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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-05199
Columbia Funds Variable Insurance Trust
(Exact name of registrant as specified in charter)
225 Franklin Street, Boston, Massachusetts 02110
(Address of principal executive offices) (Zip code)
Christopher O. Petersen, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, Massachusetts 02110
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800)345-6611
Date of fiscal year end: December 31
Date of reporting period: December 31, 2018
FormN-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 Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-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.
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Item 1. | Reports to Stockholders. |
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December 31, 2018
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | -1.75 | 7.23 | 13.01 | |
Class 2 | 06/01/00 | -2.00 | 6.96 | 12.71 | |
Russell 2000 Growth Index | -9.31 | 5.13 | 13.52 |
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Top 10 holdings (%) (at December 31, 2018) | |
Bio-Techne Corp. | 3.3 |
Six Flags Entertainment Corp. | 2.9 |
LendingTree, Inc. | 2.9 |
Healthcare Services Group, Inc. | 2.9 |
Cantel Medical Corp. | 2.7 |
World Wrestling Entertainment, Inc., Class A | 2.6 |
Planet Fitness, Inc., Class A | 2.4 |
Hilton Grand Vacations, Inc. | 2.4 |
Simpson Manufacturing Co., Inc. | 2.2 |
Inogen, Inc. | 2.2 |
Portfolio breakdown (%) (at December 31, 2018) | |
Common Stocks | 99.0 |
Money Market Funds | 1.0 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2018) | |
Communication Services | 3.9 |
Consumer Discretionary | 16.2 |
Consumer Staples | 2.3 |
Energy | 2.5 |
Financials | 4.0 |
Health Care | 31.5 |
Industrials | 16.9 |
Information Technology | 18.8 |
Materials | 1.2 |
Real Estate | 2.7 |
Total | 100.0 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2018 | 3 |
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4 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2018 |
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Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2018 | 5 |
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(Unaudited)
July 1, 2018 — December 31, 2018 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 898.50 | 1,020.83 | 4.28 | 4.56 | 0.89 |
Class 2 | 1,000.00 | 1,000.00 | 897.10 | 1,019.56 | 5.48 | 5.83 | 1.14 |
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December 31, 2018
Common Stocks 99.4% | ||
Issuer | Shares | Value ($) |
Communication Services 3.9% | ||
Entertainment 2.6% | ||
World Wrestling Entertainment, Inc., Class A | 8,696 | 649,765 |
Interactive Media & Services 1.3% | ||
Match Group, Inc. | 7,648 | 327,105 |
Total Communication Services | 976,870 | |
Consumer Discretionary 16.1% | ||
Auto Components 0.8% | ||
Visteon Corp.(a) | 3,264 | 196,754 |
Diversified Consumer Services 1.3% | ||
Chegg, Inc.(a) | 12,025 | 341,750 |
Hotels, Restaurants & Leisure 11.0% | ||
Dave & Buster’s Entertainment, Inc. | 7,462 | 332,507 |
Hilton Grand Vacations, Inc.(a) | 22,331 | 589,315 |
Papa John’s International, Inc. | 3,187 | 126,874 |
Penn National Gaming, Inc.(a) | 14,266 | 268,629 |
Planet Fitness, Inc., Class A(a) | 11,116 | 596,040 |
Six Flags Entertainment Corp. | 13,013 | 723,913 |
Wingstop, Inc. | 2,046 | 131,333 |
Total | 2,768,611 | |
Internet & Direct Marketing Retail 0.9% | ||
Etsy, Inc.(a) | 4,853 | 230,857 |
Multiline Retail 1.1% | ||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 4,021 | 267,437 |
Specialty Retail 1.0% | ||
Five Below, Inc.(a) | 2,366 | 242,089 |
Total Consumer Discretionary | 4,047,498 | |
Consumer Staples 2.3% | ||
Beverages 1.3% | ||
Fever-Tree Drinks PLC | 2,662 | 74,644 |
MGP Ingredients, Inc. | 4,448 | 253,758 |
Total | 328,402 | |
Food Products 0.4% | ||
Calavo Growers, Inc. | 1,390 | 101,414 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Personal Products 0.6% | ||
Medifast, Inc. | 1,133 | 141,648 |
Total Consumer Staples | 571,464 | |
Energy 2.5% | ||
Energy Equipment & Services 1.1% | ||
Frank’s International NV(a) | 22,615 | 118,050 |
Nabors Industries Ltd. | 21,181 | 42,362 |
Oil States International, Inc.(a) | 7,579 | 108,228 |
Total | 268,640 | |
Oil, Gas & Consumable Fuels 1.4% | ||
Delek U.S. Holdings, Inc. | 6,608 | 214,826 |
Matador Resources Co.(a) | 9,233 | 143,389 |
Total | 358,215 | |
Total Energy | 626,855 | |
Financials 4.0% | ||
Insurance 0.6% | ||
Goosehead Insurance, Inc., Class A(a) | 5,849 | 153,770 |
Thrifts & Mortgage Finance 3.4% | ||
LendingTree, Inc.(a) | 3,296 | 723,703 |
WSFS Financial Corp. | 3,466 | 131,396 |
Total | 855,099 | |
Total Financials | 1,008,869 | |
Health Care 31.3% | ||
Biotechnology 5.4% | ||
Adamas Pharmaceuticals, Inc.(a) | 7,964 | 68,013 |
Array BioPharma, Inc.(a) | 9,510 | 135,517 |
bluebird bio, Inc.(a) | 610 | 60,512 |
CareDx, Inc.(a) | 5,458 | 137,214 |
Genomic Health, Inc.(a) | 954 | 61,447 |
Immunomedics, Inc.(a) | 8,573 | 122,337 |
Ligand Pharmaceuticals, Inc.(a) | 2,863 | 388,509 |
Mirati Therapeutics, Inc.(a) | 1,351 | 57,309 |
Sage Therapeutics, Inc.(a) | 1,250 | 119,738 |
Sarepta Therapeutics, Inc.(a) | 1,116 | 121,789 |
uniQure NV(a) | 2,757 | 79,457 |
Total | 1,351,842 |
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December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 11.0% | ||
BioLife Solutions, Inc.(a) | 6,411 | 77,124 |
Cantel Medical Corp. | 8,925 | 664,466 |
Inogen, Inc.(a) | 4,358 | 541,133 |
Insulet Corp.(a) | 2,605 | 206,629 |
iRhythm Technologies, Inc.(a) | 2,032 | 141,183 |
Neogen Corp.(a) | 2,133 | 121,581 |
Quidel Corp.(a) | 6,759 | 329,974 |
Quotient Ltd.(a) | 28,794 | 176,219 |
West Pharmaceutical Services, Inc. | 5,146 | 504,463 |
Total | 2,762,772 | |
Health Care Providers & Services 4.7% | ||
Addus HomeCare Corp.(a) | 2,796 | 189,792 |
Amedisys, Inc.(a) | 2,863 | 335,286 |
Chemed Corp. | 1,899 | 537,949 |
Guardant Health, Inc.(a) | 3,171 | 119,198 |
Total | 1,182,225 | |
Health Care Technology 3.5% | ||
Medidata Solutions, Inc.(a) | 6,508 | 438,770 |
Teladoc Health, Inc.(a) | 9,088 | 450,492 |
Total | 889,262 | |
Life Sciences Tools & Services 6.4% | ||
Bio-Techne Corp. | 5,615 | 812,603 |
Charles River Laboratories International, Inc.(a) | 3,589 | 406,203 |
Codexis, Inc.(a) | 9,365 | 156,395 |
NanoString Technologies, Inc.(a) | 9,979 | 147,989 |
Quanterix Corp.(a) | 4,813 | 88,126 |
Total | 1,611,316 | |
Pharmaceuticals 0.3% | ||
Reata Pharmaceuticals, Inc., Class A(a) | 1,189 | 66,703 |
Total Health Care | 7,864,120 | |
Industrials 16.8% | ||
Aerospace & Defense 0.9% | ||
Aerojet Rocketdyne Holdings, Inc.(a) | 6,707 | 236,288 |
Airlines 0.9% | ||
Copa Holdings SA, Class A | 2,947 | 231,958 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 3.0% | ||
Simpson Manufacturing Co., Inc. | 10,219 | 553,155 |
Trex Co., Inc.(a) | 3,284 | 194,938 |
Total | 748,093 | |
Commercial Services & Supplies 2.9% | ||
Healthcare Services Group, Inc. | 17,994 | 722,999 |
Machinery 4.0% | ||
ITT, Inc. | 6,357 | 306,852 |
