
03/15/2042 | 3.500% | 1,918,026 | 1,788,134 | |
CMO Series 4177 Class MQ | ||||
03/15/2043 | 2.500% | 1,000,000 | 845,887 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 47 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4205 Class PA | ||||
05/15/2043 | 1.750% | 1,915,743 | 1,616,249 | |
CMO Series 4217 Class KY | ||||
06/15/2043 | 3.000% | 1,200,000 | 1,033,747 | |
CMO Series 4240 Class B | ||||
08/15/2033 | 3.000% | 2,000,000 | 1,857,091 | |
CMO Series 4880 Class DA | ||||
05/15/2050 | 3.000% | 1,177,603 | 1,072,856 | |
CMO Series 5091 Class AB | ||||
03/25/2051 | 1.500% | 2,565,764 | 2,096,592 | |
CMO Series R006 Class ZA | ||||
04/15/2036 | 6.000% | 236,102 | 244,704 | |
CMO Series R007 Class ZA | ||||
05/15/2036 | 6.000% | 453,559 | 468,546 | |
CMO STRIPS Series 264 Class 30 | ||||
07/15/2042 | 3.000% | 269,193 | 244,066 | |
Federal Home Loan Mortgage Corp.(b) | ||||
1-year CMT + 2.250% Cap 10.328% 07/01/2036 | 3.684% | 36,546 | 37,098 | |
12-month USD LIBOR + 1.835% Cap 9.112% 07/01/2040 | 3.779% | 88,996 | 90,040 | |
12-month USD LIBOR + 1.640% Cap 7.804% 05/01/2049 | 2.814% | 724,535 | 702,161 | |
1-month SOFR + 2.130% Floor 2.130%, Cap 8.912% 07/01/2052 | 3.912% | 1,257,739 | 1,206,047 | |
1-month SOFR + 2.130% Floor 2.130%, Cap 9.301% 07/01/2052 | 4.301% | 1,506,078 | 1,463,676 | |
1-month SOFR + 2.140% Floor 2.140%, Cap 8.990% 08/01/2052 | 3.989% | 1,685,371 | 1,604,299 | |
1-month SOFR + 2.380% Floor 2.380%, Cap 9.120% 09/01/2052 | 4.119% | 865,860 | 834,099 | |
1-month SOFR + 2.183% Floor 2.183%, Cap 8.575% 10/01/2052 | 3.574% | 2,938,068 | 2,817,381 | |
1-month SOFR + 2.241% Floor 2.241%, Cap 8.888% 12/01/2052 | 3.888% | 1,627,372 | 1,573,708 | |
CMO Series 2551 Class NS | ||||
-1.8 x 1-month USD LIBOR + 14.483% Cap 14.483% 01/15/2033 | 6.567% | 63,791 | 64,022 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3852 Class QN | ||||
-3.6 x 1-month USD LIBOR + 27.211% Cap 5.500% 05/15/2041 | 5.500% | 165,494 | 158,100 | |
CMO Series 4048 Class FJ | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 9,999.000% 07/15/2037 | 4.769% | 327,716 | 322,615 | |
Structured Pass-Through Securities | ||||
1-year MTA + 1.200% Floor 1.200% 10/25/2044 | 3.628% | 350,641 | 348,941 | |
Federal Home Loan Mortgage Corp.(g) | ||||
CMO Series 3077 Class TO | ||||
04/15/2035 | 0.000% | 31,128 | 29,654 | |
CMO Series 3100 Class | ||||
01/15/2036 | 0.000% | 81,186 | 67,172 | |
CMO Series 3117 Class OG | ||||
02/15/2036 | 0.000% | 36,875 | 31,407 | |
CMO Series 3181 Class OH | ||||
07/15/2036 | 0.000% | 170,892 | 134,470 | |
CMO Series 3316 Class JO | ||||
05/15/2037 | 0.000% | 7,230 | 5,513 | |
CMO Series 3607 Class TO | ||||
10/15/2039 | 0.000% | 157,340 | 125,464 | |
CMO STRIPS Series 197 Class | ||||
04/01/2028 | 0.000% | 68,048 | 62,011 | |
CMO STRIPS Series 310 Class | ||||
09/15/2043 | 0.000% | 879,335 | 622,549 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 3380 Class SI | ||||
-1.0 x 1-month USD LIBOR + 6.370% Cap 6.370% 10/15/2037 | 2.052% | 1,321,505 | 135,404 | |
CMO Series 3385 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 11/15/2037 | 1.682% | 28,316 | 1,788 | |
CMO Series 3451 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/15/2038 | 1.732% | 20,878 | 1,869 |
48 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3531 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 05/15/2039 | 1.782% | 28,984 | 1,238 | |
CMO Series 3608 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 12/15/2039 | 1.932% | 173,510 | 10,337 | |
CMO Series 3740 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 10/15/2040 | 1.682% | 158,571 | 9,230 | |
CMO Series 3740 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 10/15/2040 | 1.682% | 218,931 | 21,381 | |
CMO STRIPS Series 239 Class S30 | ||||
-1.0 x 1-month USD LIBOR + 7.700% Cap 7.700% 08/15/2036 | 3.382% | 181,226 | 24,779 | |
Federal Home Loan Mortgage Corp.(c) | ||||
CMO Series 3688 Class GT | ||||
11/15/2046 | 7.537% | 217,806 | 231,486 | |
CMO Series 4272 Class W | ||||
04/15/2040 | 5.646% | 1,146,287 | 1,155,766 | |
Federal Home Loan Mortgage Corp.(d) | ||||
CMO Series 3714 Class IP | ||||
08/15/2040 | 5.000% | 129,040 | 10,047 | |
Federal Home Loan Mortgage Corp.(c),(d) | ||||
CMO Series 3802 Class LS | ||||
01/15/2040 | 0.000% | 326,613 | 12,040 | |
Federal Home Loan Mortgage Corp. REMICS | ||||
CMO Series 5178 Class TP | ||||
04/25/2049 | 2.500% | 2,551,080 | 2,186,669 | |
CMO Series 5202 Class LA | ||||
05/25/2049 | 2.500% | 2,311,756 | 1,993,384 | |
CMO Series 5203 Class G | ||||
11/25/2048 | 2.500% | 1,028,685 | 898,560 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan National Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.637% Cap 7.451% 09/01/2045 | 2.447% | 3,255,327 | 3,288,362 | |
12-month USD LIBOR + 1.687% Cap 7.717% 09/01/2047 | 3.314% | 1,666,430 | 1,689,921 | |
12-month USD LIBOR + 1.635% Floor 1.635%, Cap 7.990% 04/01/2048 | 3.722% | 3,392,486 | 3,398,769 | |
12-month USD LIBOR + 1.638% Floor 1.638%, Cap 8.602% 03/01/2049 | 3.457% | 1,499,463 | 1,488,789 | |
Federal National Mortgage Association | ||||
01/01/2023- 11/01/2048 | 6.000% | 302,881 | 310,022 | |
02/01/2024- 12/01/2052 | 6.500% | 3,071,615 | 3,230,070 | |
01/01/2027- 08/01/2059 | 4.000% | 46,893,853 | 45,355,945 | |
05/01/2033- 03/01/2060 | 3.500% | 79,262,627 | 73,688,804 | |
11/01/2033- 09/01/2052 | 5.500% | 2,647,611 | 2,731,456 | |
12/01/2035- 07/01/2061 | 2.500% | 92,216,192 | 80,213,238 | |
01/01/2036- 08/01/2040 | 5.000% | 178,050 | 180,975 | |
11/01/2037- 01/01/2039 | 7.000% | 354,036 | 380,264 | |
11/01/2040- 12/01/2050 | 2.000% | 144,027,345 | 121,046,322 | |
06/01/2041- 11/01/2048 | 4.500% | 5,252,479 | 5,194,733 | |
10/01/2041- 11/01/2041 | 1.500% | 23,795,831 | 19,466,676 | |
11/01/2042- 07/01/2060 | 3.000% | 152,732,187 | 137,077,183 | |
CMO Series 1999-7 Class AB | ||||
03/25/2029 | 6.000% | 80,705 | 80,875 | |
CMO Series 2001-60 Class PX | ||||
11/25/2031 | 6.000% | 113,538 | 116,154 | |
CMO Series 2002-50 Class ZA | ||||
05/25/2031 | 6.000% | 366,576 | 371,651 | |
CMO Series 2002-78 Class Z | ||||
12/25/2032 | 5.500% | 142,232 | 142,641 | |
CMO Series 2003-W19 Class 1A7 | ||||
11/25/2033 | 5.620% | 1,837,847 | 1,832,656 | |
CMO Series 2004-50 Class VZ | ||||
07/25/2034 | 5.500% | 622,468 | 627,828 | |
CMO Series 2004-65 Class LT | ||||
08/25/2024 | 4.500% | 25,316 | 25,038 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 49 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2004-W10 Class A6 | ||||
08/25/2034 | 5.750% | 1,082,083 | 1,084,146 | |
CMO Series 2005-121 Class DX | ||||
01/25/2026 | 5.500% | 76,982 | 76,513 | |
CMO Series 2006-105 Class ME | ||||
11/25/2036 | 5.500% | 399,703 | 404,501 | |
CMO Series 2006-16 Class HZ | ||||
03/25/2036 | 5.500% | 303,401 | 303,365 | |
CMO Series 2006-W3 Class 2A | ||||
09/25/2046 | 6.000% | 118,654 | 117,261 | |
CMO Series 2007-104 Class ZE | ||||
08/25/2037 | 6.000% | 108,812 | 110,676 | |
CMO Series 2007-116 Class PB | ||||
08/25/2035 | 5.500% | 119,679 | 121,400 | |
CMO Series 2007-18 Class MZ | ||||
03/25/2037 | 6.000% | 152,501 | 152,226 | |
CMO Series 2007-42 Class B | ||||
05/25/2037 | 6.000% | 111,088 | 113,647 | |
CMO Series 2007-76 Class ZG | ||||
08/25/2037 | 6.000% | 193,964 | 195,304 | |
CMO Series 2008-80 Class GP | ||||
09/25/2038 | 6.250% | 16,159 | 16,439 | |
CMO Series 2009-59 Class HB | ||||
08/25/2039 | 5.000% | 257,543 | 255,642 | |
CMO Series 2009-60 Class HT | ||||
08/25/2039 | 6.000% | 250,556 | 256,600 | |
CMO Series 2009-79 Class UA | ||||
03/25/2038 | 7.000% | 17,021 | 17,585 | |
CMO Series 2009-W1 Class A | ||||
12/25/2049 | 6.000% | 445,294 | 451,206 | |
CMO Series 2010-111 Class AM | ||||
10/25/2040 | 5.500% | 669,856 | 680,196 | |
CMO Series 2010-2 Class LC | ||||
02/25/2040 | 5.000% | 1,076,677 | 1,073,796 | |
CMO Series 2011-118 Class MT | ||||
11/25/2041 | 7.000% | 323,062 | 341,701 | |
CMO Series 2011-118 Class NT | ||||
11/25/2041 | 7.000% | 361,178 | 384,672 | |
CMO Series 2011-31 Class DB | ||||
04/25/2031 | 3.500% | 1,426,429 | 1,370,557 | |
CMO Series 2011-39 Class ZA | ||||
11/25/2032 | 6.000% | 177,512 | 181,670 | |
CMO Series 2011-44 Class EB | ||||
05/25/2026 | 3.000% | 493,929 | 479,837 | |
CMO Series 2011-46 Class B | ||||
05/25/2026 | 3.000% | 1,211,966 | 1,175,988 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2011-59 Class NZ | ||||
07/25/2041 | 5.500% | 869,290 | 883,557 | |
CMO Series 2012-151 Class NX | ||||
01/25/2043 | 1.500% | 626,760 | 530,084 | |
CMO Series 2012-66 Class CB | ||||
06/25/2032 | 3.000% | 2,819,523 | 2,649,408 | |
CMO Series 2013-100 Class WB | ||||
10/25/2033 | 3.000% | 2,614,890 | 2,451,217 | |
CMO Series 2013-101 Class E | ||||
10/25/2033 | 3.000% | 2,662,486 | 2,508,068 | |
CMO Series 2013-108 Class GU | ||||
10/25/2033 | 3.000% | 2,228,090 | 2,088,236 | |
CMO Series 2013-43 Class BP | ||||
05/25/2043 | 1.750% | 2,269,178 | 1,968,065 | |
CMO Series 2013-59 Class PY | ||||
06/25/2043 | 2.500% | 1,000,000 | 814,749 | |
CMO Series 2013-81 Class TA | ||||
02/25/2043 | 3.000% | 1,160,590 | 1,107,532 | |
CMO Series 2013-90 Class DL | ||||
09/25/2033 | 3.500% | 1,500,000 | 1,423,172 | |
CMO Series 2015-84 Class PA | ||||
08/25/2033 | 1.700% | 2,420,413 | 2,188,161 | |
CMO Series 2016-48 Class MA | ||||
06/25/2038 | 2.000% | 2,333,040 | 2,100,647 | |
CMO Series 2016-57 Class PC | ||||
06/25/2046 | 1.750% | 4,839,180 | 4,019,106 | |
CMO Series 2017-13 Class PA | ||||
08/25/2046 | 3.000% | 51,450 | 46,690 | |
CMO Series 2018-14 Class KC | ||||
03/25/2048 | 3.000% | 115,844 | 107,882 | |
CMO Series 2018-8 Class KL | ||||
03/25/2047 | 2.500% | 847,722 | 740,863 | |
CMO Series 2019-25 Class PA | ||||
05/25/2048 | 3.000% | 1,899,957 | 1,724,068 | |
CMO Series 2019-8 Class GA | ||||
03/25/2049 | 3.000% | 4,052,941 | 3,670,500 | |
CMO Series 2020-48 Class AB | ||||
07/25/2050 | 2.000% | 2,217,824 | 1,868,523 | |
CMO Series 2020-48 Class DA | ||||
07/25/2050 | 2.000% | 3,104,930 | 2,656,839 | |
CMO Series 2020-M5 Class A2 | ||||
01/25/2030 | 2.210% | 5,369,750 | 4,608,400 | |
CMO Series 2021-78 Class ND | ||||
11/25/2051 | 1.500% | 10,290,248 | 8,554,059 | |
CMO Series G94-8 Class K | ||||
07/17/2024 | 8.000% | 17,051 | 17,298 |
50 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO STRIPS Series 414 Class A35 | ||||
10/25/2042 | 3.500% | 260,744 | 243,323 | |
Series 2013-M9 Class A2 | ||||
01/25/2023 | 2.389% | 79,387 | 79,186 | |
Federal National Mortgage Association(b) | ||||
6-month USD LIBOR + 2.500% Floor 2.500%, Cap 11.249% 03/01/2036 | 4.154% | 116,210 | 119,268 | |
12-month USD LIBOR + 1.579% Floor 1.579%, Cap 7.696% 06/01/2045 | 3.404% | 474,528 | 477,094 | |
12-month USD LIBOR + 1.583% Floor 1.583%, Cap 7.675% 01/01/2046 | 2.934% | 1,295,338 | 1,313,094 | |
1-month SOFR + 2.211% Floor 2.211%, Cap 6.615% 12/01/2051 | 1.615% | 810,838 | 724,474 | |
1-month SOFR + 2.120% Floor 2.120%, Cap 9.168% 07/01/2052 | 4.168% | 2,898,511 | 2,787,197 | |
1-month SOFR + 2.124% Floor 2.124%, Cap 9.352% 07/01/2052 | 4.352% | 3,238,233 | 3,166,551 | |
1-month SOFR + 2.370% Floor 2.370%, Cap 8.684% 08/01/2052 | 3.684% | 1,879,943 | 1,790,503 | |
1-month SOFR + 2.120% Floor 2.120%, Cap 8.963% 08/01/2052 | 3.963% | 741,344 | 707,127 | |
1-month SOFR + 2.125% Floor 2.125%, Cap 9.317% 08/01/2052 | 4.317% | 3,350,158 | 3,272,085 | |
1-month SOFR + 2.127% Floor 2.127%, Cap 9.622% 08/01/2052 | 4.622% | 3,748,847 | 3,698,843 | |
1-month SOFR + 2.131% Floor 2.131%, Cap 9.651% 08/01/2052 | 4.651% | 2,956,352 | 2,919,817 | |
1-month SOFR + 2.370% Floor 2.370%, Cap 9.224% 09/01/2052 | 4.224% | 863,207 | 837,267 | |
1-month SOFR + 2.132% Floor 2.132%, Cap 9.155% 10/01/2052 | 4.155% | 6,267,636 | 6,138,162 | |
1-month SOFR + 2.127% Floor 2.127%, Cap 9.250% 11/01/2052 | 4.250% | 2,209,994 | 2,169,174 | |
1-month SOFR + 2.120% Floor 2.120%, Cap 9.532% 11/01/2052 | 4.532% | 1,278,369 | 1,265,306 | |
1-month SOFR + 2.122% Floor 2.122%, Cap 9.663% 12/01/2052 | 4.663% | 2,375,000 | 2,359,282 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2003-W8 Class 3F1 | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 8.000% 05/25/2042 | 4.789% | 120,019 | 118,169 | |
CMO Series 2005-SV Class 75 | ||||
-4.0 x 1-month USD LIBOR + 24.200% Cap 24.200% 09/25/2035 | 6.645% | 26,550 | 28,598 | |
CMO Series 2005-W3 Class 2AF | ||||
1-month USD LIBOR + 0.220% Floor 0.220%, Cap 9.500% 03/25/2045 | 4.609% | 212,862 | 210,514 | |
CMO Series 2007-101 Class A2 | ||||
1-month USD LIBOR + 0.250% Floor 0.250% 06/27/2036 | 4.639% | 148,005 | 139,920 | |
CMO Series 2010-28 Class BS | ||||
-2.2 x 1-month USD LIBOR + 11.588% Cap 11.588% 04/25/2040 | 1.713% | 31,551 | 26,255 | |
CMO Series 2010-35 Class SJ | ||||
-3.3 x 1-month USD LIBOR + 17.667% Cap 17.667% 04/25/2040 | 3.038% | 211,820 | 199,296 | |
CMO Series 2010-49 Class SC | ||||
-2.0 x 1-month USD LIBOR + 12.660% Cap 12.660% 03/25/2040 | 3.883% | 131,982 | 125,837 | |
CMO Series 2011-75 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 6.500% 08/25/2041 | 4.939% | 148,320 | 147,353 | |
Federal National Mortgage Association(l) | ||||
02/01/2043- 02/01/2045 | 3.000% | 12,461,654 | 11,311,204 | |
Federal National Mortgage Association(b),(d) | ||||
CMO Series 1996-4 Class SA | ||||
-1.0 x 1-month USD LIBOR + 8.500% Cap 8.500% 02/25/2024 | 4.111% | 6,460 | 99 | |
CMO Series 2006-117 Class GS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 12/25/2036 | 2.261% | 106,664 | 5,980 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 51 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2006-43 Class SI | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 06/25/2036 | 2.211% | 454,513 | 38,234 | |
CMO Series 2006-58 Class IG | ||||
-1.0 x 1-month USD LIBOR + 6.520% Cap 6.520% 07/25/2036 | 2.131% | 108,099 | 7,928 | |
CMO Series 2006-8 Class WN | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 03/25/2036 | 2.311% | 540,647 | 51,446 | |
CMO Series 2006-94 Class GI | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 10/25/2026 | 2.261% | 155,677 | 3,813 | |
CMO Series 2007-109 Class PI | ||||
-1.0 x 1-month USD LIBOR + 6.350% Cap 6.350% 12/25/2037 | 1.961% | 133,477 | 5,106 | |
CMO Series 2007-65 Class KI | ||||
-1.0 x 1-month USD LIBOR + 6.620% Cap 6.620% 07/25/2037 | 2.231% | 78,094 | 7,360 | |
CMO Series 2007-72 Class EK | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 07/25/2037 | 2.011% | 491,715 | 44,351 | |
CMO Series 2007-W7 Class 2A2 | ||||
-1.0 x 1-month USD LIBOR + 6.530% Cap 6.530% 07/25/2037 | 2.141% | 156,596 | 9,960 | |
CMO Series 2009-112 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 01/25/2040 | 1.861% | 149,141 | 12,230 | |
CMO Series 2009-17 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 03/25/2039 | 2.261% | 35,457 | 3,167 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2009-37 Class KI | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2039 | 1.611% | 146,683 | 6,758 | |
CMO Series 2009-68 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.750% Cap 6.750% 09/25/2039 | 2.361% | 209,071 | 23,096 | |
CMO Series 2010-125 Class SA | ||||
-1.0 x 1-month USD LIBOR + 4.440% Cap 4.440% 11/25/2040 | 0.051% | 408,601 | 13,131 | |
CMO Series 2010-147 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.530% Cap 6.530% 01/25/2041 | 2.141% | 941,769 | 106,676 | |
CMO Series 2010-35 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.420% Cap 6.420% 04/25/2040 | 2.031% | 92,204 | 7,371 | |
CMO Series 2010-42 Class S | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 05/25/2040 | 2.011% | 84,732 | 4,953 | |
CMO Series 2010-68 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 07/25/2040 | 0.611% | 319,796 | 16,691 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2003-W16 Class AF5 | ||||
11/25/2033 | 4.589% | 253,907 | 241,437 | |
CMO Series 2010-61 Class WA | ||||
06/25/2040 | 5.999% | 69,306 | 71,165 | |
CMO Series 2011-2 Class WA | ||||
02/25/2051 | 5.878% | 63,328 | 63,944 | |
CMO Series 2011-43 Class WA | ||||
05/25/2051 | 5.838% | 84,640 | 83,571 | |
Federal National Mortgage Association(g) | ||||
CMO Series 2006-15 Class OP | ||||
03/25/2036 | 0.000% | 88,188 | 71,773 | |
CMO Series 2006-8 Class WQ | ||||
03/25/2036 | 0.000% | 147,449 | 116,208 | |
CMO Series 2009-86 Class BO | ||||
03/25/2037 | 0.000% | 31,543 | 26,740 |
52 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-101 Class DO | ||||
10/25/2043 | 0.000% | 1,000,165 | 758,922 | |
CMO Series 2013-128 Class | ||||
12/25/2043 | 0.000% | 582,201 | 441,237 | |
CMO Series 2013-92 Class | ||||
09/25/2043 | 0.000% | 646,966 | 466,561 | |
CMO STRIPS Series 293 Class 1 | ||||
12/25/2024 | 0.000% | 13,698 | 13,400 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2009-86 Class IP | ||||
10/25/2039 | 5.500% | 63,514 | 12,093 | |
Federal National Mortgage Association(c),(d) | ||||
CMO Series 2011-30 Class LS | ||||
04/25/2041 | 0.000% | 211,955 | 9,912 | |
Federal National Mortgage Association REMICS | ||||
CMO Series 2021-78 Class PA | ||||
11/25/2051 | 2.500% | 1,775,440 | 1,544,120 | |
CMO Series 2022-28C Class CA | ||||
01/25/2048 | 2.000% | 1,915,499 | 1,684,458 | |
Freddie Mac REMICS | ||||
CMO Series 205119 Class AB | ||||
08/25/2049 | 1.500% | 1,520,093 | 1,228,015 | |
CMO Series 205217 Class CD | ||||
07/25/2049 | 2.500% | 2,029,450 | 1,844,793 | |
CMO Series 5182 Class M | ||||
05/25/2049 | 2.500% | 1,599,743 | 1,408,319 | |
CMO Series 5201 Class CA | ||||
07/25/2048 | 2.500% | 2,324,945 | 2,068,856 | |
Government National Mortgage Association | ||||
09/20/2038 | 7.000% | 43,914 | 46,000 | |
08/20/2039 | 6.000% | 156,956 | 166,024 | |
07/20/2040- 12/15/2040 | 3.750% | 1,681,770 | 1,594,145 | |
11/15/2040- 11/20/2040 | 3.625% | 637,693 | 599,041 | |
12/15/2040 | 3.490% | 1,184,319 | 1,145,469 | |
06/20/2043- 03/20/2052 | 3.000% | 32,175,517 | 28,888,911 | |
05/20/2045- 08/20/2052 | 4.000% | 27,082,693 | 25,740,007 | |
08/15/2047- 04/20/2050 | 4.500% | 10,616,668 | 10,379,620 | |
01/20/2048- 02/20/2052 | 3.500% | 29,053,318 | 26,788,916 | |
03/20/2048- 03/20/2049 | 5.000% | 12,175,199 | 12,252,824 | |
09/20/2050- 12/20/2051 | 2.500% | 11,999,156 | 10,440,763 | |
CMO Series 2003-75 Class ZX | ||||
09/16/2033 | 6.000% | 320,051 | 324,466 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2005-26 Class XY | ||||
03/20/2035 | 5.500% | 290,382 | 295,358 | |
CMO Series 2005-72 Class AZ | ||||
09/20/2035 | 5.500% | 326,147 | 329,874 | |
CMO Series 2006-17 Class JN | ||||
04/20/2036 | 6.000% | 129,189 | 132,148 | |
CMO Series 2006-38 Class ZK | ||||
08/20/2036 | 6.500% | 457,598 | 464,248 | |
CMO Series 2006-69 Class MB | ||||
12/20/2036 | 5.500% | 524,150 | 532,398 | |
CMO Series 2008-23 Class PH | ||||
03/20/2038 | 5.000% | 424,901 | 425,768 | |
CMO Series 2009-104 Class AB | ||||
08/16/2039 | 7.000% | 148,829 | 149,644 | |
CMO Series 2010-130 Class CP | ||||
10/16/2040 | 7.000% | 229,026 | 243,473 | |
CMO Series 2013-H01 Class FA | ||||
01/20/2063 | 1.650% | 1,094 | 981 | |
CMO Series 2013-H04 Class BA | ||||
02/20/2063 | 1.650% | 3,737 | 3,472 | |
CMO Series 2013-H09 Class HA | ||||
04/20/2063 | 1.650% | 31,918 | 29,730 | |
CMO Series 2017-167 Class BQ | ||||
08/20/2044 | 2.500% | 896,565 | 815,608 | |
CMO Series 2021-23 Class MG | ||||
02/20/2051 | 1.500% | 2,973,823 | 2,460,964 | |
CMO Series 2021-27 Class BD | ||||
02/20/2051 | 5.000% | 1,420,223 | 1,424,522 | |
CMO Series 2021-27 Class NT | ||||
02/20/2051 | 5.000% | 1,631,463 | 1,588,371 | |
CMO Series 2021-27 Class Q | ||||
02/20/2051 | 5.000% | 1,408,692 | 1,375,174 | |
CMO Series 2021-8 Class CY | ||||
01/20/2051 | 5.000% | 1,295,952 | 1,282,452 | |
CMO Series 2022-107 Class C | ||||
06/20/2051 | 2.500% | 6,648,620 | 5,421,367 | |
CMO Series 2022-205 Class A | ||||
09/20/2051 | 2.000% | 2,429,000 | 1,958,804 | |
CMO Series 2022-31 Class GH | ||||
12/20/2049 | 2.500% | 4,503,018 | 3,983,489 | |
CMO Series 2022-50 Class DC | ||||
08/20/2051 | 2.500% | 2,031,715 | 1,742,552 | |
CMO Series 2022-84 Class A | ||||
01/20/2052 | 2.500% | 2,060,901 | 1,714,228 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 53 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(c) | ||||
03/20/2048 | 4.770% | 3,348,650 | 3,286,010 | |
05/20/2063 | 4.390% | 12,723 | 12,475 | |
CMO Series 2010-H17 Class XQ | ||||
07/20/2060 | 5.211% | 3,387 | 2,718 | |
CMO Series 2011-137 Class WA | ||||
07/20/2040 | 5.600% | 444,702 | 461,631 | |
CMO Series 2012-141 Class WC | ||||
01/20/2042 | 3.730% | 302,221 | 288,891 | |
CMO Series 2013-54 Class WA | ||||
11/20/2042 | 4.868% | 844,578 | 838,728 | |
CMO Series 2013-75 Class WA | ||||
06/20/2040 | 5.117% | 256,286 | 257,190 | |
CMO Series 2020-1 Class A | ||||
08/20/2070 | 2.932% | 3,392,601 | 3,030,780 | |
CMO Series 2021-27 Class CW | ||||
02/20/2051 | 5.001% | 1,791,120 | 1,772,734 | |
Government National Mortgage Association(b) | ||||
1-year CMT + 1.704% 02/20/2072 | 5.790% | 5,979,086 | 6,214,232 | |
1-year CMT + 1.698% 04/20/2072 | 5.779% | 6,367,415 | 6,622,992 | |
1-year CMT + 1.743% 04/20/2072 | 5.855% | 5,914,799 | 6,156,173 | |
CMO Series 2007-16 Class NS | ||||
-3.5 x 1-month USD LIBOR + 23.275% Cap 23.275% 04/20/2037 | 8.040% | 45,897 | 48,618 | |
CMO Series 2012-H10 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 10.500% 12/20/2061 | 4.392% | 518,541 | 515,263 | |
CMO Series 2012-H21 Class CF | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 05/20/2061 | 4.542% | 7,309 | 7,244 | |
CMO Series 2012-H21 Class DF | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 05/20/2061 | 4.492% | 6,519 | 6,458 | |
CMO Series 2012-H26 Class MA | ||||
1-month USD LIBOR + 0.550% Floor 0.550% 07/20/2062 | 4.392% | 2,928 | 2,887 | |
CMO Series 2012-H28 Class FA | ||||
1-month USD LIBOR + 0.580% Floor 0.580% 09/20/2062 | 4.422% | 5,502 | 5,437 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2012-H29 Class FA | ||||
1-month USD LIBOR + 0.515% Floor 0.515%, Cap 11.500% 10/20/2062 | 4.357% | 500,182 | 496,964 | |
CMO Series 2013-H01 Class TA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.500% 01/20/2063 | 4.342% | 4,471 | 4,387 | |
CMO Series 2013-H05 Class FB | ||||
1-month USD LIBOR + 0.400% Floor 0.400% 02/20/2062 | 4.242% | 5,653 | 5,528 | |
CMO Series 2013-H07 Class GA | ||||
1-month USD LIBOR + 0.470% Floor 0.470%, Cap 10.500% 03/20/2063 | 4.312% | 551,815 | 547,464 | |
CMO Series 2013-H07 Class HA | ||||
1-month USD LIBOR + 0.410% Floor 0.410%, Cap 11.000% 03/20/2063 | 4.252% | 490,693 | 486,257 | |
CMO Series 2013-H09 Class GA | ||||
1-month USD LIBOR + 0.480% Floor 0.480%, Cap 11.000% 04/20/2063 | 4.322% | 553,614 | 550,096 | |
CMO Series 2013-H09 Class SA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.500% 04/20/2063 | 4.342% | 1,466,886 | 1,453,207 | |
CMO Series 2013-H21 Class FA | ||||
1-month USD LIBOR + 0.750% Floor 0.750%, Cap 11.000% 09/20/2063 | 4.592% | 937,867 | 935,551 | |
CMO Series 2013-H21 Class FB | ||||
1-month USD LIBOR + 0.700% Floor 0.700%, Cap 11.000% 09/20/2063 | 4.542% | 1,389,819 | 1,385,064 | |
CMO Series 2015-H23 Class FB | ||||
1-month USD LIBOR + 0.520% Floor 0.520%, Cap 11.000% 09/20/2065 | 4.362% | 954,747 | 945,328 | |
CMO Series 2015-H26 Class FG | ||||
1-month USD LIBOR + 0.520% Floor 0.520%, Cap 11.000% 10/20/2065 | 4.362% | 523,669 | 516,136 | |
CMO Series 2015-H30 Class FE | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.000% 11/20/2065 | 4.442% | 4,200,124 | 4,164,138 |
54 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-H05 Class FK | ||||
1-month USD LIBOR + 0.610% Floor 0.610%, Cap 99.000% 03/20/2070 | 2.678% | 2,800,443 | 2,731,531 | |
Government National Mortgage Association(b),(d) | ||||
CMO Series 2005-3 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 01/20/2035 | 1.747% | 417,074 | 19,475 | |
CMO Series 2007-40 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.680% Cap 6.680% 07/20/2037 | 2.327% | 286,283 | 8,652 | |
CMO Series 2008-62 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2038 | 1.797% | 265,642 | 3,915 | |
CMO Series 2008-76 Class US | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 09/20/2038 | 1.547% | 322,928 | 10,585 | |
CMO Series 2008-95 Class DS | ||||
-1.0 x 1-month USD LIBOR + 7.300% Cap 7.300% 12/20/2038 | 2.947% | 270,463 | 12,742 | |
CMO Series 2009-106 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/20/2038 | 1.647% | 451,222 | 23,633 | |
CMO Series 2009-64 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/16/2039 | 1.774% | 157,136 | 8,193 | |
CMO Series 2009-67 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/16/2039 | 1.724% | 127,306 | 7,938 | |
CMO Series 2009-72 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 08/16/2039 | 1.924% | 324,062 | 19,567 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2009-81 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.090% Cap 6.090% 09/20/2039 | 1.737% | 451,129 | 31,173 | |
CMO Series 2010-47 Class PX | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 06/20/2037 | 2.347% | 521,432 | 40,174 | |
CMO Series 2011-75 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 05/20/2041 | 2.247% | 248,849 | 14,549 | |
Government National Mortgage Association(g) | ||||
CMO Series 2008-1 Class PO | ||||
01/20/2038 | 0.000% | 47,226 | 38,058 | |
CMO Series 2010-157 Class OP | ||||
12/20/2040 | 0.000% | 246,365 | 203,552 | |
Government National Mortgage Association(d) | ||||
CMO Series 2010-107 Class IL | ||||
07/20/2039 | 6.000% | 347,447 | 75,266 | |
Government National Mortgage Association TBA(m) | ||||
01/23/2053 | 2.500% | 8,800,000 | 7,623,951 | |
01/23/2053 | 4.000% | 1,000,000 | 946,097 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2018-4 Class MZ (FHLMC) | ||||
03/25/2058 | 3.500% | 3,817,300 | 2,993,215 | |
Uniform Mortgage-Backed Security TBA(m) | ||||
01/12/2053 | 6.000% | 19,100,000 | 19,381,841 | |
01/12/2053- 02/13/2053 | 6.500% | 44,700,000 | 45,724,643 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,103,380,621) | 1,047,970,285 | |||
Residential Mortgage-Backed Securities - Non-Agency 4.3% | ||||
Ajax Mortgage Loan Trust(a),(c) | ||||
CMO Series 2021-B Class A | ||||
06/25/2066 | 2.239% | 2,989,987 | 2,758,280 | |
Anchor Mortgage Trust(a),(c) | ||||
CMO Series 2021-1 Class A2 | ||||
10/25/2026 | 3.650% | 6,666,667 | 6,165,286 | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2020-2 Class A1A | ||||
01/26/2065 | 2.531% | 840,007 | 757,699 | |
CMO Series 2021-6 Class A1 | ||||
09/25/2066 | 1.483% | 1,505,818 | 1,190,897 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 55 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Angel Oak Mortgage Trust LLC(a),(c) | ||||
CMO Series 2020-5 Class A1 | ||||
05/25/2065 | 1.373% | 220,498 | 195,730 | |
ANTLR Mortgage Trust(a),(c) | ||||
CMO Series 2021-RTL1 Class A1 | ||||
11/25/2024 | 2.115% | 3,399,000 | 3,234,639 | |
CMO Series 2021-RTL1 Class A2 | ||||
01/25/2025 | 2.981% | 4,600,000 | 4,090,125 | |
Banc of America Funding Trust | ||||
CMO Series 2004-3 Class 1A1 | ||||
10/25/2034 | 5.500% | 23,595 | 22,188 | |
Bear Stearns Adjustable Rate Mortgage Trust(c) | ||||
CMO Series 2003-4 Class 3A1 | ||||
07/25/2033 | 3.569% | 15,927 | 14,908 | |
CMO Series 2003-7 Class 6A | ||||
10/25/2033 | 3.790% | 91,880 | 85,490 | |
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 | 5.289% | 201,917 | 190,193 | |
Bunker Hill Loan Depositary Trust(a),(c) | ||||
CMO Series 2019-2 Class A1 | ||||
07/25/2049 | 2.879% | 1,082,829 | 1,010,148 | |
CMO Series 2019-3 Class A1 | ||||
11/25/2059 | 2.724% | 401,205 | 382,909 | |
BVRT Financing Trust(a),(b),(f) | ||||
CMO Series 2021-3F Class M1 | ||||
30-day Average SOFR + 1.750% Floor 1.750% 07/12/2033 | 3.608% | 5,670,929 | 5,670,929 | |
Chase Mortgage Finance Corp.(c) | ||||
CMO Series 2007-A1 Class 1A3 | ||||
02/25/2037 | 3.492% | 141,731 | 135,678 | |
CMO Series 2007-A1 Class 2A1 | ||||
02/25/2037 | 3.645% | 54,035 | 50,226 | |
CMO Series 2007-A1 Class 7A1 | ||||
02/25/2037 | 3.788% | 21,540 | 21,050 | |
Citigroup Mortgage Loan Trust, Inc. | ||||
CMO Series 2003-1 Class 3A4 | ||||
09/25/2033 | 5.250% | 27,137 | 24,786 | |
CMO Series 2005-2 Class 2A11 | ||||
05/25/2035 | 5.500% | 86,056 | 82,368 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2009-10 Class 1A1 | ||||
09/25/2033 | 4.124% | 64,345 | 61,214 | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2021-2 Class A1 | ||||
08/25/2066 | 0.924% | 1,956,928 | 1,520,659 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-4 Class A1 | ||||
10/25/2066 | 1.397% | 2,155,572 | 1,750,331 | |
Countrywide Home Loan Mortgage Pass-Through Trust | ||||
CMO Series 2004-13 Class 1A4 | ||||
08/25/2034 | 5.500% | 107,239 | 99,743 | |
CMO Series 2004-3 Class A26 | ||||
04/25/2034 | 5.500% | 49,325 | 46,625 | |
CMO Series 2004-5 Class 1A4 | ||||
06/25/2034 | 5.500% | 112,859 | 109,825 | |
Credit Suisse First Boston Mortgage Securities Corp. | ||||
CMO Series 2003-21 Class 1A4 | ||||
09/25/2033 | 5.250% | 48,045 | 44,715 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates | ||||
CMO Series 2003-27 Class 5A4 | ||||
11/25/2033 | 5.250% | 5,105 | 4,901 | |
CMO Series 2004-4 Class 2A4 | ||||
09/25/2034 | 5.500% | 73,723 | 70,059 | |
CMO Series 2004-8 Class 1A4 | ||||
12/25/2034 | 5.500% | 130,764 | 125,302 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2022-JR1 Class A1 | ||||
10/25/2066 | 4.267% | 5,160,368 | 4,909,906 | |
DBRR Trust(a),(c) | ||||
CMO Series 2015-LCM Class A2 | ||||
06/10/2034 | 3.421% | 3,152,000 | 2,830,689 | |
DBRR Trust(a) | ||||
Series 2015-LCM Class A1 | ||||
06/10/2034 | 2.998% | 1,476,987 | 1,387,526 | |
FMC GMSR Issuer Trust(a),(c) | ||||
CMO Series 2020-GT1 Class A | ||||
01/25/2026 | 4.450% | 5,000,000 | 4,367,729 | |
CMO Series 2021-GT1 Class B | ||||
07/25/2026 | 4.360% | 6,000,000 | 4,542,210 | |
CMO Series 2021-GT2 Class B | ||||
10/25/2026 | 4.440% | 3,828,000 | 2,831,265 | |
FMC GMSR Issuer Trust(a),(c),(e),(f) | ||||
CMO Series 2021-GT1 Class A | ||||
02/25/2024 | 3.000% | 8,000,000 | 7,420,000 | |
FMC GMSR Issuer Trust(a) | ||||
CMO Series 2022-GT1 Class B | ||||
04/25/2027 | 7.170% | 6,000,000 | 5,249,981 | |
CMO Series 2022-GT2 Class B | ||||
07/25/2027 | 10.070% | 6,000,000 | 5,453,419 | |
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 | 4.739% | 471,794 | 404,033 |
56 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GSMPS Mortgage Loan Trust(a),(c),(d) | ||||
CMO Series 2005-RP3 Class 1AS | ||||
09/25/2035 | 0.101% | 365,640 | 4,217 | |
GSR Mortgage Loan Trust | ||||
CMO Series 2003-7F Class 1A4 | ||||
06/25/2033 | 5.250% | 99,724 | 96,924 | |
GSR Mortgage Loan Trust(b) | ||||
CMO Series 2005-5F Class 8A3 | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 5.500% 06/25/2035 | 4.889% | 6,594 | 6,111 | |
HarborView Mortgage Loan Trust(c) | ||||
CMO Series 2004-3 Class 1A | ||||
05/19/2034 | 3.928% | 388,560 | 359,250 | |
Headlands Residential LLC(a),(c) | ||||
CMO Series 2021-RPL1 Class NOTE | ||||
09/25/2026 | 2.487% | 7,225,000 | 6,736,202 | |
Hundred Acre Wood Trust(a),(e),(f) | ||||