John Bean Technologies Corp. | 6,143 | 441,129 |
Proto Labs, Inc.(a) | 2,262 | 255,131 |
Total | 1,003,112 | |
Professional Services 1.6% | ||
Exponent, Inc. | 7,758 | 393,408 |
Road & Rail 2.3% | ||
Knight-Swift Transportation Holdings, Inc. | 15,958 | 400,067 |
Saia, Inc.(a) | 3,276 | 182,866 |
Total | 582,933 | |
Trading Companies & Distributors 1.2% | ||
Beacon Roofing Supply, Inc.(a) | 9,540 | 302,609 |
Total Industrials | 4,221,400 | |
Information Technology 18.7% | ||
Electronic Equipment, Instruments & Components 1.1% | ||
Littelfuse, Inc. | 1,551 | 265,966 |
IT Services 3.4% | ||
EPAM Systems, Inc.(a) | 2,777 | 322,159 |
MongoDB, Inc.(a) | 3,589 | 300,543 |
Okta, Inc.(a) | 3,751 | 239,314 |
Total | 862,016 | |
Semiconductors & Semiconductor Equipment 0.5% | ||
Entegris, Inc. | 3,931 | 109,655 |
Software 13.7% | ||
Alteryx, Inc., Class A(a) | 3,957 | 235,323 |
Blackline, Inc.(a) | 5,213 | 213,472 |
Bottomline Technologies de, Inc.(a) | 3,393 | 162,864 |
Coupa Software, Inc.(a) | 5,334 | 335,295 |
Five9, Inc.(a) | 5,821 | 254,494 |
HubSpot, Inc.(a) | 2,231 | 280,504 |
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December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Mimecast Ltd.(a) | 9,271 | 311,784 |
New Relic, Inc.(a) | 5,062 | 409,870 |
Paycom Software, Inc.(a) | 3,702 | 453,310 |
RingCentral, Inc., Class A(a) | 2,932 | 241,714 |
SendGrid, Inc.(a) | 6,039 | 260,704 |
Trade Desk, Inc. (The), Class A(a) | 2,473 | 287,016 |
Total | 3,446,350 | |
Total Information Technology | 4,683,987 | |
Materials 1.2% | ||
Chemicals 1.2% | ||
Balchem Corp. | 3,730 | 292,245 |
Total Materials | 292,245 | |
Real Estate 2.6% | ||
Equity Real Estate Investment Trusts (REITS) 2.6% | ||
Coresite Realty Corp. | 3,946 | 344,210 |
STORE Capital Corp. | 11,336 | 320,922 |
Total | 665,132 | |
Total Real Estate | 665,132 | |
Total Common Stocks (Cost $26,377,657) | 24,958,440 | |
Money Market Funds 1.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(b),(c) | 249,829 | 249,804 |
Total Money Market Funds (Cost $249,804) | 249,804 | |
Total Investments in Securities (Cost: $26,627,461) | 25,208,244 | |
Other Assets & Liabilities, Net | (98,389) | |
Net Assets | 25,109,855 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | ||||||||
718,160 | 19,057,368 | (19,525,699) | 249,829 | (70) | (31) | 10,777 | 249,804 |
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December 31, 2018
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Common Stocks | |||||
Communication Services | 976,870 | — | — | — | 976,870 |
Consumer Discretionary | 4,047,498 | — | — | — | 4,047,498 |
Consumer Staples | 496,820 | 74,644 | — | — | 571,464 |
Energy | 626,855 | — | — | — | 626,855 |
Financials | 1,008,869 | — | — | — | 1,008,869 |
Health Care | 7,864,120 | — | — | — | 7,864,120 |
Industrials | 4,221,400 | — | — | — | 4,221,400 |
Information Technology | 4,683,987 | — | — | — | 4,683,987 |
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December 31, 2018
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Materials | 292,245 | — | — | — | 292,245 |
Real Estate | 665,132 | — | — | — | 665,132 |
Total Common Stocks | 24,883,796 | 74,644 | — | — | 24,958,440 |
Money Market Funds | — | — | — | 249,804 | 249,804 |
Total Investments in Securities | 24,883,796 | 74,644 | — | 249,804 | 25,208,244 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2018 | 11 |
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December 31, 2018
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $26,377,657) | $24,958,440 |
Affiliated issuers (cost $249,804) | 249,804 |
Cash | 86 |
Receivable for: | |
Capital shares sold | 6,861 |
Dividends | 14,337 |
Expense reimbursement due from Investment Manager | 8,714 |
Prepaid expenses | 121 |
Trustees’ deferred compensation plan | 43,637 |
Total assets | 25,282,000 |
Liabilities | |
Payable for: | |
Investments purchased | 23,777 |
Capital shares purchased | 17,614 |
Management services fees | 19,137 |
Distribution and/or service fees | 110 |
Service fees | 3,304 |
Compensation of board members | 28,683 |
Compensation of chief compliance officer | 3 |
Audit fees | 29,050 |
Other expenses | 6,830 |
Trustees’ deferred compensation plan | 43,637 |
Total liabilities | 172,145 |
Net assets applicable to outstanding capital stock | $25,109,855 |
Represented by | |
Paid in capital | 20,602,567 |
Total distributable earnings (loss) (Note 2) | 4,507,288 |
Total - representing net assets applicable to outstanding capital stock | $25,109,855 |
Class 1 | |
Net assets | $24,610,593 |
Shares outstanding | 1,573,716 |
Net asset value per share | $15.64 |
Class 2 | |
Net assets | $499,262 |
Shares outstanding | 33,483 |
Net asset value per share | $14.91 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $165,990 |
Dividends — affiliated issuers | 10,777 |
Interest | 4,421 |
Total income | 181,188 |
Expenses: | |
Management services fees | 264,277 |
Distribution and/or service fees | |
Class 2 | 1,384 |
Service fees | 40,017 |
Compensation of board members | 13,176 |
Custodian fees | 11,574 |
Printing and postage fees | 10,128 |
Audit fees | 29,051 |
Legal fees | 671 |
Compensation of chief compliance officer | 12 |
Other | 6,456 |
Total expenses | 376,746 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (100,872) |
Total net expenses | 275,874 |
Net investment loss | (94,686) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 6,162,965 |
Investments — affiliated issuers | (70) |
Foreign currency translations | (324) |
Net realized gain | 6,162,571 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (6,085,166) |
Investments — affiliated issuers | (31) |
Net change in unrealized appreciation (depreciation) | (6,085,197) |
Net realized and unrealized gain | 77,374 |
Net decrease in net assets resulting from operations | $(17,312) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment loss | $(94,686) | $(111,478) |
Net realized gain | 6,162,571 | 4,640,327 |
Net change in unrealized appreciation (depreciation) | (6,085,197) | 2,966,718 |
Net increase (decrease) in net assets resulting from operations | (17,312) | 7,495,567 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (4,391,259) | |
Class 2 | (82,849) | |
Net realized gains | ||
Class 1 | (1,551,026) | |
Class 2 | (29,649) | |
Total distributions to shareholders (Note 2) | (4,474,108) | (1,580,675) |
Decrease in net assets from capital stock activity | (1,279,180) | (2,399,665) |
Total increase (decrease) in net assets | (5,770,600) | 3,515,227 |
Net assets at beginning of year | 30,880,455 | 27,365,228 |
Net assets at end of year | $25,109,855 | $30,880,455 |
Excess of distributions over net investment income | $(34,326) | $(83,733) |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 88,009 | 1,660,371 | 121,514 | 2,012,224 |
Distributions reinvested | 253,830 | 4,391,259 | 91,994 | 1,551,026 |
Redemptions | (389,697) | (7,386,847) | (349,288) | (5,945,182) |
Net decrease | (47,858) | (1,335,217) | (135,780) | (2,381,932) |
Class 2 | ||||
Subscriptions | 3,409 | 62,691 | 4,502 | 71,299 |
Distributions reinvested | 5,018 | 82,849 | 1,829 | 29,649 |
Redemptions | (4,978) | (89,503) | (7,064) | (118,681) |
Net increase (decrease) | 3,449 | 56,037 | (733) | (17,733) |
Total net decrease | (44,409) | (1,279,180) | (136,513) | (2,399,665) |
14 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2018 |
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Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2018 | $18.71 | (0.06) | 0.02 | (0.04) | (3.03) | (3.03) |
Year Ended 12/31/2017 | $15.31 | (0.06) | 4.43 | 4.37 | (0.97) | (0.97) |
Year Ended 12/31/2016 | $16.85 | (0.02) | 1.93 | 1.91 | (3.45) | (3.45) |
Year Ended 12/31/2015 | $17.04 | (0.08) | 0.82 | 0.74 | (0.93) | (0.93) |
Year Ended 12/31/2014 | $18.20 | (0.08) | (0.78) | (0.86) | (0.30) | (0.30) |
Class 2 | ||||||
Year Ended 12/31/2018 | $17.97 | (0.10) | 0.03 | (0.07) | (2.99) | (2.99) |
Year Ended 12/31/2017 | $14.75 | (0.10) | 4.25 | 4.15 | (0.93) | (0.93) |
Year Ended 12/31/2016 | $16.34 | (0.06) | 1.87 | 1.81 | (3.40) | (3.40) |
Year Ended 12/31/2015 | $16.59 | (0.12) | 0.80 | 0.68 | (0.93) | (0.93) |
Year Ended 12/31/2014 | $17.77 | (0.12) | (0.76) | (0.88) | (0.30) | (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. |
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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 12/31/2018 | $15.64 | (1.75%) | 1.24% | 0.90% | (0.31%) | 156% | $24,611 |
Year Ended 12/31/2017 | $18.71 | 29.25% | 1.25% | 0.93% | (0.38%) | 153% | $30,341 |
Year Ended 12/31/2016 | $15.31 | 12.74% | 1.29% | 0.94% | (0.13%) | 183% | $26,912 |
Year Ended 12/31/2015 | $16.85 | 3.83% | 1.17% | 0.96% | (0.47%) | 150% | $27,479 |
Year Ended 12/31/2014 | $17.04 | (4.64%) | 1.17% | 0.96% | (0.50%) | 138% | $30,488 |
Class 2 | |||||||
Year Ended 12/31/2018 | $14.91 | (2.00%) | 1.49% | 1.15% | (0.55%) | 156% | $499 |
Year Ended 12/31/2017 | $17.97 | 28.84% | 1.50% | 1.18% | (0.63%) | 153% | $540 |
Year Ended 12/31/2016 | $14.75 | 12.53% | 1.54% | 1.19% | (0.38%) | 183% | $454 |
Year Ended 12/31/2015 | $16.34 | 3.56% | 1.42% | 1.21% | (0.72%) | 150% | $495 |
Year Ended 12/31/2014 | $16.59 | (4.86%) | 1.43% | 1.21% | (0.75%) | 138% | $437 |
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May 1, 2018 through April 30, 2019 | Prior to May 1, 2018 | |
Class 1 | 0.89% | 0.93% |
Class 2 | 1.14 | 1.18 |
Excess of distributions over net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
144,093 | (144,093) | — |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
3,252,753 | 1,221,355 | 4,474,108 | 1,295,073 | 285,602 | 1,580,675 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
3,375,529 | 2,734,248 | — | (1,574,702) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
26,782,946 | 1,605,403 | (3,180,105) | (1,574,702) |
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24 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2018 |
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26 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2018 |
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(Unaudited)
Capital gain dividend | |
$2,874,110 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/19/98 | -18.01 | 3.87 | 10.43 | |
Class 2 | 06/01/00 | -18.17 | 3.63 | 10.21 | |
Russell 2000 Value Index | -12.86 | 3.61 | 10.40 |
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Top 10 holdings (%) (at December 31, 2018) | |
Radian Group, Inc. | 1.7 |
MGIC Investment Corp. | 1.7 |
Iberiabank Corp. | 1.2 |
Louisiana-Pacific Corp. | 1.1 |
RLJ Lodging Trust | 1.1 |
Investors Bancorp, Inc. | 1.1 |
Sunstone Hotel Investors, Inc. | 1.1 |
BankUnited, Inc. | 1.0 |
UMB Financial Corp. | 1.0 |
First Citizens BancShares Inc., Class A | 1.0 |
Portfolio breakdown (%) (at December 31, 2018) | |
Common Stocks | 98.4 |
Exchange-Traded Funds | 0.4 |
Money Market Funds | 1.2 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2018) | |
Communication Services | 1.5 |
Consumer Discretionary | 10.1 |
Consumer Staples | 4.0 |
Energy | 5.7 |
Financials | 37.2 |
Health Care | 3.6 |
Industrials | 13.5 |
Information Technology | 9.0 |
Materials | 7.2 |
Real Estate | 7.6 |
Utilities | 0.6 |
Total | 100.0 |
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(Unaudited)
July 1, 2018 — December 31, 2018 | |||||||
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 | 791.80 | 1,020.68 | 4.18 | 4.71 | 0.92 |
Class 2 | 1,000.00 | 1,000.00 | 790.90 | 1,019.41 | 5.31 | 5.99 | 1.17 |
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December 31, 2018
Common Stocks 98.0% | ||
Issuer | Shares | Value ($) |
Communication Services 1.5% | ||
Entertainment 0.4% | ||
AMC Entertainment Holdings, Inc., Class A | 36,443 | 447,520 |
Lions Gate Entertainment Corp., Class B | 57,000 | 848,160 |
Total | 1,295,680 | |
Media 0.7% | ||
Criteo SA, ADR(a) | 46,455 | 1,055,458 |
Liberty Latin America Ltd., Class C(a) | 57,983 | 844,812 |
Total | 1,900,270 | |
Wireless Telecommunication Services 0.4% | ||
Shenandoah Telecommunications Co. | 26,814 | 1,186,520 |
Total Communication Services | 4,382,470 | |
Consumer Discretionary 9.9% | ||
Auto Components 1.7% | ||
Cooper Tire & Rubber Co. | 65,214 | 2,108,369 |
Gentherm, Inc.(a) | 44,239 | 1,768,675 |
Modine Manufacturing Co.(a) | 103,398 | 1,117,732 |
Total | 4,994,776 | |
Automobiles 0.4% | ||
Thor Industries, Inc. | 23,180 | 1,205,360 |
Distributors 0.2% | ||
Educational Development Corp. | 47,624 | 406,233 |
Diversified Consumer Services 0.3% | ||
Carriage Services, Inc. | 62,210 | 964,255 |
Household Durables 2.8% | ||
Cavco Industries, Inc.(a) | 7,757 | 1,011,358 |
Ethan Allen Interiors, Inc. | 99,270 | 1,746,159 |
Hamilton Beach Brands Holding Co. | 45,238 | 1,061,284 |
Hooker Furniture Corp. | 38,563 | 1,015,749 |
Lifetime Brands, Inc. | 70,447 | 706,583 |
TRI Pointe Group, Inc.(a) | 244,727 | 2,674,866 |
Total | 8,215,999 | |
Leisure Products 0.6% | ||
Acushnet Holdings Corp. | 24,094 | 507,660 |
Malibu Boats, Inc., Class A(a) | 33,462 | 1,164,478 |
Total | 1,672,138 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multiline Retail 0.4% | ||
Hudson’s Bay Co. | 218,496 | 1,166,742 |
Specialty Retail 2.5% | ||
Aaron’s, Inc. | 54,378 | 2,286,595 |
Children’s Place, Inc. (The) | 15,260 | 1,374,773 |
GameStop Corp., Class A | 63,584 | 802,430 |
Signet Jewelers Ltd. | 70,028 | 2,224,790 |
Vitamin Shoppe, Inc.(a) | 94,563 | 448,229 |
Total | 7,136,817 | |
Textiles, Apparel & Luxury Goods 1.0% | ||
Skechers U.S.A., Inc., Class A(a) | 65,330 | 1,495,403 |
Steven Madden Ltd. | 49,122 | 1,486,432 |
Total | 2,981,835 | |
Total Consumer Discretionary | 28,744,155 | |
Consumer Staples 3.9% | ||
Food & Staples Retailing 1.9% | ||
Andersons, Inc. (The) | 60,677 | 1,813,635 |
Smart & Final Stores, Inc.(a) | 252,955 | 1,199,007 |
SpartanNash Co. | 60,303 | 1,036,006 |
Weis Markets, Inc. | 32,767 | 1,565,607 |
Total | 5,614,255 | |
Food Products 1.4% | ||
Fresh Del Monte Produce, Inc. | 91,855 | 2,596,741 |
Hain Celestial Group, Inc. (The)(a) | 97,002 | 1,538,452 |
Total | 4,135,193 | |
Personal Products 0.6% | ||
Inter Parfums, Inc. | 24,272 | 1,591,515 |