CMO Series 2018-1 Class A | ||||
02/13/2025 | 7.250% | 2,000,000 | 1,940,000 | |
Impac CMB Trust(b) | ||||
CMO Series 2005-4 Class 2A1 | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 10.250% 05/25/2035 | 4.989% | 157,408 | 132,161 | |
Impac Secured Assets CMN Owner Trust(c) | ||||
CMO Series 2003-3 Class A1 | ||||
08/25/2033 | 5.200% | 57,692 | 54,317 | |
Impac Secured Assets Trust(b) | ||||
CMO Series 2006-1 Class 2A1 | ||||
1-month USD LIBOR + 0.700% Floor 0.350%, Cap 11.500% 05/25/2036 | 5.089% | 25,408 | 21,492 | |
JPMorgan Mortgage Trust(c) | ||||
CMO Series 2006-A2 Class 5A3 | ||||
11/25/2033 | 4.191% | 81,576 | 77,595 | |
CMO Series 2007-A1 Class 5A5 | ||||
07/25/2035 | 3.453% | 78,251 | 75,582 | |
LHOME Mortgage Trust(a),(c) | ||||
CMO Series 2021-RTL1 Class A1 | ||||
09/25/2026 | 2.090% | 2,205,000 | 2,090,561 | |
MASTR Adjustable Rate Mortgages Trust(c) | ||||
CMO Series 2004-13 Class 2A1 | ||||
04/21/2034 | 4.021% | 67,373 | 63,376 | |
CMO Series 2004-13 Class 3A7 | ||||
11/21/2034 | 3.874% | 121,406 | 108,919 | |
MASTR Asset Securitization Trust(a) | ||||
CMO Series 2004-P7 Class A6 | ||||
12/27/2033 | 5.500% | 22,065 | 17,833 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MASTR Seasoned Securities Trust | ||||
CMO Series 2004-2 Class A1 | ||||
08/25/2032 | 6.500% | 80,299 | 75,516 | |
CMO Series 2004-2 Class A2 | ||||
08/25/2032 | 6.500% | 126,471 | 119,421 | |
Merrill Lynch Mortgage Investors Trust(b) | ||||
CMO Series 2003-A Class 2A1 | ||||
1-month USD LIBOR + 0.780% Floor 0.390%, Cap 11.750% 03/25/2028 | 5.169% | 37,677 | 35,342 | |
CMO Series 2003-E Class A1 | ||||
1-month USD LIBOR + 0.620% Floor 0.620%, Cap 11.750% 10/25/2028 | 5.009% | 150,302 | 138,970 | |
CMO Series 2004-A Class A1 | ||||
1-month USD LIBOR + 0.460% Floor 0.230%, Cap 11.750% 04/25/2029 | 4.849% | 116,683 | 105,582 | |
CMO Series 2004-G Class A2 | ||||
6-month USD LIBOR + 0.600% Floor 0.300%, Cap 11.750% 01/25/2030 | 5.749% | 21,364 | 19,733 | |
Merrill Lynch Mortgage Investors Trust(c) | ||||
CMO Series 2004-1 Class 2A1 | ||||
12/25/2034 | 3.139% | 100,964 | 93,014 | |
CMO Series 2004-A4 Class A2 | ||||
08/25/2034 | 3.516% | 125,631 | 115,333 | |
MFA Trust(a),(c) | ||||
CMO Series 2021-NQM2 Class A1 | ||||
11/25/2064 | 1.029% | 865,624 | 710,580 | |
Mill City Securities Ltd.(a),(c) | ||||
CMO Series 2021-RS1 Class A2 | ||||
04/28/2066 | 3.951% | 4,449,000 | 3,841,591 | |
Morgan Stanley Mortgage Loan Trust(c) | ||||
CMO Series 2004-3 Class 4A | ||||
04/25/2034 | 5.650% | 116,087 | 111,636 | |
MRA Issuance Trust(a),(b),(f) | ||||
CMO Series 2021-EBO2 Class A | ||||
1-month USD LIBOR + 2.735% 04/15/2023 | 6.855% | 4,024,227 | 4,024,227 | |
CMO Series 2021-EBO7 Class A1X | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 02/15/2023 | 3.845% | 4,195,483 | 4,195,483 | |
NACC Reperforming Loan Remic Trust(a) | ||||
CMO Series 2004-R2 Class A1 | ||||
10/25/2034 | 6.500% | 87,249 | 75,046 | |
New Residential Mortgage Loan Trust(a),(c) | ||||
CMO Series 2019-NQM4 Class A1 | ||||
09/25/2059 | 2.492% | 258,784 | 234,638 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 57 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NewRez Warehouse Securitization Trust(a),(b) | ||||
CMO Series 2021-1 Class A | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 05/25/2055 | 4.794% | 5,373,000 | 5,281,821 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
CMO Series 2021-FNT2 Class A | ||||
05/25/2026 | 3.228% | 3,554,352 | 3,147,674 | |
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 2,433,261 | 2,217,518 | |
OCWEN(c),(e),(f) | ||||
CMO Series 2021-GNMSR Class 1 | ||||
03/15/2023 | 4.570% | 4,128,148 | 3,993,983 | |
Preston Ridge Partners Mortgage Trust(a),(c) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 3,117,895 | 2,832,236 | |
CMO Series 2021-2 Class A1 | ||||
03/25/2026 | 2.115% | 2,185,846 | 1,982,659 | |
Pretium Mortgage Credit Partners(a),(c) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 4,077,648 | 3,641,328 | |
Pretium Mortgage Credit Partners I LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
09/27/2060 | 2.240% | 3,527,289 | 3,212,604 | |
CMO Series 2021-NPL4 Class A1 | ||||
10/27/2060 | 2.363% | 3,171,502 | 2,788,498 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
07/25/2051 | 2.487% | 3,720,058 | 3,436,823 | |
CMO Series 2021-RN3 Class A1 | ||||
09/25/2051 | 1.843% | 4,875,788 | 4,345,078 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1B | ||||
30-day Average SOFR + 1.700% Floor 1.700% 12/27/2033 | 5.247% | 3,500,000 | 3,414,875 | |
RCO VI Mortgage LLC(a),(c) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2027 | 3.000% | 5,573,740 | 5,229,251 | |
CMO Series 2022-1 Class A2 | ||||
01/25/2027 | 5.250% | 2,500,000 | 2,279,199 | |
Residential Asset Mortgage Products Trust | ||||
CMO Series 2004-SL2 Class A3 | ||||
10/25/2031 | 7.000% | 129,255 | 127,658 | |
Residential Asset Securitization Trust(c) | ||||
CMO Series 2004-IP2 Class 1A1 | ||||
12/25/2034 | 4.284% | 195,246 | 194,731 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2019-3 Class MB (FHLMC) | ||||
10/25/2058 | 3.500% | 1,570,000 | 1,335,810 | |
CMO Series 2019-4 Class M55D (FHLMC) | ||||
02/25/2059 | 4.000% | 1,800,936 | 1,673,764 | |
Seasoned Loans Structured Transaction | ||||
CMO Series 2018-2 Class A1 | ||||
11/25/2028 | 3.500% | 3,136,977 | 2,939,263 | |
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 | 5.113% | 296,592 | 268,992 | |
CMO Series 2003-8 Class A1 | ||||
1-month USD LIBOR + 0.640% Floor 0.640%, Cap 11.500% 01/20/2034 | 4.993% | 258,569 | 241,657 | |
CMO Series 2004-11 Class A1 | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.500% 12/20/2034 | 4.953% | 256,906 | 228,938 | |
CMO Series 2004-12 Class A3 | ||||
6-month USD LIBOR + 0.320% Floor 0.320%, Cap 11.500% 01/20/2035 | 5.507% | 135,444 | 123,120 | |
Starwood Mortgage Residential Trust(a),(c) | ||||
CMO Series 2020-1 Class A1 | ||||
02/25/2050 | 2.275% | 111,463 | 102,238 | |
CMO Series 2020-3 Class A1 | ||||
04/25/2065 | 1.486% | 549,004 | 505,786 | |
CMO Series 2020-INV1 Class A1 | ||||
11/25/2055 | 1.027% | 478,045 | 428,172 | |
CMO Series 2021-1 Class A1 | ||||
05/25/2065 | 1.219% | 630,627 | 569,652 | |
CMO Series 2021-4 Class A1 | ||||
08/25/2056 | 1.162% | 2,043,333 | 1,677,694 | |
Structured Adjustable Rate Mortgage Loan Trust(c) | ||||
CMO Series 2004-4 Class 5A | ||||
04/25/2034 | 3.887% | 63,103 | 56,500 | |
Structured Asset Mortgage Investments II Trust(b) | ||||
CMO Series 2004-AR5 Class 1A1 | ||||
1-month USD LIBOR + 0.660% Floor 0.330%, Cap 11.000% 10/19/2034 | 4.999% | 160,424 | 149,286 | |
CMO Series 2005-AR5 Class A3 | ||||
1-month USD LIBOR + 0.500% Floor 0.250%, Cap 11.000% 07/19/2035 | 4.839% | 102,805 | 91,293 |
58 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Structured Asset Securities Corp.(c) | ||||
CMO Series 2004-4XS Class 1A5 | ||||
02/25/2034 | 5.490% | 222,673 | 208,366 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates(c) | ||||
CMO Series 2003-34A Class 3A3 | ||||
11/25/2033 | 3.988% | 122,087 | 118,064 | |
CMO Series 2003-40A Class 3A2 | ||||
01/25/2034 | 4.138% | 77,373 | 73,349 | |
CMO Series 2004-6XS Class A5A | ||||
03/25/2034 | 5.585% | 33,206 | 32,612 | |
CMO Series 2004-6XS Class A5B (AMBAC) | ||||
03/25/2034 | 5.585% | 39,847 | 39,134 | |
Thornburg Mortgage Securities Trust(c) | ||||
CMO Series 2004-4 Class 3A | ||||
12/25/2044 | 3.551% | 83,296 | 76,974 | |
TVC Mortgage Trust(a) | ||||
CMO Series 2020-RTL1 Class A1 | ||||
09/25/2024 | 3.474% | 1,346,803 | 1,343,668 | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
12/26/2050 | 2.289% | 3,539,578 | 3,336,838 | |
CMO Series 2021-NPL3 Class A1 | ||||
05/25/2051 | 1.743% | 3,596,377 | 3,114,305 | |
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 5,894,815 | 5,193,623 | |
Vendee Mortgage Trust | ||||
CMO Series 1998-2 Class 1G | ||||
06/15/2028 | 6.750% | 91,277 | 93,860 | |
Vericrest Opportunity Loan Transferee XCIII LLC(a),(c) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
02/27/2051 | 1.893% | 5,343,258 | 4,773,144 | |
Vericrest Opportunity Loan Transferee XCIV LLC(a),(c) | ||||
CMO Series 2021-NPL3 Class A1 | ||||
02/27/2051 | 2.240% | 3,681,950 | 3,301,537 | |
Vericrest Opportunity Loan Transferee XCVI LLC(a),(c) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
03/27/2051 | 2.116% | 2,980,904 | 2,702,349 | |
Vericrest Opportunity Loan Transferee XCVII LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
04/25/2051 | 2.240% | 3,200,497 | 2,815,215 | |
Vericrest Opportunity Loan Trust CI LLC(a),(c) | ||||
CMO Series 2021-NP10 Class A1 | ||||
05/25/2051 | 1.992% | 2,869,031 | 2,562,821 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2019-4 Class A1 | ||||
11/25/2059 | 2.642% | 427,396 | 406,737 | |
CMO Series 2019-INV2 Class A1 | ||||
07/25/2059 | 2.913% | 223,421 | 215,886 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-INV3 Class A1 | ||||
11/25/2059 | 2.692% | 200,522 | 190,369 | |
CMO Series 2020-1 Class A1 | ||||
01/25/2060 | 2.417% | 433,506 | 407,356 | |
CMO Series 2020-2 Class A1 | ||||
05/25/2060 | 2.226% | 411,350 | 395,822 | |
CMO Series 2020-5 Class A1 | ||||
05/25/2065 | 1.218% | 239,975 | 214,684 | |
CMO Series 2020-INV1 Class A1 | ||||
03/25/2060 | 1.977% | 490,436 | 475,797 | |
CMO Series 2021-1 Class A1 | ||||
01/25/2066 | 0.815% | 802,578 | 660,744 | |
CMO Series 2021-2 Class A1 | ||||
02/25/2066 | 1.031% | 1,516,350 | 1,268,707 | |
CMO Series 2021-3 Class A1 | ||||
06/25/2066 | 1.046% | 1,434,986 | 1,183,435 | |
CMO Series 2021-4 Class A1 | ||||
07/25/2066 | 0.938% | 1,746,898 | 1,354,732 | |
CMO Series 2021-5 Class A1 | ||||
09/25/2066 | 1.013% | 5,969,033 | 4,758,290 | |
CMO Series 2021-7 Class A1 | ||||
10/25/2066 | 1.829% | 2,697,216 | 2,310,329 | |
CMO Series 2021-8 Class A1 | ||||
11/25/2066 | 1.824% | 1,914,912 | 1,629,007 | |
CMO Series 2021-R1 Class A1 | ||||
10/25/2063 | 0.820% | 699,159 | 614,875 | |
CMO Series 2021-R3 Class A1 | ||||
04/25/2064 | 1.020% | 806,509 | 695,063 | |
Visio Trust(a) | ||||
Series 2020-1R Class A1 | ||||
11/25/2055 | 1.312% | 529,341 | 480,539 | |
VM Master Issuer LLC(a),(c) | ||||
CMO Series 2022-1 Class A1B | ||||
05/24/2025 | 6.174% | 7,692,000 | 7,211,109 | |
WaMu Mortgage Pass-Through Certificates Trust(c) | ||||
CMO Series 2003-AR11 Class A6 | ||||
10/25/2033 | 4.232% | 171,606 | 156,847 | |
CMO Series 2003-AR5 Class A7 | ||||
06/25/2033 | 3.206% | 62,083 | 57,496 | |
CMO Series 2003-AR6 Class A1 | ||||
06/25/2033 | 3.390% | 71,192 | 65,603 | |
CMO Series 2003-AR7 Class A7 | ||||
08/25/2033 | 3.819% | 115,234 | 104,923 | |
CMO Series 2004-AR3 Class A2 | ||||
06/25/2034 | 3.104% | 51,044 | 46,793 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 59 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WaMu Mortgage Pass-Through Certificates Trust | ||||
CMO Series 2004-S3 Class 1A5 | ||||
07/25/2034 | 5.000% | 8,759 | 8,497 | |
Wells Fargo Mortgage-Backed Securities Trust(c) | ||||
CMO Series 2004-U Class A1 | ||||
10/25/2034 | 4.017% | 107,820 | 100,977 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $229,984,090) | 208,312,890 | |||
U.S. Government & Agency Obligations 0.7% | ||||
Federal Home Loan Mortgage Corp.(k) | ||||
12/14/2029 | 0.000% | 3,534,000 | 2,597,899 | |
Federal National Mortgage Association(k) | ||||
11/15/2030 | 0.000% | 10,386,000 | 7,405,037 | |
Federal National Mortgage Association | ||||
01/25/2036 | 1.900% | 4,045,000 | 2,719,455 | |
Israel Government AID Bond(k) | ||||
11/01/2024 | 0.000% | 5,000,000 | 4,581,524 | |
Israel Government AID Bond | ||||
09/18/2033 | 5.500% | 1,000,000 | 1,067,085 | |
Residual Funding Corp.(k) | ||||
STRIPS | ||||
04/15/2030 | 0.000% | 3,750,000 | 2,712,886 | |
Tennessee Valley Authority | ||||
04/01/2036 | 5.880% | 4,870,000 | 5,366,147 | |
09/15/2060 | 4.625% | 835,000 | 782,602 | |
09/15/2065 | 4.250% | 1,423,000 | 1,232,497 | |
Tennessee Valley Authority(k) | ||||
STRIPS | ||||
11/01/2025 | 0.000% | 8,500,000 | 7,438,368 | |
06/15/2035 | 0.000% | 750,000 | 402,796 | |
Total U.S. Government & Agency Obligations (Cost $41,161,739) | 36,306,296 | |||
U.S. Treasury Obligations 22.5% | ||||
U.S. Treasury | ||||
05/15/2024 | 2.500% | 9,191,000 | 8,917,065 | |
06/30/2024 | 3.000% | 1,382,000 | 1,348,692 | |
09/30/2024 | 4.250% | 1,955,000 | 1,944,843 | |
10/31/2024 | 4.375% | 4,477,000 | 4,464,059 | |
11/30/2024 | 4.500% | 15,092,000 | 15,093,179 | |
04/30/2025 | 2.875% | 8,937,000 | 8,648,642 | |
05/15/2025 | 2.750% | 10,385,000 | 10,013,412 | |
11/15/2025 | 4.500% | 1,876,000 | 1,887,872 | |
11/30/2025 | 0.375% | 2,287,000 | 2,046,508 | |
12/15/2025 | 4.000% | 31,640,000 | 31,442,250 | |
01/31/2026 | 0.375% | 38,207,000 | 33,995,275 | |
05/15/2026 | 1.625% | 12,865,000 | 11,841,830 | |
05/31/2026 | 0.750% | 50,362,000 | 44,920,544 | |
08/15/2026 | 1.500% | 53,699,000 | 48,958,385 | |
11/15/2026 | 2.000% | 2,710,000 | 2,505,056 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
04/30/2027 | 0.500% | 33,938,200 | 29,221,321 | |
05/31/2027 | 2.625% | 11,500,000 | 10,840,547 | |
06/30/2027 | 3.250% | 11,500,000 | 11,121,758 | |
07/31/2027 | 2.750% | 6,600,000 | 6,245,250 | |
08/31/2027 | 3.125% | 7,005,000 | 6,738,482 | |
09/30/2027 | 4.125% | 46,237,500 | 46,410,891 | |
10/31/2027 | 4.125% | 49,411,000 | 49,596,291 | |
11/15/2027 | 2.250% | 10,463,000 | 9,640,674 | |
11/30/2027 | 3.875% | 28,604,000 | 28,449,807 | |
02/15/2028 | 2.750% | 20,715,000 | 19,475,337 | |
10/31/2028 | 1.375% | 34,791,000 | 30,042,572 | |
11/15/2028 | 5.250% | 5,745,000 | 6,082,519 | |
02/15/2029 | 5.250% | 4,486,000 | 4,758,314 | |
05/31/2029 | 2.750% | 11,180,000 | 10,386,045 | |
06/30/2029 | 3.250% | 7,156,000 | 6,847,398 | |
07/31/2029 | 2.625% | 2,070,000 | 1,906,664 | |
08/31/2029 | 3.125% | 7,060,000 | 6,702,588 | |
09/30/2029 | 3.875% | 6,427,500 | 6,381,302 | |
10/31/2029 | 4.000% | 2,334,000 | 2,335,094 | |
11/30/2029 | 3.875% | 3,408,000 | 3,385,103 | |
02/15/2032 | 1.875% | 24,015,000 | 20,367,722 | |
08/15/2032 | 2.750% | 19,525,000 | 17,773,852 | |
11/15/2032 | 4.125% | 13,197,000 | 13,460,940 | |
08/15/2039 | 4.500% | 7,032,000 | 7,460,513 | |
05/15/2040 | 1.125% | 24,990,000 | 15,665,606 | |
08/15/2040 | 1.125% | 33,987,000 | 21,167,528 | |
11/15/2040 | 1.375% | 130,376,000 | 84,846,256 | |
02/15/2041 | 1.875% | 18,373,000 | 12,998,898 | |
02/15/2041 | 4.750% | 2,429,000 | 2,644,953 | |
05/15/2041 | 2.250% | 21,530,000 | 16,187,869 | |
08/15/2041 | 1.750% | 89,232,000 | 61,165,747 | |
11/15/2041 | 3.125% | 1,595,000 | 1,378,678 | |
08/15/2042 | 2.750% | 14,400,000 | 11,598,750 | |
08/15/2042 | 3.375% | 285,000 | 254,852 | |
11/15/2042 | 2.750% | 6,935,000 | 5,568,588 | |
11/15/2042 | 4.000% | 63,000 | 61,730 | |
02/15/2043 | 3.125% | 2,000,000 | 1,708,125 | |
11/15/2043 | 3.750% | 3,952,000 | 3,709,323 | |
02/15/2044 | 3.625% | 9,618,000 | 8,841,046 | |
05/15/2044 | 3.375% | 5,000,000 | 4,414,844 | |
02/15/2045 | 2.500% | 11,825,000 | 8,931,570 | |
08/15/2045 | 2.875% | 13,210,000 | 10,662,947 | |
11/15/2048 | 3.375% | 4,911,000 | 4,353,141 | |
11/15/2049 | 2.375% | 19,900,000 | 14,477,250 | |
02/15/2050 | 2.000% | 2,295,000 | 1,523,665 | |
08/15/2050 | 1.375% | 12,505,000 | 6,994,984 | |
11/15/2050 | 1.625% | 7,642,000 | 4,574,453 | |
02/15/2051 | 1.875% | 22,916,000 | 14,641,176 | |
05/15/2051 | 2.375% | 17,165,000 | 12,374,892 | |
08/15/2051 | 2.000% | 40,056,000 | 26,361,855 | |
11/15/2051 | 1.875% | 2,781,000 | 1,770,280 | |
02/15/2052 | 2.250% | 35,889,000 | 25,083,046 | |
05/15/2052 | 2.875% | 4,085,000 | 3,289,702 | |
08/15/2052 | 3.000% | 6,549,000 | 5,429,530 | |
11/15/2052 | 4.000% | 17,139,000 | 17,232,729 | |
U.S. Treasury(m) | ||||
12/31/2027 | 3.750% | 15,134,000 | 15,047,731 |
60 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(k) | ||||
STRIPS | ||||
02/15/2023 | 0.000% | 20,665,000 | 20,564,864 | |
05/15/2023 | 0.000% | 8,680,000 | 8,540,306 | |
08/15/2023 | 0.000% | 7,320,000 | 7,112,409 | |
11/15/2023 | 0.000% | 5,449,000 | 5,230,614 | |
02/15/2024 | 0.000% | 2,201,000 | 2,089,660 | |
08/15/2024 | 0.000% | 1,000,000 | 929,961 | |
11/15/2024 | 0.000% | 4,500,000 | 4,145,273 | |
02/15/2025 | 0.000% | 1,000,000 | 912,148 | |
05/15/2025 | 0.000% | 2,500,000 | 2,259,961 | |
02/15/2026 | 0.000% | 5,500,000 | 4,829,688 | |
02/15/2032 | 0.000% | 13,100,000 | 9,080,449 | |
08/15/2032 | 0.000% | 1,500,000 | 1,016,367 | |
08/15/2033 | 0.000% | 4,000,000 | 2,592,500 | |
11/15/2033 | 0.000% | 7,400,000 | 4,743,227 | |
02/15/2034 | 0.000% | 4,400,000 | 2,787,469 | |
05/15/2034 | 0.000% | 2,400,000 | 1,504,125 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
11/15/2034 | 0.000% | 1,850,000 | 1,133,848 | |
11/15/2040 | 0.000% | 13,935,000 | 6,529,854 | |
Total U.S. Treasury Obligations (Cost $1,257,134,649) | 1,094,623,063 |
Money Market Funds 1.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(n),(o) | 70,766,863 | 70,745,633 |
Total Money Market Funds (Cost $70,741,213) | 70,745,633 | |
Total Investments in Securities (Cost: $5,464,879,932) | 4,933,116,883 | |
Other Assets & Liabilities, Net | (75,545,499) | |
Net Assets | 4,857,571,384 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 406 | 03/2023 | USD | 50,889,563 | — | (429,076) |
U.S. Treasury 10-Year Note | 1,551 | 03/2023 | USD | 174,172,453 | — | (2,151,132) |
U.S. Treasury 2-Year Note | 282 | 03/2023 | USD | 57,832,032 | 59,310 | — |
U.S. Treasury 5-Year Note | 364 | 03/2023 | USD | 39,286,406 | 2,131 | — |
U.S. Treasury 5-Year Note | 164 | 03/2023 | USD | 17,700,469 | — | (227,068) |
U.S. Treasury Ultra Bond | 302 | 03/2023 | USD | 40,562,375 | 84,273 | — |
Total | 145,714 | (2,807,276) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury Ultra 10-Year Note | (227) | 03/2023 | USD | (26,849,844) | 159,133 | — |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 39 | Citi | 12/20/2027 | 5.000 | Quarterly | USD | 68,050,000 | (3,558,281) | — | — | — | (3,558,281) |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 61 |
December 31, 2022
(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 December 31, 2022, the total value of these securities amounted to $1,229,328,819, which represents 25.31% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2022. |
(d) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2022, the total value of these securities amounted to $29,813,666, which represents 0.61% of total net assets. |
(f) | Valuation based on significant unobservable inputs. |
(g) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
(h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(i) | Represents a security in default. |
(j) | Principal and interest may not be guaranteed by a governmental entity. |
(k) | Zero coupon bond. |
(l) | Represents a security purchased on a forward commitment basis. |
(m) | Represents a security purchased on a when-issued basis. |
(n) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(o) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
301,950,331 | 2,080,275,906 | (2,311,493,494) | 12,890 | 70,745,633 | (54,181) | 2,884,958 | 70,766,863 |
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 |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
USD | US Dollar |
62 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
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 — Non-Agency | — | 474,331,929 | 23,546,861 | 497,878,790 |
Commercial Mortgage-Backed Securities - Agency | — | 270,073,233 | — | 270,073,233 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 286,287,670 | 6,768,362 | 293,056,032 |
Convertible Bonds | — | 1,381,381 | — | 1,381,381 |
Corporate Bonds & Notes | — | 1,353,394,416 | — | 1,353,394,416 |
Foreign Government Obligations | — | 49,472,061 | — | 49,472,061 |
Municipal Bonds | — | 9,902,803 | — | 9,902,803 |
Residential Mortgage-Backed Securities - Agency | — | 1,047,970,285 | — | 1,047,970,285 |
Residential Mortgage-Backed Securities - Non-Agency | — | 181,068,268 | 27,244,622 | 208,312,890 |
U.S. Government & Agency Obligations | — | 36,306,296 | — | 36,306,296 |
U.S. Treasury Obligations | — | 1,094,623,063 | — | 1,094,623,063 |
Money Market Funds | 70,745,633 | — | — | 70,745,633 |
Total Investments in Securities | 70,745,633 | 4,804,811,405 | 57,559,845 | 4,933,116,883 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 304,847 | — | — | 304,847 |
Liability | ||||
Futures Contracts | (2,807,276) | — | — | (2,807,276) |
Swap Contracts | — | (3,558,281) | — | (3,558,281) |
Total | 68,243,204 | 4,801,253,124 | 57,559,845 | 4,927,056,173 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 63 |
December 31, 2022
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 12/31/2021 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 12/31/2022 ($) | |
Asset-Backed Securities — Non-Agency | 21,457,203 | — | (842,558) | (945,209) | 9,000,000 | (5,095,930) | — | (26,645) | 23,546,861 |
Commercial Mortgage-Backed Securities — Non-Agency | 7,189,673 | — | — | (250,504) | — | (85,575) | — | (85,232) | 6,768,362 |
Corporate Bonds & Notes | 6,000,000 | — | — | — | — | — | — | (6,000,000) | — |
Residential Mortgage-Backed Securities — Non-Agency | 61,142,686 | (24) | — | (614,165) | 2,600,000 | (23,208,875) | — | (12,675,000) | 27,244,622 |
Total | 95,789,562 | (24) | (842,558) | (1,809,878) | 11,600,000 | (28,390,380) | — | (18,786,877) | 57,559,845 |
64 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $5,394,138,719) | $4,862,371,250 |
Affiliated issuers (cost $70,741,213) | 70,745,633 |
Foreign currency (cost $43) | 46 |
Cash collateral held at broker for: | |
TBA | 280,000 |
Margin deposits on: | |
Futures contracts | 7,771,000 |
Swap contracts | 4,181,000 |
Receivable for: | |
Investments sold | 19,228,184 |
Investments sold on a delayed delivery basis | 42,334,184 |
Capital shares sold | 192 |
Dividends | 262,687 |
Interest | 28,778,053 |
Foreign tax reclaims | 162,544 |
Variation margin for futures contracts | 14,187 |
Variation margin for swap contracts | 52,463 |
Prepaid expenses | 35,530 |
Total assets | 5,036,216,953 |
Liabilities | |
Due to custodian | 210,229 |
Cash collateral due to broker for: | |
TBA | 20,000 |
Payable for: | |
Investments purchased | 37,657,955 |
Investments purchased on a delayed delivery basis | 136,282,179 |
Capital shares purchased | 3,558,430 |
Variation margin for futures contracts | 521,984 |
Management services fees | 62,255 |
Distribution and/or service fees | 101 |
Service fees | 772 |
Compensation of board members | 242,291 |
Compensation of chief compliance officer | 962 |
Other expenses | 88,411 |
Total liabilities | 178,645,569 |
Net assets applicable to outstanding capital stock | $4,857,571,384 |
Represented by | |
Paid in capital | 5,612,424,902 |
Total distributable earnings (loss) | (754,853,518) |
Total - representing net assets applicable to outstanding capital stock | $4,857,571,384 |
Class 1 | |
Net assets | $4,842,662,750 |
Shares outstanding | 514,579,656 |
Net asset value per share | $9.41 |
Class 2 | |
Net assets | $14,908,634 |
Shares outstanding | 1,592,304 |
Net asset value per share | $9.36 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 65 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $2,884,958 |
Interest | 151,527,832 |
Interfund lending | 2,087 |
Total income | 154,414,877 |
Expenses: | |
Management services fees | 24,534,331 |
Distribution and/or service fees | |
Class 2 | 38,170 |
Service fees | 9,514 |
Compensation of board members | 75,579 |
Custodian fees | 97,095 |
Printing and postage fees | 11,789 |
Audit fees | 67,000 |
Legal fees | 79,328 |
Interest on collateral | 6,877 |
Compensation of chief compliance officer | 773 |
Other | 75,475 |
Total expenses | 24,995,931 |
Net investment income | 129,418,946 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (300,785,874) |
Investments — affiliated issuers | (54,181) |
Foreign currency translations | (2,779) |
Forward foreign currency exchange contracts | 119,201 |
Futures contracts | (21,210,507) |
Swap contracts | 212,546 |
Net realized loss | (321,721,594) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (591,671,754) |
Investments — affiliated issuers | 12,890 |
Foreign currency translations | 3 |
Futures contracts | (2,514,742) |
Swap contracts | (3,642,473) |
Net change in unrealized appreciation (depreciation) | (597,816,076) |
Net realized and unrealized loss | (919,537,670) |
Net decrease in net assets resulting from operations | $(790,118,724) |
66 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $129,418,946 | $87,127,423 |
Net realized gain (loss) | (321,721,594) | 36,194,057 |
Net change in unrealized appreciation (depreciation) | (597,816,076) | (169,957,325) |
Net decrease in net assets resulting from operations | (790,118,724) | (46,635,845) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (127,408,634) | (239,558,439) |
Class 2 | (335,885) | (616,889) |
Total distributions to shareholders | (127,744,519) | (240,175,328) |
Increase (decrease) in net assets from capital stock activity | (259,491,981) | 1,539,965,680 |
Total increase (decrease) in net assets | (1,177,355,224) | 1,253,154,507 |
Net assets at beginning of year | 6,034,926,608 | 4,781,772,101 |
Net assets at end of year | $4,857,571,384 | $6,034,926,608 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 3,981,389 | 39,796,591 | 143,744,612 | 1,647,133,113 |
Distributions reinvested | 12,856,572 | 127,408,634 | 21,351,020 | 239,558,439 |
Redemptions | (43,208,596) | (427,273,065) | (30,627,763) | (348,170,554) |
Net increase (decrease) | (26,370,635) | (260,067,840) | 134,467,869 | 1,538,520,998 |
Class 2 | ||||
Subscriptions | 296,830 | 2,949,137 | 327,529 | 3,713,472 |
Distributions reinvested | 34,031 | 335,885 | 55,178 | 616,889 |
Redemptions | (271,421) | (2,709,163) | (255,399) | (2,885,679) |
Net increase | 59,440 | 575,859 | 127,308 | 1,444,682 |
Total net increase (decrease) | (26,311,195) | (259,491,981) | 134,595,177 | 1,539,965,680 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 67 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $11.12 | 0.24 | (1.71) | (1.47) | (0.17) | (0.07) | (0.24) |
Year Ended 12/31/2021 | $11.72 | 0.18 | (0.32) | (0.14) | (0.17) | (0.29) | (0.46) |
Year Ended 12/31/2020 | $11.15 | 0.22 | 0.70 | 0.92 | (0.24) | (0.11) | (0.35) |
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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $11.07 | 0.22 | (1.71) | (1.49) | (0.15) | (0.07) | (0.22) |
Year Ended 12/31/2021 | $11.66 | 0.15 | (0.31) | (0.16) | (0.14) | (0.29) | (0.43) |
Year Ended 12/31/2020 | $11.10 | 0.19 | 0.69 | 0.88 | (0.21) | (0.11) | (0.32) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
68 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $9.41 | (13.29%) | 0.47%(c) | 0.47%(c) | 2.45% | 248% | $4,842,663 |
Year Ended 12/31/2021 | $11.12 | (1.24%) | 0.47%(c) | 0.47%(c) | 1.55% | 276% | $6,017,964 |
Year Ended 12/31/2020 | $11.72 | 8.27% | 0.48%(c) | 0.48%(c) | 1.90% | 298% | $4,765,378 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $9.36 | (13.60%) | 0.72%(c) | 0.72%(c) | 2.21% | 248% | $14,909 |
Year Ended 12/31/2021 | $11.07 | (1.41%) | 0.72%(c) | 0.72%(c) | 1.30% | 276% | $16,962 |
Year Ended 12/31/2020 | $11.66 | 7.97% | 0.73%(c) | 0.73%(c) | 1.64% | 298% | $16,394 |
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% | $9,303 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 69 |
December 31, 2022
70 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 71 |
December 31, 2022
72 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 73 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 304,847* |
74 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 3,558,281* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,807,276* |
Total | 6,365,557 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 212,546 | 212,546 |
Foreign exchange risk | 119,201 | — | — | 119,201 |
Interest rate risk | — | (21,210,507) | — | (21,210,507) |
Total | 119,201 | (21,210,507) | 212,546 | (20,878,760) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | (3,642,473) | (3,642,473) |
Interest rate risk | (2,514,742) | — | (2,514,742) |
Total | (2,514,742) | (3,642,473) | (6,157,215) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 265,134,827* |
Futures contracts — short | 49,733,023* |
Credit default swap contracts — buy protection | 43,365,625* |
Credit default swap contracts — sell protection | 4,005,495** |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 29,983 | (19,656) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2022. |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 75 |
December 31, 2022
76 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Citi ($) | |
Assets | |
Centrally cleared credit default swap contracts (a) | 52,463 |
Total financial and derivative net assets | 52,463 |
Total collateral received (pledged) (b) | - |
Net amount (c) | 52,463 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 77 |
December 31, 2022
78 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 79 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.54% |
Class 2 | 0.79 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
1,886,021 | (1,886,021) | — |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
89,121,394 | 38,623,125 | 127,744,519 | 195,554,175 | 44,621,153 | 240,175,328 |
80 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
130,704,110 | — | (316,468,444) | (568,848,730) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
5,495,904,903 | 18,721,722 | (587,570,452) | (568,848,730) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(208,424,564) | (108,043,880) | (316,468,444) | — |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 81 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 4,012,500 | 1.60 | 8 |
82 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 83 |
December 31, 2022
84 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 85 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
86 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 87 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
88 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 89 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
90 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 91 |
(Unaudited)
Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, under the subadvisory agreements (the Subadvisory Agreements) between the Investment Manager and each of Allspring Global Investments, LLC (Allspring) and J.P. Morgan Investment Management Inc. (collectively, the Subadvisers), the Subadvisers provide portfolio management and related services for the Fund. At their meeting on November 4, 2022, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), approved an amendment to the Subadvisory Agreement between the Investment Manager and Allspring (the Allspring Subadvisory Agreement) for the purpose of reducing the fees payable thereunder by the Investment Manager to Allspring.