Total Consumer Staples | 11,340,963 | |
Energy 5.6% | ||
Energy Equipment & Services 1.2% | ||
Dawson Geophysical Co.(a) | 311,270 | 1,052,093 |
Natural Gas Services Group, Inc.(a) | 68,816 | 1,131,335 |
ProPetro Holding Corp.(a) | 97,060 | 1,195,779 |
Total | 3,379,207 |
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December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Oil, Gas & Consumable Fuels 4.4% | ||
Callon Petroleum Co.(a) | 232,588 | 1,509,496 |
Carrizo Oil & Gas, Inc.(a) | 131,941 | 1,489,614 |
Delek U.S. Holdings, Inc. | 68,313 | 2,220,855 |
Jagged Peak Energy, Inc.(a) | 208,882 | 1,905,004 |
Laredo Petroleum, Inc.(a) | 172,822 | 625,616 |
Pacific Ethanol, Inc.(a) | 557,275 | 479,814 |
Range Resources Corp. | 238,100 | 2,278,617 |
SM Energy Co. | 100,477 | 1,555,384 |
Southwestern Energy Co.(a) | 257,850 | 879,268 |
Total | 12,943,668 | |
Total Energy | 16,322,875 | |
Financials 36.5% | ||
Banks 21.5% | ||
BancFirst Corp. | 46,932 | 2,341,907 |
BankUnited, Inc. | 99,863 | 2,989,898 |
Banner Corp. | 52,190 | 2,791,121 |
Boston Private Financial Holdings, Inc. | 153,166 | 1,618,965 |
Bridge Bancorp, Inc. | 42,501 | 1,083,351 |
Brookline Bancorp, Inc. | 151,831 | 2,098,304 |
Capital City Bank Group, Inc. | 85,435 | 1,982,946 |
CenterState Bank Corp. | 91,423 | 1,923,540 |
Columbia Banking System, Inc. | 67,509 | 2,449,902 |
Community Trust Bancorp, Inc. | 37,727 | 1,494,366 |
FCB Financial Holdings, Inc., Class A(a) | 48,969 | 1,644,379 |
Fidelity Southern Corp. | 77,891 | 2,026,724 |
First BanCorp | 326,700 | 2,809,620 |
First Citizens BancShares Inc., Class A | 7,662 | 2,888,957 |
First Financial Corp. | 38,859 | 1,560,189 |
First of Long Island Corp. (The) | 82,820 | 1,652,259 |
Heritage Financial Corp. | 41,296 | 1,227,317 |
Hilltop Holdings, Inc. | 131,360 | 2,342,149 |
Iberiabank Corp. | 54,850 | 3,525,758 |
Investors Bancorp, Inc. | 297,233 | 3,091,223 |
National Bank Holdings Corp., Class A | 53,285 | 1,644,908 |
Northrim BanCorp, Inc. | 61,580 | 2,024,135 |
OFG Bancorp | 133,800 | 2,202,348 |
Popular, Inc. | 61,137 | 2,886,889 |
Sierra Bancorp | 35,771 | 859,577 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Texas Capital Bancshares, Inc.(a) | 46,670 | 2,384,370 |
Towne Bank | 100,872 | 2,415,884 |
UMB Financial Corp. | 48,650 | 2,966,191 |
Union Bankshares Corp. | 56,530 | 1,595,842 |
Total | 62,523,019 | |
Capital Markets 1.3% | ||
GAIN Capital Holdings, Inc. | 182,612 | 1,124,890 |
INTL FCStone, Inc.(a) | 45,829 | 1,676,424 |
Moelis & Co., ADR, Class A | 30,784 | 1,058,354 |
Total | 3,859,668 | |
Consumer Finance 1.0% | ||
Enova International, Inc.(a) | 39,741 | 773,360 |
FirstCash, Inc. | 28,534 | 2,064,435 |
Total | 2,837,795 | |
Insurance 6.2% | ||
American Equity Investment Life Holding Co. | 90,757 | 2,535,751 |
Crawford & Co., Class A | 102,814 | 915,045 |
EMC Insurance Group, Inc. | 22,226 | 707,898 |
Employers Holdings, Inc. | 53,025 | 2,225,459 |
FBL Financial Group, Inc., Class A | 33,539 | 2,201,835 |
Global Indemnity Ltd | 38,813 | 1,406,195 |
Heritage Insurance Holdings, Inc. | 96,784 | 1,424,660 |
Horace Mann Educators Corp. | 42,911 | 1,607,017 |
National Western Life Group, Inc., Class A | 6,656 | 2,001,459 |
Protective Insurance Corp., Class B | 54,286 | 903,862 |
United Fire Group, Inc. | 35,270 | 1,955,722 |
Total | 17,884,903 | |
Thrifts & Mortgage Finance 6.5% | ||
HomeStreet, Inc.(a) | 107,880 | 2,290,292 |
MGIC Investment Corp.(a) | 475,234 | 4,970,948 |
Provident Financial Holdings, Inc. | 80,880 | 1,253,640 |
Radian Group, Inc. | 304,930 | 4,988,655 |
Washington Federal, Inc. | 74,605 | 1,992,700 |
Western New England Bancorp, Inc. | 192,713 | 1,934,838 |
WSFS Financial Corp. | 34,065 | 1,291,404 |
Total | 18,722,477 | |
Total Financials | 105,827,862 |
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December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 3.5% | ||
Biotechnology 1.7% | ||
Coherus Biosciences, Inc.(a) | 112,524 | 1,018,342 |
Dynavax Technologies Corp.(a) | 149,698 | 1,369,737 |
Immunomedics, Inc.(a) | 74,430 | 1,062,116 |
Novavax, Inc.(a) | 307,034 | 564,943 |
Puma Biotechnology, Inc.(a) | 43,263 | 880,402 |
Total | 4,895,540 | |
Health Care Equipment & Supplies 0.5% | ||
Quotient Ltd.(a) | 110,783 | 677,992 |
Sientra, Inc.(a) | 49,121 | 624,328 |
Total | 1,302,320 | |
Pharmaceuticals 1.3% | ||
Aerie Pharmaceuticals, Inc.(a) | 36,400 | 1,314,040 |
BioDelivery Sciences International, Inc.(a) | 319,265 | 1,181,280 |
TherapeuticsMD, Inc.(a) | 370,400 | 1,411,224 |
Total | 3,906,544 | |
Total Health Care | 10,104,404 | |
Industrials 13.2% | ||
Aerospace & Defense 0.9% | ||
Aerojet Rocketdyne Holdings, Inc.(a) | 70,960 | 2,499,921 |
Building Products 1.3% | ||
Apogee Enterprises, Inc. | 42,258 | 1,261,401 |
Resideo Technologies, Inc.(a) | 36,450 | 749,048 |
Universal Forest Products, Inc. | 69,031 | 1,792,045 |
Total | 3,802,494 | |
Commercial Services & Supplies 1.4% | ||
Herman Miller, Inc. | 64,970 | 1,965,343 |
Unifirst Corp. | 15,433 | 2,207,999 |
Total | 4,173,342 | |
Construction & Engineering 0.4% | ||
Northwest Pipe Co.(a) | 46,381 | 1,080,214 |
Electrical Equipment 0.7% | ||
Encore Wire Corp. | 39,229 | 1,968,511 |
Machinery 4.9% | ||
DMC Global Inc | 29,958 | 1,052,125 |
EnPro Industries, Inc. | 21,896 | 1,315,950 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Global Brass & Copper Holdings, Inc. | 75,530 | 1,899,579 |
Gorman-Rupp Co. | 45,806 | 1,484,572 |
Kennametal, Inc. | 57,350 | 1,908,608 |
LB Foster Co., Class A(a) | 63,004 | 1,001,764 |
Lydall, Inc.(a) | 54,831 | 1,113,618 |
Mueller Industries, Inc. | 64,989 | 1,518,143 |
Standex International Corp. | 19,990 | 1,342,928 |
Titan International, Inc. | 136,129 | 634,361 |
Wabash National Corp. | 83,990 | 1,098,589 |
Total | 14,370,237 | |
Professional Services 0.6% | ||
Korn/Ferry International | 46,436 | 1,836,079 |
Road & Rail 1.7% | ||
Heartland Express, Inc. | 78,700 | 1,440,210 |
Marten Transport Ltd. | 92,350 | 1,495,146 |
Schneider National, Inc., Class B | 30,122 | 562,378 |
Werner Enterprises, Inc. | 48,728 | 1,439,425 |
Total | 4,937,159 | |
Trading Companies & Distributors 1.3% | ||
Houston Wire & Cable Co.(a) | 152,825 | 773,294 |
Textainer Group Holdings Ltd.(a) | 195,012 | 1,942,320 |
Transcat, Inc.(a) | 54,190 | 1,030,694 |
Total | 3,746,308 | |
Total Industrials | 38,414,265 | |
Information Technology 8.8% | ||
Communications Equipment 1.6% | ||
Acacia Communications, Inc.(a) | 39,379 | 1,496,402 |
Casa Systems, Inc.(a) | 59,470 | 780,841 |
Digi International, Inc.(a) | 86,199 | 869,748 |
Lumentum Holdings, Inc.(a) | 37,820 | 1,588,818 |
Total | 4,735,809 | |
Electronic Equipment, Instruments & Components 1.5% | ||
AVX Corp. | 134,740 | 2,054,785 |
MTS Systems Corp. | 25,379 | 1,018,459 |
OSI Systems, Inc.(a) | 19,010 | 1,393,433 |
Total | 4,466,677 |
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December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 1.5% | ||
Carbonite, Inc.(a) | 34,800 | 879,048 |
Consolidated Water Co., Ltd. | 53,787 | 627,157 |
Mantech International Corp., Class A | 33,865 | 1,770,970 |
TTEC Holdings, Inc. | 35,800 | 1,022,806 |
Total | 4,299,981 | |
Semiconductors & Semiconductor Equipment 2.9% | ||
Advanced Energy Industries, Inc.(a) | 27,970 | 1,200,752 |
Cirrus Logic, Inc.(a) | 64,950 | 2,155,041 |
MACOM Technology Solutions Holdings, Inc.(a) | 153,813 | 2,231,827 |
MKS Instruments, Inc. | 29,330 | 1,895,011 |
Photronics, Inc.(a) | 110,451 | 1,069,166 |
Total | 8,551,797 | |
Software 0.7% | ||
MicroStrategy, Inc., Class A(a) | 14,870 | 1,899,642 |
Technology Hardware, Storage & Peripherals 0.6% | ||
Electronics for Imaging, Inc.(a) | 64,120 | 1,590,176 |
Total Information Technology | 25,544,082 | |
Materials 7.1% | ||
Chemicals 1.3% | ||
Flotek Industries, Inc.(a) | 502,782 | 548,032 |
Livent Corp.(a) | 122,000 | 1,683,600 |
Tronox Ltd., Class A | 175,992 | 1,369,218 |
Total | 3,600,850 | |
Containers & Packaging 0.3% | ||
Greif, Inc., Class A | 25,285 | 938,326 |
Metals & Mining 3.9% | ||
Allegheny Technologies, Inc.(a) | 102,114 | 2,223,022 |
Ampco-Pittsburgh Corp.(a) | 121,130 | 375,503 |
Capstone Mining Corp.(a) | 2,509,659 | 1,121,368 |
Century Aluminum Co.(a) | 151,896 | 1,110,360 |
Commercial Metals Co. | 130,930 | 2,097,499 |
Ferroglobe PLC | 437,002 | 694,833 |
Olympic Steel, Inc. | 84,242 | 1,202,133 |
Schnitzer Steel Industries, Inc., Class A | 56,620 | 1,220,161 |
Universal Stainless & Alloy Products, Inc.(a) | 81,053 | 1,313,869 |
Total | 11,358,748 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Paper & Forest Products 1.6% | ||
Domtar Corp. | 40,120 | 1,409,416 |
Louisiana-Pacific Corp. | 145,150 | 3,225,233 |
Total | 4,634,649 | |
Total Materials | 20,532,573 | |
Real Estate 7.5% | ||
Equity Real Estate Investment Trusts (REITS) 6.8% | ||
Chesapeake Lodging Trust | 93,214 | 2,269,761 |
CoreCivic, Inc. | 71,657 | 1,277,644 |
Farmland Partners, Inc. | 328,940 | 1,493,388 |
GEO Group, Inc. (The) | 28,248 | 556,486 |
Highwoods Properties, Inc. | 55,500 | 2,147,295 |
Mack-Cali Realty Corp. | 140,620 | 2,754,746 |
PotlatchDeltic Corp. | 56,524 | 1,788,419 |
RLJ Lodging Trust | 195,350 | 3,203,740 |
SITE Centers Corp. | 111,115 | 1,230,043 |
Sunstone Hotel Investors, Inc. | 235,432 | 3,062,970 |
Total | 19,784,492 | |
Real Estate Management & Development 0.7% | ||
Legacy Housing Corp.(a) | 70,544 | 841,590 |
St. Joe Co. (The)(a) | 77,750 | 1,023,967 |
Total | 1,865,557 | |
Total Real Estate | 21,650,049 | |
Utilities 0.5% | ||
Gas Utilities 0.5% | ||
Southwest Gas Holdings, Inc. | 20,971 | 1,604,282 |
Total Utilities | 1,604,282 | |
Total Common Stocks (Cost $313,544,682) | 284,467,980 | |
Exchange-Traded Funds 0.4% | ||
Shares | Value ($) | |
iShares Russell 2000 Value ETF | 10,800 | 1,161,432 |
Total Exchange-Traded Funds (Cost $1,278,549) | 1,161,432 | |
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Money Market Funds 1.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(b),(c) | 3,606,415 | 3,606,055 |
Total Money Market Funds (Cost $3,606,055) | 3,606,055 | |
Total Investments in Securities (Cost: $318,429,286) | 289,235,467 | |
Other Assets & Liabilities, Net | 1,045,837 | |
Net Assets | 290,281,304 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | ||||||||
4,938,168 | 78,227,073 | (79,558,826) | 3,606,415 | (1,320) | — | 58,911 | 3,606,055 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
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Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Common Stocks | |||||
Communication Services | 4,382,470 | — | — | — | 4,382,470 |
Consumer Discretionary | 28,744,155 | — | — | — | 28,744,155 |
Consumer Staples | 11,340,963 | — | — | — | 11,340,963 |
Energy | 16,322,875 | — | — | — | 16,322,875 |
Financials | 105,827,862 | — | — | — | 105,827,862 |
Health Care | 10,104,404 | — | — | — | 10,104,404 |
Industrials | 38,414,265 | — | — | — | 38,414,265 |
Information Technology | 25,544,082 | — | — | — | 25,544,082 |
Materials | 20,532,573 | — | — | — | 20,532,573 |
Real Estate | 21,650,049 | — | — | — | 21,650,049 |
Utilities | 1,604,282 | — | — | — | 1,604,282 |
Total Common Stocks | 284,467,980 | — | — | — | 284,467,980 |
Exchange-Traded Funds | 1,161,432 | — | — | — | 1,161,432 |
Money Market Funds | — | — | — | 3,606,055 | 3,606,055 |
Total Investments in Securities | 285,629,412 | — | — | 3,606,055 | 289,235,467 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $314,823,231) | $285,629,412 |
Affiliated issuers (cost $3,606,055) | 3,606,055 |
Receivable for: | |
Investments sold | 1,920,853 |
Capital shares sold | 1,263,730 |
Dividends | 502,931 |
Foreign tax reclaims | 200 |
Expense reimbursement due from Investment Manager | 38,517 |
Prepaid expenses | 1,472 |
Trustees’ deferred compensation plan | 68,616 |
Total assets | 293,031,786 |
Liabilities | |
Payable for: | |
Investments purchased | 2,233,351 |
Capital shares purchased | 12,937 |
Management services fees | 223,107 |
Distribution and/or service fees | 62,927 |
Service fees | 59,997 |
Compensation of board members | 1,168 |
Compensation of chief compliance officer | 36 |
Other expenses | 88,343 |
Trustees’ deferred compensation plan | 68,616 |
Total liabilities | 2,750,482 |
Net assets applicable to outstanding capital stock | $290,281,304 |
Represented by | |
Paid in capital | 291,415,954 |
Total distributable earnings (loss) (Note 2) | (1,134,650) |
Total - representing net assets applicable to outstanding capital stock | $290,281,304 |
Class 1 | |
Net assets | $5,525,356 |
Shares outstanding | 388,453 |
Net asset value per share | $14.22 |
Class 2 | |
Net assets | $284,755,948 |
Shares outstanding | 20,170,668 |
Net asset value per share | $14.12 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2018 | 13 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,193,905 |
Dividends — affiliated issuers | 58,911 |
Foreign taxes withheld | (14,427) |
Total income | 5,238,389 |
Expenses: | |
Management services fees | 3,181,170 |
Distribution and/or service fees | |
Class 2 | 897,377 |
Service fees | 484,457 |
Compensation of board members | 17,851 |
Custodian fees | 18,589 |
Printing and postage fees | 72,504 |
Audit fees | 30,479 |
Legal fees | 8,024 |
Compensation of chief compliance officer | 145 |
Other | 20,026 |
Total expenses | 4,730,622 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (456,222) |
Total net expenses | 4,274,400 |
Net investment income | 963,989 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 27,370,322 |
Investments — affiliated issuers | (1,320) |
Foreign currency translations | 1,098 |
Net realized gain | 27,370,100 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (92,094,857) |
Foreign currency translations | 1 |
Net change in unrealized appreciation (depreciation) | (92,094,856) |
Net realized and unrealized loss | (64,724,756) |
Net decrease in net assets resulting from operations | $(63,760,767) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $963,989 | $552,796 |
Net realized gain | 27,370,100 | 53,776,272 |
Net change in unrealized appreciation (depreciation) | (92,094,856) | (4,153,020) |