92 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
(Unaudited)
to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Advisory Agreements; |
• | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 93 |
(Unaudited)
operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
94 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
(Unaudited)
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates from their relationships with the Fund
Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 | 95 |
(Unaudited)
Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
96 | Variable Portfolio – Partners Core Bond Fund | Annual Report 2022 |
December 31, 2022
3 | |
6 | |
9 | |
10 | |
15 | |
16 | |
17 | |
18 | |
20 | |
30 | |
31 | |
31 | |
37 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -11.46 | -2.22 | 2.25 | |
Class 2 | 05/07/10 | -11.75 | -2.48 | 1.99 | |
MSCI EAFE Value Index (Net) | -5.58 | 0.17 | 3.51 |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 3 |
(Unaudited)
4 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
(Unaudited)
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 2.8 |
Consumer Discretionary | 12.9 |
Consumer Staples | 10.3 |
Energy | 5.0 |
Financials | 22.5 |
Health Care | 9.5 |
Industrials | 17.7 |
Information Technology | 8.6 |
Materials | 7.9 |
Real Estate | 0.4 |
Utilities | 2.4 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2022) | |
Australia | 1.9 |
Belgium | 1.8 |
Brazil | 1.2 |
Canada | 0.7 |
China | 2.4 |
Denmark | 0.6 |
Finland | 2.0 |
France | 13.2 |
Germany | 11.9 |
Hong Kong | 2.1 |
Ireland | 1.8 |
Isle of Man | 0.2 |
Israel | 0.5 |
Italy | 1.2 |
Japan | 16.8 |
Netherlands | 7.3 |
Norway | 0.9 |
Singapore | 1.1 |
South Korea | 1.9 |
Spain | 0.8 |
Sweden | 1.2 |
Switzerland | 8.4 |
Taiwan | 1.2 |
United Kingdom | 18.5 |
United States(a) | 0.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 5 |
(Unaudited)
• | The three largest relative sector detractors in our portion of the Fund were materials, health care and consumer staples, as all three sectors posted absolute losses, driven by stock selection. The Fund was underweight the materials and health care sectors, and slightly overweight consumer staples. |
○ | The health care sector, though down for the year, was one of the better performers within the benchmark due to investors’ desire for exposure to defensive stocks amid the uncertainty in the market during 2022. |
○ | Our exposure to cyclical materials names was a source of relative weakness as investors considered the impact of a potential economic slowdown on the near-term earnings of chemical and commodities producers. |
○ | Among consumer staples, our overweight to British names led to underperformance given the poor macroeconomic backdrop in the nation. |
• | The top three absolute detractors were German dialysis products and services provider Fresenius Medical Care AG & Co., British builder merchant Travis Perkins PLC and Finnish telecom equipment company Nokia OYJ. |
○ | Labor shortages and inflation pressured the profitability of Fresenius Medical Care’s dialysis centers, prompting management to issue a major cut to their fiscal year 2022 guidance. We added to the position on recent weakness. |
○ | Shares of Travis Perkins fell due to margin erosion, particularly in its Toolstation unit, precipitated by rising costs in conjunction with softening volumes. |
6 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
(Unaudited)
○ | Nokia fell during the year as supply chain constraints, namely the semiconductor shortage, impacted the company’s top-line. Nevertheless, Nokia continues to gain share as 5G deployment broadens from developed markets to emerging markets. |
• | The three countries to detract most from relative performance were United Kingdom, France and Germany. |
• | Information technology, the benchmark’s worst performing sector, weighed most on relative return in our portion of the Fund, primarily due to an overweight exposure. Negative selection impacts from semiconductor related holdings such as Samsung Electronics and ASML Holdings also served as detractors. |
• | The energy sector, the benchmark’s best performing sector, detracted from relative return due to our portion of the Fund’s underweight to the sector. Ultimately, the allocation effect was driven by stock selection, as we found more compelling opportunities outside of the energy sector. More broadly, energy stocks performed well during the year due to a more favorable supply and demand environment. |
• | The health care sector also detracted from relative return due to stock selection in our portion of the Fund. |
• | The top three individual detractors in our portion of the Fund were Sony Group Corp., Rakuten Group, Inc. and BHP Group Ltd. |
○ | Shares of Japanese conglomerate Sony detracted most after reporting mixed results over the course of the year. The company’s gaming segment faced higher costs following the Bungie studio acquisition, as well as the continued supply shortage of PS5 consoles. |
○ | Japanese e-commerce giant Rakuten experienced losses from its mobile network business, which overshadowed otherwise satisfactory results. Rakuten continues to invest heavily in the rollout of its mobile telecommunications offering and expects the segment to be lossmaking in the short term. We believe the company’s dominant e-commerce ecosystem is being overlooked by the market. |
○ | Shares of BHP Group, an Australian mining company, appreciated alongside commodity prices over the year. Our underweight position cost the portfolio relative return. |
• | The three countries to detract most from relative performance were the United Kingdom, Japan and Australia. |
• | Financials, communication services and consumer discretionary were the top three contributing sectors on a relative basis in 2022. Our portion of the Fund was underweight the financials and communication services sectors but stock selection in both sectors was a source of relative strength. |
○ | Our financials exposure delivered a positive return for the period, in contrast to the benchmark. |
○ | Although communication services posted a negative return in 2022, favorable stock selection was a source of relative outperformance. |
○ | Our portion of the Fund was overweight the underperforming consumer discretionary sector, but strong stock selection in the sector provided some offset. |
• | The top three contributors to absolute performance were UK-domiciled oil servicer TechnipFMC PLC, Dutch global staffer Randstad NV and Chinese online travel agency Trip.com Group Ltd. |
○ | TechnipFMC reported impressive earnings and order flow for the second and third quarters of 2022, as the company benefited from rising spending from customers in the oil and gas industries. |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 7 |
(Unaudited)
○ | Global staffer Randstad reported strong earnings in the fourth quarter of 2022, despite concerns over labor market weakness. We initiated the position in Randstad on the back of weakness during the summer of 2022, given the overly pessimistic outlook that was impacting valuations of many European companies amid the geopolitical turmoil on the continent. |
○ | Shares of Chinese online travel agency Trip.com rose during the period as the Chinese government relaxed COVID-19 restrictions and Chinese reopening optimism surged in the fourth quarter. We initiated the position in Trip.com during 2022, as shares were trading at an attractive valuation driven by uncertainty surrounding China’s COVID policy. |
• | The United States, Japan and Netherlands were the largest relative contributors. |
• | The real estate sector, one of the benchmark’s worst performing sectors, contributed most to relative return in our portion of the Fund due to a combination of stock selection and an underweight allocation. |
• | Allocation and stock selection drove outperformance in the utilities sector. While our underweight exposure to this lagging sector proved additive, stock selection impacts were also favorable. |
• | Underweight exposure to the communication services sector proved additive. |
• | The top three individual contributors in our portion of the Fund were AIB Group PLC, Dassault Aviation SA and Santos Ltd. |
○ | Irish financial services company AIB Group was the top absolute and relative performer in our portion of the Fund, benefiting from a relatively strong local economy and rising interest rate environment. AIB nearly doubled consensus profit-before-tax expectations in the first half of the year due to an improved net interest margin and a €300 million credit write-back. |
○ | French aerospace company Dassault Aviation SA was another top performer in our portion of the Fund after announcing a large military jet order from the Indonesian government. Shares of the company were further boosted following Russia’s invasion of Ukraine as investors anticipated a rise in European defense spending. |
○ | Australian energy company Santos has been a beneficiary of this year’s rise in global energy prices and announced additional share buyback plans during the year. |
• | From a country perspective, Italy, Israel and Sweden were the largest relative contributors. |
8 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,063.10 | 1,020.86 | 4.34 | 4.26 | 0.84 |
Class 2 | 1,000.00 | 1,000.00 | 1,062.20 | 1,019.60 | 5.63 | 5.52 | 1.09 |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks 98.3% | ||
Issuer | Shares | Value ($) |
Australia 1.9% | ||
BHP Group Ltd. | 73,300 | 2,270,610 |
BHP Group Ltd., ADR | 37,500 | 2,326,875 |
Macquarie Group Ltd. | 64,100 | 7,236,149 |
Santos Ltd. | 1,654,500 | 8,137,152 |
Westpac Banking Corp. | 168,100 | 2,661,276 |
Woodside Energy Group Ltd. | 130,644 | 3,163,964 |
Total | 25,796,026 | |
Belgium 1.7% | ||
Anheuser-Busch InBev SA/NV | 203,800 | 12,275,071 |
Groupe Bruxelles Lambert NV | 50,700 | 4,051,829 |
KBC Group NV | 107,100 | 6,895,669 |
Total | 23,222,569 | |
Brazil 1.1% | ||
Ambev SA | 5,545,100 | 15,249,747 |
Canada 0.7% | ||
Magna International, Inc. | 97,200 | 5,460,142 |
TFI International, Inc. | 41,900 | 4,196,498 |
Total | 9,656,640 | |
China 2.4% | ||
Alibaba Group Holding Ltd.(a) | 1,527,900 | 16,765,515 |
Trip.com Group Ltd., ADR(a) | 448,586 | 15,431,358 |
Total | 32,196,873 | |
Denmark 0.6% | ||
Danske Bank A/S | 398,779 | 7,865,163 |
Finland 2.0% | ||
Nokia OYJ | 5,646,483 | 26,231,875 |
France 13.2% | ||
Accor SA(a) | 547,563 | 13,660,373 |
Amundi SA | 313,633 | 17,785,800 |
Bouygues SA | 191,190 | 5,734,126 |
Capgemini SE | 51,200 | 8,559,421 |
Cie de Saint-Gobain | 69,700 | 3,409,783 |
Cie Generale des Etablissements Michelin SCA | 717,353 | 19,983,520 |
Dassault Aviation SA | 19,220 | 3,259,580 |
Engie SA | 571,300 | 8,173,069 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Publicis Groupe SA | 173,135 | 11,060,266 |
Rexel SA(a) | 1,248,194 | 24,687,392 |
Sanofi | 296,384 | 28,579,297 |
Societe Generale SA | 184,000 | 4,615,394 |
Sodexo SA | 33,904 | 3,243,882 |
TotalEnergies SE | 162,700 | 10,213,200 |
Ubisoft Entertainment SA(a) | 76,700 | 2,166,840 |
Veolia Environnement SA | 399,640 | 10,268,524 |
Total | 175,400,467 | |
Germany 11.2% | ||
Allianz SE, Registered Shares | 40,300 | 8,606,380 |
BASF SE | 423,431 | 20,849,166 |
Bayer AG, Registered Shares | 103,395 | 5,321,751 |
Covestro AG | 524,334 | 20,425,983 |
Daimler Truck Holding AG(a) | 580,774 | 17,853,997 |
Deutsche Boerse AG | 34,700 | 5,975,000 |
Deutsche Post AG | 211,711 | 7,923,638 |
Fresenius Medical Care AG & Co. KGaA | 324,649 | 10,603,864 |
HeidelbergCement AG | 130,500 | 7,394,792 |
Infineon Technologies AG | 229,300 | 6,968,869 |
SAP SE | 107,900 | 11,139,676 |
Siemens AG, Registered Shares | 135,173 | 18,633,777 |
Siemens Energy AG | 254,450 | 4,777,593 |
Talanx AG | 63,400 | 2,988,791 |
Total | 149,463,277 | |
Hong Kong 2.1% | ||
CK Asset Holdings Ltd. | 780,500 | 4,786,942 |
CK Hutchison Holdings Ltd. | 1,628,300 | 9,754,904 |
Galaxy Entertainment Group Ltd. | 2,031,000 | 13,353,127 |
Total | 27,894,973 | |
Ireland 1.7% | ||
AIB Group PLC | 1,835,700 | 7,046,167 |
Bank of Ireland Group PLC | 790,669 | 7,534,538 |
Ryanair Holdings PLC, ADR(a) | 7,900 | 590,604 |
Smurfit Kappa Group PLC | 217,100 | 8,045,803 |
Total | 23,217,112 |
10 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Isle of Man 0.2% | ||
Entain PLC | 170,400 | 2,713,632 |
Israel 0.5% | ||
Check Point Software Technologies Ltd.(a) | 53,400 | 6,736,944 |
Italy 1.2% | ||
Enel SpA | 2,505,038 | 13,472,456 |
Prysmian SpA | 76,900 | 2,857,260 |
Total | 16,329,716 | |
Japan 16.7% | ||
Astellas Pharma, Inc. | 481,200 | 7,316,951 |
Bridgestone Corp. | 47,400 | 1,678,295 |
Denka Co., Ltd. | 118,300 | 2,703,496 |
FANUC Corp. | 32,600 | 4,878,479 |
Fujitsu Ltd. | 46,200 | 6,159,275 |
Fukuoka Financial Group, Inc. | 314,000 | 7,133,404 |
Hitachi Ltd. | 172,400 | 8,674,527 |
Honda Motor Co., Ltd. | 122,000 | 2,782,699 |
Iida Group Holdings Co., Ltd. | 219,400 | 3,331,161 |
Isuzu Motors Ltd. | 773,700 | 8,969,411 |
Kirin Holdings Co., Ltd. | 330,600 | 5,038,820 |
Komatsu Ltd. | 894,900 | 19,342,482 |
Kyocera Corp. | 131,600 | 6,532,188 |
Mitsui & Co., Ltd. | 140,100 | 4,080,514 |
MS&AD Insurance Group Holdings, Inc. | 127,100 | 4,063,365 |
Nintendo Co., Ltd. | 188,000 | 7,904,757 |
Olympus Corp. | 178,800 | 3,153,601 |
ORIX Corp. | 529,300 | 8,472,322 |
Rakuten Group, Inc. | 899,300 | 4,053,210 |
Resona Holdings, Inc. | 2,332,850 | 12,812,987 |
SBI Holdings, Inc. | 308,900 | 5,885,401 |
Sega Sammy Holdings, Inc. | 181,400 | 2,739,043 |
Seven & I Holdings Co., Ltd. | 269,900 | 11,566,935 |
Sony Group Corp. | 155,200 | 11,829,596 |
Square Enix Holdings Co., Ltd. | 62,500 | 2,901,591 |
Subaru Corp. | 777,000 | 11,763,841 |
Sumitomo Mitsui Financial Group, Inc. | 304,800 | 12,262,847 |
T&D Holdings, Inc. | 268,300 | 3,840,646 |
Takeda Pharmaceutical Co., Ltd. | 322,600 | 10,080,184 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Toray Industries, Inc. | 1,176,400 | 6,542,396 |
Toshiba Corp. | 157,900 | 5,486,916 |
Toyota Industries Corp. | 152,600 | 8,290,101 |
Total | 222,271,441 | |
Netherlands 7.2% | ||
AerCap Holdings NV(a) | 146,700 | 8,555,544 |
ArcelorMittal SA | 730,681 | 19,276,940 |
ASML Holding NV | 14,200 | 7,742,580 |
CNH Industrial NV | 418,300 | 6,710,369 |
EXOR NV(a) | 32,900 | 2,408,752 |
Heineken Holding NV | 104,220 | 8,048,957 |
ING Groep NV | 1,333,979 | 16,249,419 |
Koninklijke Philips NV | 117,035 | 1,761,052 |
NXP Semiconductors NV | 29,800 | 4,709,294 |
Randstad NV | 343,074 | 20,962,651 |
Total | 96,425,558 | |
Norway 0.9% | ||
Aker BP ASA | 157,304 | 4,889,462 |
DNB Bank ASA | 344,100 | 6,796,018 |
Mowi ASA | 5,900 | 100,538 |
Total | 11,786,018 | |
Singapore 1.1% | ||
DBS Group Holdings Ltd. | 576,500 | 14,592,140 |
South Korea 1.9% | ||
Samsung Electronics Co., Ltd. | 314,143 | 13,788,755 |
Shinhan Financial Group Co., Ltd. | 399,670 | 11,126,609 |
Shinhan Financial Group Co., Ltd., ADR | 15,057 | 420,542 |
Total | 25,335,906 | |
Spain 0.8% | ||
CaixaBank SA | 2,801,976 | 10,985,968 |
Sweden 1.2% | ||
Essity AB, Class B | 267,000 | 6,991,979 |
Husqvarna AB, Class B | 153,200 | 1,075,989 |
Investor AB, Class B | 135,900 | 2,459,920 |
Skandinaviska Enskilda Banken AB, Class A | 118,600 | 1,365,427 |
Volvo AB, B Shares | 224,300 | 4,051,665 |
Total | 15,944,980 |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 11 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Switzerland 8.4% | ||
ABB Ltd. | 273,000 | 8,320,362 |
Alcon, Inc. | 27,200 | 1,866,436 |
Cie Financiere Richemont SA, Class A, Registered Shares | 60,000 | 7,779,598 |
Credit Suisse Group AG, Registered Shares | 921,300 | 2,750,494 |
Julius Baer Group Ltd. | 140,798 | 8,194,601 |
Nestlé SA, Registered Shares | 122,200 | 14,115,253 |
Novartis AG, Registered Shares | 178,229 | 16,129,271 |
Roche Holding AG, Genusschein Shares | 89,250 | 28,045,702 |
UBS AG | 1,326,954 | 24,663,067 |
Total | 111,864,784 | |
Taiwan 1.2% | ||
Hon Hai Precision Industry Co., Ltd. | 4,752,000 | 15,402,335 |
United Kingdom 18.4% | ||
Ashtead Group PLC | 126,800 | 7,202,848 |
Aviva PLC | 1,526,900 | 8,099,663 |
Barclays Bank PLC | 3,059,458 | 5,821,574 |
Barratt Developments PLC | 441,600 | 2,109,213 |
BP PLC | 1,523,800 | 8,792,236 |
Bunzl PLC | 154,900 | 5,153,548 |
Burberry Group PLC | 84,100 | 2,044,653 |
DCC PLC | 106,094 | 5,216,848 |
Glencore PLC | 985,600 | 6,572,618 |
GSK PLC | 386,100 | 6,673,057 |
HSBC Holdings PLC | 1,893,281 | 11,733,682 |
HSBC Holdings PLC, ADR | 78,996 | 2,461,515 |
Imperial Brands PLC | 56,000 | 1,395,024 |
Inchcape PLC | 308,600 | 3,046,896 |
Informa PLC | 699,100 | 5,215,120 |
J. Sainsbury PLC | 5,488,492 | 14,395,317 |
John Wood Group PLC(a) | 4,398,515 | 7,128,286 |
Kingfisher PLC | 1,829,700 | 5,198,591 |
Legal & General Group PLC | 1,383,200 | 4,147,019 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Liberty Global PLC, Class C(a) | 256,100 | 4,976,023 |
Linde PLC | 22,600 | 7,371,668 |
Lloyds Banking Group PLC | 14,735,100 | 8,041,150 |
Melrose Industries PLC | 2,273,330 | 3,662,573 |
NatWest Group PLC | 2,263,723 | 7,219,532 |
NatWest Group PLC, ADR | 122,191 | 789,354 |
Persimmon PLC | 212,500 | 3,115,808 |
Reckitt Benckiser Group PLC | 216,978 | 15,040,127 |
Shell PLC, ADR | 359,653 | 20,482,238 |
Smith & Nephew PLC | 475,300 | 6,347,550 |
Standard Chartered PLC | 1,325,719 | 9,887,901 |
TechnipFMC PLC(a) | 293,950 | 3,583,251 |
Tesco PLC | 7,642,386 | 20,595,231 |
Travis Perkins PLC | 835,926 | 8,937,042 |
Unilever PLC | 214,700 | 10,839,740 |
Vodafone Group PLC | 2,205,129 | 2,233,174 |
Total | 245,530,070 | |
Total Common Stocks (Cost $1,432,431,746) | 1,312,114,214 |
Preferred Stocks 0.7% | |||
Issuer | Shares | Value ($) | |
Germany 0.7% | |||
Volkswagen AG | 72,219 | 8,958,745 | |
Total Preferred Stocks (Cost $18,421,613) | 8,958,745 |
Money Market Funds 0.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 5,065,939 | 5,064,419 |
Total Money Market Funds (Cost $5,064,397) | 5,064,419 | |
Total Investments in Securities (Cost $1,455,917,756) | 1,326,137,378 | |
Other Assets & Liabilities, Net | 8,415,282 | |
Net Assets | $1,334,552,660 |
12 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
December 31, 2022
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
24,605,917 | 177,576,107 | (197,119,280) | 1,675 | 5,064,419 | (1,909) | 249,914 | 5,065,939 |
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 – Partners International Value Fund | Annual Report 2022 | 13 |
December 31, 2022
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2022:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | 2,326,875 | 23,469,151 | — | 25,796,026 |
Belgium | — | 23,222,569 | — | 23,222,569 |
Brazil | 15,249,747 | — | — | 15,249,747 |
Canada | 9,656,640 | — | — | 9,656,640 |
China | 15,431,358 | 16,765,515 | — | 32,196,873 |
Denmark | — | 7,865,163 | — | 7,865,163 |
Finland | — | 26,231,875 | — | 26,231,875 |
France | — | 175,400,467 | — | 175,400,467 |
Germany | — | 149,463,277 | — | 149,463,277 |
Hong Kong | — | 27,894,973 | — | 27,894,973 |
Ireland | 590,604 | 22,626,508 | — | 23,217,112 |
Isle of Man | — | 2,713,632 | — | 2,713,632 |
Israel | 6,736,944 | — | — | 6,736,944 |
Italy | — | 16,329,716 | — | 16,329,716 |
Japan | — | 222,271,441 | — | 222,271,441 |
Netherlands | 13,264,838 | 83,160,720 | — | 96,425,558 |
Norway | — | 11,786,018 | — | 11,786,018 |
Singapore | — | 14,592,140 | — | 14,592,140 |
South Korea | 420,542 | 24,915,364 | — | 25,335,906 |
Spain | — | 10,985,968 | — | 10,985,968 |
Sweden | — | 15,944,980 | — | 15,944,980 |
Switzerland | — | 111,864,784 | — | 111,864,784 |
Taiwan | — | 15,402,335 | — | 15,402,335 |
United Kingdom | 39,664,049 | 205,866,021 | — | 245,530,070 |
Total Common Stocks | 103,341,597 | 1,208,772,617 | — | 1,312,114,214 |
Preferred Stocks | ||||
Germany | — | 8,958,745 | — | 8,958,745 |
Total Preferred Stocks | — | 8,958,745 | — | 8,958,745 |
Money Market Funds | 5,064,419 | — | — | 5,064,419 |
Total Investments in Securities | 108,406,016 | 1,217,731,362 | — | 1,326,137,378 |
14 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,450,853,359) | $1,321,072,959 |
Affiliated issuers (cost $5,064,397) | 5,064,419 |
Foreign currency (cost $1,765,957) | 1,790,999 |
Receivable for: | |
Investments sold | 1,483,558 |
Capital shares sold | 2,330 |
Dividends | 1,908,883 |
Foreign tax reclaims | 5,773,998 |
Expense reimbursement due from Investment Manager | 382 |
Prepaid expenses | 13,095 |
Total assets | 1,337,110,623 |
Liabilities | |
Payable for: | |
Investments purchased | 318,415 |
Capital shares purchased | 2,026,149 |
Management services fees | 30,502 |
Distribution and/or service fees | 184 |
Service fees | 1,388 |
Compensation of board members | 121,201 |
Compensation of chief compliance officer | 234 |
Other expenses | 59,890 |
Total liabilities | 2,557,963 |
Net assets applicable to outstanding capital stock | $1,334,552,660 |
Represented by | |
Paid in capital | 1,493,747,101 |
Total distributable earnings (loss) | (159,194,441) |
Total - representing net assets applicable to outstanding capital stock | $1,334,552,660 |
Class 1 | |
Net assets | $1,307,922,488 |
Shares outstanding | 149,322,400 |
Net asset value per share | $8.76 |
Class 2 | |
Net assets | $26,630,172 |
Shares outstanding | 3,056,244 |
Net asset value per share | $8.71 |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 15 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $56,100,982 |
Dividends — affiliated issuers | 249,914 |
European Union tax reclaim | 729,346 |
Foreign taxes withheld | (6,267,399) |
Total income | 50,812,843 |
Expenses: | |
Management services fees | 11,195,455 |
Distribution and/or service fees | |
Class 2 | 65,693 |
Service fees | 16,513 |
Compensation of board members | 25,584 |
Custodian fees | 194,130 |
Printing and postage fees | 8,646 |
Audit fees | 52,884 |
Legal fees | 29,039 |
Compensation of chief compliance officer | 182 |
Other | 42,837 |
Total expenses | 11,630,963 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (154,300) |
Total net expenses | 11,476,663 |
Net investment income | 39,336,180 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (28,256,003) |
Investments — affiliated issuers | (1,909) |
Foreign currency translations | (695,861) |
Net realized loss | (28,953,773) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (187,179,309) |
Investments — affiliated issuers | 1,675 |
Foreign currency translations | (187,041) |
Net change in unrealized appreciation (depreciation) | (187,364,675) |
Net realized and unrealized loss | (216,318,448) |
Net decrease in net assets resulting from operations | $(176,982,268) |
16 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $39,336,180 | $26,725,642 |
Net realized gain (loss) | (28,953,773) | 105,917,445 |
Net change in unrealized appreciation (depreciation) | (187,364,675) | (27,873,646) |
Net increase (decrease) in net assets resulting from operations | (176,982,268) | 104,769,441 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (32,784,196) | (27,325,440) |
Class 2 | (567,247) | (485,576) |
Total distributions to shareholders | (33,351,443) | (27,811,016) |
Increase (decrease) in net assets from capital stock activity | (15,248,669) | 340,649,920 |
Total increase (decrease) in net assets | (225,582,380) | 417,608,345 |
Net assets at beginning of year | 1,560,135,040 | 1,142,526,695 |
Net assets at end of year | $1,334,552,660 | $1,560,135,040 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 994,398 | 8,557,367 | 60,886,063 | 621,648,130 |
Distributions reinvested | 3,422,150 | 32,784,196 | 2,769,397 | 27,325,440 |
Redemptions | (6,497,245) | (59,175,715) | (33,410,457) | (313,506,452) |
Net increase (decrease) | (2,080,697) | (17,834,152) | 30,245,003 | 335,467,118 |
Class 2 | ||||
Subscriptions | 487,207 | 4,330,877 | 648,347 | 6,527,468 |
Distributions reinvested | 59,397 | 567,247 | 49,365 | 485,576 |
Redemptions | (271,046) | (2,312,641) | (184,329) | (1,830,242) |
Net increase | 275,558 | 2,585,483 | 513,383 | 5,182,802 |
Total net increase (decrease) | (1,805,139) | (15,248,669) | 30,758,386 | 340,649,920 |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 17 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $10.12 | 0.25(c) | (1.39) | (1.14) | (0.22) | — | (0.22) |
Year Ended 12/31/2021 | $9.26 | 0.20 | 0.89 | 1.09 | (0.23) | — | (0.23) |
Year Ended 12/31/2020 | $9.71 | 0.14 | (0.53) | (0.39) | (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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $10.07 | 0.23(c) | (1.40) | (1.17) | (0.19) | — | (0.19) |
Year Ended 12/31/2021 | $9.21 | 0.18 | 0.89 | 1.07 | (0.21) | — | (0.21) |
Year Ended 12/31/2020 | $9.69 | 0.12 | (0.54) | (0.42) | (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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Net investment income per share includes European Union tax reclaims. The effect of these reclaims amounted to $0.01 per share. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
18 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $8.76 | (11.46%) | 0.85% | 0.84% | 2.90% | 21% | $1,307,922 |
Year Ended 12/31/2021 | $10.12 | 11.80% | 0.86% | 0.84% | 1.95% | 73% | $1,532,143 |
Year Ended 12/31/2020 | $9.26 | (3.82%) | 0.88%(d) | 0.85%(d) | 1.72% | 77% | $1,121,635 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $8.71 | (11.75%) | 1.10% | 1.09% | 2.65% | 21% | $26,630 |
Year Ended 12/31/2021 | $10.07 | 11.64% | 1.11% | 1.09% | 1.80% | 73% | $27,992 |
Year Ended 12/31/2020 | $9.21 | (4.14%) | 1.13%(d) | 1.10%(d) | 1.54% | 77% | $20,892 |
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% | $19,537 |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 23 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.84% |
Class 2 | 1.09 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
823,576 | (1,552,922) | 729,346 |
24 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
December 31, 2022
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
33,351,443 | — | 33,351,443 | 27,811,016 | — | 27,811,016 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
30,022,757 | — | (47,487,236) | (141,388,854) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,467,526,233 | 71,103,856 | (212,492,710) | (141,388,854) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
— | (47,487,236) | (47,487,236) | — |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 29 |
30 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
$6,251,271 | $0.04 | $56,100,976 | $0.37 |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 31 |
(Unaudited)
Independent trustees
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
32 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 33 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
34 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 35 |
(Unaudited)
The Statement of Additional Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your financial intermediary.
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
36 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
• | Terms of the Subadvisory Agreement; |
• | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
• | Information regarding the Transaction and the experience and resources of TSW; |
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 37 |
(Unaudited)
• | Information regarding the capabilities of TSW’s compliance program; and |
• | The profitability of the Investment Manager and its affiliates from their relationships with the Fund. |
38 | Variable Portfolio – Partners International Value Fund | Annual Report 2022 |
(Unaudited)
Subadvisory Agreement would not impact fees paid by the Fund because subadvisory fees are paid by the Investment Manager and not the Fund. The Board observed that the Fund’s management agreement with the Investment Manager continues to provide for sharing of economies of scale as management fees decline as assets increase at pre-established breakpoints.
Variable Portfolio – Partners International Value Fund | Annual Report 2022 | 39 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
28 | |
29 | |
29 | |
35 |
(Unaudited)
Schroder Investment Management North America Limited (sub-subadviser)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -19.51 | 0.14 | 3.03 | |
Class 2 | 05/07/10 | -19.64 | -0.09 | 2.79 | |
MSCI EAFE Index (Net) | -14.45 | 1.54 | 4.67 |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 3 |
(Unaudited)
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 1.7 |
Consumer Discretionary | 15.0 |
Consumer Staples | 12.9 |
Energy | 4.8 |
Financials | 16.0 |
Health Care | 12.1 |
Industrials | 18.8 |
Information Technology | 13.7 |
Materials | 1.2 |
Utilities | 3.8 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2022) | |
Argentina | 1.9 |
Austria | 1.8 |
Canada | 3.5 |
Denmark | 2.4 |
France | 7.9 |
Germany | 11.4 |
Hong Kong | 3.3 |
India | 2.0 |
Italy | 2.1 |
Japan | 14.6 |
Netherlands | 5.6 |
Norway | 1.8 |
South Korea | 2.0 |
Spain | 2.2 |
Sweden | 2.4 |
Switzerland | 12.3 |
Taiwan | 1.4 |
United Kingdom | 16.8 |
United States(a) | 4.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
(Unaudited)
• | The Fund’s underperformance of its benchmark during the period was driven by a combination of style factors, stock selection and sector allocation effects. |
• | Stock selection within the consumer staples, industrials and health care sectors was the primary detractor. |
• | The Fund was also negatively impacted by underweight to materials, as well as overweights in the consumer discretionary and information technology sectors, which were the two weakest performing sectors in the benchmark. |
• | Our factor attribution indicates that nearly half of the underperformance was attributable to negative style factors as value dominated. |
• | In terms of regions, our holdings in Continental Europe, Japan, and Pacific ex-Japan detracted. |
• | Among holdings, Zalando, Recruit Holdings and Hong Kong Exchange were leading detractors from Fund performance. |
○ | German retailer Zalando, which operates in 23 markets across Europe, enjoyed a significant boost to its profits during the pandemic caused by COVID-19. However, the company faced a challenging start to 2022 due to ongoing supply chain issues and strong competition. Ultimately Zalando mismanaged its inventory, which led the company to report weaker than expected earnings and notably underperform in the first half of the year. The Fund sold its position in Zalando due to concerns that the management team was overly optimistic on the strength of the company’s balance sheet in the current environment. |
○ | Global recruitment and human resources technology company Recruit Holdings detracted from performance over the period on investor fears that the Ukraine/Russia crisis and rising interest rates could derail activity, weakening the jobs market. In spite of this, the Japanese company, which operates the Glassdoor and Indeed job recruitment websites, has managed its costs well amid uncertainty in the global job market as a result of the COVID-19 pandemic. Recruit remains a global leader in online recruitment, and we believe it is attractively valued, well managed and well positioned for growth as the job market recovers. |
○ | Hong Kong Exchange underperformed in 2022 on investors’ fears surrounding Chinese President Xi’s policies potentially becoming less market friendly, combined with increasing U.S.-China tensions. We believe this increased risk undermines the Fund’s investment thesis and have sold the position. |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 5 |
(Unaudited)
• | The Fund’s energy and utilities stocks added the most value as the Russian invasion of Ukraine impacted global energy supplies and led to significantly higher prices. |
• | The Fund’s positions in oil and gas companies, for example, were leading contributors to relative returns as these companies posted supernormal profits owing to soaring energy prices. |
• | Traditional defensive stocks were also particularly resilient during the period as investors sought relative safety in a volatile environment. |
• | Among holdings, Equinor, Shell and AstraZeneca made the strongest positive contributions to Fund performance. |
○ | Norwegian energy company Equinor achieved robust performance in 2022, as gas prices surged and the company announced a more than doubling of net profits in the first quarter of 2022 compared to a year earlier. We believe the reopening of the company’s Hammerfest liquified natural gas (LNG) facility should enable it to increase capacity by more than four million tons of gas annually. We believe Equinor is better prepared for the transition to a low-emission economy than most major oil companies, with a decent offshore wind pipeline, including a local advantage in the Norwegian Continental Shelf, and strong gas portfolio. We trimmed the Fund’s position in Equinor as it outperformed, to manage the position size. |
○ | Shell outperformed in 2022 after the company reported robust growth in revenue and profit for the second half of the year due to higher energy prices and higher refining margins. Shell has good exposure to the LNG market, which is likely to remain tight in the short to medium term due to a shortfall in global liquefaction capacity and strong demand, which will support very strong free cash flow. We believe Shell is better positioned than many of its industry peers to make the energy transition through investments in electrification, hydrogen, wind and alternative energy assets. We trimmed our position in Shell as it outperformed, to manage the position size. |
○ | Pharmaceutical company AstraZeneca also outperformed in 2022. The drug maker reported stronger-than-expected sales and profit in the first quarter of the year, driven by its COVID-19 vaccine. The company also benefited from very positive clinical data in phase 3 testing of its breast cancer treatment Enhertu. The drug maker said it expected sales to continue to rise in 2023 and raised its dividend payment to investors for the first time in a decade after beating fourth-quarter profit expectations. AstraZeneca remains one of our preferred names in the sector and is one of the fastest growing large cap pharmaceutical stocks, underpinned by an attractive existing product line-up and strong pipeline of new products. We added to the Fund’s position in AstraZeneca. |
6 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 1,043.90 | 1,020.91 | 4.25 | 4.20 | 0.83 |
Class 2 | 1,000.00 | 1,000.00 | 1,043.10 | 1,019.65 | 5.53 | 5.47 | 1.08 |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 97.1% | ||
Issuer | Shares | Value ($) |
Argentina 1.9% | ||
MercadoLibre, Inc.(a) | 40,402 | 34,189,788 |
Austria 1.8% | ||
Erste Group Bank AG | 1,006,047 | 32,188,715 |
Canada 3.5% | ||
Canadian National Railway Co. | 253,834 | 30,152,630 |
Toronto-Dominion Bank (The) | 511,246 | 33,102,612 |
Total | 63,255,242 | |
Denmark 2.4% | ||
Vestas Wind Systems A/S | 1,469,229 | 42,858,384 |
France 7.8% | ||
Carrefour SA | 1,660,774 | 27,778,029 |
Legrand SA | 380,791 | 30,532,482 |
Sanofi | 359,804 | 34,694,672 |
Schneider Electric SE | 338,416 | 47,439,722 |
Total | 140,444,905 | |
Germany 9.6% | ||
Bayerische Motoren Werke AG | 252,158 | 22,324,827 |
Infineon Technologies AG | 1,314,221 | 39,941,709 |
SAP SE | 545,083 | 56,274,771 |
Siemens AG, Registered Shares | 392,591 | 54,119,189 |
Total | 172,660,496 | |
Hong Kong 3.3% | ||
AIA Group Ltd. | 5,355,000 | 59,137,362 |
India 2.0% | ||
HDFC Bank Ltd., ADR | 523,207 | 35,792,591 |
Italy 2.0% | ||
FinecoBank Banca Fineco SpA | 2,211,009 | 36,716,283 |
Japan 14.5% | ||
Bridgestone Corp. | 1,029,800 | 36,462,209 |
KDDI Corp. | 1,005,400 | 30,490,661 |
Keyence Corp. | 101,700 | 39,484,494 |
Mitsubishi UFJ Financial Group, Inc. | 7,728,000 | 51,881,283 |
Recruit Holdings Co., Ltd. | 908,300 | 28,431,586 |
SMC Corp. | 78,700 | 32,861,485 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Sony Group Corp. | 531,900 | 40,542,280 |
Total | 260,153,998 | |
Netherlands 5.6% | ||
ASML Holding NV | 85,873 | 46,822,434 |
Shell PLC | 1,870,517 | 53,042,979 |
Total | 99,865,413 | |
Norway 1.8% | ||
Equinor ASA | 912,178 | 32,783,929 |
South Korea 2.0% | ||
Samsung Electronics Co., Ltd. | 811,378 | 35,614,012 |
Spain 2.2% | ||
Iberdrola SA | 3,369,995 | 39,339,645 |
Sweden 2.4% | ||
Nibe Industrier AB, Class B | 792,087 | 7,393,167 |
Svenska Handelsbanken AB, Class A | 3,514,483 | 35,383,796 |
Total | 42,776,963 | |
Switzerland 12.2% | ||
Chocoladefabriken Lindt & Spruengli AG | 3,672 | 37,417,826 |
Lonza Group AG, Registered Shares | 66,515 | 32,650,581 |
Nestlé SA, Registered Shares | 608,365 | 70,271,897 |
Roche Holding AG, Genusschein Shares | 183,664 | 57,714,126 |
Sika AG | 89,377 | 21,486,518 |
Total | 219,540,948 | |
Taiwan 1.4% | ||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 325,670 | 24,259,158 |
United Kingdom 16.7% | ||
AstraZeneca PLC | 435,785 | 58,970,157 |
Bunzl PLC | 850,462 | 28,295,009 |
Burberry Group PLC | 1,213,211 | 29,495,787 |
Diageo PLC | 1,022,588 | 44,760,594 |
GSK PLC | 1,738,235 | 30,042,324 |
National Grid PLC | 2,375,724 | 28,459,647 |
NMC Health PLC(a),(b),(c) | 293,698 | 1 |
Reckitt Benckiser Group PLC | 604,707 | 41,916,093 |
RELX PLC | 1,141,059 | 31,548,036 |
8 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tesco PLC | 2,404,467 | 6,479,724 |
Total | 299,967,372 | |
United States 4.0% | ||
Booking Holdings, Inc.(a) | 20,765 | 41,847,289 |
lululemon athletica, Inc.(a) | 93,105 | 29,828,980 |
Total | 71,676,269 | |
Total Common Stocks (Cost $1,787,918,486) | 1,743,221,473 |
Preferred Stocks 1.7% | |||
Issuer | Shares | Value ($) | |
Germany 1.7% | |||
Porsche AG(a) | 309,325 | 31,215,084 | |
Total Preferred Stocks (Cost $24,996,692) | 31,215,084 |
Money Market Funds 0.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(d),(e) | 10,945,389 | 10,942,105 |
Total Money Market Funds (Cost $10,942,105) | 10,942,105 | |
Total Investments in Securities (Cost $1,823,857,283) | 1,785,378,662 | |
Other Assets & Liabilities, Net | 9,976,265 | |
Net Assets | $1,795,354,927 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2022, the total value of these securities amounted to $1, which represents less than 0.01% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
42,084,558 | 752,864,021 | (784,006,474) | — | 10,942,105 | 11,020 | 278,012 | 10,945,389 |
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 – Partners International Core Equity Fund | Annual Report 2022 | 9 |
December 31, 2022
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 | ||||
Argentina | 34,189,788 | — | — | 34,189,788 |
Austria | — | 32,188,715 | — | 32,188,715 |
Canada | 63,255,242 | — | — | 63,255,242 |
Denmark | — | 42,858,384 | — | 42,858,384 |
France | — | 140,444,905 | — | 140,444,905 |
Germany | — | 172,660,496 | — | 172,660,496 |
Hong Kong | — | 59,137,362 | — | 59,137,362 |
India | 35,792,591 | — | — | 35,792,591 |
Italy | — | 36,716,283 | — | 36,716,283 |
Japan | — | 260,153,998 | — | 260,153,998 |
Netherlands | — | 99,865,413 | — | 99,865,413 |
Norway | — | 32,783,929 | — | 32,783,929 |
South Korea | — | 35,614,012 | — | 35,614,012 |
Spain | — | 39,339,645 | — | 39,339,645 |
Sweden | — | 42,776,963 | — | 42,776,963 |
Switzerland | — | 219,540,948 | — | 219,540,948 |
Taiwan | 24,259,158 | — | — | 24,259,158 |
United Kingdom | — | 299,967,371 | 1 | 299,967,372 |
United States | 71,676,269 | — | — | 71,676,269 |
Total Common Stocks | 229,173,048 | 1,514,048,424 | 1 | 1,743,221,473 |
Preferred Stocks | ||||
Germany | — | 31,215,084 | — | 31,215,084 |
Total Preferred Stocks | — | 31,215,084 | — | 31,215,084 |
Money Market Funds | 10,942,105 | — | — | 10,942,105 |
Total Investments in Securities | 240,115,153 | 1,545,263,508 | 1 | 1,785,378,662 |
10 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
December 31, 2022
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.
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,812,915,178) | $1,774,436,557 |
Affiliated issuers (cost $10,942,105) | 10,942,105 |
Foreign currency (cost $252,870) | 256,015 |
Receivable for: | |
Investments sold | 2,190,325 |
Capital shares sold | 332 |
Dividends | 2,156,778 |
Foreign tax reclaims | 9,567,907 |
Prepaid expenses | 23,447 |
Total assets | 1,799,573,466 |
Liabilities | |
Payable for: | |
Investments purchased | 3,699 |
Capital shares purchased | 3,952,186 |
Management services fees | 39,956 |
Distribution and/or service fees | 123 |
Service fees | 764 |
Compensation of board members | 152,829 |
Compensation of chief compliance officer | 333 |
Other expenses | 68,649 |
Total liabilities | 4,218,539 |
Net assets applicable to outstanding capital stock | $1,795,354,927 |
Represented by | |
Paid in capital | 1,861,058,349 |
Total distributable earnings (loss) | (65,703,422) |
Total - representing net assets applicable to outstanding capital stock | $1,795,354,927 |
Class 1 | |
Net assets | $1,777,599,540 |
Shares outstanding | 201,934,310 |
Net asset value per share | $8.80 |
Class 2 | |
Net assets | $17,755,387 |
Shares outstanding | 2,038,791 |
Net asset value per share | $8.71 |
12 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $48,074,664 |
Dividends — affiliated issuers | 278,012 |
Interfund lending | 105 |
European Union tax reclaim | 590,198 |
Foreign taxes withheld | (5,478,992) |
Total income | 43,463,987 |
Expenses: | |
Management services fees | 15,239,176 |
Distribution and/or service fees | |
Class 2 | 40,673 |
Service fees | 10,566 |
Compensation of board members | 31,506 |
Custodian fees | 199,895 |
Printing and postage fees | 10,254 |
Audit fees | 117,625 |
Legal fees | 36,005 |
Interest on interfund lending | 304 |
Compensation of chief compliance officer | 260 |
Other | 51,885 |
Total expenses | 15,738,149 |
Net investment income | 27,725,838 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (49,946,878) |
Investments — affiliated issuers | 11,020 |
Foreign currency translations | 139,713 |
Net realized loss | (49,796,145) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (429,991,963) |
Foreign currency translations | (460,853) |
Net change in unrealized appreciation (depreciation) | (430,452,816) |
Net realized and unrealized loss | (480,248,961) |
Net decrease in net assets resulting from operations | $(452,523,123) |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $27,725,838 | $37,693,986 |
Net realized gain (loss) | (49,796,145) | 451,483,269 |
Net change in unrealized appreciation (depreciation) | (430,452,816) | (161,227,626) |
Net increase (decrease) in net assets resulting from operations | (452,523,123) | 327,949,629 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (375,784,857) | (48,867,259) |
Class 2 | (3,057,530) | (224,826) |
Total distributions to shareholders | (378,842,387) | (49,092,085) |
Increase (decrease) in net assets from capital stock activity | 458,146,208 | (1,250,633,312) |
Total decrease in net assets | (373,219,302) | (971,775,768) |
Net assets at beginning of year | 2,168,574,229 | 3,140,349,997 |
Net assets at end of year | $1,795,354,927 | $2,168,574,229 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 29,584,504 | 347,254,537 | 22,834,420 | 291,109,718 |
Distributions reinvested | 42,765,251 | 375,784,857 | 3,880,104 | 48,867,259 |
Redemptions | (28,928,037) | (271,468,552) | (124,994,532) | (1,597,873,548) |
Net increase (decrease) | 43,421,718 | 451,570,842 | (98,280,008) | (1,257,896,571) |
Class 2 | ||||
Subscriptions | 547,079 | 5,445,468 | 588,001 | 7,629,194 |
Distributions reinvested | 351,901 | 3,057,530 | 17,941 | 224,826 |
Redemptions | (192,674) | (1,927,632) | (45,193) | (590,761) |
Net increase | 706,306 | 6,575,366 | 560,749 | 7,263,259 |
Total net increase (decrease) | 44,128,024 | 458,146,208 | (97,719,259) | (1,250,633,312) |
14 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $13.57 | 0.14 | (2.82) | (2.68) | (0.23) | (1.86) | (2.09) |
Year Ended 12/31/2021 | $12.19 | 0.20 | 1.43 | 1.63 | (0.25) | — | (0.25) |
Year Ended 12/31/2020 | $11.03 | 0.16 | 1.05 | 1.21 | (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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $13.44 | 0.11 | (2.78) | (2.67) | (0.20) | (1.86) | (2.06) |
Year Ended 12/31/2021 | $12.09 | 0.18 | 1.40 | 1.58 | (0.23) | — | (0.23) |
Year Ended 12/31/2020 | $10.96 | 0.14 | 1.04 | 1.18 | (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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
16 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $8.80 | (19.51%) | 0.82%(c) | 0.82%(c) | 1.45% | 46% | $1,777,600 |
Year Ended 12/31/2021 | $13.57 | 13.55% | 0.80%(c) | 0.80%(c) | 1.56% | 57% | $2,150,661 |
Year Ended 12/31/2020 | $12.19 | 11.16% | 0.80% | 0.80% | 1.59% | 163% | $3,131,021 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $8.71 | (19.64%) | 1.07%(c) | 1.07%(c) | 1.16% | 46% | $17,755 |
Year Ended 12/31/2021 | $13.44 | 13.18% | 1.06%(c) | 1.06%(c) | 1.40% | 57% | $17,913 |
Year Ended 12/31/2020 | $12.09 | 10.96% | 1.05% | 1.05% | 1.33% | 163% | $9,329 |
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% | $6,925 |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 21 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.88% |
Class 2 | 1.13 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(990,595) | 400,397 | 590,198 |
22 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
December 31, 2022
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
235,223,675 | 143,618,712 | 378,842,387 | 49,092,085 | — | 49,092,085 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
26,570,601 | — | (50,135,356) | (41,803,351) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,827,182,013 | 90,697,048 | (132,500,399) | (41,803,351) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(50,135,356) | — | (50,135,356) | — |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 23 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 820,000 | 3.15 | 5 |
Lender | 2,200,000 | 0.86 | 2 |
24 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 27 |
28 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
$5,478,992 | $0.03 | $53,943,160 | $0.26 |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 29 |
(Unaudited)
Independent trustees
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
30 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 31 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
32 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 33 |
(Unaudited)
The Statement of Additional Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your financial intermediary.
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
34 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 35 |
(Unaudited)
The Independent Trustees noted the discussion, which is described below, relating to the renewal and approval of the advisory and subadvisory agreements for the Fund at the Contracts Committee and Board meetings in June 2022 (the June Meeting) and, in that connection, the discussion by independent legal counsel of the Board’s responsibilities pursuant to Sections 15(c) and 36(b) of the 1940 Act and the factors that should be considered in determining whether to approve or renew an investment management agreement. The Independent Trustees considered that they should apply these factors in considering the amendment to the Schroder Subadvisory Agreement. The Independent Trustees also considered that they should take into account the variety of written materials and oral presentations they received at their meetings in November 2022 as well as all of the information previously considered at the June Meeting regarding the proposed 15(c) renewal of the existing Funds’ advisory and subadvisory agreements.