Net increase (decrease) in net assets resulting from operations | (63,760,767) | 50,176,048 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (980,459) | |
Class 2 | (53,301,432) | |
Net investment income | ||
Class 1 | (33,824) | |
Class 2 | (1,205,938) | |
Net realized gains | ||
Class 1 | (420,439) | |
Class 2 | (24,692,061) | |
Total distributions to shareholders (Note 2) | (54,281,891) | (26,352,262) |
Increase (decrease) in net assets from capital stock activity | 26,497,488 | (46,183,887) |
Total decrease in net assets | (91,545,170) | (22,360,101) |
Net assets at beginning of year | 381,826,474 | 404,186,575 |
Net assets at end of year | $290,281,304 | $381,826,474 |
Undistributed net investment income | $936,360 | $613,511 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 52,588 | 930,571 | 78,316 | 1,520,395 |
Distributions reinvested | 54,561 | 980,459 | 24,476 | 454,263 |
Redemptions | (72,660) | (1,441,668) | (66,999) | (1,294,314) |
Net increase | 34,489 | 469,362 | 35,793 | 680,344 |
Class 2 | ||||
Subscriptions | 1,109,990 | 19,648,565 | 1,039,096 | 19,881,093 |
Distributions reinvested | 2,986,074 | 53,301,432 | 1,402,925 | 25,897,999 |
Redemptions | (2,495,991) | (46,921,871) | (4,815,930) | (92,643,323) |
Net increase (decrease) | 1,600,073 | 26,028,126 | (2,373,909) | (46,864,231) |
Total net increase (decrease) | 1,634,562 | 26,497,488 | (2,338,116) | (46,183,887) |
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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 12/31/2018 | $20.30 | 0.10 | (3.12) | (3.02) | (0.08) | (2.98) | (3.06) |
Year Ended 12/31/2017 | $19.11 | 0.08 | 2.52 | 2.60 | (0.10) | (1.31) | (1.41) |
Year Ended 12/31/2016 | $16.02 | 0.10 | 4.82 | 4.92 | (0.11) | (1.72) | (1.83) |
Year Ended 12/31/2015 | $18.42 | 0.10 | (1.15) | (1.05) | (0.15) | (1.20) | (1.35) |
Year Ended 12/31/2014 | $20.46 | 0.16 | 0.46 | 0.62 | (0.12) | (2.54) | (2.66) |
Class 2 | |||||||
Year Ended 12/31/2018 | $20.17 | 0.05 | (3.08) | (3.03) | (0.04) | (2.98) | (3.02) |
Year Ended 12/31/2017 | $19.01 | 0.03 | 2.50 | 2.53 | (0.06) | (1.31) | (1.37) |
Year Ended 12/31/2016 | $15.94 | 0.06 | 4.80 | 4.86 | (0.07) | (1.72) | (1.79) |
Year Ended 12/31/2015 | $18.33 | 0.06 | (1.14) | (1.08) | (0.11) | (1.20) | (1.31) |
Year Ended 12/31/2014 | $20.39 | 0.12 | 0.46 | 0.58 | (0.10) | (2.54) | (2.64) |
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 line of credit interest expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2018 |
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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 12/31/2018 | $14.22 | (18.01%) | 1.05% | 0.92% | 0.51% | 49% | $5,525 |
Year Ended 12/31/2017 | $20.30 | 14.31% | 1.01%(c) | 0.93%(c) | 0.41% | 52% | $7,186 |
Year Ended 12/31/2016 | $19.11 | 33.04% | 0.98% | 0.93% | 0.60% | 62% | $6,081 |
Year Ended 12/31/2015 | $16.02 | (6.12%) | 0.98% | 0.93% | 0.56% | 64% | $6,045 |
Year Ended 12/31/2014 | $18.42 | 3.28% | 0.98% | 0.88% | 0.81% | 51% | $7,270 |
Class 2 | |||||||
Year Ended 12/31/2018 | $14.12 | (18.17%) | 1.30% | 1.17% | 0.26% | 49% | $284,756 |
Year Ended 12/31/2017 | $20.17 | 13.98% | 1.26%(c) | 1.18%(c) | 0.14% | 52% | $374,640 |
Year Ended 12/31/2016 | $19.01 | 32.74% | 1.23% | 1.18% | 0.37% | 62% | $398,105 |
Year Ended 12/31/2015 | $15.94 | (6.32%) | 1.23% | 1.18% | 0.32% | 64% | $320,184 |
Year Ended 12/31/2014 | $18.33 | 3.05% | 1.23% | 1.10% | 0.60% | 51% | $368,768 |
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18 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2018 |
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20 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2018 |
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May 1, 2018 through April 30, 2019 | Prior to May 1, 2018 | |
Class 1 | 0.92% | 0.93% |
Class 2 | 1.17 | 1.18 |
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
1,098 | (1,098) | — |
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December 31, 2018
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
16,402,147 | 37,879,744 | 54,281,891 | 11,695,315 | 14,656,947 | 26,352,262 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
3,177,340 | 25,119,430 | — | (29,355,147) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
318,590,614 | 27,169,940 | (56,525,087) | (29,355,147) |
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24 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2018 |
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26 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2018 |
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(Unaudited)
Dividends received deduction | Capital gain dividend |
24.52% | $26,434,113 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2018 | 27 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2018 | 29 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
30 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2018 |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | -7.61 | -1.56 | 0.72 | |
Class 2 | 04/30/12 | -7.75 | -1.81 | 0.49 | |
FTSE Three-Month U.S. Treasury Bill Index | 1.86 | 0.60 | 0.47 |
2 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 |
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Market exposure through derivatives investments (% of notional exposure) (at December 31, 2018)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 149.1 | (0.0)(b) | 149.1 |
Commodities Derivative Contracts | 0.6 | (6.3) | (5.7) |
Equity Derivative Contracts | 0.0(b) | (17.9) | (17.9) |
Foreign Currency Derivative Contracts | 57.8 | (83.3) | (25.5) |
Total Notional Market Value of Derivative Contracts | 207.5 | (107.5) | 100.0 |
Portfolio Holdings (%) (at December 31, 2018) | |
Money Market Funds | 66.7 |
Treasury Bills | 27.8 |
Other Assets | 5.5 |
Total | 100.0 |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 3 |
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4 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 |
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CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 5 |
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(Unaudited)
July 1, 2018 — December 31, 2018 | |||||||
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 | 975.50 | 1,019.51 | 5.76 | 5.89 | 1.15 |
Class 2 | 1,000.00 | 1,000.00 | 975.40 | 1,018.25 | 7.01 | 7.16 | 1.40 |
6 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 |
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December 31, 2018
Treasury Bills 27.8% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 27.8% | ||||
U.S. Treasury Bills | ||||
01/10/2019 | 2.150% | 682,000 | 681,599 | |
01/24/2019 | 2.230% | 36,443,000 | 36,389,634 | |
01/31/2019 | 2.240% | 24,337,000 | 24,290,824 | |
02/21/2019 | 2.320% | 1,963,000 | 1,956,529 | |
05/02/2019 | 2.400% | 464,000 | 460,307 | |
05/30/2019 | 2.430% | 4,464,000 | 4,419,938 | |
06/20/2019 | 2.450% | 2,018,000 | 1,995,064 | |
06/27/2019 | 2.450% | 1,679,000 | 1,659,137 | |
Total | 71,853,032 | |||
Total Treasury Bills (Cost $71,856,262) | 71,853,032 |