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Advisory Agreements; |
• | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
36 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
(Unaudited)
• | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 37 |
(Unaudited)
the Subadvisory Agreements are generally consistent with the terms of other subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
38 | Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 |
(Unaudited)
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Board did not consider the profitability to each Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Variable Portfolio – Partners International Core Equity Fund | Annual Report 2022 | 39 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
26 | |
27 | |
33 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -6.10 | 7.34 | 11.02 | |
Class 2 | 05/07/10 | -6.36 | 7.07 | 10.74 | |
Russell 1000 Value Index | -7.54 | 6.67 | 10.29 |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 98.9 |
Money Market Funds | 1.1 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 3.2 |
Consumer Discretionary | 4.2 |
Consumer Staples | 5.7 |
Energy | 4.7 |
Financials | 25.5 |
Health Care | 19.4 |
Industrials | 17.9 |
Information Technology | 7.1 |
Materials | 4.3 |
Real Estate | 1.3 |
Utilities | 6.7 |
Total | 100.0 |
4 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
(Unaudited)
• | Stock selection was the primary positive contributor to the Fund’s relative performance during the period, especially in the information technology, financials and real estate sectors. |
• | Relative sector positioning, which is a result of our bottom-up stock selection process, also added value to the Fund’s results during the period. More specifically, having underweights to the information technology and real estate sectors, which each lagged the benchmark during the period, helped. |
• | Notably, a disciplined focus within the Fund on both valuation and the durability of companies we look to invest in also added value amid the period’s challenging market environment. |
○ | The beginning of the year was difficult for our investment strategy, as the cheapest, lowest-quality companies rallied sharply in January. However, heading into the second quarter, quality leadership began to take hold as market conditions became more difficult. |
○ | Our focus on downside risk mitigation enabled our strategy to outperform through the remainder of the period, including the fourth quarter when our underweight to high beta, or high volatility, companies, which underperformed, proved especially beneficial. |
• | From an individual security perspective, among the top positive contributors to the Fund’s results was Northrop Grumman Corp. The multinational aerospace and defense technology company benefited during the period from improved execution efforts to minimize labor and supply-chain challenges while delivering in-line sales with margin upside. |
• | Having an overweight position in global health services provider Cigna Corp. added value. Its stock price rose as the company’s financial results beat market expectations, led by strong performance in its Cigna HealthCare health maintenance organization subsidiaries, which posted better than anticipated medical loss ratio rebates and strong operating income growth. (Medical loss ratio is a measure of the percentage of premium dollars that a health plan spends on medical claims and quality improvements versus administrative costs.) |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 5 |
(Unaudited)
• | McKesson Corp., a health services and information technology company, was a notable positive contributor. During the period, its stock price advanced as the company reported strong revenue results and favorable forward-looking guidance. |
• | Having an underweighted allocation to the energy sector, the strongest performing sector in the benchmark during the period, detracted most. Stock selection within the energy sector also hurt. |
• | Stock selection within the materials and consumer staples sectors further dampened relative results. |
• | Among the Fund’s biggest individual detractors was an overweight position in information technology services firm Accenture plc. During the period, the company reported strong results that easily beat consensus expectations, but its stock price dropped along with the broad equity markets as the Russia/Ukraine war escalated. |
• | Not holding positions in integrated oil and gas companies ExxonMobil Corp. and Chevron Corp. hindered the Fund’s relative performance as well. Each company posted better than consensus expected financial results, and each was further supported by global energy shortages and increased consumer demand that pushed energy prices higher. |
6 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 1,082.80 | 1,021.66 | 3.55 | 3.45 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 1,081.20 | 1,020.41 | 4.85 | 4.71 | 0.93 |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 99.0% | ||
Issuer | Shares | Value ($) |
Communication Services 3.1% | ||
Media 3.1% | ||
Charter Communications, Inc., Class A(a) | 43,797 | 14,851,563 |
Comcast Corp., Class A | 960,587 | 33,591,727 |
Total | 48,443,290 | |
Total Communication Services | 48,443,290 | |
Consumer Discretionary 4.2% | ||
Hotels, Restaurants & Leisure 1.0% | ||
Marriott International, Inc., Class A | 105,692 | 15,736,482 |
Multiline Retail 1.3% | ||
Target Corp. | 127,671 | 19,028,086 |
Specialty Retail 1.9% | ||
Lowe’s Companies, Inc. | 148,407 | 29,568,610 |
Total Consumer Discretionary | 64,333,178 | |
Consumer Staples 5.7% | ||
Beverages 2.5% | ||
Diageo PLC | 541,129 | 23,686,231 |
PepsiCo, Inc. | 80,698 | 14,578,901 |
Total | 38,265,132 | |
Food Products 1.8% | ||
Archer-Daniels-Midland Co. | 61,146 | 5,677,406 |
Nestlé SA, Registered Shares | 197,975 | 22,867,980 |
Total | 28,545,386 | |
Household Products 1.4% | ||
Kimberly-Clark Corp. | 96,165 | 13,054,399 |
Reckitt Benckiser Group PLC | 114,457 | 7,933,743 |
Total | 20,988,142 | |
Total Consumer Staples | 87,798,660 | |
Energy 4.6% | ||
Oil, Gas & Consumable Fuels 4.6% | ||
ConocoPhillips Co. | 279,452 | 32,975,336 |
EOG Resources, Inc. | 106,721 | 13,822,504 |
Pioneer Natural Resources Co. | 109,019 | 24,898,849 |
Total | 71,696,689 | |
Total Energy | 71,696,689 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 25.3% | ||
Banks 6.3% | ||
Citigroup, Inc. | 347,535 | 15,719,008 |
JPMorgan Chase & Co. | 430,210 | 57,691,161 |
PNC Financial Services Group, Inc. (The) | 102,365 | 16,167,528 |
Truist Financial Corp. | 186,955 | 8,044,674 |
Total | 97,622,371 | |
Capital Markets 6.6% | ||
BlackRock, Inc. | 28,606 | 20,271,070 |
Goldman Sachs Group, Inc. (The) | 24,404 | 8,379,845 |
KKR & Co., Inc., Class A | 179,166 | 8,316,886 |
Moody’s Corp. | 38,716 | 10,787,052 |
Morgan Stanley | 323,409 | 27,496,233 |
Nasdaq, Inc. | 418,055 | 25,647,674 |
Total | 100,898,760 | |
Consumer Finance 1.6% | ||
American Express Co. | 165,085 | 24,391,309 |
Insurance 10.8% | ||
Aon PLC, Class A | 122,057 | 36,634,188 |
Chubb Ltd. | 155,907 | 34,393,084 |
Marsh & McLennan Companies, Inc. | 216,551 | 35,834,860 |
Progressive Corp. (The) | 280,530 | 36,387,546 |
Travelers Companies, Inc. (The) | 123,759 | 23,203,575 |
Total | 166,453,253 | |
Total Financials | 389,365,693 | |
Health Care 19.2% | ||
Health Care Equipment & Supplies 3.7% | ||
Abbott Laboratories | 211,670 | 23,239,249 |
Boston Scientific Corp.(a) | 392,813 | 18,175,458 |
Medtronic PLC | 202,274 | 15,720,735 |
Total | 57,135,442 | |
Health Care Providers & Services 4.7% | ||
Cigna Corp. | 147,907 | 49,007,505 |
McKesson Corp. | 63,863 | 23,956,289 |
Total | 72,963,794 |
8 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Life Sciences Tools & Services 2.8% | ||
Danaher Corp. | 47,680 | 12,655,226 |
Thermo Fisher Scientific, Inc. | 54,532 | 30,030,227 |
Total | 42,685,453 | |
Pharmaceuticals 8.0% | ||
Johnson & Johnson | 272,024 | 48,053,040 |
Merck & Co., Inc. | 272,751 | 30,261,723 |
Pfizer, Inc. | 780,373 | 39,986,312 |
Roche Holding AG, Genusschein Shares | 17,672 | 5,553,206 |
Total | 123,854,281 | |
Total Health Care | 296,638,970 | |
Industrials 17.7% | ||
Aerospace & Defense 5.1% | ||
General Dynamics Corp. | 110,491 | 27,413,922 |
Northrop Grumman Corp. | 74,836 | 40,831,270 |
Raytheon Technologies Corp. | 104,148 | 10,510,616 |
Total | 78,755,808 | |
Building Products 2.9% | ||
Johnson Controls International PLC | 331,074 | 21,188,736 |
Masco Corp. | 181,801 | 8,484,653 |
Trane Technologies PLC | 88,745 | 14,917,147 |
Total | 44,590,536 | |
Electrical Equipment 1.4% | ||
Eaton Corp. PLC | 137,612 | 21,598,203 |
Industrial Conglomerates 2.4% | ||
Honeywell International, Inc. | 173,481 | 37,176,978 |
Machinery 2.4% | ||
Illinois Tool Works, Inc. | 108,775 | 23,963,132 |
Otis Worldwide Corp. | 64,115 | 5,020,846 |
PACCAR, Inc. | 76,409 | 7,562,199 |
Total | 36,546,177 | |
Professional Services 1.2% | ||
Equifax, Inc. | 93,563 | 18,184,905 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Road & Rail 2.3% | ||
Canadian National Railway Co. | 76,769 | 9,126,299 |
Union Pacific Corp. | 129,269 | 26,767,732 |
Total | 35,894,031 | |
Total Industrials | 272,746,638 | |
Information Technology 7.0% | ||
IT Services 1.8% | ||
Accenture PLC, Class A | 101,905 | 27,192,330 |
Semiconductors & Semiconductor Equipment 5.2% | ||
Analog Devices, Inc. | 67,378 | 11,052,013 |
KLA Corp. | 49,152 | 18,531,779 |
NXP Semiconductors NV | 95,177 | 15,040,821 |
Texas Instruments, Inc. | 217,588 | 35,949,890 |
Total | 80,574,503 | |
Total Information Technology | 107,766,833 | |
Materials 4.3% | ||
Chemicals 4.3% | ||
DuPont de Nemours, Inc. | 313,065 | 21,485,651 |
International Flavors & Fragrances, Inc. | 57,296 | 6,006,913 |
PPG Industries, Inc. | 170,603 | 21,451,621 |
Sherwin-Williams Co. (The) | 70,208 | 16,662,465 |
Total | 65,606,650 | |
Total Materials | 65,606,650 | |
Real Estate 1.2% | ||
Equity Real Estate Investment Trusts (REITS) 1.2% | ||
Prologis, Inc. | 121,592 | 13,707,066 |
Public Storage | 19,799 | 5,547,482 |
Total | 19,254,548 | |
Total Real Estate | 19,254,548 | |
Utilities 6.7% | ||
Electric Utilities 5.3% | ||
American Electric Power Co., Inc. | 95,792 | 9,095,450 |
Duke Energy Corp. | 307,217 | 31,640,279 |
Exelon Corp. | 96,627 | 4,177,185 |
Southern Co. (The) | 383,574 | 27,391,019 |
Xcel Energy, Inc. | 139,260 | 9,763,519 |
Total | 82,067,452 |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multi-Utilities 1.4% | ||
Dominion Energy, Inc. | 344,028 | 21,095,797 |
Total Utilities | 103,163,249 | |
Total Common Stocks (Cost $1,193,082,153) | 1,526,814,398 | |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 16,339,538 | 16,334,636 |
Total Money Market Funds (Cost $16,334,450) | 16,334,636 | |
Total Investments in Securities (Cost: $1,209,416,603) | 1,543,149,034 | |
Other Assets & Liabilities, Net | (1,423,593) | |
Net Assets | 1,541,725,441 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
8,587,856 | 261,948,598 | (254,202,857) | 1,039 | 16,334,636 | (5,601) | 190,297 | 16,339,538 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
December 31, 2022
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 | 48,443,290 | — | — | 48,443,290 |
Consumer Discretionary | 64,333,178 | — | — | 64,333,178 |
Consumer Staples | 33,310,706 | 54,487,954 | — | 87,798,660 |
Energy | 71,696,689 | — | — | 71,696,689 |
Financials | 389,365,693 | — | — | 389,365,693 |
Health Care | 291,085,764 | 5,553,206 | — | 296,638,970 |
Industrials | 272,746,638 | — | — | 272,746,638 |
Information Technology | 107,766,833 | — | — | 107,766,833 |
Materials | 65,606,650 | — | — | 65,606,650 |
Real Estate | 19,254,548 | — | — | 19,254,548 |
Utilities | 103,163,249 | — | — | 103,163,249 |
Total Common Stocks | 1,466,773,238 | 60,041,160 | — | 1,526,814,398 |
Money Market Funds | 16,334,636 | — | — | 16,334,636 |
Total Investments in Securities | 1,483,107,874 | 60,041,160 | — | 1,543,149,034 |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,193,082,153) | $1,526,814,398 |
Affiliated issuers (cost $16,334,450) | 16,334,636 |
Receivable for: | |
Capital shares sold | 2,676 |
Dividends | 1,604,984 |
Foreign tax reclaims | 80,147 |
Expense reimbursement due from Investment Manager | 913 |
Prepaid expenses | 16,118 |
Total assets | 1,544,853,872 |
Liabilities | |
Due to custodian | 16,130 |
Payable for: | |
Capital shares purchased | 2,901,102 |
Management services fees | 29,211 |
Distribution and/or service fees | 577 |
Service fees | 4,250 |
Compensation of board members | 148,304 |
Compensation of chief compliance officer | 297 |
Other expenses | 28,560 |
Total liabilities | 3,128,431 |
Net assets applicable to outstanding capital stock | $1,541,725,441 |
Represented by | |
Trust capital | $1,541,725,441 |
Total - representing net assets applicable to outstanding capital stock | $1,541,725,441 |
Class 1 | |
Net assets | $1,457,732,599 |
Shares outstanding | 40,979,683 |
Net asset value per share | $35.57 |
Class 2 | |
Net assets | $83,992,842 |
Shares outstanding | 2,435,668 |
Net asset value per share | $34.48 |
12 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $37,939,016 |
Dividends — affiliated issuers | 190,297 |
Foreign taxes withheld | (350,520) |
Total income | 37,778,793 |
Expenses: | |
Management services fees | 11,337,365 |
Distribution and/or service fees | |
Class 2 | 203,360 |
Service fees | 52,627 |
Compensation of board members | 28,104 |
Custodian fees | 21,824 |
Printing and postage fees | 8,706 |
Audit fees | 29,500 |
Legal fees | 33,040 |
Interest on interfund lending | 221 |
Compensation of chief compliance officer | 238 |
Other | 28,464 |
Total expenses | 11,743,449 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (201,354) |
Total net expenses | 11,542,095 |
Net investment income | 26,236,698 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 156,226,404 |
Investments — affiliated issuers | (5,601) |
Foreign currency translations | (25,033) |
Net realized gain | 156,195,770 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (304,186,026) |
Investments — affiliated issuers | 1,039 |
Net change in unrealized appreciation (depreciation) | (304,184,987) |
Net realized and unrealized loss | (147,989,217) |
Net decrease in net assets resulting from operations | $(121,752,519) |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $26,236,698 | $25,097,226 |
Net realized gain | 156,195,770 | 172,546,236 |
Net change in unrealized appreciation (depreciation) | (304,184,987) | 233,409,169 |
Net increase (decrease) in net assets resulting from operations | (121,752,519) | 431,052,631 |
Decrease in net assets from capital stock activity | (275,258,048) | (279,254,817) |
Total increase (decrease) in net assets | (397,010,567) | 151,797,814 |
Net assets at beginning of year | 1,938,736,008 | 1,786,938,194 |
Net assets at end of year | $1,541,725,441 | $1,938,736,008 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 126,441 | 4,338,303 | 11,549,033 | 359,209,880 |
Redemptions | (8,048,313) | (282,830,627) | (19,571,121) | (639,860,567) |
Net decrease | (7,921,872) | (278,492,324) | (8,022,088) | (280,650,687) |
Class 2 | ||||
Subscriptions | 244,469 | 8,324,601 | 243,166 | 8,139,195 |
Redemptions | (151,977) | (5,090,325) | (201,877) | (6,743,325) |
Net increase | 92,492 | 3,234,276 | 41,289 | 1,395,870 |
Total net decrease | (7,829,380) | (275,258,048) | (7,980,799) | (279,254,817) |
14 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $37.88 | 0.56 | (2.87) | (2.31) |
Year Ended 12/31/2021 | $30.20 | 0.46 | 7.22 | 7.68 |
Year Ended 12/31/2020 | $29.16 | 0.43 | 0.61 | 1.04 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $36.82 | 0.46 | (2.80) | (2.34) |
Year Ended 12/31/2021 | $29.43 | 0.36 | 7.03 | 7.39 |
Year Ended 12/31/2020 | $28.48 | 0.36 | 0.59 | 0.95 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
16 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $35.57 | (6.10%) | 0.70%(c) | 0.68%(c) | 1.60% | 13% | $1,457,733 |
Year Ended 12/31/2021 | $37.88 | 25.43% | 0.69%(c) | 0.69%(c) | 1.33% | 10% | $1,852,472 |
Year Ended 12/31/2020 | $30.20 | 3.57% | 0.71%(c),(d) | 0.71%(c),(d) | 1.59% | 38% | $1,719,205 |
Year Ended 12/31/2019 | $29.16 | 29.83% | 0.70%(c) | 0.70%(c) | 1.62% | 12% | $1,493,599 |
Year Ended 12/31/2018 | $22.46 | (10.02%) | 0.69%(c) | 0.69%(c) | 2.00% | 8% | $1,588,214 |
Class 2 | |||||||
Year Ended 12/31/2022 | $34.48 | (6.36%) | 0.95%(c) | 0.93%(c) | 1.36% | 13% | $83,993 |
Year Ended 12/31/2021 | $36.82 | 25.11% | 0.94%(c) | 0.94%(c) | 1.08% | 10% | $86,264 |
Year Ended 12/31/2020 | $29.43 | 3.33% | 0.96%(c),(d) | 0.96%(c),(d) | 1.36% | 38% | $67,733 |
Year Ended 12/31/2019 | $28.48 | 29.51% | 0.95%(c) | 0.95%(c) | 1.36% | 12% | $63,976 |
Year Ended 12/31/2018 | $21.99 | (10.25%) | 0.94%(c) | 0.94%(c) | 1.80% | 8% | $45,033 |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – MFS® Value Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – MFS® Value Fund | Annual Report 2022 | 21 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.68% | 0.72% |
Class 2 | 0.93 | 0.97 |
22 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 385,714 | 2.89 | 7 |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – MFS® Value Fund | Annual Report 2022 | 25 |
26 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
28 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 29 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
30 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 31 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
32 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
CTIVP® – MFS® Value Fund | Annual Report 2022 | 33 |
(Unaudited)
The Board, at its June 23, 2022 Board 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Advisory Agreements; |
• | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
34 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
(Unaudited)
The Board also took into account the information it received concerning the Investment Manager’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
CTIVP® – MFS® Value Fund | Annual Report 2022 | 35 |
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, and the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
36 | CTIVP® – MFS® Value Fund | Annual Report 2022 |
(Unaudited)
note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
CTIVP® – MFS® Value Fund | Annual Report 2022 | 37 |
December 31, 2022
3 | |
5 | |
9 | |
10 | |
14 | |
15 | |
16 | |
18 | |
20 | |
30 | |
31 | |
31 | |
37 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -26.69 | 0.42 | 3.85 | |
Class 2 | 05/07/10 | -26.87 | 0.17 | 3.60 | |
MSCI EAFE Growth Index (Net) | -22.95 | 2.49 | 5.59 |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 3 |
(Unaudited)
Equity sector breakdown (%) (at December 31, 2022) | |
Consumer Discretionary | 12.6 |
Consumer Staples | 5.0 |
Energy | 6.9 |
Financials | 12.0 |
Health Care | 17.2 |
Industrials | 23.6 |
Information Technology | 16.1 |
Materials | 4.8 |
Real Estate | 1.4 |
Utilities | 0.4 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2022) | |
Argentina | 1.0 |
Australia | 2.5 |
Belgium | 1.1 |
Brazil | 0.5 |
Canada | 7.7 |
China | 1.9 |
Denmark | 6.3 |
Country breakdown (%) (at December 31, 2022) | |
Finland | 1.5 |
France | 13.1 |
Germany | 2.8 |
Hong Kong | 3.5 |
India | 4.3 |
Ireland | 1.5 |
Italy | 0.2 |
Japan | 8.7 |
Luxembourg | 1.9 |
Netherlands | 3.1 |
Norway | 1.1 |
Singapore | 0.6 |
Spain | 2.3 |
Sweden | 3.9 |
Switzerland | 8.9 |
Taiwan | 2.2 |
United Kingdom | 17.2 |
United States(a) | 2.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
(Unaudited)
• | The information technology sector was very weak over the course of 2022. The overweight exposure in our portion of the Fund detracted both from an allocation and a selection perspective. |
• | Security selection within the health care sector was a key detractor from relative returns. |
• | Similarly, selection in the industrials sector weighed on relative returns. An overweight exposure to the sector was also negative, though to a lesser extent. |
• | The top individual detractors from performance in our portion of the Fund during the period included Adidas AG (Germany), VAT Group AG (Switzerland), and Sysmex Corp. (Japan). |
○ | It was a difficult year for Adidas due to three principal factors. Firstly, the challenging market environment, particularly in China, resulted in multiple profit warnings. Second, the departure of its CEO dented investor confidence and signaled cultural and leadership issues. Finally, the controversy surrounding its ‘Yeezy’ collaboration with Kanye West negatively impacted the company. |
○ | VAT Group is the world’s dominant supplier of high-end vacuum sealing technologies, which are critical to manufacturing processes requiring ultra-clean process environments. The company’s largest customers are original equipment manufacturers whose products are used by manufacturers of semiconductors and flat panel displays. VAT Group’s share price was weak in 2022 after a very strong run over the previous couple of years. Despite seeing continued strong demand growth, particularly from its customers in the semiconductor industry, investors began to factor in a weaker demand outlook. |
○ | Sysmex is a world’s leading player in in-vitro diagnostic testing. In 2022, the company’s shares underperformed due to the rotation away from highly valued stocks, the impact of yen depreciation and volatile performance in China. |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Country and sector weights are outputs of our bottom-up approach, as opposed to a fundamental input. Many of the businesses in which we invest have a global reach, and their country of domicile is of little importance. That said, from a country perspective, Japanese stocks were the most notable relative detractors in our portion of the Fund, followed by German and Taiwanese stocks. |
• | Our preference toward high-quality stocks, which typically offer protection in down markets, weighed on returns in our portion of the Fund amid the largely indiscriminate sell-off in high-growth, high-multiple stocks during the period. |
• | Our portion of the Fund is constructed from the bottom up, seeking to add value through stock selection. Sector level positioning is the result from the conviction we have in underlying stocks we select. |
• | The health care, information technology and industrials sectors detracted from both a stock selection and allocation perspective. |
• | We were underweight in the health care sector, relative to the benchmark, and overweight in the information technology and industrials sector. |
• | Individual holdings in our portion of the Fund that detracted most from results during the period included Straumann Holding AG (Switzerland), Atlassian Corp. PLC (United States) and Kingspan Group PLC (Ireland). |
○ | Straumann Holding is a global leader in esthetic dentistry. The categories that the company participates in are growing well above global dental market rates. Recent results have been strong, with revenue up 27% in the period. Despite those results, price-to-earnings multiples have compressed significantly, from approximately 58 times to 33 times this year. |
○ | Atlassian Corp. designs and develops enterprise software for project management, collaboration, issue tracking, integration, deployment, and support services. Layoffs and the slower pace of hiring among customers are leading to slower growth at Atlassian and its business is more sensitive to economic conditions than we previously thought. Full year 2023 guidance was recently lowered. We exited the position during the period. |
○ | Kingspan Group is a leading building materials company that has developed a differentiated technology within insulated panels. While recent results were strong, with revenue up 48% year-over-year and ahead of consensus, the company signaled a slowdown in orders amid economic weakness. The position was trimmed throughout 2022 and fully liquidated in December. |
• | Just as sector allocation is a by-product of stock selection in our portion of the Fund, so is country-level positioning. That said, Australia, Switzerland and the United Kingdom were all areas of detraction for our portion of the Fund. |
• | In a strong year for energy stocks, sector allocation (an overweight) and security selection in our portion of the Fund was positive, both from an absolute and a relative perspective. |
• | The consumer discretionary sector, to which our portion of the Fund had an underweight exposure, was positive from both an allocation and selection perspective. |
• | An overweighted exposure to the health care sector was positive from an allocation perspective. |
• | Security selection within the real estate sector contributed positively to relative returns in our portion of the Fund. |
• | Over the year TotalEnergies SE (France), Alimentation Couche-Tard, Inc. (Canada) and Novo Nordisk A/S (Denmark) were the top contributors to performance at a stock level. |
6 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
(Unaudited)
○ | TotalEnergies benefited from the spike in energy prices that followed Russia’s invasion of Ukraine, as well as improved profitability in its refining and chemicals operations. TotalEnergies’ gas business had been exceptional in 2022 as the company has played an important role in sourcing additional gas cargos for the energy-starved European market. |
○ | Alimentation Couche-Tard is one of the largest convenience store operators in the highly fragmented North American market and has a growing presence in Europe and Asia. The convenience store sector is gaining market share from other categories of retail by virtue of its proximity benefits, faster transaction speeds, extended opening hours and one-stop-shop offerings. Alimentation Couche-Tard is a world-class convenience store operator and over the course of 2022 delivered good results. We believe that its execution of strategy was excellent, and the company remained highly cash generative. |
○ | Novo Nordisk is a global leader in the treatment of diabetes and obesity. The business had a very strong year, with very strong sales of its new obesity drug, Wegovy. In November 2022, the company reported that its overall sales grew in the first nine months of 2022, with operating profit also rising. Diabetes and obesity sales were robust. While insulin sales, which accounted for 31% of Novo Nordisk’s total sales, remained under pressure given ongoing price pressure in the U.S., the success of diabetes drugs Rybelsus and Ozempic enabled management to raise full-year guidance. |
• | From a geographical perspective, Canada, Hong Kong and France represented the three most significant positive relative contributors. |
• | The energy, consumer discretionary and materials sectors were the largest contributing sectors to our portion of the Fund, from both a stock selection and allocation perspective. We were overweight in the energy sector, relative to the benchmark, and underweight in the consumer discretionary and materials sectors. |
• | Individual holdings in our portion of the Fund that contributed most to results during the period included Canadian National Railway Co. (Canada), Reliance Industries Ltd. (India) and Compass Group PLC (United Kingdom). |
○ | Shares of Canadian National Railway bounced off 2022 lows following a better-than-expected second quarter earnings report in July 2022. However, we liquidated our position in Canadian National in favor of Canadian Pacific in August following Canadian Pacific’s acquisition of Kansas City Southern. |
○ | Our position in Reliance Industries bolstered relative performance as the company delivered very strong results, benefiting from robust retail trends amid India reopening, rising gas prices, and wireless tariff increases. We believe that Reliance’s transformation from an asset-heavy, cyclical energy business to more diversified, end-consumer businesses with large and expanding total addressable markets is under-appreciated and will continue to drive strong growth and returns over the long term while the commodity business will continue to provide earnings support in the near term. |
○ | Compass Group is a global leader in outsourced foodservice and other support services to private businesses, schools and colleges, hospitals, and in remote environments. The company is benefiting from the ongoing global trend toward outsourcing foodservice and hospitality services. Share prices outperformed on stronger-than-anticipated organic growth across segments and regions as revenue exceeded pre-COVID levels. |
• | India, Luxembourg and Canada were all areas of strength for our portion of the Fund during the period. |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 7 |
(Unaudited)
8 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,032.90 | 1,020.71 | 4.43 | 4.41 | 0.87 |
Class 2 | 1,000.00 | 1,000.00 | 1,032.20 | 1,019.45 | 5.71 | 5.67 | 1.12 |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks 98.6% | ||
Issuer | Shares | Value ($) |
Argentina 1.0% | ||
Globant SA(a) | 23,994 | 4,034,831 |
MercadoLibre, Inc.(a) | 8,571 | 7,253,123 |
Total | 11,287,954 | |
Australia 2.5% | ||
Aristocrat Leisure Ltd. | 289,365 | 5,962,599 |
Cochlear Ltd. | 25,500 | 3,521,740 |
CSL Ltd. | 100,809 | 19,657,160 |
Total | 29,141,499 | |
Belgium 1.1% | ||
KBC Group NV | 205,954 | 13,260,416 |
Brazil 0.5% | ||
B3 SA - Brasil Bolsa Balcao | 2,494,600 | 6,241,520 |
Canada 7.6% | ||
Alimentation Couche-Tard, Inc. | 216,700 | 9,522,637 |
Canadian National Railway Co. | 66,900 | 7,946,969 |
Canadian Pacific Railway Ltd. | 346,478 | 25,843,794 |
Dollarama, Inc. | 281,427 | 16,459,530 |
Intact Financial Corp. | 98,510 | 14,180,638 |
Toronto-Dominion Bank (The) | 252,648 | 16,358,678 |
Total | 90,312,246 | |
China 1.9% | ||
China Tourism Group Duty Free Corp., Ltd., Class A | 290,897 | 9,004,328 |
Contemporary Amperex Technology Co., Ltd., Class A | 80,500 | 4,536,002 |
Shenzhen Inovance Technology Co., Ltd., Class A | 894,491 | 8,925,102 |
Total | 22,465,432 | |
Denmark 6.3% | ||
Chr. Hansen Holding A/S | 79,500 | 5,718,657 |
Coloplast A/S, Class B | 107,648 | 12,611,256 |
DSV A/S | 75,193 | 11,890,810 |
Novo Nordisk A/S, Class B | 280,621 | 38,112,699 |
Novozymes AS, Class B | 120,700 | 6,123,559 |
Total | 74,456,981 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Finland 1.5% | ||
KONE OYJ, Class B | 113,500 | 5,876,094 |
Neste OYJ | 262,732 | 12,116,409 |
Total | 17,992,503 | |
France 13.1% | ||
Air Liquide SA | 43,780 | 6,213,933 |
Airbus Group SE | 138,125 | 16,423,408 |
Dassault Systemes SE | 348,198 | 12,521,085 |
Hermes International | 2,440 | 3,776,760 |
L’Oreal SA | 50,138 | 17,954,305 |
LVMH Moet Hennessy Louis Vuitton SE | 44,885 | 32,662,513 |
Safran SA | 108,449 | 13,583,671 |
Sartorius Stedim Biotech | 31,333 | 10,182,226 |
Teleperformance SA | 39,235 | 9,379,733 |
TotalEnergies SE | 137,200 | 8,612,484 |
VINCI SA | 237,377 | 23,663,404 |
Total | 154,973,522 | |
Germany 2.8% | ||
Adidas AG | 35,900 | 4,865,399 |
Infineon Technologies AG | 448,885 | 13,642,480 |
Merck KGaA | 40,600 | 7,833,380 |
Rational AG | 1,314 | 780,289 |
SAP SE | 53,900 | 5,564,676 |
Total | 32,686,224 | |
Hong Kong 3.5% | ||
AIA Group Ltd. | 2,155,000 | 23,798,509 |
CLP Holdings Ltd. | 603,000 | 4,393,200 |
Hang Lung Properties Ltd. | 2,101,000 | 4,092,770 |
Jardine Matheson Holdings Ltd. | 139,700 | 7,106,657 |
Techtronic Industries Co., Ltd. | 213,500 | 2,371,312 |
Total | 41,762,448 | |
India 4.3% | ||
Housing Development Finance Corp., Ltd. | 453,379 | 14,413,356 |
Infosys Ltd. | 666,135 | 12,144,507 |
Reliance Industries Ltd. | 798,752 | 24,522,176 |
Total | 51,080,039 |
10 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Ireland 1.5% | ||
ICON PLC(a) | 91,176 | 17,710,938 |
Italy 0.2% | ||
Recordati Industria Chimica e Farmaceutica SpA | 59,100 | 2,456,657 |
Japan 8.7% | ||
Daikin Industries Ltd. | 117,300 | 17,796,006 |
FANUC Corp. | 30,300 | 4,534,291 |
Hoya Corp. | 166,800 | 15,975,868 |
Keyence Corp. | 63,640 | 24,707,898 |
MISUMI Group, Inc. | 125,600 | 2,729,830 |
Murata Manufacturing Co., Ltd. | 96,400 | 4,753,984 |
Obic Co., Ltd. | 22,000 | 3,229,799 |
Shimadzu Corp. | 89,500 | 2,533,735 |
Shin-Etsu Chemical Co., Ltd. | 127,700 | 15,593,730 |
SMC Corp. | 13,000 | 5,428,200 |
Sysmex Corp. | 94,500 | 5,705,022 |
Total | 102,988,363 | |
Luxembourg 1.9% | ||
Tenaris SA | 1,284,775 | 22,532,017 |
Netherlands 3.1% | ||
Adyen NV(a) | 8,871 | 12,315,165 |
ASML Holding NV | 44,890 | 24,476,367 |
Total | 36,791,532 | |
Norway 1.1% | ||
Equinor ASA | 362,397 | 13,024,649 |
TOMRA Systems ASA | 22,744 | 383,606 |
Total | 13,408,255 | |
Singapore 0.5% | ||
CapitaLand Ascendas REIT | 3,165,024 | 6,482,193 |
Spain 2.3% | ||
Amadeus IT Group SA, Class A(a) | 400,031 | 20,752,718 |
Industria de Diseno Textil SA | 250,500 | 6,653,543 |
Total | 27,406,261 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Sweden 3.9% | ||
Atlas Copco AB, Class A | 1,000,768 | 11,857,498 |
Atlas Copco AB, Class B | 321,800 | 3,433,494 |
Evolution AB | 131,220 | 12,781,411 |
Hexagon AB, Class B | 1,348,426 | 14,138,371 |
Indutrade AB | 210,131 | 4,261,350 |
Total | 46,472,124 | |
Switzerland 8.8% | ||
Kuehne & Nagel International AG | 31,700 | 7,369,703 |
Lonza Group AG, Registered Shares | 37,980 | 18,643,450 |
Nestlé SA, Registered Shares | 57,500 | 6,641,792 |
Novartis AG, Registered Shares | 73,000 | 6,606,314 |
Partners Group Holding AG | 10,760 | 9,527,806 |
Roche Holding AG, Genusschein Shares | 19,400 | 6,096,209 |
SGS SA, Registered Shares | 2,170 | 5,054,668 |
Sika AG | 29,186 | 7,016,408 |
Straumann Holding AG, Registered Shares | 87,620 | 10,047,489 |
VAT Group AG | 19,200 | 5,270,736 |
Zurich Insurance Group AG | 46,638 | 22,296,571 |
Total | 104,571,146 | |
Taiwan 2.1% | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,133,000 | 16,455,084 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 118,000 | 8,789,820 |
Total | 25,244,904 | |
United Kingdom 17.2% | ||
Ashtead Group PLC | 215,388 | 12,235,071 |
AstraZeneca PLC | 191,474 | 25,910,143 |
Bunzl PLC | 481,254 | 16,011,399 |
Compass Group PLC | 1,460,999 | 33,737,437 |
Diageo PLC | 551,760 | 24,151,570 |
Experian PLC | 614,552 | 20,813,853 |
Halma PLC | 335,624 | 7,992,869 |
Linde PLC | 46,786 | 15,260,658 |
London Stock Exchange Group PLC | 163,749 | 14,069,510 |
Prudential PLC | 499,000 | 6,804,012 |
Rentokil Initial PLC | 2,284,032 | 14,032,562 |
Segro PLC | 657,752 | 6,059,383 |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 11 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Spirax-Sarco Engineering PLC | 48,488 | 6,193,401 |
Total | 203,271,868 | |
United States 1.2% | ||
lululemon athletica, Inc.(a) | 42,788 | 13,708,420 |
Total Common Stocks (Cost $1,181,187,036) | 1,168,705,462 | |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 12,700,334 | 12,696,524 |
Total Money Market Funds (Cost $12,695,980) | 12,696,524 | |
Total Investments in Securities (Cost $1,193,883,016) | 1,181,401,986 | |
Other Assets & Liabilities, Net | 3,499,151 | |
Net Assets | $1,184,901,137 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
31,084,383 | 222,332,697 | (240,723,839) | 3,283 | 12,696,524 | (8,439) | 237,408 | 12,700,334 |
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). |
12 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
December 31, 2022
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Argentina | 11,287,954 | — | — | 11,287,954 |
Australia | — | 29,141,499 | — | 29,141,499 |
Belgium | — | 13,260,416 | — | 13,260,416 |
Brazil | 6,241,520 | — | — | 6,241,520 |
Canada | 90,312,246 | — | — | 90,312,246 |
China | — | 22,465,432 | — | 22,465,432 |
Denmark | — | 74,456,981 | — | 74,456,981 |
Finland | — | 17,992,503 | — | 17,992,503 |
France | — | 154,973,522 | — | 154,973,522 |
Germany | — | 32,686,224 | — | 32,686,224 |
Hong Kong | — | 41,762,448 | — | 41,762,448 |
India | — | 51,080,039 | — | 51,080,039 |
Ireland | 17,710,938 | — | — | 17,710,938 |
Italy | — | 2,456,657 | — | 2,456,657 |
Japan | — | 102,988,363 | — | 102,988,363 |
Luxembourg | — | 22,532,017 | — | 22,532,017 |
Netherlands | — | 36,791,532 | — | 36,791,532 |
Norway | — | 13,408,255 | — | 13,408,255 |
Singapore | — | 6,482,193 | — | 6,482,193 |
Spain | — | 27,406,261 | — | 27,406,261 |
Sweden | — | 46,472,124 | — | 46,472,124 |
Switzerland | — | 104,571,146 | — | 104,571,146 |
Taiwan | 8,789,820 | 16,455,084 | — | 25,244,904 |
United Kingdom | 15,260,658 | 188,011,210 | — | 203,271,868 |
United States | 13,708,420 | — | — | 13,708,420 |
Total Common Stocks | 163,311,556 | 1,005,393,906 | — | 1,168,705,462 |
Money Market Funds | 12,696,524 | — | — | 12,696,524 |
Total Investments in Securities | 176,008,080 | 1,005,393,906 | — | 1,181,401,986 |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 13 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,181,187,036) | $1,168,705,462 |
Affiliated issuers (cost $12,695,980) | 12,696,524 |
Foreign currency (cost $242) | 243 |
Receivable for: | |
Investments sold | 1,076,048 |
Capital shares sold | 1,689 |
Dividends | 359,099 |
Foreign tax reclaims | 3,348,012 |
Expense reimbursement due from Investment Manager | 1,498 |
Prepaid expenses | 12,899 |
Total assets | 1,186,201,474 |
Liabilities | |
Payable for: | |
Investments purchased | 5,154 |
Capital shares purchased | 363,787 |
Foreign capital gains taxes deferred | 704,381 |
Management services fees | 28,965 |
Distribution and/or service fees | 272 |
Service fees | 2,142 |
Compensation of board members | 136,414 |
Compensation of chief compliance officer | 216 |
Other expenses | 59,006 |
Total liabilities | 1,300,337 |
Net assets applicable to outstanding capital stock | $1,184,901,137 |
Represented by | |
Paid in capital | 1,230,763,166 |
Total distributable earnings (loss) | (45,862,029) |
Total - representing net assets applicable to outstanding capital stock | $1,184,901,137 |
Class 1 | |
Net assets | $1,145,609,453 |
Shares outstanding | 113,893,854 |
Net asset value per share | $10.06 |
Class 2 | |
Net assets | $39,291,684 |
Shares outstanding | 3,953,911 |
Net asset value per share | $9.94 |
14 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $19,623,831 |
Dividends — affiliated issuers | 237,408 |
Interfund lending | 505 |
European Union tax reclaim | 949,746 |
Foreign taxes withheld | (2,251,122) |
Total income | 18,560,368 |
Expenses: | |
Management services fees | 10,825,891 |
Distribution and/or service fees | |
Class 2 | 105,371 |
Service fees | 27,152 |
Compensation of board members | 22,708 |
Custodian fees | 154,228 |
Printing and postage fees | 11,175 |
Audit fees | 89,274 |
Legal fees | 27,585 |
Compensation of chief compliance officer | 169 |
Other | 26,853 |
Total expenses | 11,290,406 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (499,946) |
Total net expenses | 10,790,460 |
Net investment income | 7,769,908 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (33,346,966) |
Investments — affiliated issuers | (8,439) |
Foreign currency translations | (979,059) |
Net realized loss | (34,334,464) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (391,243,822) |
Investments — affiliated issuers | 3,283 |
Foreign currency translations | (42,948) |
Foreign capital gains tax | 179,066 |
Net change in unrealized appreciation (depreciation) | (391,104,421) |
Net realized and unrealized loss | (425,438,885) |
Net decrease in net assets resulting from operations | $(417,668,977) |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 15 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $7,769,908 | $830,175 |
Net realized gain (loss) | (34,334,464) | 72,560,718 |
Net change in unrealized appreciation (depreciation) | (391,104,421) | 56,489,164 |
Net increase (decrease) in net assets resulting from operations | (417,668,977) | 129,880,057 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (69,892,196) | (66,545,822) |
Class 2 | (2,488,406) | (2,343,808) |
Total distributions to shareholders | (72,380,602) | (68,889,630) |
Increase in net assets from capital stock activity | 110,892,225 | 324,521,353 |
Total increase (decrease) in net assets | (379,157,354) | 385,511,780 |
Net assets at beginning of year | 1,564,058,491 | 1,178,546,711 |
Net assets at end of year | $1,184,901,137 | $1,564,058,491 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,736,256 | 50,439,097 | 30,014,523 | 435,939,035 |
Distributions reinvested | 7,161,085 | 69,892,196 | 4,675,920 | 66,545,822 |
Redemptions | (1,132,300) | (11,913,933) | (13,367,843) | (184,912,011) |
Net increase | 10,765,041 | 108,417,360 | 21,322,600 | 317,572,846 |
Class 2 | ||||
Subscriptions | 332,832 | 3,762,421 | 560,144 | 7,982,696 |
Distributions reinvested | 257,599 | 2,488,406 | 165,874 | 2,343,808 |
Redemptions | (359,260) | (3,775,962) | (236,179) | (3,377,997) |
Net increase | 231,171 | 2,474,865 | 489,839 | 6,948,507 |
Total net increase | 10,996,212 | 110,892,225 | 21,812,439 | 324,521,353 |
16 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 17 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $14.64 | 0.07(c) | (4.00) | (3.93) | — | (0.65) | (0.65) |
Year Ended 12/31/2021 | $13.86 | 0.01 | 1.44 | 1.45 | (0.01) | (0.66) | (0.67) |
Year Ended 12/31/2020 | $11.46 | 0.02 | 2.53 | 2.55 | (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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $14.51 | 0.04(c) | (3.96) | (3.92) | — | (0.65) | (0.65) |
Year Ended 12/31/2021 | $13.77 | (0.03) | 1.43 | 1.40 | — | (0.66) | (0.66) |
Year Ended 12/31/2020 | $11.40 | (0.01) | 2.51 | 2.50 | (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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Net investment income per share includes European Union tax reclaims. The effect of these reclaims amounted to $0.01 per share. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
18 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $10.06 | (26.69%) | 0.91% | 0.87% | 0.64% | 35% | $1,145,609 |
Year Ended 12/31/2021 | $14.64 | 10.63% | 0.90% | 0.88% | 0.06% | 26% | $1,510,036 |
Year Ended 12/31/2020 | $13.86 | 22.62% | 0.93%(d) | 0.92%(d) | 0.15% | 73% | $1,134,033 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $9.94 | (26.87%) | 1.16% | 1.12% | 0.41% | 35% | $39,292 |
Year Ended 12/31/2021 | $14.51 | 10.33% | 1.15% | 1.13% | (0.21%) | 26% | $54,022 |
Year Ended 12/31/2020 | $13.77 | 22.30% | 1.18%(d) | 1.17%(d) | (0.10%) | 73% | $44,514 |
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% | $29,694 |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 23 |
December 31, 2022
December 1, 2022 through April 30, 2023 | Prior to December 1, 2022 | |
Class 1 | 0.86% | 0.87% |
Class 2 | 1.11 | 1.12 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(2,228,203) | 1,278,456 | 949,747 |
24 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
December 31, 2022
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
4,277,239 | 68,103,363 | 72,380,602 | 1,016,046 | 67,873,584 | 68,889,630 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
5,812,976 | — | (33,133,326) | (17,574,621) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,198,976,607 | 68,874,086 | (86,448,707) | (17,574,621) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(33,133,326) | — | (33,133,326) | — |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 25 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 3,625,000 | 1.16 | 4 |
26 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 27 |
December 31, 2022
28 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 29 |
30 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
$2,189,913 | $0.02 | $19,623,792 | $0.17 |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 31 |
(Unaudited)
Independent trustees
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
32 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 33 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
34 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 35 |
(Unaudited)
The Statement of Additional Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your financial intermediary.
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
36 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 37 |
(Unaudited)
The Independent Trustees noted the discussion, which is described below, relating to the renewal and approval of the advisory and subadvisory agreements for the Fund at the Contracts Committee and Board meetings in June 2022 (the June Meeting) and, in that connection, the discussion by independent legal counsel of the Board’s responsibilities pursuant to Sections 15(c) and 36(b) of the 1940 Act and the factors that should be considered in determining whether to approve or renew an investment management agreement. The Independent Trustees considered that they should apply these factors in considering the amendment to the William Blair Subadvisory Agreement. The Independent Trustees also considered that they should take into account the variety of written materials and oral presentations they received at their meeting on December 15, 2022 as well as all of the information previously considered at the June Meeting regarding the proposed 15(c) renewal of the existing Funds’ advisory and subadvisory agreements.
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Advisory Agreements; |
• | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
38 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
(Unaudited)
• | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 39 |
(Unaudited)
the Subadvisory Agreements are generally consistent with the terms of other subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
40 | Variable Portfolio – Partners International Growth Fund | Annual Report 2022 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreements.