Money Market Funds 66.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(a),(b) | 102,044,857 | 102,034,652 |
JPMorgan Prime Money Market Fund, Capital Shares, 2.535%(a) | 35,000,000 | 35,003,500 |
JPMorgan U.S. Treasury Plus Money Market Fund, Institutional Shares, 2.401%(a) | 35,000,000 | 35,000,000 |
Total Money Market Funds (Cost $172,035,616) | 172,038,152 | |
Total Investments in Securities (Cost: $243,891,878) | 243,891,184 | |
Other Assets & Liabilities, Net | 14,133,564 | |
Net Assets | 258,024,748 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
14,920,000 AUD | 10,697,956 USD | Citi | 03/20/2019 | 175,245 | — |
1,193,400 BRL | 309,679 USD | Citi | 03/20/2019 | 3,507 | — |
690,600 BRL | 175,987 USD | Citi | 03/20/2019 | — | (1,189) |
11,388,800 CAD | 8,467,713 USD | Citi | 03/20/2019 | 110,599 | — |
3,768,400 CHF | 3,833,321 USD | Citi | 03/20/2019 | — | (28,377) |
801,141,980 CLP | 1,189,265 USD | Citi | 03/20/2019 | 33,919 | — |
19,871,200 CLP | 28,644 USD | Citi | 03/20/2019 | — | (13) |
1,952,778,355 COP | 602,851 USD | Citi | 03/20/2019 | 3,727 | — |
6,133,600 COP | 1,862 USD | Citi | 03/20/2019 | — | (20) |
2,473,494 EUR | 2,854,723 USD | Citi | 03/20/2019 | 2,417 | — |
16,263,707 EUR | 18,642,302 USD | Citi | 03/20/2019 | — | (112,168) |
1,006,000 GBP | 1,291,420 USD | Citi | 03/20/2019 | 4,396 | — |
2,160,400 GBP | 2,743,369 USD | Citi | 03/20/2019 | — | (20,535) |
352,800 HKD | 45,230 USD | Citi | 03/20/2019 | 73 | — |
681,667,603 HUF | 2,423,009 USD | Citi | 03/20/2019 | — | (22,726) |
2,467,156,329 IDR | 170,216 USD | Citi | 03/20/2019 | 638 | — |
4,365,254,816 IDR | 296,690 USD | Citi | 03/20/2019 | — | (3,352) |
5,216,000 ILS | 1,414,126 USD | Citi | 03/20/2019 | 10,808 | — |
57,200 ILS | 15,312 USD | Citi | 03/20/2019 | — | (77) |
108,745,644 INR | 1,515,480 USD | Citi | 03/20/2019 | — | (35,140) |
925,429,542 JPY | 8,283,760 USD | Citi | 03/20/2019 | — | (211,858) |
101,377,398 KRW | 91,624 USD | Citi | 03/20/2019 | 349 | — |
5,152,760,586 KRW | 4,595,100 USD | Citi | 03/20/2019 | — | (44,183) |
33,709,600 MXN | 1,625,294 USD | Citi | 03/20/2019 | — | (69,736) |
16,468,400 NOK | 1,930,523 USD | Citi | 03/20/2019 | 19,424 | — |
1,608,000 NOK | 185,605 USD | Citi | 03/20/2019 | — | (997) |
5,329,200 NZD | 3,623,521 USD | Citi | 03/20/2019 | 41,731 | — |
320,000 NZD | 215,032 USD | Citi | 03/20/2019 | — | (42) |
52,314,400 PHP | 982,116 USD | Citi | 03/20/2019 | — | (10,487) |
452,400 PLN | 119,845 USD | Citi | 03/20/2019 | — | (1,258) |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 7 |
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December 31, 2018
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
65,045,596 SEK | 7,268,490 USD | Citi | 03/20/2019 | — | (115,814) |
2,451,200 SGD | 1,792,089 USD | Citi | 03/20/2019 | — | (9,515) |
62,704,400 TWD | 2,053,594 USD | Citi | 03/20/2019 | — | (10,941) |
277,703 USD | 381,200 AUD | Citi | 03/20/2019 | — | (8,852) |
46,637 USD | 182,800 BRL | Citi | 03/20/2019 | 262 | — |
84,641 USD | 327,600 BRL | Citi | 03/20/2019 | — | (594) |
307,919 USD | 411,200 CAD | Citi | 03/20/2019 | — | (6,180) |
4,871,225 USD | 4,804,400 CHF | Citi | 03/20/2019 | 52,122 | — |
74,424 USD | 72,400 CHF | Citi | 03/20/2019 | — | (232) |
905,057 USD | 606,799,600 CLP | Citi | 03/20/2019 | — | (29,976) |
10,203 USD | 33,452,000 COP | Citi | 03/20/2019 | 60 | — |
521,913 USD | 1,673,064,400 COP | Citi | 03/20/2019 | — | (8,606) |
15,255,551 USD | 13,274,400 EUR | Citi | 03/20/2019 | 51,804 | — |
6,173,346 USD | 5,341,600 EUR | Citi | 03/20/2019 | — | (13,688) |
781,186 USD | 614,800 GBP | Citi | 03/20/2019 | 5,357 | — |
3,583 USD | 2,800 GBP | Citi | 03/20/2019 | — | — |
8,406 USD | 65,600 HKD | Citi | 03/20/2019 | — | (9) |
1,931,594 USD | 545,176,800 HUF | Citi | 03/20/2019 | 24,429 | — |
368,437 USD | 102,666,000 HUF | Citi | 03/20/2019 | — | (84) |
776,943 USD | 11,437,586,000 IDR | Citi | 03/20/2019 | 9,208 | — |
523,548 USD | 7,586,131,200 IDR | Citi | 03/20/2019 | — | (2,123) |
273,483 USD | 1,020,400 ILS | Citi | 03/20/2019 | 1,046 | — |
511,802 USD | 1,888,000 ILS | Citi | 03/20/2019 | — | (3,852) |
2,542,449 USD | 181,320,400 INR | Citi | 03/20/2019 | 43,024 | — |
10,390,158 USD | 1,161,599,600 JPY | Citi | 03/20/2019 | 273,544 | — |
116,071 USD | 129,534,800 KRW | Citi | 03/20/2019 | 555 | — |
1,700,438 USD | 1,885,754,000 KRW | Citi | 03/20/2019 | — | (2,601) |
1,526,608 USD | 31,071,200 MXN | Citi | 03/20/2019 | 35,754 | — |
39,909 USD | 793,200 MXN | Citi | 03/20/2019 | — | (24) |
12,747 USD | 110,400 NOK | Citi | 03/20/2019 | 65 | — |
1,355,534 USD | 11,502,000 NOK | Citi | 03/20/2019 | — | (20,768) |
5,552,707 USD | 8,089,200 NZD | Citi | 03/20/2019 | — | (115,901) |
844,634 USD | 44,633,200 PHP | Citi | 03/20/2019 | 2,228 | — |
124,287 USD | 6,543,600 PHP | Citi | 03/20/2019 | — | (130) |
3,985,626 USD | 15,005,600 PLN | Citi | 03/20/2019 | 31,237 | — |
50,930 USD | 190,000 PLN | Citi | 03/20/2019 | — | (69) |
4,465,323 USD | 39,962,400 SEK | Citi | 03/20/2019 | 71,410 | — |
1,869,879 USD | 2,557,200 SGD | Citi | 03/20/2019 | 9,633 | — |
676,075 USD | 20,652,000 TWD | Citi | 03/20/2019 | 3,890 | — |
42,567 USD | 1,292,800 TWD | Citi | 03/20/2019 | — | (2) |
3,538,488 USD | 49,541,600 ZAR | Citi | 03/20/2019 | — | (126,564) |
12,124,800 ZAR | 839,218 USD | Citi | 03/20/2019 | 4,185 | — |
7,992,000 ZAR | 546,559 USD | Citi | 03/20/2019 | — | (3,849) |
22,380,000 AUD | 16,046,913 USD | JPMorgan | 03/20/2019 | 262,848 | — |
1,790,100 BRL | 464,517 USD | JPMorgan | 03/20/2019 | 5,261 | — |
1,035,900 BRL | 263,980 USD | JPMorgan | 03/20/2019 | — | (1,784) |
17,083,200 CAD | 12,701,553 USD | JPMorgan | 03/20/2019 | 165,883 | — |
5,652,600 CHF | 5,749,974 USD | JPMorgan | 03/20/2019 | — | (42,572) |
1,201,712,972 CLP | 1,783,896 USD | JPMorgan | 03/20/2019 | 50,876 | — |
29,806,800 CLP | 42,966 USD | JPMorgan | 03/20/2019 | — | (20) |
2,929,167,533 COP | 904,276 USD | JPMorgan | 03/20/2019 | 5,590 | — |
9,200,400 COP | 2,792 USD | JPMorgan | 03/20/2019 | — | (30) |
3,710,240 EUR | 4,282,078 USD | JPMorgan | 03/20/2019 | 3,620 | — |
24,395,559 EUR | 27,963,416 USD | JPMorgan | 03/20/2019 | — | (168,287) |
1,509,000 GBP | 1,937,128 USD | JPMorgan | 03/20/2019 | 6,591 | — |
3,240,600 GBP | 4,115,048 USD | JPMorgan | 03/20/2019 | — | (30,807) |
529,200 HKD | 67,845 USD | JPMorgan | 03/20/2019 | 110 | — |
1,022,501,405 HUF | 3,634,509 USD | JPMorgan | 03/20/2019 | — | (34,094) |
8 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 |
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December 31, 2018
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
3,700,734,495 IDR | 255,323 USD | JPMorgan | 03/20/2019 | 957 | — |
6,547,882,224 IDR | 445,034 USD | JPMorgan | 03/20/2019 | — | (5,028) |
7,824,000 ILS | 2,121,187 USD | JPMorgan | 03/20/2019 | 16,209 | — |
85,800 ILS | 22,968 USD | JPMorgan | 03/20/2019 | — | (116) |
163,118,468 INR | 2,273,217 USD | JPMorgan | 03/20/2019 | — | (52,713) |
1,388,144,314 JPY | 12,425,624 USD | JPMorgan | 03/20/2019 | — | (317,802) |
152,066,097 KRW | 137,435 USD | JPMorgan | 03/20/2019 | 523 | — |