Variable Portfolio – Partners International Growth Fund | Annual Report 2022 | 41 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 | |
32 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -4.96 | 7.02 | 9.19 | |
Class 2 | 05/07/10 | -5.17 | 6.75 | 8.92 | |
Russell 1000 Value Index | -7.54 | 6.67 | 10.29 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 97.9 |
Convertible Preferred Stocks | 0.2 |
Money Market Funds | 1.9 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 5.5 |
Consumer Discretionary | 3.1 |
Consumer Staples | 9.1 |
Energy | 8.4 |
Financials | 17.5 |
Health Care | 21.0 |
Industrials | 9.9 |
Information Technology | 8.1 |
Materials | 4.6 |
Real Estate | 4.8 |
Utilities | 8.0 |
Total | 100.0 |
4 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
• | During the period, the Fund outperformed the benchmark, with both stock selection and selector allocation decisions overall contributing positively. |
• | More specifically, stock selection in the financials, consumer discretionary and consumer staples sectors contributed positively. |
• | Having an underweighted allocation to the consumer discretionary sector, which underperformed the benchmark during the period, also helped. |
• | From an individual security perspective, among the Fund’s greatest positive contributors to relative results during the annual period was TotalEnergies SE, a French integrated energy company. Early in the year, TotalEnergies was pressured as the company’s Russian assets and investments were quickly written down by the market following Russia’s invasion of Ukraine. However, its shares then rebounded as the company was selected to participate in a $29 billion liquefied natural gas project in Qatar. |
• | A position in oil and natural gas exploration and production company ConocoPhillips added significant value, recording positive absolute returns on demonstrated operational excellence and shareholder-friendly policies during the period. ConocoPhillips also posted a series of quarterly results, wherein earnings and production exceeded consensus expectations amid a favorable backdrop for the energy industry. |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Multinational managed health care and insurance company Cigna Corp. contributed positively, performing well on solid results, driven by strength in both its pharmacy benefits and health care segments, including a better than consensus expected medical loss ratio. (Medical loss ratio is a measure of the percentage of premium dollars that a health plan spends on medical claims and quality improvements versus administrative costs.) |
• | Stock selection in the energy, industrials and materials sectors detracted from the Fund’s relative results during the period. |
• | Having an underweighted allocation to energy, which was the best performing sector in the benchmark during the period, and an overweighted allocation to materials, which lagged the benchmark during the period, also hurt. |
• | Among the individual holdings that detracted most from the Fund’s relative results during the period was semiconductor company QUALCOMM, Inc. Despite reporting earnings and revenues that beat consensus expectations for the majority of 2022, the company was negatively affected as inflation concerns and Fed interest rate hikes drove the broader stock market, particularly the information technology sector, lower. |
• | Similarly, software behemoth Microsoft Corp. was a notable detractor amid a broad information technology sector decline due to rising inflation and declining consumer demand. Its stock was also hurt when a peer announced weak personal computer sales, news that caused investor concern around Microsoft’s personal computer-related business. |
• | Integrated energy company Chevron Corp. was among the biggest detractors from relative results during the period because the Fund did not own its strongly performing stock. Chevron benefited during the period from robust global demand for oil and gas amid a highly supportive macroeconomic backdrop for the energy sector. |
6 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 1,056.40 | 1,021.61 | 3.56 | 3.50 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,055.50 | 1,020.31 | 4.90 | 4.81 | 0.95 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 98.0% | ||
Issuer | Shares | Value ($) |
Communication Services 5.4% | ||
Diversified Telecommunication Services 0.3% | ||
Verizon Communications, Inc. | 132,000 | 5,200,800 |
Entertainment 1.6% | ||
Walt Disney Co. (The)(a) | 338,030 | 29,368,046 |
Interactive Media & Services 1.3% | ||
Alphabet, Inc., Class C(a) | 109,900 | 9,751,427 |
Meta Platforms, Inc., Class A(a) | 123,594 | 14,873,302 |
Total | 24,624,729 | |
Media 2.2% | ||
Comcast Corp., Class A | 370,976 | 12,973,031 |
News Corp., Class A | 1,455,166 | 26,484,021 |
Total | 39,457,052 | |
Total Communication Services | 98,650,627 | |
Consumer Discretionary 3.1% | ||
Auto Components 0.5% | ||
Magna International, Inc. | 147,373 | 8,279,415 |
Hotels, Restaurants & Leisure 0.6% | ||
Las Vegas Sands Corp.(a) | 210,219 | 10,105,227 |
Multiline Retail 0.4% | ||
Kohl’s Corp. | 309,879 | 7,824,445 |
Specialty Retail 1.6% | ||
Best Buy Co., Inc. | 235,000 | 18,849,350 |
TJX Companies, Inc. (The) | 134,828 | 10,732,309 |
Total | 29,581,659 | |
Total Consumer Discretionary | 55,790,746 | |
Consumer Staples 9.0% | ||
Beverages 0.8% | ||
Coca-Cola Co. (The) | 244,310 | 15,540,559 |
Food & Staples Retailing 2.3% | ||
Walmart, Inc. | 293,476 | 41,611,962 |
Food Products 2.0% | ||
ConAgra Foods, Inc. | 931,526 | 36,050,056 |
Household Products 1.6% | ||
Kimberly-Clark Corp. | 212,755 | 28,881,492 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 2.3% | ||
Philip Morris International, Inc. | 417,342 | 42,239,184 |
Total Consumer Staples | 164,323,253 | |
Energy 8.2% | ||
Oil, Gas & Consumable Fuels 8.2% | ||
ConocoPhillips Co. | 259,035 | 30,566,130 |
Exxon Mobil Corp. | 281,448 | 31,043,714 |
TC Energy Corp. | 786,284 | 31,341,280 |
TotalEnergies SE, ADR | 920,206 | 57,126,389 |
Total | 150,077,513 | |
Total Energy | 150,077,513 | |
Financials 17.2% | ||
Banks 8.8% | ||
Bank of America Corp. | 1,182,172 | 39,153,537 |
Citigroup, Inc. | 370,900 | 16,775,807 |
Fifth Third Bancorp | 650,153 | 21,331,520 |
Huntington Bancshares, Inc. | 2,153,893 | 30,369,891 |
Wells Fargo & Co. | 1,281,190 | 52,900,335 |
Total | 160,531,090 | |
Capital Markets 0.6% | ||
Goldman Sachs Group, Inc. (The) | 34,707 | 11,917,690 |
Diversified Financial Services 1.4% | ||
Equitable Holdings, Inc. | 866,040 | 24,855,348 |
Insurance 6.4% | ||
American International Group, Inc. | 641,654 | 40,578,199 |
Chubb Ltd. | 212,724 | 46,926,914 |
Hartford Financial Services Group, Inc. (The) | 378,587 | 28,708,252 |
Total | 116,213,365 | |
Total Financials | 313,517,493 | |
Health Care 20.4% | ||
Biotechnology 1.4% | ||
AbbVie, Inc. | 163,865 | 26,482,223 |
8 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 6.4% | ||
Becton Dickinson and Co. | 160,122 | 40,719,025 |
Hologic, Inc.(a) | 152,920 | 11,439,945 |
Medtronic PLC | 370,599 | 28,802,954 |
Zimmer Biomet Holdings, Inc. | 288,175 | 36,742,312 |
Total | 117,704,236 | |
Health Care Providers & Services 4.9% | ||
Cigna Corp. | 107,086 | 35,481,875 |
CVS Health Corp. | 170,453 | 15,884,515 |
Elevance Health, Inc. | 74,771 | 38,355,280 |
Total | 89,721,670 | |
Life Sciences Tools & Services 0.8% | ||
Thermo Fisher Scientific, Inc. | 26,388 | 14,531,608 |
Pharmaceuticals 6.9% | ||
Bristol-Myers Squibb Co. | 201,508 | 14,498,501 |
Elanco Animal Health, Inc.(a) | 923,239 | 11,281,980 |
Johnson & Johnson | 311,235 | 54,979,663 |
Merck & Co., Inc. | 219,728 | 24,378,822 |
Pfizer, Inc. | 392,909 | 20,132,657 |
Total | 125,271,623 | |
Total Health Care | 373,711,360 | |
Industrials 9.8% | ||
Aerospace & Defense 1.6% | ||
L3Harris Technologies, Inc. | 137,749 | 28,680,719 |
Air Freight & Logistics 1.6% | ||
United Parcel Service, Inc., Class B | 171,124 | 29,748,196 |
Airlines 0.4% | ||
Southwest Airlines Co.(a) | 243,601 | 8,202,046 |
Commercial Services & Supplies 0.2% | ||
Stericycle, Inc.(a) | 60,825 | 3,034,559 |
Industrial Conglomerates 3.3% | ||
General Electric Co. | 387,505 | 32,469,044 |
Siemens AG, ADR | 392,867 | 27,068,536 |
Total | 59,537,580 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 2.7% | ||
Cummins, Inc. | 121,991 | 29,557,200 |
Stanley Black & Decker, Inc. | 264,000 | 19,831,680 |
Total | 49,388,880 | |
Total Industrials | 178,591,980 | |
Information Technology 7.9% | ||
Communications Equipment 0.6% | ||
Cisco Systems, Inc. | 235,878 | 11,237,228 |
Electronic Equipment, Instruments & Components 0.3% | ||
TE Connectivity Ltd. | 47,905 | 5,499,494 |
IT Services 2.3% | ||
Fiserv, Inc.(a) | 414,698 | 41,913,527 |
Semiconductors & Semiconductor Equipment 3.0% | ||
Applied Materials, Inc. | 44,458 | 4,329,320 |
QUALCOMM, Inc. | 352,637 | 38,768,912 |
Texas Instruments, Inc. | 73,686 | 12,174,401 |
Total | 55,272,633 | |
Software 0.7% | ||
Microsoft Corp. | 54,441 | 13,056,040 |
Technology Hardware, Storage & Peripherals 1.0% | ||
Western Digital Corp.(a) | 572,000 | 18,046,600 |
Total Information Technology | 145,025,522 | |
Materials 4.5% | ||
Chemicals 2.8% | ||
CF Industries Holdings, Inc. | 163,695 | 13,946,814 |
International Flavors & Fragrances, Inc. | 232,021 | 24,325,082 |
RPM International, Inc. | 134,650 | 13,121,642 |
Total | 51,393,538 | |
Containers & Packaging 1.7% | ||
International Paper Co. | 888,029 | 30,752,444 |
Total Materials | 82,145,982 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate 4.7% | ||
Equity Real Estate Investment Trusts (REITS) 4.7% | ||
AvalonBay Communities, Inc. | 252,139 | 40,725,491 |
Equinix, Inc. | 26,745 | 17,518,778 |
Weyerhaeuser Co. | 915,237 | 28,372,347 |
Total | 86,616,616 | |
Total Real Estate | 86,616,616 | |
Utilities 7.8% | ||
Electric Utilities 3.6% | ||
Entergy Corp. | 65,250 | 7,340,625 |
Southern Co. (The) | 818,960 | 58,481,934 |
Total | 65,822,559 | |
Multi-Utilities 4.2% | ||
Ameren Corp. | 235,787 | 20,966,180 |
Dominion Energy, Inc. | 327,000 | 20,051,640 |
Sempra Energy | 236,700 | 36,579,618 |
Total | 77,597,438 | |
Total Utilities | 143,419,997 | |
Total Common Stocks (Cost $1,668,214,905) | 1,791,871,089 |
Convertible Preferred Stocks 0.2% | |||
Issuer | Shares | Value ($) | |
Health Care 0.2% | |||
Health Care Equipment & Supplies 0.2% | |||
Becton Dickinson and Co. | 6.000% | 74,140 | 3,714,414 |
Pharmaceuticals 0.0% | |||
Elanco Animal Health, Inc. | 5.000% | 10,173 | 199,899 |
Total Health Care | 3,914,313 | ||
Total Convertible Preferred Stocks (Cost $4,331,118) | 3,914,313 |
Money Market Funds 1.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 33,798,984 | 33,788,844 |
Total Money Market Funds (Cost $33,786,451) | 33,788,844 | |
Total Investments in Securities (Cost: $1,706,332,474) | 1,829,574,246 | |
Other Assets & Liabilities, Net | (595,564) | |
Net Assets | 1,828,978,682 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
35,772,647 | 263,029,813 | (265,018,299) | 4,683 | 33,788,844 | (7,370) | 553,602 | 33,798,984 |
ADR | American Depositary Receipt |
10 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
Fair value inputs are summarized in the three broad levels listed below:
■ | 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 | 98,650,627 | — | — | 98,650,627 |
Consumer Discretionary | 55,790,746 | — | — | 55,790,746 |
Consumer Staples | 164,323,253 | — | — | 164,323,253 |
Energy | 150,077,513 | — | — | 150,077,513 |
Financials | 313,517,493 | — | — | 313,517,493 |
Health Care | 373,711,360 | — | — | 373,711,360 |
Industrials | 151,523,444 | 27,068,536 | — | 178,591,980 |
Information Technology | 145,025,522 | — | — | 145,025,522 |
Materials | 82,145,982 | — | — | 82,145,982 |
Real Estate | 86,616,616 | — | — | 86,616,616 |
Utilities | 143,419,997 | — | — | 143,419,997 |
Total Common Stocks | 1,764,802,553 | 27,068,536 | — | 1,791,871,089 |
Convertible Preferred Stocks | ||||
Health Care | — | 3,914,313 | — | 3,914,313 |
Total Convertible Preferred Stocks | — | 3,914,313 | — | 3,914,313 |
Money Market Funds | 33,788,844 | — | — | 33,788,844 |
Total Investments in Securities | 1,798,591,397 | 30,982,849 | — | 1,829,574,246 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,672,546,023) | $1,795,785,402 |
Affiliated issuers (cost $33,786,451) | 33,788,844 |
Cash | 9,823 |
Receivable for: | |
Investments sold | 432,615 |
Capital shares sold | 20,957 |
Dividends | 4,510,968 |
Foreign tax reclaims | 285,520 |
Prepaid expenses | 16,388 |
Total assets | 1,834,850,517 |
Liabilities | |
Payable for: | |
Investments purchased | 2,523,750 |
Capital shares purchased | 3,128,959 |
Management services fees | 34,329 |
Distribution and/or service fees | 324 |
Service fees | 2,314 |
Compensation of board members | 152,678 |
Compensation of chief compliance officer | 352 |
Other expenses | 29,129 |
Total liabilities | 5,871,835 |
Net assets applicable to outstanding capital stock | $1,828,978,682 |
Represented by | |
Trust capital | $1,828,978,682 |
Total - representing net assets applicable to outstanding capital stock | $1,828,978,682 |
Class 1 | |
Net assets | $1,781,787,476 |
Shares outstanding | 55,641,608 |
Net asset value per share | $32.02 |
Class 2 | |
Net assets | $47,191,206 |
Shares outstanding | 1,520,984 |
Net asset value per share | $31.03 |
12 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $48,170,023 |
Dividends — affiliated issuers | 553,602 |
Foreign taxes withheld | (1,430,874) |
Total income | 47,292,751 |
Expenses: | |
Management services fees | 13,441,793 |
Distribution and/or service fees | |
Class 2 | 112,320 |
Service fees | 28,294 |
Compensation of board members | 32,797 |
Custodian fees | 18,613 |
Printing and postage fees | 10,010 |
Audit fees | 29,723 |
Legal fees | 37,213 |
Compensation of chief compliance officer | 281 |
Other | 86,778 |
Total expenses | 13,797,822 |
Net investment income | 33,494,929 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 234,287,997 |
Investments — affiliated issuers | (7,370) |
Foreign currency translations | (7,151) |
Net realized gain | 234,273,476 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (374,640,638) |
Investments — affiliated issuers | 4,683 |
Foreign currency translations | (579) |
Net change in unrealized appreciation (depreciation) | (374,636,534) |
Net realized and unrealized loss | (140,363,058) |
Net decrease in net assets resulting from operations | $(106,868,129) |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $33,494,929 | $30,610,234 |
Net realized gain | 234,273,476 | 201,747,978 |
Net change in unrealized appreciation (depreciation) | (374,636,534) | 260,054,219 |
Net increase (decrease) in net assets resulting from operations | (106,868,129) | 492,412,431 |
Increase (decrease) in net assets from capital stock activity | (347,573,294) | 152,636,535 |
Total increase (decrease) in net assets | (454,441,423) | 645,048,966 |
Net assets at beginning of year | 2,283,420,105 | 1,638,371,139 |
Net assets at end of year | $1,828,978,682 | $2,283,420,105 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 172,303 | 5,344,497 | 20,279,983 | 566,807,255 |
Redemptions | (11,052,167) | (360,238,515) | (13,563,239) | (418,510,276) |
Net increase (decrease) | (10,879,864) | (354,894,018) | 6,716,744 | 148,296,979 |
Class 2 | ||||
Subscriptions | 311,671 | 9,926,306 | 254,177 | 7,705,657 |
Redemptions | (83,878) | (2,605,582) | (112,525) | (3,366,101) |
Net increase | 227,793 | 7,320,724 | 141,652 | 4,339,556 |
Total net increase (decrease) | (10,652,071) | (347,573,294) | 6,858,396 | 152,636,535 |
14 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $33.69 | 0.54 | (2.21) | (1.67) |
Year Ended 12/31/2021 | $26.89 | 0.44 | 6.36 | 6.80 |
Year Ended 12/31/2020 | $26.19 | 0.50 | 0.20(c) | 0.70 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $32.72 | 0.46 | (2.15) | (1.69) |
Year Ended 12/31/2021 | $26.19 | 0.35 | 6.18 | 6.53 |
Year Ended 12/31/2020 | $25.56 | 0.44 | 0.19(c) | 0.63 |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
16 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $32.02 | (4.96%) | 0.69% | 0.69% | 1.69% | 30% | $1,781,787 |
Year Ended 12/31/2021 | $33.69 | 25.29% | 0.68% | 0.68% | 1.40% | 32% | $2,241,102 |
Year Ended 12/31/2020 | $26.89 | 2.67% | 0.70%(d) | 0.70%(d) | 2.20% | 37% | $1,608,218 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $31.03 | (5.17%) | 0.94% | 0.94% | 1.48% | 30% | $47,191 |
Year Ended 12/31/2021 | $32.72 | 24.93% | 0.93% | 0.93% | 1.14% | 32% | $42,318 |
Year Ended 12/31/2020 | $26.19 | 2.47% | 0.96%(d) | 0.96%(d) | 1.96% | 37% | $30,153 |
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 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 21 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.71% |
Class 2 | 0.96 |
22 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 25 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
26 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
28 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 29 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
30 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 31 |
32 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Advisory Agreements; |
• | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 33 |
(Unaudited)
operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
34 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
(Unaudited)
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates from their relationships with the Fund
CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 | 35 |
(Unaudited)
through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
36 | CTIVP® – T. Rowe Price Large Cap Value Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
8 | |
9 | |
12 | |
13 | |
14 | |
16 | |
18 | |
26 | |
27 | |
27 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -24.12 | 4.03 | 4.70 | |
Class 2 | 05/07/10 | -24.33 | 3.77 | 4.44 | |
FTSE Nareit Equity REITs Index | -24.37 | 3.68 | 6.53 |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 99.1 |
Money Market Funds | 0.9 |
Total | 100.0 |
Equity sub-industry breakdown (%) (at December 31, 2022) | |
Real Estate | |
Diversified REITs | 1.3 |
Health Care REITs | 10.9 |
Hotel & Resort REITs | 3.3 |
Industrial REITs | 15.0 |
Office REITs | 7.1 |
Residential REITs | 20.4 |
Retail REITs | 17.3 |
Specialized REITs | 24.7 |
Total | 100.0 |
4 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
(Unaudited)
• | Effective stock selection in the health care sub-sector contributed most positively to the Fund’s relative results during the period. The Fund benefited most from overweight positions in residential health care names owning senior housing and skilled nursing facility properties. |
○ | After facing challenges from the COVID-19 Omicron variant, REITs like Ventas Inc. and Omega Healthcare Investors, Inc., in which the Fund held overweight positions, began 2022 with what many investors saw as attractive valuations. |
○ | As the wave of COVID-19 infections dissipated and operating metrics rebounded, senior housing and skilled nursing facility stocks performed well. |
• | Favorable stock selection in the industrial sub-sector also added to the Fund’s performance. The industrial sub-sector was generally out of favor with investors in 2022 due to elevated valuations and the potential for a recession to negatively affect its fundamentals. |
○ | The Fund benefited from merger and acquisition activity that generated excess returns for Duke Realty Corp., in which the Fund had an overweight position. |
○ | The Fund also benefited from an overweight to cold storage warehouse REIT Americold Realty Trust, Inc., which recovered during the annual period from previous operational missteps. |
• | Both an underweight to and stock selection in the office sub-sector contributed positively to the Fund’s relative results. |
○ | We believe uncertainty about office space needs in a more flexible in-person work environment and potential recession were drags on the sub-sector’s performance during the annual period, and the Fund’s underweight to this poorly performing sub-sector proved beneficial. |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 5 |
(Unaudited)
○ | Our preference for owners of high-quality office space in Sunbelt markets, compared to coastal names, and REITs with higher leverage also added to the Fund’s relative results. |
• | Ventas, Inc., mentioned earlier, a REIT specializing in the ownership and management of health care facilities, was the biggest individual positive contributor to the Fund’s relative performance during the annual period. Ventas emerged from the worst of the Omicron wave of COVID-19 with what many saw as an attractive valuation, stable fundamentals and recovering occupancy. |
• | Sabra Health Care REIT, Inc., a skilled nursing facility owner, similarly emerged from the COVID-19 pandemic in an advantageous position and recovered strongly during the annual period, adding value to the Fund’s relative results. |
• | Agree Realty Corp., which acquires and develops properties net-leased to leading retailers, was a top contributor, performing well along with the net-lease sub-sector broadly on favorable growth trends and underlying tenant credit. |
• | Being underweight the specialty sub-sector, which performed well during the period, detracted from the Fund’s relative results, more than offsetting effective stock selection within the sub-sector. |
○ | The Fund was underweight the sub-sector, which is a collection of unrelated property types without a unifying theme, because of our low confidence in the sub-sector’s long-term growth trajectory. |
○ | However, the defensive nature of some of the sub-sector’s constituents, particularly casino REITs, found favor with investors in 2022. |
• | An underweight to the strongly performing net-lease sub-sector detracted as well. We were concerned about growth of net-lease names in a rising interest rate environment, but the market favored the sub-sector for its steady, if unspectacular, growth during the annual period. |
• | Having an overweight to and weak stock selection in the alternative housing sub-sector further dampened the Fund’s relative results. |
○ | We favored single-family rental names. As mortgage rates rose throughout the year, the housing market slowed considerably, and, in response, investors sold single-family rental positions. |
○ | The Fund remained overweight because we do not believe sub-sector valuations reflected, at the end of the period, the underlying supply and demand imbalance, which should, in our view, keep demand high for rentals. |
• | Outfront Media, Inc., which owns billboards and other outdoor advertising space, was the biggest individual detractor from the Fund’s results during the period. This specialty sub-sector name generated weak performance due to lower-than-expected revenues from advertising on mass transit platforms amid a lack of return to offices and the lingering effects of the COVID-19 pandemic. |
• | Broadstone Net Lease, Inc. is a REIT that acquires, owns and manages primarily single-tenant commercial real estate properties that are net-leased on a long-term basis to a diversified group of tenants. The company detracted from Fund results, as it experienced idiosyncratic tenant issues, causing its stock to decline during the period. However, as the effect of its weak performance on underlying fundamentals was not significant, in our view, we maintained a Fund overweight in its stock. |
• | Medical Properties Trust, Inc., a REIT that invests in health care facilities, detracted, as a series of tenant issues lowered market confidence, leading to negative stock returns. In our view, its underlying business remained strong, and the drop in performance made its valuation attractive. |
6 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
(Unaudited)
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 933.90 | 1,021.11 | 3.83 | 4.00 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 931.90 | 1,019.85 | 5.04 | 5.27 | 1.04 |
8 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
December 31, 2022
Common Stocks 98.8% | ||
Issuer | Shares | Value ($) |
Real Estate 98.8% | ||
Diversified REITs 1.3% | ||
Broadstone Net Lease, Inc. | 144,620 | 2,344,290 |
Total Diversified REITs | 2,344,290 | |
Health Care REITs 10.8% | ||
Healthpeak Properties, Inc. | 79,330 | 1,988,803 |
Medical Properties Trust, Inc. | 236,570 | 2,635,390 |
Omega Healthcare Investors, Inc. | 27,290 | 762,755 |
Sabra Health Care REIT, Inc. | 155,300 | 1,930,379 |
Ventas, Inc. | 129,386 | 5,828,839 |
Welltower, Inc. | 104,132 | 6,825,853 |
Total Health Care REITs | 19,972,019 | |
Hotel & Resort REITs 3.2% | ||
Apple Hospitality REIT, Inc. | 55,950 | 882,891 |
DiamondRock Hospitality Co. | 87,700 | 718,263 |
Host Hotels & Resorts, Inc. | 134,980 | 2,166,429 |
Park Hotels & Resorts, Inc. | 64,140 | 756,211 |
Xenia Hotels & Resorts, Inc. | 109,290 | 1,440,442 |
Total Hotel & Resort REITs | 5,964,236 | |
Industrial REITs 14.8% | ||
Americold Realty Trust, Inc. | 67,660 | 1,915,454 |
First Industrial Realty Trust, Inc. | 81,850 | 3,950,081 |
Prologis, Inc. | 162,045 | 18,267,333 |
Rexford Industrial Realty, Inc. | 60,292 | 3,294,355 |
Total Industrial REITs | 27,427,223 | |
Office REITs 7.0% | ||
Alexandria Real Estate Equities, Inc. | 32,050 | 4,668,724 |
Cousins Properties, Inc. | 62,770 | 1,587,453 |
Douglas Emmett, Inc. | 104,780 | 1,642,950 |
Highwoods Properties, Inc. | 61,230 | 1,713,215 |
Kilroy Realty Corp. | 70,418 | 2,723,064 |
Veris Residential, Inc.(a) | 39,208 | 624,584 |
Total Office REITs | 12,959,990 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Residential REITs 20.2% | ||
American Homes 4 Rent, Class A | 92,360 | 2,783,730 |
AvalonBay Communities, Inc. | 38,960 | 6,292,819 |
Equity Residential | 106,900 | 6,307,100 |
Essex Property Trust, Inc. | 6,500 | 1,377,480 |
Invitation Homes, Inc. | 207,850 | 6,160,674 |
Mid-America Apartment Communities, Inc. | 22,700 | 3,563,673 |
Sun Communities, Inc. | 47,540 | 6,798,220 |
UDR, Inc. | 103,490 | 4,008,168 |
Total Residential REITs | 37,291,864 | |
Retail REITs 17.1% | ||
Acadia Realty Trust | 106,580 | 1,529,423 |
Agree Realty Corp. | 63,090 | 4,474,974 |
Brixmor Property Group, Inc. | 162,070 | 3,674,127 |
Phillips Edison & Co., Inc. | 31,209 | 993,695 |
Realty Income Corp. | 128,080 | 8,124,114 |
Regency Centers Corp. | 40,350 | 2,521,875 |
RPT Realty | 158,742 | 1,593,770 |
Simon Property Group, Inc. | 52,990 | 6,225,265 |
Spirit Realty Capital, Inc. | 38,600 | 1,541,298 |
Urban Edge Properties | 65,050 | 916,554 |
Total Retail REITs | 31,595,095 | |
Specialized REITs 24.4% | ||
American Tower Corp. | 16,769 | 3,552,680 |
CubeSmart | 29,830 | 1,200,658 |
Digital Realty Trust, Inc. | 66,070 | 6,624,839 |
Equinix, Inc. | 15,509 | 10,158,860 |
Extra Space Storage, Inc. | 15,199 | 2,236,989 |
Four Corners Property Trust, Inc. | 33,160 | 859,839 |
Life Storage, Inc. | 36,890 | 3,633,665 |
Outfront Media, Inc. | 47,001 | 779,277 |
Public Storage | 29,450 | 8,251,595 |
SBA Communications Corp. | 14,530 | 4,072,904 |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
VICI Properties, Inc. | 114,582 | 3,712,457 |
Total Specialized REITs | 45,083,763 | |
Total Real Estate | 182,638,480 | |
Total Common Stocks (Cost: $197,531,966) | 182,638,480 | |
Money Market Funds 0.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 1,713,557 | 1,713,043 |
Total Money Market Funds (Cost: $1,712,993) | 1,713,043 | |
Total Investments in Securities (Cost $199,244,959) | 184,351,523 | |
Other Assets & Liabilities, Net | 488,629 | |
Net Assets | $184,840,152 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
839,660 | 24,228,691 | (23,355,358) | 50 | 1,713,043 | (354) | 22,921 | 1,713,557 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
December 31, 2022
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 | ||||
Real Estate | 182,638,480 | — | — | 182,638,480 |
Total Common Stocks | 182,638,480 | — | — | 182,638,480 |
Money Market Funds | 1,713,043 | — | — | 1,713,043 |
Total Investments in Securities | 184,351,523 | — | — | 184,351,523 |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 11 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $197,531,966) | $182,638,480 |
Affiliated issuers (cost $1,712,993) | 1,713,043 |
Receivable for: | |
Investments sold | 66,412 |
Capital shares sold | 2,809 |
Dividends | 913,114 |
Prepaid expenses | 7,147 |
Total assets | 185,341,005 |
Liabilities | |
Payable for: | |
Investments purchased | 395,787 |
Capital shares purchased | 16,582 |
Management services fees | 3,823 |
Distribution and/or service fees | 181 |
Service fees | 1,434 |
Compensation of board members | 62,067 |
Compensation of chief compliance officer | 35 |
Other expenses | 20,944 |
Total liabilities | 500,853 |
Net assets applicable to outstanding capital stock | $184,840,152 |
Represented by | |
Paid in capital | 184,502,161 |
Total distributable earnings (loss) | 337,991 |
Total - representing net assets applicable to outstanding capital stock | $184,840,152 |
Class 1 | |
Net assets | $158,574,381 |
Shares outstanding | 25,990,790 |
Net asset value per share | $6.10 |
Class 2 | |
Net assets | $26,265,771 |
Shares outstanding | 4,347,287 |
Net asset value per share | $6.04 |
12 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,530,260 |
Dividends — affiliated issuers | 22,921 |
Total income | 5,553,181 |
Expenses: | |
Management services fees | 1,585,700 |
Distribution and/or service fees | |
Class 2 | 74,402 |
Service fees | 19,114 |
Compensation of board members | 13,110 |
Custodian fees | 8,214 |
Printing and postage fees | 6,188 |
Audit fees | 29,610 |
Legal fees | 14,780 |
Interest on interfund lending | 20 |
Compensation of chief compliance officer | 27 |
Other | 8,736 |
Total expenses | 1,759,901 |
Net investment income | 3,793,280 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 14,606,656 |
Investments — affiliated issuers | (354) |
Net realized gain | 14,606,302 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (78,142,315) |
Investments — affiliated issuers | 50 |
Net change in unrealized appreciation (depreciation) | (78,142,265) |
Net realized and unrealized loss | (63,535,963) |
Net decrease in net assets resulting from operations | $(59,742,683) |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 13 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $3,793,280 | $3,186,952 |
Net realized gain | 14,606,302 | 44,366,045 |
Net change in unrealized appreciation (depreciation) | (78,142,265) | 43,627,913 |
Net increase (decrease) in net assets resulting from operations | (59,742,683) | 91,180,910 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (37,423,414) | (24,506,165) |
Class 2 | (6,236,896) | (3,210,746) |
Total distributions to shareholders | (43,660,310) | (27,716,911) |
Increase (decrease) in net assets from capital stock activity | 23,981,207 | (48,319,714) |
Total increase (decrease) in net assets | (79,421,786) | 15,144,285 |
Net assets at beginning of year | 264,261,938 | 249,117,653 |
Net assets at end of year | $184,840,152 | $264,261,938 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 225,693 | 1,701,834 | 148,159 | 1,355,549 |
Distributions reinvested | 5,278,338 | 37,423,414 | 2,692,985 | 24,506,165 |
Redemptions | (2,257,777) | (21,156,150) | (8,235,957) | (76,302,493) |
Net increase (decrease) | 3,246,254 | 17,969,098 | (5,394,813) | (50,440,779) |
Class 2 | ||||
Subscriptions | 333,845 | 2,594,980 | 464,483 | 4,196,638 |
Distributions reinvested | 887,183 | 6,236,896 | 355,564 | 3,210,746 |
Redemptions | (375,722) | (2,819,767) | (585,103) | (5,286,319) |
Net increase | 845,306 | 6,012,109 | 234,944 | 2,121,065 |
Total net increase (decrease) | 4,091,560 | 23,981,207 | (5,159,869) | (48,319,714) |
14 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $10.08 | 0.14 | (2.32) | (2.18) | (0.14) | (1.66) | (1.80) |
Year Ended 12/31/2021 | $7.94 | 0.11 | 3.07 | 3.18 | (0.13) | (0.91) | (1.04) |
Year Ended 12/31/2020 | $9.85 | 0.11 | (0.70) | (0.59) | (0.39) | (0.93) | (1.32) |
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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $10.00 | 0.12 | (2.30) | (2.18) | (0.12) | (1.66) | (1.78) |
Year Ended 12/31/2021 | $7.88 | 0.09 | 3.05 | 3.14 | (0.11) | (0.91) | (1.02) |
Year Ended 12/31/2020 | $9.79 | 0.11 | (0.72) | (0.61) | (0.37) | (0.93) | (1.30) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
16 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $6.10 | (24.12%) | 0.80%(c) | 0.80%(c) | 1.83% | 49% | $158,574 |
Year Ended 12/31/2021 | $10.08 | 41.44% | 0.80%(c) | 0.80%(c) | 1.24% | 57% | $229,250 |
Year Ended 12/31/2020 | $7.94 | (4.87%) | 0.79% | 0.79% | 1.37% | 98% | $223,363 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $6.04 | (24.33%) | 1.05%(c) | 1.05%(c) | 1.60% | 49% | $26,266 |
Year Ended 12/31/2021 | $10.00 | 41.20% | 1.05%(c) | 1.05%(c) | 1.03% | 57% | $35,012 |
Year Ended 12/31/2020 | $7.88 | (5.18%) | 1.05% | 1.05% | 1.31% | 98% | $25,754 |
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% | $24,164 |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.85% | 0.89% |
Class 2 | 1.10 | 1.14 |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 21 |
December 31, 2022
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
(49,962) | 49,962 | — |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
22,047,827 | 21,612,483 | 43,660,310 | 3,335,025 | 24,381,886 | 27,716,911 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
3,798,298 | 12,758,889 | — | (16,158,374) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
200,509,897 | 6,095,715 | (22,254,089) | (16,158,374) |
22 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 450,000 | 0.73 | 2 |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 23 |
December 31, 2022
24 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 25 |
26 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
Capital gain dividend | |
$13,475,473 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
28 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 29 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
30 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
(Unaudited)
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 | 31 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
32 | CTIVP® – CenterSquare Real Estate Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
7 | |
8 | |
11 | |
12 | |
13 | |
14 | |
16 | |
24 | |
25 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -25.60 | 8.74 | 10.19 | |
Class 2 | 05/07/10 | -25.79 | 8.47 | 9.91 | |
Russell Midcap Growth Index | -26.72 | 7.64 | 11.41 |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 97.3 |
Money Market Funds | 2.7 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 1.4 |
Consumer Discretionary | 15.9 |
Energy | 3.2 |
Financials | 9.2 |
Health Care | 19.3 |
Industrials | 19.4 |
Information Technology | 24.6 |
Materials | 3.6 |
Real Estate | 3.4 |
Total | 100.0 |
4 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
(Unaudited)
• | The consumer discretionary sector was the strongest relative performer for the Fund during the period, with performance driven by strong stock selection. The sector provided negative absolute returns and underperformed the broader market. The Fund was underweighted in the sector during the period and generated strong relative returns through stock selection and not owning many higher growth, high valuation stocks within the sector. |
• | The industrials sector also contributed positively to relative performance during the year, primarily driven by strong stock selection. The Fund’s overweight positioning in the sector also provided a tailwind as the sector outperformed the benchmark. |
• | The financials sector was another source of relative strength, driven by a combination of strong stock selection and our overweight positioning of the sector. Financials outperformed the broader market, but absolute returns were negative for the year. |
• | Oil and natural gas exploration and production company, Devon Energy Corp. was the top contributor to relative performance. Devon outperformed throughout the year, as we believe investors have come to view the company as a best-in-class operator with strong free cash flow and capital returns. |
• | LPL Financial Holdings, a provider of integrated brokerage and investment advisory services, was a top contributor. LPL is sensitive to short-term interest rates and benefited from the swift rise in rates and future rate expectations. The company continues to provide organic growth and remains a key holding in the Fund. |
• | Arthur J. Gallagher & Co., a provider of insurance brokerage and risk management services, also contributed to relative results. The company continues to benefit from strong pricing conditions within the property/casualty insurance segment and has guided organic growth higher than peers, which helped to further boost the shares. |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 5 |
(Unaudited)
• | The information technology sector was the biggest detractor from relative returns during the period. The sector underperformed the broader market, driven by the software and IT services groups. The Fund was modestly underweight in the sector during the year, and, importantly, we did not own the high growth, high valuation stocks within software and internet that significantly underperformed throughout the year. |
• | The consumer staples sector was also a source of relative weakness, an area where the Fund had no exposure throughout the year. The sector outperformed the broader market, despite negative absolute returns, and the Fund’s underweight allocation was a headwind. |
• | The energy sector also detracted from relative returns during the year. While the Fund’s sole investment within the sector, Devon Energy Corp. generated positive absolute returns and significantly outperformed the broader market, our underweight exposure to the sector relative to the benchmark was a performance headwind. |
• | ZoomInfo Technologies, a cloud-based sales and marketing information, leadership and development provider, was the Fund’s top detractor. The company underperformed after missing Q3 billings and reducing their full-year 2022 guide, citing a worsening macro environment. We have exited our position in ZoomInfo based on reduced conviction in our original thesis. |
• | Disruptive network security pioneer, Zscaler Inc, also detracted from relative returns. Shares drifted lower in the fourth quarter following the release of quarterly earnings in which the company missed buy-side billings expectations and didn’t raise their full-year guidance, citing a worsening macro environment. We continue to favor Zscaler and its combination of growth and profitability while serving a high-priority end-market (cybersecurity). |
• | Marvell Technology, Inc., a provider of data infrastructure and semiconductor solutions, detracted from relative results after the company reduced guidance significantly in the fourth quarter, citing weakening data center spending, especially storage, as the main driver, disappointing investors. We continue to have conviction in Marvell as the company has numerous product cycles and is seeing strength in multiple end-markets including carrier infrastructure, enterprise and autos. |
6 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
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 | 1,039.70 | 1,020.86 | 4.30 | 4.26 | 0.84 |
Class 2 | 1,000.00 | 1,000.00 | 1,038.50 | 1,019.60 | 5.57 | 5.52 | 1.09 |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 7 |
December 31, 2022
Common Stocks 97.1% | ||
Issuer | Shares | Value ($) |
Communication Services 1.4% | ||
Entertainment 1.4% | ||
Live Nation Entertainment, Inc.(a) | 61,600 | 4,295,984 |
Total Communication Services | 4,295,984 | |
Consumer Discretionary 15.5% | ||
Auto Components 1.0% | ||
Aptiv PLC(a) | 33,180 | 3,090,053 |
Hotels, Restaurants & Leisure 7.3% | ||
Chipotle Mexican Grill, Inc.(a) | 5,974 | 8,288,865 |
Hilton Worldwide Holdings, Inc. | 66,030 | 8,343,551 |
Vail Resorts, Inc. | 27,310 | 6,509,339 |
Total | 23,141,755 | |
Internet & Direct Marketing Retail 2.0% | ||
Etsy, Inc.(a) | 53,130 | 6,363,912 |
Textiles, Apparel & Luxury Goods 5.2% | ||
lululemon athletica, Inc.(a) | 30,707 | 9,837,908 |
Tapestry, Inc. | 175,471 | 6,681,936 |
Total | 16,519,844 | |
Total Consumer Discretionary | 49,115,564 | |
Energy 3.1% | ||
Oil, Gas & Consumable Fuels 3.1% | ||
Devon Energy Corp. | 161,820 | 9,953,548 |
Total Energy | 9,953,548 | |
Financials 8.9% | ||
Banks 1.3% | ||
First Republic Bank | 33,230 | 4,050,405 |
Capital Markets 3.9% | ||
LPL Financial Holdings, Inc. | 24,868 | 5,375,715 |
MSCI, Inc. | 15,465 | 7,193,854 |
Total | 12,569,569 | |
Insurance 3.7% | ||
Allstate Corp. (The) | 36,350 | 4,929,060 |
Arthur J Gallagher & Co. | 36,070 | 6,800,638 |
Total | 11,729,698 | |
Total Financials | 28,349,672 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 18.8% | ||
Biotechnology 3.5% | ||
Ascendis Pharma A/S ADR(a) | 53,040 | 6,477,775 |
Sarepta Therapeutics, Inc.(a) | 35,980 | 4,662,288 |
Total | 11,140,063 | |
Health Care Equipment & Supplies 9.4% | ||
Cooper Companies, Inc. (The) | 18,659 | 6,169,972 |
DexCom, Inc.(a) | 92,650 | 10,491,686 |
IDEXX Laboratories, Inc.(a) | 19,070 | 7,779,797 |
Insulet Corp.(a) | 18,408 | 5,419,131 |
Total | 29,860,586 | |
Health Care Providers & Services 1.9% | ||
Quest Diagnostics, Inc. | 38,200 | 5,976,008 |
Life Sciences Tools & Services 4.0% | ||
Avantor, Inc.(a) | 244,826 | 5,163,380 |
ICON PLC(a) | 38,590 | 7,496,108 |
Total | 12,659,488 | |
Total Health Care | 59,636,145 | |
Industrials 18.8% | ||
Aerospace & Defense 2.7% | ||
TransDigm Group, Inc. | 13,883 | 8,741,431 |
Commercial Services & Supplies 3.2% | ||
Copart, Inc.(a) | 96,440 | 5,872,232 |
Waste Connections, Inc. | 31,650 | 4,195,524 |
Total | 10,067,756 | |
Electrical Equipment 4.9% | ||
AMETEK, Inc. | 50,700 | 7,083,804 |
Rockwell Automation, Inc. | 33,385 | 8,598,975 |
Total | 15,682,779 | |
Machinery 2.0% | ||
IDEX Corp. | 28,380 | 6,480,005 |
Professional Services 2.8% | ||
CoStar Group, Inc.(a) | 71,590 | 5,532,475 |
FTI Consulting, Inc.(a) | 20,930 | 3,323,684 |
Total | 8,856,159 |
8 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Trading Companies & Distributors 3.2% | ||
WESCO International, Inc.(a) | 80,260 | 10,048,552 |
Total Industrials | 59,876,682 | |
Information Technology 23.9% | ||
Electronic Equipment, Instruments & Components 1.6% | ||
Teledyne Technologies, Inc.(a) | 12,855 | 5,140,843 |
IT Services 4.7% | ||
Genpact Ltd. | 91,280 | 4,228,090 |
Global Payments, Inc. | 56,500 | 5,611,580 |
MongoDB, Inc.(a) | 25,890 | 5,096,187 |
Total | 14,935,857 | |
Semiconductors & Semiconductor Equipment 3.8% | ||
Marvell Technology, Inc. | 145,940 | 5,405,618 |
Microchip Technology, Inc. | 95,650 | 6,719,412 |
Total | 12,125,030 | |
Software 12.0% | ||
Ceridian HCM Holding, Inc.(a) | 92,370 | 5,925,535 |
Fortinet, Inc.(a) | 164,140 | 8,024,805 |
HubSpot, Inc.(a) | 21,790 | 6,300,143 |
Lightspeed Commerce, Inc.(a) | 135,619 | 1,939,352 |
NiCE Ltd., ADR(a) | 25,570 | 4,917,111 |
Palo Alto Networks, Inc.(a) | 55,960 | 7,808,658 |
Zscaler, Inc.(a) | 27,860 | 3,117,534 |
Total | 38,033,138 | |
Technology Hardware, Storage & Peripherals 1.8% | ||
NetApp, Inc. | 94,695 | 5,687,382 |
Total Information Technology | 75,922,250 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 3.4% | ||
Chemicals 1.6% | ||
Celanese Corp., Class A | 50,630 | 5,176,411 |
Construction Materials 1.8% | ||
Vulcan Materials Co. | 33,040 | 5,785,635 |
Total Materials | 10,962,046 | |
Real Estate 3.3% | ||
Equity Real Estate Investment Trusts (REITS) 3.3% | ||
Essex Property Trust, Inc. | 29,360 | 6,221,971 |
Sun Communities, Inc. | 30,030 | 4,294,290 |
Total | 10,516,261 | |
Total Real Estate | 10,516,261 | |
Total Common Stocks (Cost $301,835,993) | 308,628,152 | |
Money Market Funds 2.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 8,640,651 | 8,638,059 |
Total Money Market Funds (Cost $8,637,433) | 8,638,059 | |
Total Investments in Securities (Cost: $310,473,426) | 317,266,211 | |
Other Assets & Liabilities, Net | 663,519 | |
Net Assets | 317,929,730 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
9,142,488 | 105,087,941 | (105,592,996) | 626 | 8,638,059 | (1,579) | 82,810 | 8,640,651 |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 9 |
December 31, 2022
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 | 4,295,984 | — | — | 4,295,984 |
Consumer Discretionary | 49,115,564 | — | — | 49,115,564 |
Energy | 9,953,548 | — | — | 9,953,548 |
Financials | 28,349,672 | — | — | 28,349,672 |
Health Care | 59,636,145 | — | — | 59,636,145 |
Industrials | 59,876,682 | — | — | 59,876,682 |
Information Technology | 75,922,250 | — | — | 75,922,250 |
Materials | 10,962,046 | — | — | 10,962,046 |
Real Estate | 10,516,261 | — | — | 10,516,261 |
Total Common Stocks | 308,628,152 | — | — | 308,628,152 |
Money Market Funds | 8,638,059 | — | — | 8,638,059 |
Total Investments in Securities | 317,266,211 | — | — | 317,266,211 |
10 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $301,835,993) | $308,628,152 |
Affiliated issuers (cost $8,637,433) | 8,638,059 |
Receivable for: | |
Investments sold | 615,517 |
Capital shares sold | 507 |
Dividends | 191,857 |
Expense reimbursement due from Investment Manager | 33 |
Prepaid expenses | 9,047 |
Total assets | 318,083,172 |
Liabilities | |
Payable for: | |
Capital shares purchased | 43,978 |
Management services fees | 7,073 |
Distribution and/or service fees | 179 |
Service fees | 1,379 |
Compensation of board members | 80,230 |
Compensation of chief compliance officer | 62 |
Audit fees | 14,750 |
Other expenses | 5,791 |
Total liabilities | 153,442 |
Net assets applicable to outstanding capital stock | $317,929,730 |
Represented by | |
Trust capital | $317,929,730 |
Total - representing net assets applicable to outstanding capital stock | $317,929,730 |
Class 1 | |
Net assets | $291,820,040 |
Shares outstanding | 8,189,869 |
Net asset value per share | $35.63 |
Class 2 | |
Net assets | $26,109,690 |
Shares outstanding | 757,208 |
Net asset value per share | $34.48 |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 11 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,997,651 |
Dividends — affiliated issuers | 82,810 |
Interfund lending | 177 |
Foreign taxes withheld | (4,790) |
Total income | 3,075,848 |
Expenses: | |
Management services fees | 2,782,529 |
Distribution and/or service fees | |
Class 2 | 70,643 |
Service fees | 17,757 |
Compensation of board members | 13,710 |
Custodian fees | 11,557 |
Printing and postage fees | 9,414 |
Audit fees | 29,500 |
Legal fees | 16,492 |
Compensation of chief compliance officer | 48 |
Other | 11,275 |
Total expenses | 2,962,925 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (6,595) |
Total net expenses | 2,956,330 |
Net investment income | 119,518 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (4,012,941) |
Investments — affiliated issuers | (1,579) |
Net realized loss | (4,014,520) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (104,689,896) |
Investments — affiliated issuers | 626 |
Net change in unrealized appreciation (depreciation) | (104,689,270) |
Net realized and unrealized loss | (108,703,790) |
Net decrease in net assets resulting from operations | $(108,584,272) |
12 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income (loss) | $119,518 | $(1,538,118) |
Net realized gain (loss) | (4,014,520) | 161,419,806 |
Net change in unrealized appreciation (depreciation) | (104,689,270) | (92,818,320) |
Net increase (decrease) in net assets resulting from operations | (108,584,272) | 67,063,368 |
Increase (decrease) in net assets from capital stock activity | 79,485 | (309,829,368) |
Total decrease in net assets | (108,504,787) | (242,766,000) |
Net assets at beginning of year | 426,434,517 | 669,200,517 |
Net assets at end of year | $317,929,730 | $426,434,517 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 238,398 | 8,573,368 | 33,555 | 1,463,238 |
Redemptions | (225,469) | (8,747,179) | (7,419,513) | (310,614,653) |
Net increase (decrease) | 12,929 | (173,811) | (7,385,958) | (309,151,415) |
Class 2 | ||||
Subscriptions | 76,858 | 2,924,539 | 63,728 | 2,779,787 |
Redemptions | (70,047) | (2,671,243) | (80,326) | (3,457,740) |
Net increase (decrease) | 6,811 | 253,296 | (16,598) | (677,953) |
Total net increase (decrease) | 19,740 | 79,485 | (7,402,556) | (309,829,368) |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $47.89 | 0.02 | (12.28) | (12.26) |
Year Ended 12/31/2021 | $41.03 | (0.14) | 7.00 | 6.86 |
Year Ended 12/31/2020 | $32.18 | (0.11) | 8.96 | 8.85 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $46.46 | (0.07) | (11.91) | (11.98) |
Year Ended 12/31/2021 | $39.91 | (0.24) | 6.79 | 6.55 |
Year Ended 12/31/2020 | $31.38 | (0.19) | 8.72 | 8.53 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
14 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $35.63 | (25.60%) | 0.84% | 0.84% | 0.06% | 60% | $291,820 |
Year Ended 12/31/2021 | $47.89 | 16.72% | 0.84%(c) | 0.84%(c) | (0.32%) | 58% | $391,573 |
Year Ended 12/31/2020 | $41.03 | 27.50% | 0.83%(c) | 0.83%(c) | (0.35%) | 75% | $638,591 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $34.48 | (25.79%) | 1.09% | 1.09% | (0.19%) | 60% | $26,110 |
Year Ended 12/31/2021 | $46.46 | 16.41% | 1.09%(c) | 1.09%(c) | (0.56%) | 58% | $34,861 |
Year Ended 12/31/2020 | $39.91 | 27.18% | 1.08%(c) | 1.08%(c) | (0.60%) | 75% | $30,610 |
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% | $18,181 |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 15 |
December 31, 2022
16 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 17 |
December 31, 2022
18 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.84% |
Class 2 | 1.09 |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 19 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 4,700,000 | 1.36 | 1 |
20 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 23 |
24 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 25 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
26 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 27 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
28 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 | 29 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
30 | CTIVP® – Westfield Mid Cap Growth Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
8 | |
9 | |
14 | |
15 | |
16 | |
18 | |
20 | |
28 | |
29 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -28.97 | 4.30 | 7.58 | |
Class 2 | 05/07/10 | -29.13 | 4.04 | 7.31 | |
Russell 2000 Growth Index | -26.36 | 3.51 | 9.20 |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Common Stocks | 98.7 |
Money Market Funds | 1.3 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2022) | |
Communication Services | 1.5 |
Consumer Discretionary | 10.1 |
Consumer Staples | 4.3 |
Energy | 3.5 |
Financials | 5.1 |
Health Care | 27.0 |
Industrials | 16.8 |
Information Technology | 29.0 |
Materials | 1.5 |
Real Estate | 1.2 |
Total | 100.0 |
4 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
(Unaudited)
• | The information technology sector was a notable underperformer for our portion of the Fund given our overweight in the sector that saw broad-based valuation compression. Our investment process focuses on stocks that fit our emphasis on robust and sustainable growth, but higher interest rates severely cut into valuations for stocks in the information technology sector. |
• | The consumer discretionary and energy sectors also detracted. |
○ | Energy stocks did well due to higher energy prices, which became a drag on Fund performance because of our underweight. Our investment process emphasizes companies with sustainable growth that is tied to secular drivers, as opposed to simply benefiting from cyclical growth tied to the economy. Energy is often in the latter group, so while it’s having its revival moment due to global supply constraints amplified by the war in Ukraine, our portfolio will likely maintain an underweight relative to the benchmark. |
• | Holdings in our portion of the Fund that detracted from performance included Codexis, Inc., a leading protein engineering company with a particular specialty in enzyme optimization. Shares fell as investors began to abandon companies that were thought to be COVID-19 beneficiaries. We sold our position in Codexis. |
• | Rapid7, Inc. provides security data and analytics solutions that enable organizations to implement active cybersecurity. It offers penetration test services, vulnerability management, detection and response services, internet-of-things services, and training and certification. Its platform collects data, making it easy for teams to manage vulnerabilities, monitor for malicious behavior, investigate and shut down attacks and automate a company’s operations. This process |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 5 |
(Unaudited)
allows teams to act quickly to respond to issues that reduce the total cost of ownership. The company reported slowing growth and we determined that its total addressable market may not be as big as competitors with more full-scale solutions. We sold the stock. | |
• | Semtech Corp. is a supplier of analog and mixed-signal semiconductor products and advanced algorithms. The company designs, develops and markets a range of products for commercial applications, which are sold into the enterprise computing, communications, consumer, commercial and industrial end markets. The company’s shares tumbled during the period after it reported disappointing sequential quarterly bookings with particular weakness from its high-end consumer market segments. Inflationary pressures, supply chain challenges, and the impacts of COVID-19 in China were headwinds for Semtech and its semiconductor peers. |
• | Negative performance from the industrials, energy and materials sectors hurt our portion of the Fund’s performance. |
• | Negative stock selection in machinery, healthcare equipment and supplies, construction/engineering and distributors detracted. |
• | Overweights relative to the benchmark in information technology, health care and an underweight in the energy sector also hurt performance. |
• | Among holdings, Omnicell, Inc., Ambarella, Inc. and Semtech were the weakest performers. |
○ | Omnicell, a health care technology company, struggled as its profitability was pressured by rising input costs and, later in the year, as the company faced implementation headwinds as hospital clients struggled with staffing required to implement new systems. |
○ | Semiconductor design company Ambarella underperformed, as the company faced supply constraints and the semiconductor industry underperformed as a group. During the year Ambarella continued to build a strong position in computer vision and won placements with key automotive component suppliers. |
○ | Semtech lowered guidance as supply constraints and the impact of Chinese COVID-19 restrictions hampered production. The company announced the acquisition of Sierra Wireless, which was poorly received by the market. We eliminated our position in Semtech in the fourth quarter. |
• | The financials sector was the best-performing sector in our portion of the Fund due to stock selection, notably top positions Kinsale Capital Group, Inc. and Stifel Financial Corp., which performed well during the period. |
• | The real estate sector is a small part of the benchmark, and we typically do not find holdings that fit our investment process. The Fund’s lack of exposure to real estate was positive given the sector’s underperformance during the period. |
• | Fund holdings that contributed to performance included Shockwave Medical, Inc., a medical device company that provides the only intravascular lithotripsy (IVL) catheter in the coronary artery disease and peripheral arterial disease market. Shockwave Medical has a differentiated offering given its ease of use, ability to treat calcium and safety profile, all of which position the company to drive widespread adoption within multiple areas. The company’s stock price rose during the period after the company continuously beat estimates and showed strong growth. |
• | Kinsale Capital Group, Inc. is a pure-play excess and surplus (E&S) insurer. E&S is a segment of the insurance market that provides property and casualty insurance through brokers for consumers with either poor loss history or unique risks that traditional property and casualty market will not cover. The company pays a lower commission to these brokers, but the speed with which the insurance gets underwritten and sold is a key differentiator of the firm’s capabilities. During the period, the stock rose, as the company continues to deliver premium growth and earnings growth. We believe the company remains well positioned given its favorable cost structure over its peers, which is largely due to its technology innovation and lower commission payouts to brokers. |
6 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
(Unaudited)
• | Calix, Inc. is a provider of cloud and software platforms, systems and services that is focused on the access network – the portion of the network that governs available bandwidth and determines the range of services that can be offered to subscribers. Calix develops and markets its cloud and software platforms, systems, and services to broadband service providers (BSPs) through its direct sales force as well as select resellers. Its role-based cloud platforms enable BSP teams, such as operations, marketing and support, to leverage real-time behavioral analytics to anticipate the subscriber’s needs. Calix serves many rural markets where there is strong funding support that we think can sustain growth for years to come. Its shares outperformed during the period. |
• | Our portion of the Fund benefited from its positions in the information technology, health care and consumer discretionary sectors. |
• | Favorable stock selection in semiconductors, electronic equipment, life sciences tools and services, and biotechnology also helped. |
• | Among Fund holdings, Halozyme Therapeutics, Inc., Impinj, Inc. and HealthEquity, Inc. were the three strongest stocks. |
○ | Halozyme is a biopharma technology platform focused on facilitating the delivery of injected drugs. It reduces a normal intravenous procedure to a subcutaneous procedure, saving significant time. The company also purchased auto-injector Antares, a transaction that has been favorably received. |
○ | Impinj is a leading producer of radio frequency identification (RFID) chips used in retail tags, RFID scanners and point-of-sale readers. In our opinion, demand continues to look robust across multiple end-markets and the company is beginning to see improving wafer supply to meet this strong demand, which we believe should drive positive margin leverage. |
○ | HealthEquity provides healthcare savings accounts, consumer-directed benefit plans and other reimbursement arrangements. Rising interest rates and continued market share gains have benefited the company. |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,023.40 | 1,020.81 | 4.31 | 4.31 | 0.85 |
Class 2 | 1,000.00 | 1,000.00 | 1,022.20 | 1,019.55 | 5.58 | 5.57 | 1.10 |
8 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Communication Services 1.5% | ||
Interactive Media & Services 0.8% | ||
Ziff Davis, Inc.(a) | 56,156 | 4,441,940 |
Media 0.7% | ||
Magnite, Inc.(a) | 265,624 | 2,812,958 |
TechTarget, Inc.(a) | 22,300 | 982,538 |
Total | 3,795,496 | |
Total Communication Services | 8,237,436 | |
Consumer Discretionary 9.9% | ||
Auto Components 1.9% | ||
Fox Factory Holding Corp.(a) | 45,265 | 4,129,526 |
Patrick Industries, Inc. | 60,397 | 3,660,058 |
Stoneridge, Inc.(a) | 140,652 | 3,032,457 |
Total | 10,822,041 | |
Automobiles 0.6% | ||
Thor Industries, Inc. | 42,803 | 3,231,199 |
Diversified Consumer Services 0.7% | ||
OneSpaWorld Holdings Ltd.(a) | 388,312 | 3,622,951 |
Hotels, Restaurants & Leisure 3.4% | ||
Cheesecake Factory, Inc. (The) | 91,084 | 2,888,274 |
Cracker Barrel Old Country Store, Inc. | 26,075 | 2,470,346 |
First Watch Restaurant Group, Inc.(a) | 87,159 | 1,179,261 |
Hilton Grand Vacations, Inc.(a) | 106,200 | 4,092,948 |
Lindblad Expeditions Holdings, Inc.(a) | 174,082 | 1,340,431 |
Papa John’s International, Inc. | 64,955 | 5,346,446 |
Wingstop, Inc. | 14,394 | 1,980,902 |
Total | 19,298,608 | |
Household Durables 1.5% | ||
Installed Building Products, Inc. | 57,130 | 4,890,328 |
LGI Homes, Inc.(a) | 39,791 | 3,684,647 |
Total | 8,574,975 | |
Specialty Retail 0.9% | ||
Boot Barn Holdings, Inc.(a) | 14,625 | 914,355 |
Leslie’s, Inc.(a) | 92,173 | 1,125,432 |
Monro, Inc. | 65,885 | 2,978,002 |
Total | 5,017,789 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 0.9% | ||
Crocs, Inc.(a) | 23,560 | 2,554,611 |
Deckers Outdoor Corp.(a) | 1,759 | 702,122 |
G-III Apparel Group Ltd.(a) | 138,690 | 1,901,440 |
Total | 5,158,173 | |
Total Consumer Discretionary | 55,725,736 | |
Consumer Staples 4.3% | ||
Beverages 1.1% | ||
Celsius Holdings, Inc.(a) | 22,530 | 2,344,021 |
Duckhorn Portfolio, Inc. (The)(a) | 168,555 | 2,792,957 |
MGP Ingredients, Inc. | 7,800 | 829,764 |
Total | 5,966,742 | |
Food & Staples Retailing 2.1% | ||
Performance Food Group, Inc.(a) | 109,056 | 6,367,780 |
The Chefs’ Warehouse(a) | 162,605 | 5,411,494 |
Total | 11,779,274 | |
Food Products 0.6% | ||
Simply Good Foods Co. (The)(a) | 82,593 | 3,141,012 |
Personal Products 0.5% | ||
elf Beauty, Inc.(a) | 52,964 | 2,928,909 |
Thorne HealthTech, Inc.(a) | 31,368 | 113,866 |
Total | 3,042,775 | |
Total Consumer Staples | 23,929,803 | |
Energy 3.5% | ||
Energy Equipment & Services 1.3% | ||
Core Laboratories NV | 158,273 | 3,208,194 |
Helmerich & Payne, Inc. | 78,800 | 3,906,116 |
Total | 7,114,310 | |
Oil, Gas & Consumable Fuels 2.2% | ||
Excelerate Energy, Inc., Class A | 129,523 | 3,244,551 |
Kimbell Royalty Partners LP | 176,380 | 2,945,546 |
Matador Resources Co. | 45,500 | 2,604,420 |
Talos Energy, Inc.(a) | 41,200 | 777,856 |
Viper Energy Partners LP | 88,400 | 2,810,236 |
Total | 12,382,609 | |
Total Energy | 19,496,919 |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 9 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 5.1% | ||
Banks 0.6% | ||
Hilltop Holdings, Inc. | 103,982 | 3,120,500 |
Capital Markets 2.1% | ||
Cohen & Steers, Inc. | 79,581 | 5,137,749 |
PJT Partners, Inc. | 56,914 | 4,193,993 |
Stifel Financial Corp. | 44,570 | 2,601,551 |
Total | 11,933,293 | |
Insurance 1.6% | ||
Kinsale Capital Group, Inc. | 34,791 | 9,098,542 |
Thrifts & Mortgage Finance 0.8% | ||
Axos Financial, Inc.(a) | 110,305 | 4,215,857 |
Total Financials | 28,368,192 | |
Health Care 26.6% | ||
Biotechnology 6.0% | ||
Apellis Pharmaceuticals, Inc.(a) | 22,000 | 1,137,620 |
Arcutis Biotherapeutics, Inc.(a) | 235,947 | 3,492,016 |
Coherus Biosciences, Inc.(a) | 339,777 | 2,691,034 |
Cytokinetics, Inc.(a) | 40,600 | 1,860,292 |
Eagle Pharmaceuticals, Inc.(a) | 72,631 | 2,123,004 |
Halozyme Therapeutics, Inc.(a) | 213,167 | 12,129,202 |
Immunocore Holdings PLC, ADR(a) | 21,100 | 1,204,177 |
Insmed, Inc.(a) | 164,807 | 3,292,844 |
Vericel Corp.(a) | 210,776 | 5,551,840 |
Total | 33,482,029 | |
Health Care Equipment & Supplies 10.7% | ||
Axonics, Inc.(a) | 94,100 | 5,884,073 |
ICU Medical, Inc.(a) | 23,487 | 3,698,733 |
Inari Medical, Inc.(a) | 65,000 | 4,131,400 |
Inspire Medical Systems, Inc.(a) | 19,049 | 4,798,062 |
Integer Holdings Corp.(a) | 56,639 | 3,877,506 |
iRhythm Technologies, Inc.(a) | 33,300 | 3,119,211 |
Lantheus Holdings, Inc.(a) | 36,467 | 1,858,358 |
LeMaitre Vascular, Inc. | 104,328 | 4,801,174 |
Omnicell, Inc.(a) | 58,940 | 2,971,755 |
OrthoPediatrics Corp.(a) | 57,025 | 2,265,603 |
Outset Medical, Inc.(a) | 60,370 | 1,558,753 |
Shockwave Medical, Inc.(a) | 17,360 | 3,569,390 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SI-BONE, Inc.(a) | 154,620 | 2,102,832 |
Silk Road Medical, Inc.(a) | 75,733 | 4,002,489 |
TransMedics Group, Inc.(a) | 124,483 | 7,683,091 |
Treace Medical Concepts, Inc.(a) | 77,000 | 1,770,230 |
Varex Imaging Corp.(a) | 106,129 | 2,154,419 |
Total | 60,247,079 | |
Health Care Providers & Services 5.2% | ||
AdaptHealth Corp.(a) | 218,415 | 4,197,936 |
AMN Healthcare Services, Inc.(a) | 64,403 | 6,621,917 |
Castle Biosciences, Inc.(a) | 78,138 | 1,839,369 |
HealthEquity, Inc.(a) | 152,608 | 9,406,757 |
ModivCare, Inc.(a) | 32,140 | 2,883,922 |
Privia Health Group, Inc.(a) | 57,369 | 1,302,850 |
U.S. Physical Therapy, Inc. | 35,627 | 2,886,856 |
Total | 29,139,607 | |
Health Care Technology 0.4% | ||
Evolent Health, Inc., Class A(a) | 72,650 | 2,040,012 |
Life Sciences Tools & Services 1.6% | ||
Akoya Biosciences, Inc.(a) | 40,892 | 391,336 |
Medpace Holdings, Inc.(a) | 35,204 | 7,477,682 |
NeoGenomics, Inc.(a) | 138,179 | 1,276,774 |
Total | 9,145,792 | |
Pharmaceuticals 2.7% | ||
Amylyx Pharmaceuticals, Inc.(a) | 58,610 | 2,165,639 |
Harmony Biosciences Holdings, Inc.(a) | 42,000 | 2,314,200 |
Pacira Pharmaceuticals, Inc.(a) | 76,821 | 2,966,059 |
Revance Therapeutics, Inc.(a) | 108,687 | 2,006,362 |
Supernus Pharmaceuticals, Inc.(a) | 158,685 | 5,660,294 |
Total | 15,112,554 | |
Total Health Care | 149,167,073 | |
Industrials 16.6% | ||
Aerospace & Defense 0.6% | ||
Kratos Defense & Security Solutions, Inc.(a) | 328,726 | 3,392,452 |
Air Freight & Logistics 1.0% | ||
Forward Air Corp. | 51,008 | 5,350,229 |
Building Products 0.7% | ||
Zurn Elkay Water Solutions Corp. | 192,145 | 4,063,867 |
10 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Commercial Services & Supplies 2.0% | ||
Aris Water Solution, Inc. | 227,461 | 3,277,713 |
Casella Waste Systems, Inc., Class A(a) | 102,280 | 8,111,827 |
Total | 11,389,540 | |
Construction & Engineering 1.3% | ||
Construction Partners, Inc., Class A(a) | 44,040 | 1,175,428 |
Dycom Industries, Inc.(a) | 66,409 | 6,215,882 |
Total | 7,391,310 | |
Electrical Equipment 1.9% | ||
Array Technologies, Inc.(a) | 12,800 | 247,424 |
Regal Rexnord Corp. | 5,540 | 664,689 |
Shoals Technologies Group, Inc., Class A(a) | 135,716 | 3,348,114 |
TPI Composites, Inc.(a) | 163,143 | 1,654,270 |
Vicor Corp.(a) | 81,075 | 4,357,781 |
Total | 10,272,278 | |
Machinery 3.1% | ||
Albany International Corp., Class A | 53,062 | 5,231,383 |
Chart Industries, Inc.(a) | 38,823 | 4,473,574 |
Evoqua Water Technologies Corp.(a) | 108,300 | 4,288,680 |
SPX Technologies, Inc.(a) | 51,227 | 3,363,053 |
Total | 17,356,690 | |
Professional Services 2.5% | ||
ASGN, Inc.(a) | 84,785 | 6,908,282 |
Insperity, Inc. | 62,458 | 7,095,229 |
Total | 14,003,511 | |
Road & Rail 0.5% | ||
Marten Transport Ltd. | 54,700 | 1,081,966 |
Saia, Inc.(a) | 8,480 | 1,778,086 |
Total | 2,860,052 | |
Trading Companies & Distributors 3.0% | ||
Applied Industrial Technologies, Inc. | 86,337 | 10,881,052 |
Global Industrial Co. | 119,873 | 2,820,612 |
SiteOne Landscape Supply, Inc.(a) | 27,920 | 3,275,574 |
Total | 16,977,238 | |
Total Industrials | 93,057,167 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 28.6% | ||
Communications Equipment 1.8% | ||
Calix, Inc.(a) | 130,400 | 8,923,272 |
Harmonic, Inc.(a) | 82,700 | 1,083,370 |
Total | 10,006,642 | |
Electronic Equipment, Instruments & Components 5.1% | ||
Advanced Energy Industries, Inc. | 47,546 | 4,078,496 |
Coherent Corp.(a) | 96,813 | 3,398,136 |
ePlus, Inc.(a) | 85,246 | 3,774,693 |
Fabrinet(a) | 44,751 | 5,737,973 |
Novanta, Inc.(a) | 53,213 | 7,230,051 |
Plexus Corp.(a) | 43,814 | 4,509,775 |
Total | 28,729,124 | |
IT Services 6.0% | ||
DigitalOcean Holdings, Inc.(a) | 119,432 | 3,041,933 |
Endava PLC, ADR(a) | 37,698 | 2,883,897 |
Evo Payments, Inc., Class A(a) | 125,105 | 4,233,553 |
ExlService Holdings, Inc.(a) | 31,800 | 5,387,874 |
Flywire Corp.(a) | 168,319 | 4,118,766 |
I3 Verticals, Inc.(a) | 178,939 | 4,355,375 |
Shift4 Payments, Inc., Class A(a) | 75,300 | 4,211,529 |
TTEC Holdings, Inc. | 47,558 | 2,098,735 |
WNS Holdings Ltd., ADR(a) | 40,200 | 3,215,598 |
Total | 33,547,260 | |
Semiconductors & Semiconductor Equipment 7.0% | ||
Allegro MicroSystems, Inc.(a) | 175,059 | 5,255,271 |
Ambarella, Inc.(a) | 61,724 | 5,075,564 |
Credo Technology Group Holding Ltd.(a) | 324,090 | 4,313,638 |
Diodes, Inc.(a) | 73,400 | 5,588,676 |
Impinj, Inc.(a) | 53,089 | 5,796,257 |
Power Integrations, Inc. | 52,995 | 3,800,801 |
Semtech Corp.(a) | 151,240 | 4,339,076 |
Silicon Laboratories, Inc.(a) | 20,025 | 2,716,792 |
Ultra Clean Holdings, Inc.(a) | 72,945 | 2,418,127 |
Total | 39,304,202 |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 11 |
December 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 8.7% | ||
Box, Inc., Class A(a) | 196,066 | 6,103,535 |
CyberArk Software Ltd.(a) | 24,449 | 3,169,813 |
Descartes Systems Group, Inc. (The)(a) | 66,564 | 4,636,183 |
EngageSmart, Inc.(a) | 88,800 | 1,562,880 |
Envestnet, Inc.(a) | 56,728 | 3,500,118 |
Jamf Holding Corp.(a) | 106,595 | 2,270,473 |
Paycor HCM, Inc.(a) | 165,471 | 4,049,075 |
Qualys, Inc.(a) | 36,483 | 4,094,487 |
Sprout Social, Inc., Class A(a) | 64,930 | 3,665,948 |
SPS Commerce, Inc.(a) | 79,368 | 10,193,232 |
Verint Systems, Inc.(a) | 98,252 | 3,564,582 |
Workiva, Inc., Class A(a) | 21,760 | 1,827,187 |
Total | 48,637,513 | |
Total Information Technology | 160,224,741 | |
Materials 1.5% | ||
Chemicals 0.9% | ||
Balchem Corp. | 40,915 | 4,996,130 |
Metals & Mining 0.6% | ||
Materion Corp. | 38,586 | 3,376,661 |
Total Materials | 8,372,791 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate 1.1% | ||
Equity Real Estate Investment Trusts (REITS) 1.1% | ||
CareTrust REIT, Inc. | 210,934 | 3,919,153 |
UMH Properties, Inc. | 149,648 | 2,409,333 |
Total | 6,328,486 | |
Total Real Estate | 6,328,486 | |
Total Common Stocks (Cost $553,704,467) | 552,908,344 | |
Money Market Funds 1.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(b),(c) | 7,129,732 | 7,127,593 |
Total Money Market Funds (Cost $7,127,020) | 7,127,593 | |
Total Investments in Securities (Cost: $560,831,487) | 560,035,937 | |
Other Assets & Liabilities, Net | 173,454 | |
Net Assets | 560,209,391 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
4,604,054 | 117,999,245 | (115,476,363) | 657 | 7,127,593 | (338) | 175,537 | 7,129,732 |
ADR | American Depositary Receipt |
12 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
December 31, 2022
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 8,237,436 | — | — | 8,237,436 |
Consumer Discretionary | 55,725,736 | — | — | 55,725,736 |
Consumer Staples | 23,929,803 | — | — | 23,929,803 |
Energy | 19,496,919 | — | — | 19,496,919 |
Financials | 28,368,192 | — | — | 28,368,192 |
Health Care | 149,167,073 | — | — | 149,167,073 |
Industrials | 93,057,167 | — | — | 93,057,167 |
Information Technology | 160,224,741 | — | — | 160,224,741 |
Materials | 8,372,791 | — | — | 8,372,791 |
Real Estate | 6,328,486 | — | — | 6,328,486 |
Total Common Stocks | 552,908,344 | — | — | 552,908,344 |
Money Market Funds | 7,127,593 | — | — | 7,127,593 |
Total Investments in Securities | 560,035,937 | — | — | 560,035,937 |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 13 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $553,704,467) | $552,908,344 |
Affiliated issuers (cost $7,127,020) | 7,127,593 |
Receivable for: | |
Investments sold | 140,049 |
Capital shares sold | 207 |
Dividends | 174,187 |
Expense reimbursement due from Investment Manager | 622 |
Prepaid expenses | 10,422 |
Total assets | 560,361,424 |
Liabilities | |
Payable for: | |
Investments purchased | 28,587 |
Capital shares purchased | 10,144 |
Management services fees | 13,289 |
Distribution and/or service fees | 113 |
Service fees | 838 |
Compensation of board members | 75,972 |
Compensation of chief compliance officer | 110 |
Audit fees | 14,750 |
Other expenses | 8,230 |
Total liabilities | 152,033 |
Net assets applicable to outstanding capital stock | $560,209,391 |
Represented by | |
Trust capital | $560,209,391 |
Total - representing net assets applicable to outstanding capital stock | $560,209,391 |
Class 1 | |
Net assets | $543,776,382 |
Shares outstanding | 20,070,227 |
Net asset value per share | $27.09 |
Class 2 | |
Net assets | $16,433,009 |
Shares outstanding | 626,079 |
Net asset value per share | $26.25 |
14 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,280,708 |
Dividends — affiliated issuers | 175,537 |
Interfund lending | 185 |
Foreign taxes withheld | (649) |
Total income | 2,455,781 |
Expenses: | |
Management services fees | 5,050,118 |
Distribution and/or service fees | |
Class 2 | 42,518 |
Service fees | 10,586 |
Compensation of board members | 17,703 |
Custodian fees | 21,348 |
Printing and postage fees | 13,129 |
Audit fees | 29,500 |
Legal fees | 19,599 |
Compensation of chief compliance officer | 81 |
Other | 15,646 |
Total expenses | 5,220,228 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (159,575) |
Total net expenses | 5,060,653 |
Net investment loss | (2,604,872) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (44,176,541) |
Investments — affiliated issuers | (338) |
Net realized loss | (44,176,879) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (164,731,812) |
Investments — affiliated issuers | 657 |
Net change in unrealized appreciation (depreciation) | (164,731,155) |
Net realized and unrealized loss | (208,908,034) |
Net decrease in net assets resulting from operations | $(211,512,906) |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 15 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment loss | $(2,604,872) | $(4,822,844) |
Net realized gain (loss) | (44,176,879) | 163,650,235 |
Net change in unrealized appreciation (depreciation) | (164,731,155) | (84,366,066) |
Net increase (decrease) in net assets resulting from operations | (211,512,906) | 74,461,325 |
Increase (decrease) in net assets from capital stock activity | 39,980,602 | (166,372,322) |
Total decrease in net assets | (171,532,304) | (91,910,997) |
Net assets at beginning of year | 731,741,695 | 823,652,692 |
Net assets at end of year | $560,209,391 | $731,741,695 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,762,453 | 47,637,402 | 1,253,539 | 47,088,309 |
Redemptions | (372,704) | (10,819,341) | (5,509,554) | (215,620,168) |
Net increase (decrease) | 1,389,749 | 36,818,061 | (4,256,015) | (168,531,859) |
Class 2 | ||||
Subscriptions | 148,910 | 4,378,680 | 133,941 | 4,994,351 |
Redemptions | (42,994) | (1,216,139) | (76,631) | (2,834,814) |
Net increase | 105,916 | 3,162,541 | 57,310 | 2,159,537 |
Total net increase (decrease) | 1,495,665 | 39,980,602 | (4,198,705) | (166,372,322) |
16 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 17 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2022 | $38.14 | (0.13) | (10.92) | (11.05) |
Year Ended 12/31/2021 | $35.22 | (0.24) | 3.16 | 2.92 |
Year Ended 12/31/2020 | $25.38 | (0.14) | 9.98 | 9.84 |
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) |
Class 2 | ||||
Year Ended 12/31/2022 | $37.04 | (0.19) | (10.60) | (10.79) |
Year Ended 12/31/2021 | $34.29 | (0.32) | 3.07 | 2.75 |
Year Ended 12/31/2020 | $24.77 | (0.20) | 9.72 | 9.52 |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
18 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $27.09 | (28.97%) | 0.88% | 0.86% | (0.44%) | 39% | $543,776 |
Year Ended 12/31/2021 | $38.14 | 8.29% | 0.87%(c) | 0.87%(c) | (0.61%) | 48% | $712,475 |
Year Ended 12/31/2020 | $35.22 | 38.77% | 0.88% | 0.87% | (0.52%) | 63% | $807,783 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $26.25 | (29.13%) | 1.13% | 1.11% | (0.68%) | 39% | $16,433 |
Year Ended 12/31/2021 | $37.04 | 8.02% | 1.12%(c) | 1.12%(c) | (0.85%) | 48% | $19,267 |
Year Ended 12/31/2020 | $34.29 | 38.43% | 1.13% | 1.12% | (0.77%) | 63% | $15,870 |
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% | $8,375 |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 19 |
December 31, 2022
20 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 21 |
December 31, 2022
22 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
December 31, 2022
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.85% | 0.87% |
Class 2 | 1.10 | 1.12 |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 23 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 3,200,000 | 2.08 | 1 |
24 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 25 |
December 31, 2022
26 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
December 31, 2022
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 27 |
28 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 29 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
30 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 31 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
32 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 | 33 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
34 | Variable Portfolio – Partners Small Cap Growth Fund | Annual Report 2022 |
December 31, 2022
3 | |
5 | |
8 | |
9 | |
31 | |
32 | |
33 | |
34 | |
36 | |
50 | |
51 |
(Unaudited)
Average annual total returns (%) (for the period ended December 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -14.19 | 0.15 | 0.95 | |
Class 2 | 05/07/10 | -14.31 | -0.08 | 0.71 | |
Bloomberg U.S. Aggregate Bond Index | -13.01 | 0.02 | 1.06 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at December 31, 2022) | |
Asset-Backed Securities — Non-Agency | 4.1 |
Commercial Mortgage-Backed Securities - Agency | 0.5 |
Commercial Mortgage-Backed Securities - Non-Agency | 3.0 |
Common Stocks | 0.1 |
Corporate Bonds & Notes | 22.9 |
Foreign Government Obligations | 1.2 |
Inflation-Indexed Bonds | 0.1 |
Money Market Funds(a) | 18.6 |
Municipal Bonds | 0.4 |
Residential Mortgage-Backed Securities - Agency | 29.4 |
Residential Mortgage-Backed Securities - Non-Agency | 6.7 |
Senior Loans | 1.3 |
Treasury Bills | 1.9 |
U.S. Treasury Obligations | 9.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its principal investment strategies. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
Quality breakdown (%) (at December 31, 2022) | |
AAA rating | 58.1 |
AA rating | 2.7 |
A rating | 11.1 |
BBB rating | 16.4 |
BB rating | 2.3 |
B rating | 2.4 |
CCC rating | 1.2 |
CC rating | 0.2 |
Not rated | 5.6 |
Total | 100.0 |
4 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
(Unaudited)
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 5 |
(Unaudited)
• | The Fund’s yield curve positioning detracted from performance, as the Fund maintained a curve steepening bias throughout the period, with an overweight to two- and five-year maturities and an underweight to longer maturities. This positioning detracted as rates rose substantially during the period, led by shorter maturities, and the yield curve flattened. |
• | Within the corporate credit sector, an increased emphasis on banking credits hurt, as banking credits trailed duration-adjusted U.S. Treasuries, other corporate credit segments and the broader benchmark during the period, largely as a result of programmatic issuance and heavy supply. |
• | Issue selection among communications and health care names within the corporate credit sector also detracted. |
• | Securitized holdings also detracted from performance, mainly within the Fund’s residential mortgage-backed securities position. |
○ | The Fund’s overweight to agency mortgage-backed securities dampened relative results, as the sector significantly lagged duration-adjusted U.S. Treasuries during the period. |
○ | The Fund’s exposure to non-agency mortgage-backed securities also hurt, as broad macroeconomic uncertainty and elevated volatility pushed these securities’ yield spreads wider and prices lower. |
○ | Allocations to CMBS and asset-backed securities further detracted, as each trailed duration-adjusted U.S. Treasuries during the period. |
• | The Fund’s defensive positioning was one of the overarching themes that benefited results during the period — expressed in two main ways. |
• | First, the Fund’s duration positioning overall boosted its relative results. A shorter duration means that a fund is less sensitive to changes in interest rates. |
○ | The Fund maintained a shorter duration than that of the benchmark for the first several months of the period, as a combination of low yields and rich valuations informed the cautious stance. With the Fed embarking on the most aggressive hiking cycle in decades, the Fund was initially insulated from the worst of the effects of rising rates. |
○ | With U.S. Treasury yields surging in March, we lengthened duration in a disciplined manner, moving to a longer position than the benchmark in April and maintained that positioning through the end of the period. While the longer duration stance detracted in months when rates rose, the notable decline in rates in November proved effective. |
• | Second, in accordance with our value-oriented process, the Fund was prudently underweight corporate credit early in the period, as many issues were trading through historical average spread ranges, with valuations not compelling enough, in our view, to warrant a substantial underwriting of risk. As economic conditions became increasingly strained during 2022, especially in the second quarter, a combination of wider yield spread levels, improving valuations and market dislocations provided an opportunity for us to add Fund exposure at what we saw as favorable levels and move to an overweight position in corporate credit, a position maintained through the end of the period. |
○ | Additions were focused largely on our preferred defensive sectors, including non-cyclicals. The emphasis on non-cyclicals benefited Fund performance, as they outperformed the benchmark during the period. |
• | Within the securitized sector, positions in collateralized loan obligations performed well. |
6 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
(Unaudited)
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 7 |
(Unaudited)
July 1, 2022 — December 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 965.10 | 1,022.61 | 2.41 | 2.48 | 0.49 |
Class 2 | 1,000.00 | 1,000.00 | 964.20 | 1,021.36 | 3.64 | 3.75 | 0.74 |
8 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Asset-Backed Securities — Non-Agency 5.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AIMCO CLO(a),(b) | ||||
Series 2015-AA Class AR2 | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 10/17/2034 | 5.219% | 10,475,000 | 10,165,883 | |
Aligned Data Centers Issuer LLC(a) | ||||
Series 2021-1A Class A2 | ||||
08/15/2046 | 1.937% | 7,600,000 | 6,491,128 | |
Apidos CLO XXII(a),(b) | ||||
Series 2015-22A Class A1R | ||||
3-month USD LIBOR + 1.060% Floor 1.060% 04/20/2031 | 5.303% | 8,000,000 | 7,878,816 | |
BlueMountain Fuji US Clo I Ltd.(a),(b) | ||||
Series 2017-1A Class A1R | ||||
3-month USD LIBOR + 0.980% Floor 0.980% 07/20/2029 | 5.223% | 8,981,239 | 8,846,278 | |
Cedar Funding XII CLO Ltd.(a),(b) | ||||
Series 2020-12A Class A1R | ||||
3-month USD LIBOR + 1.130% Floor 1.130% 10/25/2034 | 5.488% | 7,200,000 | 6,988,975 | |
Cedar Funding XIV CLO Ltd.(a),(b) | ||||
Series 2021-14A Class A | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 07/15/2033 | 5.179% | 8,765,000 | 8,563,414 | |
CIFC Funding Ltd.(a),(b) | ||||
Series 2021-7A Class B | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 01/23/2035 | 4.383% | 9,300,000 | 8,880,077 | |
Eaton Vance CLO Ltd.(a),(b) | ||||
Series 2019-1A Class AR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 04/15/2031 | 5.179% | 9,100,000 | 8,925,244 | |
Education Loan Asset-Backed Trust I(a),(b) | ||||
Series 2013-1 Class A2 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 04/26/2032 | 5.189% | 1,551,994 | 1,534,189 | |
Global SC Finance II SRL(a) | ||||
Series 2014-1A Class A2 | ||||
07/17/2029 | 3.090% | 867,069 | 835,286 | |
Henderson Receivables LLC(a) | ||||
Series 2014-2A Class A | ||||
01/17/2073 | 3.610% | 2,134,152 | 1,864,262 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LCM(a),(b) | ||||
Series 2019A Class AR | ||||
3-month USD LIBOR + 1.240% Floor 1.240% 07/15/2027 | 5.319% | 1,724,778 | 1,718,136 | |
Navient Student Loan Trust(b) | ||||
Series 2014-1 Class A3 | ||||
1-month USD LIBOR + 0.510% Floor 0.510% 06/25/2031 | 4.899% | 3,650,251 | 3,553,213 | |
Series 2014-3 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 5.009% | 4,076,491 | 3,944,769 | |
Series 2014-4 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 5.009% | 2,888,595 | 2,869,138 | |
Series 2015-2 Class A3 | ||||
1-month USD LIBOR + 0.570% Floor 0.570% 11/26/2040 | 4.959% | 7,534,997 | 7,342,031 | |
Navient Student Loan Trust(a),(b) | ||||
Series 2016-2 Class A3 | ||||
1-month USD LIBOR + 1.500% 06/25/2065 | 5.889% | 7,075,362 | 7,011,058 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2014-4A Class A2 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 11/25/2048 | 5.339% | 4,345,000 | 4,250,088 | |
Neuberger Berman Loan Advisers CLO 43 Ltd.(a),(b) | ||||
Series 2021-43A Class B | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 07/17/2035 | 5.679% | 8,500,000 | 8,138,282 | |
New Economy Assets Phase 1 Sponsor LLC(a) | ||||
Subordinated Series 2021-1 Class B1 | ||||
10/20/2061 | 2.410% | 8,935,000 | 7,340,235 | |
Regatta XIII Funding Ltd.(a),(b) | ||||
Series 2018-2A Class A2 | ||||
3-month USD LIBOR + 1.750% 07/15/2031 | 5.829% | 3,500,000 | 3,364,106 | |
Rockford Tower CLO Ltd.(a),(b) | ||||
Series 2020-1A Class A | ||||
3-month USD LIBOR + 1.280% 01/20/2032 | 5.523% | 8,000,000 | 7,881,432 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 9 |
December 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SLC Student Loan Trust(b) | ||||
Series 2006-1 Class B | ||||
3-month USD LIBOR + 0.210% Floor 0.210% 03/15/2055 | 3.503% | 246,149 | 219,260 | |
SLM Student Loan Trust(b) | ||||
Series 2007-7 Class A4 | ||||
3-month USD LIBOR + 0.330% Floor 0.330% 12/25/2023 | 4.688% | 3,771,849 | 3,666,811 | |
Series 2007-7 Class B | ||||
3-month USD LIBOR + 0.750% Floor 0.750% 10/27/2070 | 5.108% | 1,990,000 | 1,723,942 | |
Series 2008-4 Class A4 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 07/25/2023 | 6.008% | 1,091,437 | 1,088,971 | |
Series 2008-5 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/25/2073 | 6.208% | 5,860,000 | 5,534,163 | |
Series 2008-6 Class A4 | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 07/25/2023 | 5.458% | 4,008,380 | 3,878,935 | |
Series 2008-8 Class A4 | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 04/25/2023 | 5.858% | 944,095 | 941,440 | |
Series 2008-9 Class B | ||||
3-month USD LIBOR + 2.250% Floor 2.250% 10/25/2083 | 6.608% | 5,775,000 | 5,367,871 | |
SLM Student Loan Trust(a),(b) | ||||
Series 2009-3 Class A | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 01/25/2045 | 5.139% | 2,144,855 | 2,067,572 | |
Wachovia Student Loan Trust(a),(b) | ||||
Series 2006-1 Class A6 | ||||
3-month USD LIBOR + 0.170% Floor 0.170% 04/25/2040 | 4.528% | 6,952,520 | 6,636,923 | |
Total Asset-Backed Securities — Non-Agency (Cost $164,775,247) | 159,511,928 | |||
Commercial Mortgage-Backed Securities - Agency 0.7% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series K155 Class A3 | ||||
04/25/2033 | 3.750% | 6,990,000 | 6,549,696 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
04/01/2040 | 2.455% | 4,525,000 | 3,130,740 | |
Series 2001-M2 Class Z2 | ||||
06/25/2031 | 6.300% | 9,170 | 9,119 | |
Government National Mortgage Association(c),(d) | ||||
Series 2012-55 Class IO | ||||
04/16/2052 | 0.000% | 368,158 | 4 | |
Government National Mortgage Association | ||||
Series 2020-193 Class AC | ||||
09/16/2062 | 1.250% | 1,604,798 | 1,264,115 | |
Series 2021-14 Class AB | ||||
06/16/2063 | 1.340% | 1,932,717 | 1,500,127 | |
Series 2021-2 Class AH | ||||
06/16/2063 | 1.500% | 4,480,352 | 3,550,626 | |
Series 2021-21 Class AH | ||||
06/16/2063 | 1.400% | 3,065,397 | 2,394,626 | |
Series 2021-31 Class B | ||||
01/16/2061 | 1.250% | 3,329,372 | 2,560,097 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $23,252,493) | 20,959,150 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.6% | ||||
BFLD Trust(a),(b) | ||||
Series 2020-EYP Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 10/15/2035 | 5.468% | 7,500,000 | 7,125,326 | |
BPR Trust(a),(b) | ||||
Series 2022-OANA Class A | ||||
1-month Term SOFR + 1.898% Floor 1.898% 04/15/2037 | 6.234% | 8,446,000 | 8,243,272 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2019-XL Class A | ||||
1-month Term SOFR + 1.034% Floor 0.920% 10/15/2036 | 5.370% | 10,011,121 | 9,873,738 | |
Series 2022-CSMO Class A | ||||
1-month Term SOFR + 2.115% Floor 2.115% 06/15/2027 | 6.450% | 6,925,000 | 6,873,115 | |
Subordinated Series 2022-CSMO Class B | ||||
1-month Term SOFR + 3.141% Floor 3.141% 06/15/2027 | 7.476% | 4,080,000 | 4,044,341 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,355,000 | 1,137,376 |
10 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BXHPP Trust(a),(b) | ||||
Series 2021-FILM Class A | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 08/15/2036 | 4.968% | 8,878,000 | 8,302,885 | |
BXSC Commercial Mortgage Trust(a),(b) | ||||
Series 2022-WSS Class D | ||||
1-month Term SOFR + 3.188% Floor 3.188% 03/15/2035 | 7.524% | 8,939,000 | 8,513,498 | |
CF Hippolyta Issuer LLC(a) | ||||
Series 2020-1 Class A1 | ||||
07/15/2060 | 1.690% | 9,947,722 | 8,879,258 | |
DBJPM Mortgage Trust(a) | ||||
Series 2016-SFC Class A | ||||
08/10/2036 | 2.833% | 3,700,000 | 2,996,860 | |
Hudson Yards Mortgage Trust(a) | ||||
Series 2019-30HY Class A | ||||
07/10/2039 | 3.228% | 2,770,000 | 2,374,817 | |
Invitation Homes Trust(a),(b) | ||||
Series 2018-SFR4 Class A | ||||
1-month USD LIBOR + 1.100% Floor 1.000% 01/17/2038 | 5.439% | 9,943,853 | 9,846,079 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2019-OSB Class A | ||||
06/05/2039 | 3.397% | 2,720,000 | 2,369,389 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(b) | ||||
Series 2021-MHC Class A | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 04/15/2038 | 5.118% | 7,374,920 | 7,180,444 | |
Manhattan West(a) | ||||
Series 2020-1MW Class A | ||||
09/10/2039 | 2.130% | 3,470,000 | 2,963,550 | |
MKT Mortgage Trust(a) | ||||
Series 2020-525M Class A | ||||
02/12/2040 | 2.694% | 2,035,000 | 1,597,454 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2019-SRF4 Class G | ||||
10/17/2036 | 3.927% | 2,541,000 | 2,405,424 | |
RBS Commercial Funding, Inc., Trust(a),(c) | ||||
Series 2013-GSP Class A | ||||
01/15/2032 | 3.834% | 1,475,000 | 1,419,648 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Series 2021-555 Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 05/15/2038 | 5.468% | 2,703,000 | 2,476,901 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
StorageMart Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-MINI Class F | ||||
1-month Term SOFR + 3.350% Floor 3.350% 01/15/2039 | 7.686% | 6,607,000 | 6,013,436 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2015-SG1 Class A4 | ||||
09/15/2048 | 3.789% | 10,705,478 | 10,218,576 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $121,506,231) | 114,855,387 |
Common Stocks 0.1% | ||
Issuer | Shares | Value ($) |
Communication Services 0.0% | ||
Media 0.0% | ||
Intelsat Jackson Holdings SA(e),(f),(g) | 2,750,000 | 3 |
Intelsat Jackson Holdings SA(e),(f),(g) | 3,372,000 | 3 |
Intelsat Jackson Holdings SA(e),(f),(g) | 5,923,000 | 6 |
Intelsat Jackson Series A, CVR(e),(f),(g) | 11,998 | 0 |
Intelsat Jackson Series B, CVR(e),(f),(g) | 11,998 | 0 |
Total | 12 | |
Total Communication Services | 12 | |
Financials 0.1% | ||
Diversified Financial Services 0.1% | ||
Intelsat Emergence SA(f) | 114,573 | 2,772,667 |
Total Financials | 2,772,667 | |
Utilities 0.0% | ||
Electric Utilities 0.0% | ||
Homer City Holdings(f),(g) | 32,056 | 1,763 |
Total Utilities | 1,763 | |
Total Common Stocks (Cost $5,832,928) | 2,774,442 |
Corporate Bonds & Notes 27.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.2% | ||||
Boeing Co. (The) | ||||
02/04/2024 | 1.433% | 6,730,000 | 6,437,829 | |
Airlines 0.2% | ||||
Delta Air Lines Pass-Through Trust | ||||
06/10/2028 | 2.000% | 7,654,636 | 6,530,059 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 11 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Apartment REIT 0.2% | ||||
American Homes 4 Rent LP | ||||
07/15/2031 | 2.375% | 1,905,000 | 1,465,119 | |
Invitation Homes Operating Partnership LP | ||||
08/15/2031 | 2.000% | 4,265,000 | 3,147,883 | |
01/15/2034 | 2.700% | 70,000 | 51,225 | |
Total | 4,664,227 | |||
Automotive 0.0% | ||||
General Motors Co. | ||||
10/02/2023 | 4.875% | 1,320,000 | 1,318,756 | |
Banking 10.5% | ||||
American Express Co. | ||||
03/04/2027 | 2.550% | 3,535,000 | 3,219,172 | |
Bank of America Corp.(h) | ||||
07/22/2027 | 1.734% | 12,270,000 | 10,755,073 | |
06/14/2029 | 2.087% | 9,300,000 | 7,822,859 | |
02/07/2030 | 3.974% | 4,925,000 | 4,473,756 | |
04/22/2032 | 2.687% | 1,100,000 | 880,079 | |
10/20/2032 | 2.572% | 10,650,000 | 8,354,447 | |
02/04/2033 | 2.972% | 6,737,000 | 5,432,144 | |
Bank of America Corp.(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 0.650% 12/01/2026 | 5.411% | 1,000,000 | 944,882 | |
Capital One Financial Corp.(h) | ||||
03/01/2030 | 3.273% | 4,950,000 | 4,241,713 | |
Citigroup, Inc.(h) | ||||
04/24/2025 | 3.352% | 590,000 | 571,985 | |
06/09/2027 | 1.462% | 1,815,000 | 1,575,394 | |
02/24/2028 | 3.070% | 1,760,000 | 1,588,078 | |
10/27/2028 | 3.520% | 1,735,000 | 1,580,191 | |
11/05/2030 | 2.976% | 3,060,000 | 2,572,150 | |
03/31/2031 | 4.412% | 3,110,000 | 2,858,684 | |
06/03/2031 | 2.572% | 2,325,000 | 1,880,603 | |
05/01/2032 | 2.561% | 5,995,000 | 4,733,774 | |
11/03/2032 | 2.520% | 644,000 | 500,015 | |
01/25/2033 | 3.057% | 11,649,000 | 9,406,017 | |
Credit Suisse Group AG(a),(h) | ||||
02/02/2027 | 1.305% | 5,350,000 | 4,255,499 | |
08/11/2028 | 6.442% | 2,940,000 | 2,677,919 | |
05/14/2032 | 3.091% | 6,300,000 | 4,374,492 | |
08/12/2033 | 6.537% | 13,590,000 | 11,938,520 | |
11/15/2033 | 9.016% | 9,602,000 | 9,877,632 | |
Discover Bank | ||||
08/08/2023 | 4.200% | 4,000,000 | 3,972,844 | |
DNB Bank ASA(a),(h) | ||||
09/16/2026 | 1.127% | 645,000 | 569,573 | |
03/30/2028 | 1.605% | 5,000,000 | 4,228,586 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fifth Third Bancorp | ||||
05/05/2027 | 2.550% | 4,635,000 | 4,171,910 | |
Goldman Sachs Group, Inc. (The) | ||||
02/23/2023 | 3.200% | 1,750,000 | 1,745,736 | |
12/06/2023 | 1.217% | 9,325,000 | 9,002,378 | |
Goldman Sachs Group, Inc. (The)(h) | ||||
09/29/2025 | 3.272% | 2,930,000 | 2,817,645 | |
12/09/2026 | 1.093% | 1,092,000 | 964,064 | |
03/09/2027 | 1.431% | 12,950,000 | 11,330,643 | |
10/21/2027 | 1.948% | 9,195,000 | 8,024,668 | |
07/21/2032 | 2.383% | 5,140,000 | 3,984,501 | |
10/21/2032 | 2.650% | 2,525,000 | 1,993,035 | |
HSBC Holdings PLC(h) | ||||
06/04/2026 | 2.099% | 8,565,000 | 7,807,477 | |
05/24/2027 | 1.589% | 1,450,000 | 1,249,625 | |
06/09/2028 | 4.755% | 860,000 | 814,358 | |
09/22/2028 | 2.013% | 8,240,000 | 6,876,835 | |
08/17/2029 | 2.206% | 5,105,000 | 4,123,155 | |
08/18/2031 | 2.357% | 1,845,000 | 1,413,389 | |
05/24/2032 | 2.804% | 1,000,000 | 771,924 | |
JPMorgan Chase & Co.(h) | ||||
08/09/2025 | 0.768% | 2,830,000 | 2,610,659 | |
12/10/2025 | 1.561% | 5,705,000 | 5,278,680 | |
04/22/2027 | 1.578% | 4,495,000 | 3,956,262 | |
02/24/2028 | 2.947% | 2,290,000 | 2,072,935 | |
10/15/2030 | 2.739% | 2,320,000 | 1,948,269 | |
04/22/2032 | 2.580% | 1,090,000 | 872,044 | |
11/08/2032 | 2.545% | 6,225,000 | 4,919,139 | |
01/25/2033 | 2.963% | 9,245,000 | 7,515,603 | |
Lloyds Banking Group PLC | ||||
03/12/2024 | 3.900% | 3,175,000 | 3,116,225 | |
Lloyds Banking Group PLC(h) | ||||
07/09/2025 | 3.870% | 4,114,000 | 3,987,015 | |
08/11/2033 | 4.976% | 2,730,000 | 2,503,710 | |
Macquarie Group Ltd.(a),(h) | ||||
01/12/2027 | 1.340% | 5,000,000 | 4,344,603 | |
01/14/2033 | 2.871% | 4,360,000 | 3,338,935 | |
06/21/2033 | 4.442% | 2,220,000 | 1,927,715 | |
Morgan Stanley(h) | ||||
05/30/2025 | 0.790% | 970,000 | 903,815 | |
10/21/2025 | 1.164% | 2,745,000 | 2,525,753 | |
05/04/2027 | 1.593% | 5,470,000 | 4,801,985 | |
07/20/2027 | 1.512% | 10,255,000 | 8,905,992 | |
04/28/2032 | 1.928% | 8,020,000 | 6,059,440 | |
10/20/2032 | 2.511% | 955,000 | 746,415 | |
01/21/2033 | 2.943% | 980,000 | 794,818 | |
Subordinated | ||||
09/16/2036 | 2.484% | 3,725,000 | 2,717,141 | |
Nationwide Building Society(a),(h) | ||||
03/08/2024 | 3.766% | 4,465,000 | 4,441,302 | |
02/16/2028 | 2.972% | 4,305,000 | 3,790,755 |
12 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PNC Financial Services Group, Inc. (The)(h) | ||||
10/28/2033 | 6.037% | 2,840,000 | 2,968,601 | |
Royal Bank of Scotland Group PLC(h) | ||||
03/22/2025 | 4.269% | 6,935,000 | 6,773,154 | |
Santander UK Group Holdings PLC(h) | ||||
11/15/2024 | 4.796% | 8,860,000 | 8,713,002 | |
03/15/2025 | 1.089% | 7,235,000 | 6,771,601 | |
08/21/2026 | 1.532% | 465,000 | 409,351 | |
06/14/2027 | 1.673% | 2,185,000 | 1,852,844 | |
01/11/2028 | 2.469% | 1,035,000 | 885,207 | |
UBS AG(a) | ||||
08/09/2024 | 0.700% | 5,210,000 | 4,846,720 | |
UBS Group AG(a),(h) | ||||
05/12/2026 | 4.488% | 500,000 | 487,921 | |
Wells Fargo & Co.(h) | ||||
04/30/2026 | 2.188% | 11,945,000 | 11,117,787 | |
06/02/2028 | 2.393% | 4,905,000 | 4,325,801 | |
03/02/2033 | 3.350% | 15,385,000 | 12,937,562 | |
07/25/2033 | 4.897% | 4,375,000 | 4,143,169 | |
04/04/2051 | 5.013% | 4,010,000 | 3,566,970 | |
Total | 336,256,324 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
Intercontinental Exchange, Inc. | ||||
09/15/2032 | 1.850% | 3,937,000 | 2,962,238 | |
Raymond James Financial, Inc. | ||||
07/15/2046 | 4.950% | 1,030,000 | 922,505 | |
Total | 3,884,743 | |||
Cable and Satellite 0.8% | ||||
Cable One, Inc.(a) | ||||
11/15/2030 | 4.000% | 755,000 | 588,201 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 5,300,000 | 4,176,127 | |
04/01/2048 | 5.750% | 4,189,000 | 3,445,021 | |
07/01/2049 | 5.125% | 1,335,000 | 1,018,692 | |
03/01/2050 | 4.800% | 2,745,000 | 2,008,596 | |
04/01/2053 | 5.250% | 2,875,000 | 2,246,218 | |
Cox Communications, Inc.(a) | ||||
06/15/2031 | 2.600% | 2,610,000 | 2,076,515 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 855,000 | 689,202 | |
04/01/2028 | 7.500% | 300,000 | 203,307 | |
02/01/2029 | 6.500% | 2,664,000 | 2,185,748 | |
02/15/2031 | 3.375% | 1,150,000 | 750,201 | |
11/15/2031 | 4.500% | 400,000 | 278,000 | |
Intelsat Jackson Holdings SA(a) | ||||
03/15/2030 | 6.500% | 6,965,000 | 6,250,153 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Time Warner Cable LLC | ||||
09/01/2041 | 5.500% | 850,000 | 709,914 | |
Total | 26,625,895 | |||
Chemicals 0.1% | ||||
EverArc Escrow Sarl(a) | ||||
10/30/2029 | 5.000% | 325,000 | 267,371 | |
International Flavors & Fragrances, Inc. | ||||
09/26/2048 | 5.000% | 5,060,000 | 4,345,448 | |
Total | 4,612,819 | |||
Construction Machinery 0.0% | ||||
OT Merger Corp.(a) | ||||
10/15/2029 | 7.875% | 425,000 | 216,025 | |
Consumer Cyclical Services 0.0% | ||||
WASH Multifamily Acquisition, Inc.(a) | ||||
04/15/2026 | 5.750% | 350,000 | 329,871 | |
Consumer Products 0.1% | ||||
Clorox Co. (The) | ||||
05/01/2032 | 4.600% | 1,137,000 | 1,091,247 | |
Newell Brands, Inc. | ||||
04/01/2046 | 5.750% | 1,148,000 | 902,619 | |
Total | 1,993,866 | |||
Diversified Manufacturing 0.1% | ||||
General Electric Co.(b) | ||||
3-month USD LIBOR + 0.380% 05/05/2026 | 4.912% | 1,886,000 | 1,812,338 | |
Electric 1.2% | ||||
AEP Transmission Co. LLC | ||||
04/01/2050 | 3.650% | 305,000 | 233,872 | |
Appalachian Power Co. | ||||
05/15/2033 | 5.950% | 3,225,000 | 3,245,659 | |
Duke Energy Carolinas LLC | ||||
12/15/2041 | 4.250% | 900,000 | 778,856 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 1,110,000 | 827,069 | |
Duke Energy Progress LLC | ||||
04/01/2052 | 4.000% | 500,000 | 402,911 | |
Entergy Louisiana LLC | ||||
04/01/2025 | 3.780% | 5,900,000 | 5,672,273 | |
Eversource Energy | ||||
07/01/2027 | 4.600% | 3,135,000 | 3,092,651 | |
FirstEnergy Transmission LLC(a) | ||||
04/01/2049 | 4.550% | 1,000,000 | 814,031 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 13 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Florida Power & Light Co. | ||||
03/01/2049 | 3.990% | 1,500,000 | 1,265,963 | |
ITC Holdings Corp. | ||||
07/01/2023 | 4.050% | 1,740,000 | 1,727,816 | |
11/15/2027 | 3.350% | 1,000,000 | 919,920 | |
Metropolitan Edison Co.(a) | ||||
04/15/2025 | 4.000% | 3,000,000 | 2,868,367 | |
01/15/2029 | 4.300% | 1,752,000 | 1,641,155 | |
Mong Duong Finance Holdings BV(a) | ||||
05/07/2029 | 5.125% | 400,000 | 333,294 | |
NextEra Energy Capital Holdings, Inc. | ||||
07/15/2027 | 4.625% | 2,790,000 | 2,751,382 | |
Northern States Power Co. | ||||
08/15/2045 | 4.000% | 2,250,000 | 1,838,614 | |
PacifiCorp | ||||
07/01/2025 | 3.350% | 2,000,000 | 1,917,917 | |
PECO Energy Co. | ||||
05/15/2052 | 4.600% | 2,690,000 | 2,432,425 | |
Pennsylvania Electric Co.(a) | ||||
03/15/2028 | 3.250% | 6,950,000 | 6,253,543 | |
Total | 39,017,718 | |||
Environmental 0.1% | ||||
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 1,750,000 | 1,550,750 | |
Finance Companies 1.0% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
10/01/2025 | 4.450% | 3,070,000 | 2,955,250 | |
10/29/2028 | 3.000% | 6,350,000 | 5,329,499 | |
01/30/2032 | 3.300% | 3,650,000 | 2,851,793 | |
Air Lease Corp. | ||||
03/01/2025 | 3.250% | 2,810,000 | 2,668,391 | |
07/01/2025 | 3.375% | 4,500,000 | 4,243,875 | |
Avolon Holdings Funding Ltd.(a) | ||||
02/15/2027 | 3.250% | 2,035,000 | 1,747,123 | |
11/18/2027 | 2.528% | 3,398,000 | 2,743,252 | |
FirstCash, Inc.(a) | ||||
01/01/2030 | 5.625% | 1,850,000 | 1,652,315 | |
Park Aerospace Holdings Ltd.(a) | ||||
03/15/2023 | 4.500% | 5,335,000 | 5,321,652 | |
02/15/2024 | 5.500% | 733,000 | 723,983 | |
Total | 30,237,133 | |||
Food and Beverage 1.2% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 5,115,000 | 4,680,732 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
04/15/2048 | 4.600% | 570,000 | 501,750 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bacardi Ltd.(a) | ||||
05/15/2025 | 4.450% | 3,375,000 | 3,277,170 | |
Constellation Brands, Inc. | ||||
08/01/2031 | 2.250% | 3,400,000 | 2,698,747 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
02/02/2029 | 3.000% | 1,565,000 | 1,293,914 | |
12/01/2031 | 3.750% | 2,570,000 | 2,096,560 | |
04/01/2033 | 5.750% | 2,000,000 | 1,910,755 | |
12/01/2052 | 6.500% | 4,280,000 | 4,068,988 | |
Kraft Heinz Foods Co. | ||||
06/04/2042 | 5.000% | 1,414,000 | 1,277,365 | |
10/01/2049 | 4.875% | 1,680,000 | 1,466,085 | |
Kraft Heinz Foods Co. (The) | ||||
07/15/2045 | 5.200% | 6,570,000 | 6,054,011 | |
Pilgrim’s Pride Corp.(a) | ||||
04/15/2031 | 4.250% | 1,800,000 | 1,532,119 | |
03/01/2032 | 3.500% | 2,215,000 | 1,731,371 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 1,700,000 | 1,646,178 | |
04/15/2030 | 4.625% | 3,500,000 | 3,019,582 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 1,331,000 | 1,089,071 | |
Smithfield Foods, Inc.(a) | ||||
09/13/2031 | 2.625% | 1,500,000 | 1,076,981 | |
Total | 39,421,379 | |||
Gaming 0.7% | ||||
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 400,000 | 325,280 | |
Churchill Downs, Inc.(a) | ||||
01/15/2028 | 4.750% | 465,000 | 416,113 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2027 | 8.125% | 1,050,000 | 1,032,629 | |
GLP Capital LP/Financing II, Inc. | ||||
11/01/2023 | 5.375% | 3,480,000 | 3,468,606 | |
09/01/2024 | 3.350% | 1,315,000 | 1,259,161 | |
06/01/2025 | 5.250% | 1,930,000 | 1,900,287 | |
04/15/2026 | 5.375% | 755,000 | 744,471 | |
06/01/2028 | 5.750% | 870,000 | 856,708 | |
01/15/2029 | 5.300% | 2,325,000 | 2,195,038 | |
01/15/2030 | 4.000% | 2,418,000 | 2,115,567 | |
VICI Properties LP | ||||
05/15/2032 | 5.125% | 3,375,000 | 3,128,524 | |
05/15/2052 | 5.625% | 1,774,000 | 1,569,010 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
06/15/2025 | 4.625% | 270,000 | 258,882 | |
09/01/2026 | 4.500% | 1,010,000 | 952,846 | |
02/01/2027 | 5.750% | 1,195,000 | 1,164,045 | |
02/15/2027 | 3.750% | 95,000 | 86,373 | |
01/15/2028 | 4.500% | 575,000 | 525,844 |
14 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2029 | 3.875% | 1,930,000 | 1,696,490 | |
Total | 23,695,874 | |||
Health Care 1.6% | ||||
Becton Dickinson and Co. | ||||
06/06/2024 | 3.363% | 626,000 | 610,703 | |
Cigna Corp. | ||||
08/15/2038 | 4.800% | 5,000,000 | 4,659,371 | |
CommonSpirit Health | ||||
10/01/2025 | 1.547% | 5,000,000 | 4,499,745 | |
10/01/2030 | 2.782% | 1,575,000 | 1,295,343 | |
CVS Health Corp. | ||||
07/20/2035 | 4.875% | 1,095,000 | 1,039,248 | |
07/20/2045 | 5.125% | 1,780,000 | 1,621,896 | |
03/25/2048 | 5.050% | 8,170,000 | 7,374,804 | |
Dentsply Sirona, Inc. | ||||
06/01/2030 | 3.250% | 801,000 | 663,430 | |
Embecta Corp.(a) | ||||
02/15/2030 | 5.000% | 1,800,000 | 1,508,811 | |
Fresenius Medical Care US Finance III, Inc.(a) | ||||
12/01/2026 | 1.875% | 3,755,000 | 3,175,257 | |
HCA, Inc. | ||||
04/15/2025 | 5.250% | 488,000 | 485,052 | |
06/15/2026 | 5.250% | 4,480,000 | 4,427,624 | |
06/15/2029 | 4.125% | 4,000,000 | 3,651,611 | |
09/01/2030 | 3.500% | 5,236,000 | 4,505,079 | |
07/15/2031 | 2.375% | 1,125,000 | 873,597 | |
06/15/2047 | 5.500% | 2,405,000 | 2,139,440 | |
06/15/2049 | 5.250% | 5,500,000 | 4,708,132 | |
HCA, Inc.(a) | ||||
03/15/2027 | 3.125% | 1,000,000 | 909,646 | |
03/15/2032 | 3.625% | 1,120,000 | 947,325 | |
03/15/2052 | 4.625% | 1,000,000 | 783,143 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 241,000 | 235,545 | |
Universal Health Services, Inc. | ||||
09/01/2026 | 1.650% | 1,890,000 | 1,622,271 | |
Total | 51,737,073 | |||
Healthcare Insurance 0.6% | ||||
Centene Corp. | ||||
12/15/2027 | 4.250% | 2,155,000 | 2,023,648 | |
07/15/2028 | 2.450% | 8,542,000 | 7,207,159 | |
03/01/2031 | 2.500% | 2,000,000 | 1,564,747 | |
Humana, Inc. | ||||
04/01/2030 | 4.875% | 1,333,000 | 1,300,673 | |
Molina Healthcare, Inc.(a) | ||||
06/15/2028 | 4.375% | 4,438,000 | 4,049,356 | |
11/15/2030 | 3.875% | 2,000,000 | 1,698,701 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
UnitedHealth Group, Inc. | ||||
12/15/2048 | 4.450% | 1,245,000 | 1,110,166 | |
Total | 18,954,450 | |||
Healthcare REIT 0.2% | ||||
Healthcare Realty Holdings LP | ||||
01/15/2028 | 3.625% | 1,608,000 | 1,422,374 | |
03/15/2031 | 2.050% | 277,000 | 201,957 | |
Healthcare Trust of America Holdings LP | ||||
08/01/2026 | 3.500% | 2,367,000 | 2,203,336 | |
02/15/2030 | 3.100% | 125,000 | 104,857 | |
03/15/2031 | 2.000% | 1,625,000 | 1,228,814 | |
Physicians Realty LP | ||||
11/01/2031 | 2.625% | 1,905,000 | 1,485,181 | |
Total | 6,646,519 | |||
Independent Energy 0.1% | ||||
Hess Corp. | ||||
02/15/2041 | 5.600% | 2,000,000 | 1,893,729 | |
Occidental Petroleum Corp.(i) | ||||
10/10/2036 | 0.000% | 470,000 | 236,295 | |
Total | 2,130,024 | |||
Life Insurance 0.7% | ||||
Athene Global Funding(a),(b) | ||||
SOFR + 0.700% 05/24/2024 | 5.000% | 3,780,000 | 3,708,622 | |
Athene Global Funding(a) | ||||
06/29/2026 | 1.608% | 3,760,000 | 3,239,072 | |
03/08/2027 | 3.205% | 1,550,000 | 1,380,845 | |
01/07/2029 | 2.717% | 1,770,000 | 1,463,753 | |
Metropolitan Life Global Funding I(a) | ||||
08/25/2029 | 4.300% | 5,500,000 | 5,211,184 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 3,235,000 | 2,475,591 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
05/15/2050 | 3.300% | 3,035,000 | 2,129,699 | |
Teachers Insurance & Annuity Association of America(a),(h) | ||||
Subordinated | ||||
09/15/2054 | 4.375% | 3,920,000 | 3,755,778 | |
Total | 23,364,544 | |||
Media and Entertainment 0.6% | ||||
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 4,750,000 | 565,530 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 15 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Magallanes, Inc.(a) | ||||
03/15/2032 | 4.279% | 35,000 | 28,858 | |
03/15/2042 | 5.050% | 6,975,000 | 5,363,783 | |
03/15/2052 | 5.141% | 14,715,000 | 10,804,992 | |
Take-Two Interactive Software, Inc. | ||||
04/14/2032 | 4.000% | 3,355,000 | 2,967,806 | |
Total | 19,730,969 | |||
Midstream 0.9% | ||||
Enbridge Energy Partners LP | ||||
10/15/2025 | 5.875% | 2,500,000 | 2,540,948 | |
Energy Transfer Operating LP | ||||
06/01/2027 | 5.500% | 341,000 | 338,913 | |
04/15/2049 | 6.250% | 3,065,000 | 2,862,365 | |
05/15/2050 | 5.000% | 4,350,000 | 3,511,813 | |
Energy Transfer Partners LP | ||||
03/15/2045 | 5.150% | 3,048,000 | 2,530,415 | |
12/15/2045 | 6.125% | 2,400,000 | 2,225,542 | |
Enterprise Products Operating LLC | ||||
02/15/2045 | 5.100% | 1,255,000 | 1,133,775 | |
EQM Midstream Partners LP | ||||
07/15/2028 | 5.500% | 695,000 | 620,845 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2034 | 2.160% | 393,905 | 334,766 | |
Plains All American Pipeline LP/Finance Corp. | ||||
09/15/2030 | 3.800% | 2,175,000 | 1,890,930 | |
Rockies Express Pipeline LLC(a) | ||||
05/15/2025 | 3.600% | 1,808,000 | 1,706,480 | |
07/15/2029 | 4.950% | 910,000 | 826,229 | |
04/15/2040 | 6.875% | 1,890,000 | 1,587,390 | |
Sabine Pass Liquefaction LLC | ||||
05/15/2030 | 4.500% | 2,671,000 | 2,480,737 | |
Sunoco Logistics Partners Operations LP | ||||
05/15/2045 | 5.350% | 925,000 | 788,369 | |
10/01/2047 | 5.400% | 1,750,000 | 1,489,495 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 2,037,000 | 1,771,729 | |
Total | 28,640,741 | |||
Office REIT 0.3% | ||||
Hudson Pacific Properties LP | ||||
11/01/2027 | 3.950% | 2,621,000 | 2,229,349 | |
02/15/2028 | 5.950% | 975,000 | 905,934 | |
01/15/2030 | 3.250% | 315,000 | 240,298 | |
Kilroy Realty LP | ||||
11/15/2033 | 2.650% | 628,000 | 432,083 | |
Piedmont Operating Partnership LP | ||||
06/01/2023 | 3.400% | 4,815,000 | 4,767,951 | |
Total | 8,575,615 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oil Field Services 0.1% | ||||
Transocean Phoenix 2 Ltd.(a) | ||||
10/15/2024 | 7.750% | 885,599 | 878,355 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 1,073,625 | 1,046,109 | |
Transocean Proteus Ltd.(a) | ||||
12/01/2024 | 6.250% | 1,024,000 | 1,013,766 | |
USA Compression Partners LP/Finance Corp. | ||||
04/01/2026 | 6.875% | 1,650,000 | 1,585,167 | |
Total | 4,523,397 | |||
Other Financial Institutions 0.1% | ||||
ORIX Corp. | ||||
09/13/2032 | 5.200% | 3,065,000 | 2,995,523 | |
Other Industry 0.0% | ||||
PowerTeam Services LLC(a) | ||||
12/04/2025 | 9.033% | 961,000 | 801,983 | |
Other REIT 0.3% | ||||
American Assets Trust LP | ||||
02/01/2031 | 3.375% | 3,650,000 | 2,892,126 | |
CubeSmart LP | ||||
02/15/2032 | 2.500% | 875,000 | 670,050 | |
Extra Space Storage LP | ||||
06/01/2031 | 2.550% | 1,175,000 | 918,556 | |
03/15/2032 | 2.350% | 3,343,000 | 2,531,325 | |
Lexington Realty Trust | ||||
10/01/2031 | 2.375% | 1,895,000 | 1,435,466 | |
Total | 8,447,523 | |||
Packaging 0.2% | ||||
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 582,000 | 562,077 | |
Berry Global, Inc. | ||||
01/15/2026 | 1.570% | 3,132,000 | 2,796,585 | |
01/15/2027 | 1.650% | 2,768,000 | 2,360,101 | |
Total | 5,718,763 | |||
Paper 0.1% | ||||
Weyerhaeuser Co. | ||||
03/09/2033 | 3.375% | 3,535,000 | 2,951,338 | |
Pharmaceuticals 0.8% | ||||
AbbVie, Inc. | ||||
05/14/2035 | 4.500% | 5,852,000 | 5,447,931 | |
05/14/2045 | 4.700% | 1,000,000 | 893,285 | |
05/14/2046 | 4.450% | 1,425,000 | 1,236,562 |
16 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bayer US Finance II LLC(a) | ||||
07/15/2024 | 3.375% | 2,860,000 | 2,770,275 | |
12/15/2025 | 4.250% | 2,780,000 | 2,699,646 | |
12/15/2028 | 4.375% | 2,579,000 | 2,426,207 | |
06/25/2038 | 4.625% | 2,925,000 | 2,552,379 | |
06/25/2048 | 4.875% | 8,145,000 | 7,041,376 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 800,000 | 692,163 | |
Total | 25,759,824 | |||
Property & Casualty 0.7% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 335,000 | 301,849 | |
Aon Corp./Global Holdings PLC | ||||
02/28/2052 | 3.900% | 3,545,000 | 2,743,743 | |
Arthur J. Gallagher & Co. | ||||
03/09/2052 | 3.050% | 2,240,000 | 1,422,397 | |
Berkshire Hathaway Finance Corp. | ||||
01/15/2051 | 2.500% | 1,000,000 | 631,193 | |
Farmers Exchange Capital(a) | ||||
Subordinated | ||||
07/15/2028 | 7.050% | 3,225,000 | 3,340,741 | |
Farmers Exchange Capital II(a),(h) | ||||
Subordinated | ||||
11/01/2053 | 6.151% | 3,810,000 | 3,676,563 | |
Nationwide Mutual Insurance Co.(a),(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 2.290% 12/15/2024 | 7.059% | 6,815,000 | 6,800,968 | |
Willis North America, Inc. | ||||
09/15/2029 | 2.950% | 3,595,000 | 3,023,276 | |
Total | 21,940,730 | |||
Railroads 0.0% | ||||
Union Pacific Corp. | ||||
02/14/2042 | 3.375% | 1,750,000 | 1,391,752 | |
Restaurants 0.0% | ||||
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 350,000 | 282,533 | |
Retailers 0.1% | ||||
Alimentation Couche-Tard, Inc.(a) | ||||
01/25/2030 | 2.950% | 331,000 | 279,695 | |
Magic MergeCo, Inc.(a) | ||||
05/01/2029 | 7.875% | 3,655,000 | 2,466,706 | |
Rent-A-Center, Inc.(a) | ||||
02/15/2029 | 6.375% | 350,000 | 283,539 | |
Total | 3,029,940 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 1.0% | ||||
Broadcom, Inc.(a) | ||||
02/15/2033 | 2.600% | 1,950,000 | 1,461,707 | |
11/15/2035 | 3.137% | 3,100,000 | 2,274,335 | |
CommScope, Inc.(a) | ||||
09/01/2029 | 4.750% | 1,500,000 | 1,211,334 | |
Global Payments, Inc. | ||||
08/15/2052 | 5.950% | 3,150,000 | 2,862,424 | |
Lenovo Group Ltd.(a) | ||||
07/27/2032 | 6.536% | 1,580,000 | 1,523,458 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 814,000 | 698,449 | |
04/15/2029 | 5.125% | 1,000,000 | 836,295 | |
10/01/2030 | 5.250% | 390,000 | 321,509 | |
Open Text Corp.(a) | ||||
12/01/2027 | 6.900% | 650,000 | 655,385 | |
Oracle Corp. | ||||
03/25/2031 | 2.875% | 1,425,000 | 1,182,226 | |
11/09/2032 | 6.250% | 4,000,000 | 4,200,185 | |
07/15/2036 | 3.850% | 260,000 | 212,693 | |
04/01/2050 | 3.600% | 5,400,000 | 3,683,955 | |
03/25/2051 | 3.950% | 4,468,000 | 3,219,157 | |
11/09/2052 | 6.900% | 2,000,000 | 2,164,276 | |
S&P Global, Inc.(a) | ||||
08/01/2028 | 4.750% | 2,500,000 | 2,471,269 | |
Tencent Holdings Ltd.(a) | ||||
04/22/2051 | 3.840% | 3,570,000 | 2,545,118 | |
Total | 31,523,775 | |||
Tobacco 0.7% | ||||
BAT Capital Corp. | ||||
08/15/2037 | 4.390% | 3,870,000 | 3,009,525 | |
08/15/2047 | 4.540% | 9,792,000 | 6,960,270 | |
03/16/2052 | 5.650% | 1,730,000 | 1,433,787 | |
Imperial Brands Finance PLC(a) | ||||
02/11/2023 | 3.500% | 2,005,000 | 1,998,484 | |
07/26/2024 | 3.125% | 4,145,000 | 3,970,868 | |
07/26/2026 | 3.500% | 950,000 | 870,583 | |
Reynolds American, Inc. | ||||
08/15/2035 | 5.700% | 1,185,000 | 1,072,082 | |
08/15/2045 | 5.850% | 4,180,000 | 3,568,505 | |
Total | 22,884,104 | |||
Wireless 1.3% | ||||
Sprint Corp. | ||||
09/15/2023 | 7.875% | 270,000 | 274,032 | |
Sprint Spectrum Co. I/II/III LLC(a) | ||||
03/20/2025 | 4.738% | 9,132,188 | 9,015,581 | |
03/20/2028 | 5.152% | 4,880,000 | 4,814,822 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 17 |
December 31, 2022
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
T-Mobile US, Inc. | ||||
02/15/2026 | 2.250% | 1,970,000 | 1,794,125 | |
04/15/2026 | 2.625% | 5,424,000 | 4,967,764 | |
04/15/2027 | 3.750% | 2,625,000 | 2,474,984 | |
04/15/2030 | 3.875% | 6,375,000 | 5,786,751 | |
02/15/2031 | 2.550% | 2,340,000 | 1,906,928 | |
04/15/2040 | 4.375% | 3,000,000 | 2,573,902 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 1,212,000 | 981,783 | |
Vodafone Group PLC | ||||
05/30/2048 | 5.250% | 3,110,000 | 2,761,584 | |
06/19/2049 | 4.875% | 4,340,000 | 3,651,402 | |
Total | 41,003,658 | |||
Wirelines 0.9% | ||||
AT&T, Inc. | ||||
12/01/2033 | 2.550% | 2,335,000 | 1,795,614 | |
05/15/2035 | 4.500% | 620,000 | 563,900 | |
03/01/2037 | 5.250% | 5,640,000 | 5,446,732 | |
03/01/2039 | 4.850% | 2,796,000 | 2,502,841 | |
12/15/2042 | 4.300% | 1,000,000 | 823,974 | |
05/15/2046 | 4.750% | 3,360,000 | 2,867,270 | |
09/15/2055 | 3.550% | 2,375,000 | 1,604,119 | |
12/01/2057 | 3.800% | 3,060,000 | 2,120,849 | |
C&W Senior Financing DAC(a) | ||||
09/15/2027 | 6.875% | 480,000 | 445,561 | |
Level 3 Financing, Inc.(a) | ||||
03/01/2027 | 3.400% | 413,000 | 349,888 | |
11/15/2029 | 3.875% | 9,220,000 | 7,267,344 | |
Verizon Communications, Inc. | ||||
03/21/2031 | 2.550% | 1,845,000 | 1,518,430 | |
Total | 27,306,522 | |||
Total Corporate Bonds & Notes (Cost $1,008,029,248) | 888,946,906 | |||
Foreign Government Obligations(j) 1.4% | ||||
Azerbaijan 0.0% | ||||
Southern Gas Corridor CJSC(a) | ||||
03/24/2026 | 6.875% | 600,000 | 615,743 | |
Bahrain 0.0% | ||||
Bahrain Government International Bond(a) | ||||
01/26/2026 | 7.000% | 415,000 | 424,791 | |
Brazil 0.1% | ||||
Brazilian Government International Bond | ||||
06/06/2025 | 2.875% | 1,700,000 | 1,605,109 | |
06/12/2030 | 3.875% | 925,000 | 803,512 | |
Total | 2,408,621 |
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Chile 0.1% | ||||
Chile Government International Bond | ||||
01/31/2031 | 2.450% | 1,381,000 | 1,147,159 | |
01/27/2032 | 2.550% | 489,000 | 400,820 | |
07/27/2033 | 2.550% | 260,000 | 203,931 | |
Total | 1,751,910 | |||
Colombia 0.1% | ||||
Colombia Government International Bond | ||||
01/28/2026 | 4.500% | 940,000 | 883,788 | |
01/30/2030 | 3.000% | 1,340,000 | 1,025,159 | |
04/15/2031 | 3.125% | 900,000 | 668,834 | |
04/20/2033 | 8.000% | 200,000 | 200,631 | |
Total | 2,778,412 | |||
Dominican Republic 0.0% | ||||
Dominican Republic International Bond(a) | ||||
01/30/2030 | 4.500% | 300,000 | 255,751 | |
09/23/2032 | 4.875% | 820,000 | 682,287 | |
Total | 938,038 | |||
Egypt 0.0% | ||||
Egypt Government International Bond(a) | ||||
10/06/2025 | 5.250% | 750,000 | 673,268 | |
03/01/2029 | 7.600% | 400,000 | 325,191 | |
Total | 998,459 | |||
Guatemala 0.0% | ||||
Guatemala Government Bond(a) | ||||
06/01/2030 | 4.900% | 250,000 | 236,698 | |
10/07/2033 | 3.700% | 306,000 | 252,357 | |
Total | 489,055 | |||
Hungary 0.0% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 1,100,000 | 813,564 | |
Indonesia 0.1% | ||||
Indonesia Government International Bond | ||||
02/14/2030 | 2.850% | 701,000 | 629,335 | |
PT Pertamina Persero(a) | ||||
08/25/2030 | 3.100% | 1,443,000 | 1,241,756 | |
PT Perusahaan Gas Negara Persero Tbk(a) | ||||
05/16/2024 | 5.125% | 478,000 | 473,931 | |
Total | 2,345,022 | |||
Kazakhstan 0.0% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 534,000 | 478,530 |
18 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
KazTransGas JSC(a) | ||||
09/26/2027 | 4.375% | 400,000 | 359,205 | |
Total | 837,735 | |||
Malaysia 0.1% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 1,600,000 | 1,462,203 | |
01/28/2032 | 2.480% | 900,000 | 742,165 | |
Total | 2,204,368 | |||
Mexico 0.4% | ||||
Mexico Government International Bond | ||||
01/11/2028 | 3.750% | 2,000,000 | 1,890,598 | |
05/24/2031 | 2.659% | 2,496,000 | 2,011,168 | |
Petroleos Mexicanos | ||||
09/21/2047 | 6.750% | 3,348,000 | 2,142,837 | |
01/23/2050 | 7.690% | 5,375,000 | 3,724,210 | |
01/28/2060 | 6.950% | 1,730,000 | 1,095,034 | |
Total | 10,863,847 | |||
Oman 0.0% | ||||
Oman Government International Bond(a) | ||||
01/17/2028 | 5.625% | 700,000 | 690,604 | |
Panama 0.1% | ||||
Panama Government International Bond | ||||
01/23/2030 | 3.160% | 1,486,000 | 1,278,764 | |
09/29/2032 | 2.252% | 300,000 | 222,527 | |
Total | 1,501,291 | |||
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
01/29/2033 | 2.739% | 1,465,000 | 1,175,633 | |
Peru 0.0% | ||||
Peruvian Government International Bond | ||||
08/25/2027 | 4.125% | 347,000 | 333,300 | |
06/20/2030 | 2.844% | 482,000 | 408,609 | |
01/23/2031 | 2.783% | 400,000 | 332,142 | |
12/01/2032 | 1.862% | 200,000 | 146,244 | |
Total | 1,220,295 | |||
Philippines 0.0% | ||||
Philippine Government International Bond | ||||
05/05/2030 | 2.457% | 770,000 | 673,597 | |
06/10/2031 | 1.648% | 550,000 | 439,796 | |
Total | 1,113,393 | |||
Poland 0.0% | ||||
Republic of Poland Government International Bond | ||||
11/16/2032 | 5.750% | 172,000 | 182,941 |
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Qatar 0.1% | ||||
Qatar Energy(a) | ||||
07/12/2031 | 2.250% | 600,000 | 497,428 | |
Qatar Government International Bond(a) | ||||
04/23/2028 | 4.500% | 1,956,000 | 1,967,896 | |
04/16/2030 | 3.750% | 790,000 | 764,272 | |
Total | 3,229,596 | |||
Romania 0.0% | ||||
Romanian Government International Bond(a) | ||||
02/14/2031 | 3.000% | 1,140,000 | 897,043 | |
Saudi Arabia 0.1% | ||||
Saudi Arabian Oil Co.(a) | ||||
11/24/2025 | 1.625% | 200,000 | 182,273 | |
Saudi Government International Bond(a) | ||||
03/04/2028 | 3.625% | 725,000 | 691,917 | |
10/22/2030 | 3.250% | 610,000 | 556,789 | |
Total | 1,430,979 | |||
South Africa 0.1% | ||||
Republic of South Africa Government International Bond | ||||
10/12/2028 | 4.300% | 900,000 | 802,192 | |
09/30/2029 | 4.850% | 1,650,000 | 1,469,459 | |
Total | 2,271,651 | |||
Turkey 0.0% | ||||
Turkey Government International Bond | ||||
03/23/2023 | 3.250% | 1,070,000 | 1,068,164 | |
United Arab Emirates 0.1% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2029 | 2.500% | 2,014,000 | 1,804,947 | |
DP World Crescent Ltd.(a) | ||||
09/26/2028 | 4.848% | 940,000 | 928,582 | |
Total | 2,733,529 | |||
Uruguay 0.0% | ||||
Uruguay Government International Bond | ||||
01/23/2031 | 4.375% | 825,000 | 819,874 | |
Total Foreign Government Obligations (Cost $54,075,907) | 45,804,558 | |||
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 19 |
December 31, 2022
Inflation-Indexed Bonds 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 0.1% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
07/15/2032 | 0.625% | 4,056,050 | 3,713,851 | |
Total Inflation-Indexed Bonds (Cost $3,708,487) | 3,713,851 | |||
Municipal Bonds 0.5% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Airport 0.0% | ||||
County of Miami-Dade Aviation | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2019B | ||||
10/01/2034 | 3.555% | 930,000 | 782,130 | |
Hospital 0.2% | ||||
Regents of the University of California Medical Center | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2020N | ||||
05/15/2060 | 3.256% | 6,865,000 | 4,448,830 | |
Local General Obligation 0.2% | ||||
City of New York | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2031 | 5.206% | 2,400,000 | 2,426,538 | |
Series 2010 | ||||
10/01/2024 | 5.047% | 3,412,455 | 3,405,386 | |
Total | 5,831,924 | |||
Special Non Property Tax 0.1% | ||||
New York City Transitional Finance Authority | ||||
Refunding Revenue Bonds | ||||
Future Tax Secured | ||||
Subordinated Series 2020B-3 | ||||
08/01/2035 | 2.000% | 2,000,000 | 1,383,490 | |
New York City Transitional Finance Authority Future Tax | ||||
Secured Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2037 | 5.508% | 2,110,000 | 2,165,738 | |
Total | 3,549,228 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Transportation 0.0% | ||||
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Taxable Green Bonds | ||||
Series 2020C-2 | ||||
11/15/2049 | 5.175% | 970,000 | 837,112 | |
Turnpike / Bridge / Toll Road 0.0% | ||||
North Texas Tollway Authority | ||||
Taxable Refunding Revenue Bonds | ||||
First Tier | ||||
Series 2021 | ||||
01/01/2034 | 2.430% | 1,500,000 | 1,142,872 | |
Total Municipal Bonds (Cost $20,646,611) | 16,592,096 | |||
Residential Mortgage-Backed Securities - Agency 35.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
04/01/2031- 01/01/2050 | 3.000% | 33,784,798 | 30,324,202 | |
09/01/2032- 01/01/2050 | 3.500% | 73,540,523 | 68,463,374 | |
07/01/2035- 10/01/2048 | 5.000% | 1,925,243 | 1,939,509 | |
04/01/2036- 09/01/2039 | 6.000% | 134,807 | 137,974 | |
06/01/2038- 01/01/2040 | 5.500% | 358,476 | 371,867 | |
03/01/2039- 10/01/2048 | 4.500% | 4,509,504 | 4,455,985 | |
08/01/2044- 01/01/2049 | 4.000% | 5,044,830 | 4,875,267 | |
12/01/2051- 04/01/2052 | 2.500% | 28,613,936 | 24,250,085 | |
03/01/2052- 04/01/2052 | 2.000% | 31,533,739 | 25,681,034 | |
CMO Series 360 Class 250 | ||||
11/15/2047 | 2.500% | 1,627,135 | 1,468,175 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 2980 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 11/15/2034 | 2.382% | 217,159 | 18,889 | |
Federal Home Loan Mortgage Corp.(d) | ||||
CMO Series 4037 Class PI | ||||
04/15/2027 | 3.000% | 143,572 | 4,299 | |
CMO Series 4093 Class IA | ||||
03/15/2042 | 4.000% | 2,157,500 | 481,510 |
20 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
12/01/2025- 06/01/2049 | 3.500% | 15,341,526 | 14,299,950 | |
06/01/2032- 04/01/2052 | 3.000% | 22,030,483 | 19,851,434 | |
05/01/2033- 08/01/2039 | 5.000% | 120,396 | 121,423 | |
11/01/2038- 11/01/2040 | 6.000% | 1,607,196 | 1,677,350 | |
10/01/2040- 04/01/2052 | 2.000% | 103,044,248 | 85,022,469 | |
08/01/2043- 07/01/2047 | 4.000% | 15,489,773 | 14,945,234 | |
02/01/2046- 08/01/2048 | 4.500% | 6,078,842 | 5,966,454 | |
12/01/2051- 04/01/2052 | 2.500% | 161,055,749 | 136,588,791 | |
CMO Series 2013-13 Class PH | ||||
04/25/2042 | 2.500% | 2,426,690 | 2,261,707 | |
CMO Series 2018-54 Class KA | ||||
01/25/2047 | 3.500% | 864,692 | 831,823 | |
CMO Series 2018-86 Class JA | ||||
05/25/2047 | 4.000% | 603,953 | 581,886 | |
CMO Series 2018-94D Class KD | ||||
12/25/2048 | 3.500% | 656,233 | 622,168 | |
CMO Series 2019-1 Class KP | ||||
02/25/2049 | 3.250% | 1,329,771 | 1,215,512 | |
Federal National Mortgage Association(b),(d) | ||||
CMO Series 2006-8 Class HL | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 03/25/2036 | 2.311% | 637,151 | 52,309 | |
CMO Series 2013-81 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/25/2042 | 1.811% | 183,150 | 6,062 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2013-45 Class IK | ||||
02/25/2043 | 3.000% | 137,332 | 16,429 | |
Government National Mortgage Association | ||||
08/15/2033- 08/20/2048 | 4.500% | 5,417,626 | 5,364,343 | |
04/15/2035- 10/20/2047 | 5.000% | 2,858,293 | 2,879,792 | |
07/15/2040- 10/20/2048 | 4.000% | 6,422,006 | 6,156,535 | |
04/20/2046- 07/20/2049 | 3.500% | 17,381,796 | 16,215,428 | |
11/20/2046- 10/20/2049 | 3.000% | 10,888,732 | 9,807,835 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(k) | ||||
CMO Series 2006-26 Class | ||||
06/20/2036 | 0.000% | 17,880 | 14,335 | |
Government National Mortgage Association TBA(l) | ||||
01/23/2053 | 2.500% | 45,525,000 | 39,440,951 | |
Uniform Mortgage-Backed Security TBA(l) | ||||
01/12/2053 | 2.000% | 144,250,000 | 117,341,643 | |
01/12/2053 | 2.500% | 90,525,000 | 76,630,708 | |
01/12/2053 | 3.000% | 69,275,000 | 60,779,756 | |
01/12/2053 | 3.500% | 23,550,000 | 21,390,529 | |
01/12/2053 | 4.000% | 50,050,000 | 46,929,880 | |
01/12/2053 | 4.500% | 128,675,000 | 123,818,328 | |
01/12/2053 | 5.000% | 172,775,000 | 170,221,629 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,191,078,123) | 1,143,524,863 | |||
Residential Mortgage-Backed Securities - Non-Agency 8.2% | ||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-R8 Class M3 | ||||
1-month USD LIBOR + 0.765% Floor 0.510% 10/25/2035 | 5.154% | 4,031,858 | 3,999,938 | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2021-6 Class A1 | ||||
09/25/2066 | 1.483% | 4,902,834 | 3,877,475 | |
BCAP LLC Trust(b) | ||||
CMO Series 2007-AA1 Class 2A1 | ||||
1-month USD LIBOR + 0.180% Floor 0.180% 03/25/2037 | 4.749% | 4,779,200 | 4,135,324 | |
BRAVO Residential Funding Trust(a),(c) | ||||
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 7,776,949 | 7,381,129 | |
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 3,303,810 | 3,084,525 | |
CIM Group(a),(c) | ||||
CMO Series 2020-R7 Class A1A | ||||
12/27/2061 | 2.250% | 8,247,879 | 7,227,772 | |
CIM Trust(a),(c) | ||||
CMO Series 2019-R4 Class A1 | ||||
10/25/2059 | 3.000% | 6,619,594 | 6,114,947 | |
CMO Series 2020-R3 Class A1A | ||||
01/26/2060 | 4.000% | 7,337,074 | 6,904,548 | |
CMO Series 2020-R4 Class A1A | ||||
06/25/2060 | 3.300% | 8,956,605 | 8,914,897 | |
CMO Series 2020-R6 Class A1A | ||||
12/25/2060 | 2.250% | 5,228,293 | 4,458,324 | |
CMO Series 2021-NR2 Class A1 | ||||
07/25/2059 | 2.568% | 6,790,244 | 6,247,743 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 21 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-NR3 Class A1 | ||||
06/25/2057 | 2.566% | 4,224,169 | 3,958,462 | |
CMO Series 2021-R3 Class A1A | ||||
06/25/2057 | 1.951% | 11,237,980 | 9,932,423 | |
CMO Series 2021-R5 Class A1A | ||||
08/25/2061 | 2.000% | 8,965,254 | 7,519,334 | |
CMO Series 2022-I1 Class A1 | ||||
02/25/2067 | 4.350% | 7,563,963 | 7,321,622 | |
CitiMortgage Alternative Loan Trust | ||||
CMO Series 2006-A5 Class 1A12 | ||||
10/25/2036 | 6.000% | 1,022,684 | 890,662 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2022-R03 Class 1M2 | ||||
30-day Average SOFR + 3.500% 03/25/2042 | 7.428% | 5,000,000 | 5,062,595 | |
Countrywide Alternative Loan Trust(b) | ||||
CMO Series 2005-76 Class 1A1 | ||||
1-year MTA + 1.480% Floor 1.480% 01/25/2036 | 3.908% | 2,420,584 | 2,127,528 | |
Countrywide Alternative Loan Trust(c) | ||||
CMO Series 2006-HY12 Class A5 | ||||
08/25/2036 | 3.566% | 3,314,323 | 2,808,960 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates(c) | ||||
CMO Series 2004-AR5 Class 2A1 | ||||
06/25/2034 | 3.468% | 125,182 | 124,196 | |
Credit Suisse Mortgage Capital Certificates(a),(c) | ||||
CMO Series 2015-5R Class 1A1 | ||||
09/27/2046 | 2.292% | 18,096 | 17,803 | |
Credit Suisse Mortgage Capital Trust(a),(c) | ||||
CMO Series 2021-RP11 Class PT | ||||
10/25/2061 | 3.774% | 10,192,445 | 7,685,520 | |
CSMC Trust(a),(c) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 5,442,635 | 5,084,542 | |
CMO Series 2022-RPL3 Class A1 | ||||
03/25/2061 | 3.608% | 13,288,780 | 13,122,304 | |
CSMCM Trust(a) | ||||
CMO Series 2021-RP11 Class CERT | ||||
10/27/2061 | 3.778% | 431,288 | 328,741 | |
CWABS Asset-Backed Certificates Trust(b) | ||||
CMO Series 2006-14 Class 2A3 | ||||
1-month USD LIBOR + 0.240% Floor 0.240% 02/25/2037 | 4.869% | 3,159,651 | 3,017,104 | |
First Horizon Alternative Mortgage Securities Trust(c) | ||||
CMO Series 2005-AA10 Class 2A1 | ||||
12/25/2035 | 4.186% | 1,226,508 | 984,562 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2005-AA7 Class 2A1 | ||||
09/25/2035 | 3.740% | 761,510 | 654,707 | |
CMO Series 2005-AA8 Class 2A1 | ||||
10/25/2035 | 3.830% | 1,765,974 | 1,173,983 | |
First Horizon Alternative Mortgage Securities Trust | ||||
CMO Series 2006-FA8 Class 1A11 | ||||
02/25/2037 | 6.000% | 785,738 | 334,654 | |
GMAC Mortgage Loan Trust(c) | ||||
CMO Series 2005-AR6 Class 2A1 | ||||
11/19/2035 | 3.348% | 1,215,493 | 1,027,511 | |
GS Mortgage-Backed Securities Trust(a) | ||||
CMO Series 2018-RPL1 Class A1A | ||||
10/25/2057 | 3.750% | 4,622,698 | 4,363,694 | |
GSR Mortgage Loan Trust(c) | ||||
CMO Series 2005-AR6 Class 4A5 | ||||
09/25/2035 | 4.143% | 187,503 | 171,120 | |
HarborView Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200% 11/19/2036 | 4.539% | 8,728,418 | 6,881,580 | |
IndyMac Index Mortgage Loan Trust(b) | ||||
CMO Series 2006-AR27 Class 1A3 | ||||
1-month USD LIBOR + 0.540% Floor 0.270%, Cap 10.500% 10/25/2036 | 4.929% | 3,444,602 | 1,594,553 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
CMO Series 2006-FRE1 Class M1 | ||||
1-month USD LIBOR + 0.585% Floor 0.585% 05/25/2035 | 4.974% | 4,559,272 | 4,432,091 | |
JPMorgan Mortgage Trust(a),(c) | ||||
CMO Series 2021-13 Class A3 | ||||
04/25/2052 | 2.500% | 10,314,015 | 8,311,646 | |
Long Beach Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A | ||||
1-month USD LIBOR + 0.150% Floor 0.150% 11/25/2036 | 4.689% | 4,249,939 | 2,967,967 | |
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 | 4.869% | 3,281,384 | 2,467,236 | |
Merrill Lynch Mortgage-Backed Securities Trust(b) | ||||
CMO Series 2007-2 Class 1A1 | ||||
1-year CMT + 2.400% Floor 2.400% 08/25/2036 | 4.828% | 674,950 | 588,421 |
22 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
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 | 4.649% | 418,025 | 386,842 | |
MortgageIT Trust(b) | ||||
CMO Series 2005-4 Class A1 | ||||
1-month USD LIBOR + 0.560% Floor 0.280%, Cap 11.500% 10/25/2035 | 4.949% | 1,096,230 | 1,015,345 | |
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 | 5.064% | 2,468,497 | 2,384,300 | |
Preston Ridge Partners Mortgage Trust(a),(c) | ||||
CMO Series 2021-10 Class A1 | ||||
10/25/2026 | 2.487% | 9,379,228 | 8,433,692 | |
CMO Series 2021-7 Class A1 | ||||
08/25/2026 | 1.867% | 14,731,780 | 13,235,073 | |
CMO Series 2022-1 Class A1 | ||||
02/25/2027 | 3.720% | 14,717,249 | 13,621,813 | |
CMO Series 2022-4 Class A1 | ||||
08/25/2027 | 5.000% | 3,701,789 | 3,482,404 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2022-RN2 Class A1 | ||||
06/25/2052 | 5.000% | 9,837,630 | 9,136,251 | |
CMO Series 2022-RN3 Class A1 | ||||
08/25/2052 | 5.000% | 11,211,712 | 10,364,630 | |
PRPM LLC(a),(c) | ||||
CMO Series 2021-11 Class A1 | ||||
11/25/2026 | 2.487% | 5,541,616 | 4,973,398 | |
RALI Trust(c) | ||||
CMO Series 2005-QA8 Class CB21 | ||||
07/25/2035 | 4.261% | 968,144 | 550,697 | |
Structured Asset Mortgage Investments II Trust(b) | ||||
CMO Series 2006-AR3 Class 12A1 | ||||
1-month USD LIBOR + 0.440% Floor 0.220%, Cap 10.500% 05/25/2036 | 4.829% | 4,912,246 | 3,733,178 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2021-7 Class A1 | ||||
10/25/2066 | 1.829% | 17,582,974 | 15,060,881 | |
WaMu Mortgage Pass-Through Certificates Trust(c) | ||||
CMO Series 2003-AR10 Class A7 | ||||
10/25/2033 | 4.234% | 343,205 | 317,961 | |
CMO Series 2003-AR9 Class 1A6 | ||||
09/25/2033 | 4.124% | 270,915 | 248,562 | |
CMO Series 2005-AR4 Class A5 | ||||
04/25/2035 | 2.987% | 453,475 | 402,987 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2007-HY2 Class 1A1 | ||||
12/25/2036 | 3.372% | 1,792,577 | 1,579,859 | |
WaMu Mortgage Pass-Through Certificates Trust(b) | ||||
CMO Series 2005-AR15 Class A1A1 | ||||
1-month USD LIBOR + 0.520% Floor 0.260%, Cap 10.500% 11/25/2045 | 4.909% | 1,685,782 | 1,504,972 | |
CMO Series 2006-AR11 Class 1A | ||||
1-year MTA + 0.960% Floor 0.960% 09/25/2046 | 3.388% | 3,168,252 | 2,554,243 | |
CMO Series 2006-AR4 Class 1A1A | ||||
1-year MTA + 0.940% Floor 0.940% 05/25/2046 | 3.368% | 2,129,803 | 1,828,622 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $284,525,418) | 262,117,853 | |||
Senior Loans 1.6% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
TransDigm, Inc.(b),(m) | ||||
Tranche E Term Loan | ||||
3-month USD LIBOR + 2.250% 05/30/2025 | 6.980% | 914,659 | 903,875 | |
Tranche F Term Loan | ||||
3-month USD LIBOR + 2.250% 12/09/2025 | 6.980% | 263,608 | 260,070 | |
Total | 1,163,945 | |||
Airlines 0.0% | ||||
United AirLines, Inc.(b),(m) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 04/21/2028 | 8.108% | 448,533 | 442,056 | |
Automotive 0.1% | ||||
Clarios Global LP(b),(m) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% 04/30/2026 | 7.634% | 2,163,297 | 2,115,531 | |
Brokerage/Asset Managers/Exchanges 0.0% | ||||
Deerfield Dakota Holdings LLC(b),(m) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 1.000% 04/09/2027 | 8.073% | 847,107 | 789,665 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 23 |
December 31, 2022
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.1% | ||||
Charter Communications Operating LLC(b),(m) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 1.750% 02/01/2027 | 6.140% | 242,481 | 236,463 | |
CSC Holdings LLC(b),(m) | ||||
Term Loan | ||||
1-month Term SOFR + 4.500% 01/17/2028 | 9.061% | 636,528 | 599,928 | |
DirectTV Financing LLC(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 5.000% Floor 0.750% 08/02/2027 | 9.384% | 1,672,938 | 1,625,192 | |
Virgin Media Bristol LLC(b),(m) | ||||
Tranche N Term Loan | ||||
3-month USD LIBOR + 2.500% 01/31/2028 | 6.818% | 1,750,000 | 1,718,132 | |
Total | 4,179,715 | |||
Consumer Cyclical Services 0.1% | ||||
Amentum Government Services Holdings LLC(b),(m) | ||||
Tranche 1 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% 01/29/2027 | 8.384% | 363,566 | 354,779 | |
Arches Buyer, Inc.(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 12/06/2027 | 7.634% | 78,887 | 72,807 | |
Pre-Paid Legal Services, Inc.(b),(m) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 12/15/2028 | 8.134% | 512,782 | 492,456 | |
Prime Security Services Borrower LLC(b),(m) | ||||
Tranche B1 1st Lien Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.750% 09/23/2026 | 6.505% | 471,562 | 466,893 | |
Safe Fleet Holdings LLC(b),(m) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 02/23/2029 | 8.173% | 198,023 | 190,969 | |
Spin Holdco, Inc.(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 03/04/2028 | 8.765% | 958,045 | 804,518 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
TruGreen LP(b),(m) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 11/02/2027 | 8.384% | 336,786 | 298,268 | |
Total | 2,680,690 | |||
Consumer Products 0.1% | ||||
Acuity Specialty Products, Inc.(b),(m) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 08/12/2024 | 8.580% | 1,113,308 | 958,559 | |
Osmosis Buryer, Ltd./AI Aqua Merger Sub, Inc.(b),(m) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 07/31/2028 | 7.844% | 354,827 | 333,537 | |
Osmosis Buyer Ltd./AI Aqua Merger Sub, Inc.(b),(m),(n),(o) | ||||
Delayed Draw Tranche B Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 07/31/2028 | 4.980% | 61,709 | 58,006 | |
Total | 1,350,102 | |||
Diversified Manufacturing 0.0% | ||||
Homer City Generation LP(b),(m),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 13.000% Floor 1.000% 04/05/2023 | 15.000% | 298,468 | 164,158 | |
Finance Companies 0.1% | ||||
Avolon Borrower 1 LLC(b),(m) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 1.750% Floor 0.750% 01/15/2025 | 6.103% | 175,812 | 175,007 | |
Tranche B5 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 12/01/2027 | 6.603% | 2,468,593 | 2,460,224 | |
Total | 2,635,231 | |||
Food and Beverage 0.1% | ||||
Naked Juice LLC(b),(m) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 01/24/2029 | 7.930% | 1,878,019 | 1,675,080 |
24 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Gaming 0.1% | ||||
Caesars Resort Collection LLC(b),(m) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 3.500% 07/21/2025 | 7.884% | 691,310 | 688,953 | |
Fertitta Entertainment LLC(b),(m) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 01/27/2029 | 8.323% | 659,935 | 626,199 | |
J&J Ventures Gaming LLC(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 04/26/2028 | 8.730% | 136,728 | 130,575 | |
Scientific Games International, Inc.(b),(m) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 04/14/2029 | 7.417% | 457,225 | 449,877 | |
Total | 1,895,604 | |||
Health Care 0.1% | ||||
Avantor Funding, Inc.(b),(m) | ||||
Tranche B5 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 11/08/2027 | 6.634% | 994,733 | 988,655 | |
Bausch & Lomb Corp.(b),(m) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 05/10/2027 | 7.842% | 162,341 | 154,123 | |
Gainwell Acquisition Corp.(b),(m) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 10/01/2027 | 8.730% | 841,414 | 787,774 | |
ICON PLC(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.250% 07/03/2028 | 7.000% | 440,480 | 438,776 | |
3-month USD LIBOR + 2.250% 07/03/2028 | 7.000% | 109,746 | 109,321 | |
Medline Borrower LP(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 10/23/2028 | 7.634% | 992,500 | 941,863 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
PetVet Care Centers LLC(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.750% 02/14/2025 | 7.884% | 149,640 | 140,220 | |
Total | 3,560,732 | |||
Leisure 0.0% | ||||
Crown Finance US, Inc.(b),(m),(n),(q) | ||||
Debtor in Possession Term Loan | ||||
1-month Term SOFR + 10.000% Floor 1.000% 09/07/2023 | 14.407% | 1,002,848 | 982,480 | |
Formula 1 (Delta 2 SARL)(b),(m),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 01/15/2030 | 7.044% | 56,838 | 56,767 | |
Total | 1,039,247 | |||
Media and Entertainment 0.0% | ||||
Diamond Sports Group LLC(b),(m) | ||||
2nd Lien Term Loan | ||||
1-month Term SOFR + 3.250% 08/24/2026 | 7.567% | 623,863 | 74,864 | |
Other Financial Institutions 0.0% | ||||
Trans Union LLC(b),(m) | ||||
Tranche B5 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/16/2026 | 6.134% | 678,158 | 667,864 | |
Tranche B6 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 12/01/2028 | 6.634% | 277,402 | 274,320 | |
Total | 942,184 | |||
Other Industry 0.0% | ||||
Artera Services LLC(b),(m) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 03/06/2025 | 7.980% | 449,104 | 363,671 | |
Packaging 0.1% | ||||
Berry Global, Inc.(b),(m) | ||||
Tranche Z Term Loan | ||||
1-month USD LIBOR + 1.750% 07/01/2026 | 6.024% | 2,530,673 | 2,507,669 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 25 |
December 31, 2022
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Pharmaceuticals 0.3% | ||||
Elanco Animal Health, Inc.(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 08/01/2027 | 5.870% | 2,616,164 | 2,507,828 | |
Grifols Worldwide Operations Ltd.(b),(m) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.000% 11/15/2027 | 6.384% | 2,054,714 | 1,983,663 | |
Horizon Therapeutics USA, Inc.(b),(m) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 1.750% Floor 0.500% 03/15/2028 | 6.188% | 1,323,894 | 1,322,239 | |
Jazz Pharmaceuticals PLC(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 05/05/2028 | 7.884% | 1,564,455 | 1,548,560 | |
Organon & Co.(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 06/02/2028 | 7.750% | 1,990,259 | 1,967,869 | |
Total | 9,330,159 | |||
Property & Casualty 0.1% | ||||
Acrisure LLC(b),(m) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% 02/15/2027 | 7.884% | 1,311,514 | 1,227,905 | |
AmWINS Group, Inc.(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.750% 02/19/2028 | 6.634% | 2,569,510 | 2,520,535 | |
Asurion LLC(b),(m) | ||||
Tranche B7 Term Loan | ||||
3-month USD LIBOR + 3.000% 11/03/2024 | 7.384% | 498,695 | 483,290 | |
Total | 4,231,730 | |||
Restaurants 0.0% | ||||
1011778 BC ULC(b),(m) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 6.141% | 527,188 | 517,303 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
KFC Holding Co./Yum! Brands(b),(m) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 1.750% 03/15/2028 | 6.089% | 402,214 | 396,684 | |
Total | 913,987 | |||
Technology 0.1% | ||||
athenahealth Group, Inc.(b),(m),(n),(o) | ||||
Delayed Draw Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 02/15/2029 | 7.821% | 185,207 | 166,753 | |
athenahealth Group, Inc.(b),(m) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 02/15/2029 | 7.821% | 1,087,258 | 978,923 | |
Central Parent, Inc.(b),(m) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.500% Floor 0.500% 07/06/2029 | 9.080% | 664,830 | 658,028 | |
Coherent Corp.(b),(m) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 07/02/2029 | 7.134% | 166,732 | 164,606 | |
DTI Holdco, Inc.(b),(m) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.750% Floor 0.750% 04/26/2029 | 8.844% | 95,828 | 87,787 | |
Entegris, Inc.(b),(m) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.000% 07/06/2029 | 7.524% | 560,000 | 557,900 | |
Ingram Micro, Inc.(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 06/30/2028 | 8.230% | 685,335 | 673,342 | |
Mitnick Corporate Purchaser, Inc.(b),(m) | ||||
Term Loan | ||||
1-month Term SOFR + 4.750% Floor 0.500% 05/02/2029 | 8.944% | 145,635 | 136,079 | |
Open Text Corp.(b),(m),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 11/16/2029 | 7.307% | 196,345 | 191,584 |
26 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Peraton Corp.(b),(m) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 02/01/2028 | 8.134% | 374,102 | 364,671 | |
Proofpoint, Inc.(b),(m) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 08/31/2028 | 7.985% | 268,598 | 257,703 | |
RealPage, Inc.(b),(m) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 04/24/2028 | 7.384% | 144,269 | 136,912 | |
Total | 4,374,288 | |||
Wireless 0.1% | ||||
SBA Senior Finance II LLC(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 6.140% | 1,389,525 | 1,383,355 | |
Wirelines 0.1% | ||||
Telenet Financing USD LLC(b),(m) | ||||
Tranche AR Term Loan | ||||
6-month USD LIBOR + 2.000% 04/30/2028 | 6.318% | 750,000 | 728,625 | |
Zayo Group Holdings, Inc.(b),(m) | ||||
Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 03/09/2027 | 8.573% | 374,766 | 309,474 | |
1-month USD LIBOR + 3.000% 03/09/2027 | 7.384% | 2,980,724 | 2,406,070 | |
Total | 3,444,169 | |||
Total Senior Loans (Cost $53,248,262) | 51,257,832 | |||
Treasury Bills 2.3% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 2.3% | ||||
U.S. Treasury Bills | ||||
05/25/2023 | 4.510% | 73,910,000 | 72,601,108 | |
Total Treasury Bills (Cost $72,583,777) | 72,601,108 | |||
U.S. Treasury Obligations 11.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
12/15/2025 | 4.000% | 5,270,000 | 5,237,063 | |
11/30/2027 | 3.875% | 71,160,000 | 70,776,403 | |
11/15/2032 | 4.125% | 52,420,000 | 53,464,756 | |
11/15/2041 | 2.000% | 112,140,000 | 80,215,144 | |
02/15/2042 | 2.375% | 35,840,000 | 27,384,000 | |
11/15/2052 | 4.000% | 97,945,000 | 98,471,582 | |
U.S. Treasury(l) | ||||
12/31/2027 | 3.750% | 44,630,000 | 44,375,595 | |
Total U.S. Treasury Obligations (Cost $413,478,577) | 379,924,543 |
Money Market Funds 22.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.318%(r),(s) | 720,569,700 | 720,353,529 |
Total Money Market Funds (Cost $720,304,975) | 720,353,529 | |
Total Investments in Securities (Cost: $4,137,046,284) | 3,882,938,046 | |
Other Assets & Liabilities, Net | (690,366,023) | |
Net Assets | 3,192,572,023 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 2,516 | 03/2023 | USD | 515,976,565 | 567,610 | — |
U.S. Treasury 2-Year Note | 1,454 | 03/2023 | USD | 298,183,595 | — | (763,579) |
U.S. Treasury 5-Year Note | 3,061 | 03/2023 | USD | 330,372,775 | — | (215,108) |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 27 |
December 31, 2022
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury Ultra 10-Year Note | 142 | 03/2023 | USD | 16,795,938 | — | (24,729) |
U.S. Treasury Ultra Bond | 377 | 03/2023 | USD | 50,635,813 | — | (87,937) |
Total | 567,610 | (1,091,353) |
(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 December 31, 2022, the total value of these securities amounted to $719,512,143, which represents 22.54% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2022. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2022. |
(d) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2022, the total value of these securities amounted to $12, which represents less than 0.01% of total net assets. |
(f) | Non-income producing investment. |
(g) | Valuation based on significant unobservable inputs. |
(h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2022. |
(i) | Zero coupon bond. |
(j) | Principal and interest may not be guaranteed by a governmental entity. |
(k) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
(l) | Represents a security purchased on a when-issued basis. |
(m) | The stated interest rate represents the weighted average interest rate at December 31, 2022 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) | At December 31, 2022, the Fund had unfunded senior loan commitments pursuant to the terms of the loan agreement. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. |
Borrower | Unfunded Commitment ($) |
athenahealth Group, Inc. Delayed Draw Term Loan 02/15/2029 7.821% | 138,905 |
Osmosis Buyer Ltd./AI Aqua Merger Sub, Inc. Delayed Draw Tranche B Term Loan 07/31/2028 4.980% | 30,855 |
(p) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(q) | The borrower filed for protection under Chapter 11 of the U.S. Federal Bankruptcy Code. |
(r) | The rate shown is the seven-day current annualized yield at December 31, 2022. |
(s) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.318% | ||||||||
756,024,900 | 2,848,887,564 | (2,884,676,989) | 118,054 | 720,353,529 | (237,749) | 11,396,865 | 720,569,700 |
28 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
CVR | Contingent Value Rights |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 159,511,928 | — | 159,511,928 |
Commercial Mortgage-Backed Securities - Agency | — | 20,959,150 | — | 20,959,150 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 114,855,387 | — | 114,855,387 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 29 |
December 31, 2022
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Common Stocks | ||||
Communication Services | — | — | 12 | 12 |
Financials | — | 2,772,667 | — | 2,772,667 |
Utilities | — | — | 1,763 | 1,763 |
Total Common Stocks | — | 2,772,667 | 1,775 | 2,774,442 |
Corporate Bonds & Notes | — | 888,946,906 | — | 888,946,906 |
Foreign Government Obligations | — | 45,804,558 | — | 45,804,558 |
Inflation-Indexed Bonds | — | 3,713,851 | — | 3,713,851 |
Municipal Bonds | — | 16,592,096 | — | 16,592,096 |
Residential Mortgage-Backed Securities - Agency | — | 1,143,524,863 | — | 1,143,524,863 |
Residential Mortgage-Backed Securities - Non-Agency | — | 262,117,853 | — | 262,117,853 |
Senior Loans | — | 51,257,832 | — | 51,257,832 |
Treasury Bills | — | 72,601,108 | — | 72,601,108 |
U.S. Treasury Obligations | — | 379,924,543 | — | 379,924,543 |
Money Market Funds | 720,353,529 | — | — | 720,353,529 |
Total Investments in Securities | 720,353,529 | 3,162,582,742 | 1,775 | 3,882,938,046 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 567,610 | — | — | 567,610 |
Liability | ||||
Futures Contracts | (1,091,353) | — | — | (1,091,353) |
Total | 719,829,786 | 3,162,582,742 | 1,775 | 3,882,414,303 |
30 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,416,741,309) | $3,162,584,517 |
Affiliated issuers (cost $720,304,975) | 720,353,529 |
Cash | 365,208 |
Cash collateral held at broker for: | |
TBA | 137,000 |
Margin deposits on: | |
Futures contracts | 12,407,000 |
Receivable for: | |
Investments sold | 4,438,778 |
Investments sold on a delayed delivery basis | 38,209,214 |
Capital shares sold | 2,059 |
Dividends | 2,268,595 |
Interest | 15,997,572 |
Foreign tax reclaims | 226,268 |
Prepaid expenses | 25,788 |
Total assets | 3,957,015,528 |
Liabilities | |
Payable for: | |
Investments purchased | 9,124,110 |
Investments purchased on a delayed delivery basis | 747,203,533 |
Capital shares purchased | 6,764,341 |
Variation margin for futures contracts | 1,080,741 |
Management services fees | 42,036 |
Distribution and/or service fees | 124 |
Service fees | 968 |
Compensation of board members | 178,690 |
Compensation of chief compliance officer | 579 |
Other expenses | 48,383 |
Total liabilities | 764,443,505 |
Net assets applicable to outstanding capital stock | $3,192,572,023 |
Represented by | |
Paid in capital | 3,687,234,204 |
Total distributable earnings (loss) | (494,662,181) |
Total - representing net assets applicable to outstanding capital stock | $3,192,572,023 |
Class 1 | |
Net assets | $3,174,476,104 |
Shares outstanding | 348,287,076 |
Net asset value per share | $9.11 |
Class 2 | |
Net assets | $18,095,919 |
Shares outstanding | 1,993,803 |
Net asset value per share | $9.08 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 31 |
Year Ended December 31, 2022
Net investment income | |
Income: | |
Dividends — affiliated issuers | $11,396,865 |
Interest | 79,020,913 |
Interfund lending | 5,496 |
Foreign taxes withheld | (1,782) |
Total income | 90,421,492 |
Expenses: | |
Management services fees | 15,358,002 |
Distribution and/or service fees | |
Class 2 | 43,668 |
Service fees | 11,500 |
Compensation of board members | 49,242 |
Custodian fees | 52,457 |
Printing and postage fees | 11,839 |
Audit fees | 42,920 |
Legal fees | 52,867 |
Interest on collateral | 5,616 |
Compensation of chief compliance officer | 463 |
Other | 49,609 |
Total expenses | 15,678,183 |
Net investment income | 74,743,309 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (221,180,656) |
Investments — affiliated issuers | (237,749) |
Futures contracts | (79,224,390) |
Net realized loss | (300,642,795) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (288,252,205) |
Investments — affiliated issuers | 118,054 |
Futures contracts | (2,915,652) |
Net change in unrealized appreciation (depreciation) | (291,049,803) |
Net realized and unrealized loss | (591,692,598) |
Net decrease in net assets resulting from operations | $(516,949,289) |
32 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $74,743,309 | $36,953,904 |
Net realized loss | (300,642,795) | (10,058,173) |
Net change in unrealized appreciation (depreciation) | (291,049,803) | (65,631,595) |
Net decrease in net assets resulting from operations | (516,949,289) | (38,735,864) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (37,000,722) | (214,899,768) |
Class 2 | (154,318) | (1,119,084) |
Total distributions to shareholders | (37,155,040) | (216,018,852) |
Increase in net assets from capital stock activity | 43,090,237 | 782,010,680 |
Total increase (decrease) in net assets | (511,014,092) | 527,255,964 |
Net assets at beginning of year | 3,703,586,115 | 3,176,330,151 |
Net assets at end of year | $3,192,572,023 | $3,703,586,115 |
Year Ended | Year Ended | |||
December 31, 2022 | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 31,189,346 | 292,102,913 | 65,802,814 | 749,610,697 |
Distributions reinvested | 3,822,389 | 37,000,722 | 19,843,007 | 214,899,768 |
Redemptions | (29,862,998) | (287,551,959) | (16,239,665) | (180,551,973) |
Net increase | 5,148,737 | 41,551,676 | 69,406,156 | 783,958,492 |
Class 2 | ||||
Subscriptions | 490,698 | 4,627,675 | 325,081 | 3,564,790 |
Distributions reinvested | 15,991 | 154,318 | 103,619 | 1,119,084 |
Redemptions | (331,182) | (3,243,432) | (601,349) | (6,631,686) |
Net increase (decrease) | 175,507 | 1,538,561 | (172,649) | (1,947,812) |
Total net increase | 5,324,244 | 43,090,237 | 69,233,507 | 782,010,680 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 33 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2022 | $10.74 | 0.22 | (1.74) | (1.52) | (0.11) | — | (0.11) |
Year Ended 12/31/2021 | $11.52 | 0.11 | (0.24) | (0.13) | (0.15) | (0.50) | (0.65) |
Year Ended 12/31/2020 | $11.01 | 0.19 | 0.78 | 0.97 | (0.27) | (0.19) | (0.46) |
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) |
Class 2 | |||||||
Year Ended 12/31/2022 | $10.69 | 0.20 | (1.72) | (1.52) | (0.09) | — | (0.09) |
Year Ended 12/31/2021 | $11.47 | 0.08 | (0.23) | (0.15) | (0.13) | (0.50) | (0.63) |
Year Ended 12/31/2020 | $10.96 | 0.15 | 0.80 | 0.95 | (0.25) | (0.19) | (0.44) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
34 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2022 | $9.11 | (14.19%) | 0.49%(c) | 0.49%(c) | 2.32% | 399% | $3,174,476 |
Year Ended 12/31/2021 | $10.74 | (1.14%) | 0.48%(c) | 0.48%(c) | 1.01% | 457% | $3,684,151 |
Year Ended 12/31/2020 | $11.52 | 8.88% | 0.49% | 0.49% | 1.63% | 373% | $3,153,493 |
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 |
Class 2 | |||||||
Year Ended 12/31/2022 | $9.08 | (14.31%) | 0.74%(c) | 0.74%(c) | 2.11% | 399% | $18,096 |
Year Ended 12/31/2021 | $10.69 | (1.41%) | 0.73%(c) | 0.73%(c) | 0.76% | 457% | $19,435 |
Year Ended 12/31/2020 | $11.47 | 8.67% | 0.74% | 0.74% | 1.32% | 373% | $22,838 |
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% | $7,961 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 35 |
December 31, 2022
36 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 37 |
December 31, 2022
38 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 567,610* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,091,353* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (79,224,390) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (2,915,652) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 938,198,332* |
Futures contracts — short | 1,697,260** |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2022. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2022. |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 39 |
December 31, 2022
40 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 41 |
December 31, 2022
42 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 43 |
December 31, 2022
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.54% |
Class 2 | 0.79 |
44 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
609,285 | (609,285) | — |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
37,155,040 | — | 37,155,040 | 176,788,290 | 39,230,562 | 216,018,852 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
74,422,234 | — | (309,401,526) | (259,505,789) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
4,141,920,092 | 3,803,605 | (263,309,394) | (259,505,789) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(246,470,298) | (62,931,228) | (309,401,526) | — |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 45 |
December 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 10,620,000 | 4.15 | 5 |
46 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 47 |
December 31, 2022
48 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
December 31, 2022
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 49 |
50 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018; former Board Member, Chase Bank International, 1993-1994 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Richard M. Schulze Family Foundation, since 2021 |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 51 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Chair since 2023; Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company), since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board, since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee), since 2019; Director, Apollo Commercial Real Estate Finance, Inc. (Chair, Nominating and Governance Committee), since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer), since 2019; former Director, Whiting Petroleum Corporation (independent oil and gas company), 2020-2022 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | CEO and President, RhodeWay Financial (non-profit financial planning firm), since December 2022; Member, FINRA National Adjudicatory Council, since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm), since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform), since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Treasurer, Edinburgh University US Trust Board; Member, HBS Community Action Partners Board; Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Professor of Economics and Management, Bentley University, since 2002; Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation, since 1997-2002; Governing Board Member, MA Technology Collaborative, 2010-2020; Board of Directors, The MA Business Roundtable, 2003-2019 |
52 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation, since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Trustee since 1996 | Independent business executive, since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (Chair of the Board) (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; former Chief Executive Officer of Freddie Mac and Chief Financial Officer of U.S. Bank | 174 | Director, CSX Corporation (transportation suppliers); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016; former Advisor to Bridgewater Associates and The Carlyle Group |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 53 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2004 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company), since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer), since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2022; Advisor, Paradigm Asset Management, November 2016-January 2022; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Independent Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2010-2021; Independent Director, (Executive Committee and Chair, Audit Committee), Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2016; Independent Director, (Investment Committee), Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020; Advisory Board, Jennersville YMCA, since 2022 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Funds Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Carrig, Flynn, Paglia and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
54 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC, since April 2015; President and Principal Executive Officer of the Columbia Funds, since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since, January 2022; Director, Threadneedle Canada, since December 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds, since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively. |
CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 | 55 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc., since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC, since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc., since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl, since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc., since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds, since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds, since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds, since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc., since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC, since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | Vice President, Global Investment Operations Services, Columbia Management Investment Advisers, LLC, since 2010; President, Columbia Management Investment Services Corp., since October 2014; President, Ameriprise Trust Company, since January 2017. |
56 | CTIVP® – TCW Core Plus Bond Fund | Annual Report 2022 |
Item 2. Code of Ethics.
(a) | The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | During the period covered by this report, there were not any amendments to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. |
(c) | During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the code of ethics to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party that relates to one or more of the items set forth in paragraph (b) of this Item. |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that David M. Moffett, Brian J. Gallagher, J. Kevin Connaughton, Douglas A. Hacker and Sandra L. Yeager, each of whom are members of the registrant’s Board of Trustees and Audit Committee, each qualify as an audit committee financial expert. Mr. Moffett, Mr. Gallagher, Mr. Connaughton, Mr. Hacker and Ms. Yeager are each independent trustees, as defined in paragraph (a)(2) of this item’s instructions.
Item 4. Principal Accountant Fees and Services.
Fee information below is disclosed for the forty-six series of the registrant whose reports to stockholders are included in this annual filing. Fiscal year 2021 also includes fees from a fund that liquidated during the period. Fiscal year 2022 also includes fees from a fund that liquidated during the period.
(a) Audit Fees. Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended December 31, 2022 and December 31, 2021 are approximately as follows:
2022 | 2021 |
$1,486,800 | $1,516,300 |
Audit Fees include amounts related to the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Audit-Related Fees. Aggregate Audit-Related Fees billed to the registrant by the principal accountant for professional services rendered during the fiscal years ended December 31, 2022 and December 31, 2021 are approximately as follows:
2022 | 2021 |
$50,000 | $52,300 |
Audit-Related Fees include amounts for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported in Audit Fees above.
During the fiscal years ended December 31, 2022 and December 31, 2021, there were no Audit-Related Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(c) Tax Fees. Aggregate Tax Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended December 31, 2022 and December 31, 2021 are approximately as follows:
2022 | 2021 |
$679,500 | $24,100 |
Tax Fees include amounts for the review of annual tax returns, the review of required shareholder distribution calculations and typically include amounts for professional services by the principal accountant for tax compliance, tax advice and tax planning. Fiscal years 2021 and 2022 also include Tax Fees for foreign tax filings.
During the fiscal years ended December 31, 2022 and December 31, 2021, there were no Tax Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(d) All Other Fees. Aggregate All Other Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended December 31, 2022 and December 31, 2021 are approximately as follows:
2022 | 2021 |
$0 | $0 |
All Other Fees, if any, include amounts for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) above.
Aggregate All Other Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant during the fiscal years ended December 31, 2022 and December 31, 2021 are approximately as follows:
2022 | 2021 |
$535,000 | $520,000 |
In fiscal years 2022 and 2021, All Other Fees primarily consists of fees billed for internal control examinations of the registrant’s transfer agent and investment adviser.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The registrant’s Audit Committee is required to pre-approve the engagement of the registrant’s independent auditors to provide audit and non-audit services to the registrant and non-audit services to its investment adviser (excluding any sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser (the “Adviser”) or any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (a “Control Affiliate”) if the engagement relates directly to the operations and financial reporting of the registrant.
The Audit Committee has adopted a Policy for Engagement of Independent Auditors for Audit and Non-Audit Services (the “Policy”). The Policy sets forth the understanding of the Audit Committee regarding the engagement of the registrant’s independent accountants to provide (i) audit and permissible audit-related, tax and other services to the registrant (“Fund Services”); (ii) non-audit services to the registrant’s Adviser and any Control Affiliates, that relates directly to the operations and financial reporting of a Fund (“Fund-related Adviser Services”); and (iii) certain other audit and non-audit services to the registrant’s Adviser and its Control Affiliates. A service will require specific pre-approval by the Audit Committee if it is to be provided by the Fund’s independent auditor; provided, however, that pre-approval of non-audit services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SEC’s rules are met.
Under the Policy, the Audit Committee may delegate pre-approval authority to any pre-designated member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next regular meeting. The Audit Committee's responsibilities with respect to the pre-approval of services performed by the independent auditor may not be delegated to management.
On an annual basis, at a regularly scheduled Audit Committee meeting, the Fund’s Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific pre-approval. This schedule will provide a description of each type of service that is subject to specific pre-approval, along with total projected fees for each service. The pre-approval will generally cover a one-year period. The Audit Committee will review and approve the types of services and the projected fees for the next one-year period and may add to, or subtract from, the list of pre-approved services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific types of services that the independent auditor will be permitted to perform and the projected fees for each service.
The Fund’s Treasurer or other Fund officer shall report to the Audit Committee at each of its regular meetings regarding all Fund Services or Fund-related Adviser Services provided since the last such report was rendered, including a description of the services, by category, with forecasted fees for the annual reporting period, proposed changes requiring specific pre-approval and a description of services provided by the independent auditor, by category, with actual fees during the current reporting period.
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(e)(2) None, or 0%, of the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund or affiliated entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal years ended December 31, 2022 and December 31, 2021 are approximately as follows:
2022 | 2021 |
$1,264,500 | $596,400 |
(h) The registrant’s Audit Committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a) | The registrant’s “Schedule I – Investments in securities of unaffiliated issuers” (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive officer and principal financial officer, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure. |
(b) | There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
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 |
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By (Signature and Title) | /s/ Daniel J. Beckman |
| Daniel J. Beckman, President and Principal Executive Officer |
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Date | February 22, 2023 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Daniel J. Beckman |
| Daniel J. Beckman, President and Principal Executive Officer |
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Date | February 22, 2023 |
By (Signature and Title) | /s/ Michael G. Clarke |
| Michael G. Clarke, Chief Financial Officer, |
| Principal Financial Officer and Senior Vice President |
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Date | February 22, 2023 |
By (Signature and Title) | /s/ Joseph Beranek |
| Joseph Beranek, Treasurer, Chief Accounting |
| Officer and Principal Financial Officer |
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Date | February 22, 2023 |