7,729,140,879 KRW | 6,892,641 USD | JPMorgan | 03/20/2019 | — | (66,283) |
50,564,400 MXN | 2,437,938 USD | JPMorgan | 03/20/2019 | — | (104,607) |
24,702,600 NOK | 2,895,781 USD | JPMorgan | 03/20/2019 | 29,132 | — |
2,412,000 NOK | 278,408 USD | JPMorgan | 03/20/2019 | — | (1,496) |
7,993,800 NZD | 5,435,275 USD | JPMorgan | 03/20/2019 | 62,589 | — |
480,000 NZD | 322,548 USD | JPMorgan | 03/20/2019 | — | (63) |
78,471,600 PHP | 1,473,172 USD | JPMorgan | 03/20/2019 | — | (15,733) |
678,600 PLN | 179,767 USD | JPMorgan | 03/20/2019 | — | (1,888) |
97,568,404 SEK | 10,903,100 USD | JPMorgan | 03/20/2019 | — | (173,356) |
3,676,800 SGD | 2,688,176 USD | JPMorgan | 03/20/2019 | — | (14,229) |
94,056,600 TWD | 3,080,387 USD | JPMorgan | 03/20/2019 | — | (16,416) |
416,556 USD | 571,800 AUD | JPMorgan | 03/20/2019 | — | (13,279) |
69,955 USD | 274,200 BRL | JPMorgan | 03/20/2019 | 392 | — |
126,961 USD | 491,400 BRL | JPMorgan | 03/20/2019 | — | (891) |
461,879 USD | 616,800 CAD | JPMorgan | 03/20/2019 | — | (9,270) |
7,306,847 USD | 7,206,600 CHF | JPMorgan | 03/20/2019 | 78,173 | — |
111,637 USD | 108,600 CHF | JPMorgan | 03/20/2019 | — | (348) |
1,357,587 USD | 910,199,400 CLP | JPMorgan | 03/20/2019 | — | (44,966) |
15,305 USD | 50,178,000 COP | JPMorgan | 03/20/2019 | 90 | — |
782,870 USD | 2,509,596,600 COP | JPMorgan | 03/20/2019 | — | (12,911) |
22,884,504 USD | 19,911,600 EUR | JPMorgan | 03/20/2019 | 76,528 | — |
9,260,030 USD | 8,012,400 EUR | JPMorgan | 03/20/2019 | — | (20,543) |
1,169,733 USD | 922,200 GBP | JPMorgan | 03/20/2019 | 10,082 | — |
5,374 USD | 4,200 GBP | JPMorgan | 03/20/2019 | — | — |
12,609 USD | 98,400 HKD | JPMorgan | 03/20/2019 | — | (14) |
2,897,395 USD | 817,765,200 HUF | JPMorgan | 03/20/2019 | 36,640 | — |
552,656 USD | 153,999,000 HUF | JPMorgan | 03/20/2019 | — | (127) |
1,165,416 USD | 17,156,379,000 IDR | JPMorgan | 03/20/2019 | 13,810 | — |
785,323 USD | 11,379,196,800 IDR | JPMorgan | 03/20/2019 | — | (3,186) |
410,225 USD | 1,530,600 ILS | JPMorgan | 03/20/2019 | 1,569 | — |
767,703 USD | 2,832,000 ILS | JPMorgan | 03/20/2019 | — | (5,779) |
3,813,679 USD | 271,980,600 INR | JPMorgan | 03/20/2019 | 64,531 | — |
15,585,708 USD | 1,742,399,400 JPY | JPMorgan | 03/20/2019 | 409,846 | — |
174,107 USD | 194,302,200 KRW | JPMorgan | 03/20/2019 | 833 | — |
2,550,659 USD | 2,828,631,000 KRW | JPMorgan | 03/20/2019 | — | (3,904) |
2,289,915 USD | 46,606,800 MXN | JPMorgan | 03/20/2019 | 53,628 | — |
59,863 USD | 1,189,800 MXN | JPMorgan | 03/20/2019 | — | (36) |
19,121 USD | 165,600 NOK | JPMorgan | 03/20/2019 | 96 | — |
2,033,303 USD | 17,253,000 NOK | JPMorgan | 03/20/2019 | — | (31,154) |
8,329,070 USD | 12,133,800 NZD | JPMorgan | 03/20/2019 | — | (173,862) |
1,266,952 USD | 66,949,800 PHP | JPMorgan | 03/20/2019 | 3,340 | — |
186,431 USD | 9,815,400 PHP | JPMorgan | 03/20/2019 | — | (196) |
5,978,446 USD | 22,508,400 PLN | JPMorgan | 03/20/2019 | 46,848 | — |
76,395 USD | 285,000 PLN | JPMorgan | 03/20/2019 | — | (103) |
6,695,926 USD | 59,943,600 SEK | JPMorgan | 03/20/2019 | 109,173 | — |
2,804,822 USD | 3,835,800 SGD | JPMorgan | 03/20/2019 | 14,446 | — |
1,014,114 USD | 30,978,000 TWD | JPMorgan | 03/20/2019 | 5,833 | — |
63,851 USD | 1,939,200 TWD | JPMorgan | 03/20/2019 | — | (3) |
5,307,739 USD | 74,312,400 ZAR | JPMorgan | 03/20/2019 | — | (189,853) |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 9 |
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December 31, 2018
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
18,187,200 ZAR | 1,258,826 USD | JPMorgan | 03/20/2019 | 6,276 | — |
11,988,000 ZAR | 819,838 USD | JPMorgan | 03/20/2019 | — | (5,774) |
Total | 2,568,969 | (2,606,055) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
3-Month Euro Euribor | 94 | 06/2019 | EUR | 23,568,150 | 992 | — |
3-Month Euro Euribor | 120 | 09/2019 | EUR | 30,082,500 | 9,902 | — |
3-Month Euro Euribor | 206 | 12/2019 | EUR | 51,628,750 | 47,643 | — |
3-Month Euro Euribor | 263 | 03/2020 | EUR | 65,894,650 | 99,172 | — |
3-Month Euro Euribor | 254 | 06/2020 | EUR | 63,607,950 | 111,899 | — |
3-Month Euro Euribor | 232 | 09/2020 | EUR | 58,066,700 | 100,936 | — |
3-Month Euro Euribor | 132 | 12/2020 | EUR | 33,018,150 | 41,855 | — |
3-Month Euro Swiss Franc | 7 | 06/2019 | CHF | 1,762,600 | — | (283) |
3-Month Euro Swiss Franc | 23 | 12/2019 | CHF | 5,787,375 | — | (384) |
90-Day Sterling | 17 | 06/2019 | GBP | 2,103,538 | — | (205) |
90-Day Sterling | 19 | 09/2019 | GBP | 2,349,944 | — | (288) |
90-Day Sterling | 17 | 12/2019 | GBP | 2,101,413 | — | (296) |
90-Day Sterling | 18 | 03/2020 | GBP | 2,224,463 | — | (207) |
90-Day Sterling | 18 | 06/2020 | GBP | 2,223,675 | — | (17) |
90-Day Sterling | 17 | 09/2020 | GBP | 2,099,394 | — | (39) |
90-Day Sterling | 16 | 12/2020 | GBP | 1,975,300 | 80 | — |
Australian 10-Year Bond | 185 | 03/2019 | AUD | 24,544,868 | 130,255 | — |
Australian 3-Year Bond | 373 | 03/2019 | AUD | 41,855,236 | 102,448 | — |
Banker’s Acceptance | 10 | 06/2019 | CAD | 2,444,125 | 1,008 | — |
Banker’s Acceptance | 9 | 09/2019 | CAD | 2,199,600 | 2,142 | — |
British Pound | 4 | 03/2019 | USD | 319,750 | — | (402) |
Canadian Government 10-Year Bond | 9 | 03/2019 | CAD | 1,230,930 | 6,021 | — |
Cocoa | 9 | 03/2019 | USD | 217,440 | 9,844 | — |
Euro CHF 3-Month ICE | 14 | 09/2019 | CHF | 3,524,850 | — | (184) |
Euro-Bobl | 39 | 03/2019 | EUR | 5,168,280 | 1,816 | — |
Eurodollar 90-Day | 22 | 06/2019 | USD | 5,352,325 | 4,045 | — |
Eurodollar 90-Day | 23 | 09/2019 | USD | 5,597,050 | 7,037 | — |
Eurodollar 90-Day | 14 | 12/2019 | USD | 3,407,250 | 5,898 | — |
Eurodollar 90-Day | 14 | 03/2020 | USD | 3,410,575 | 6,309 | — |
Eurodollar 90-Day | 15 | 06/2020 | USD | 3,656,438 | 7,067 | — |
Eurodollar 90-Day | 21 | 09/2020 | USD | 5,121,113 | 9,917 | — |
Eurodollar 90-Day | 24 | 12/2020 | USD | 5,851,800 | 10,802 | — |
Euro-Schatz | 241 | 03/2019 | EUR | 26,977,540 | 16,046 | — |
Gold 100 oz. | 9 | 02/2019 | USD | 1,153,170 | 16,511 | — |
Japanese 10-Year Government Bond | 19 | 03/2019 | JPY | 2,897,120,000 | 89,401 | — |
Natural Gas | 17 | 01/2019 | USD | 499,800 | — | (197,424) |
New Zealand Dollar | 682 | 03/2019 | USD | 45,830,400 | — | (1,260,816) |
U.S. Long Bond | 14 | 03/2019 | USD | 2,044,000 | 14,172 | — |
U.S. Treasury 10-Year Note | 38 | 03/2019 | USD | 4,636,594 | 36,024 | — |
U.S. Treasury 2-Year Note | 94 | 03/2019 | USD | 19,957,375 | 55,091 | — |
U.S. Treasury 5-Year Note | 66 | 03/2019 | USD | 7,569,375 | 47,858 | — |
U.S. Ultra Treasury Bond | 10 | 03/2019 | USD | 1,606,563 | — | (11,402) |
Total | 992,191 | (1,471,947) |
10 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 |
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December 31, 2018
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Amsterdam Index | (5) | 01/2019 | EUR | (487,720) | 8,478 | — |
Australian Dollar | (309) | 03/2019 | USD | (21,790,680) | 535,038 | — |
Brent Crude | (72) | 01/2019 | USD | (3,873,600) | 311,277 | — |
CAC40 Index | (41) | 01/2019 | EUR | (1,938,685) | 30,910 | — |
Canadian Dollar | (68) | 03/2019 | USD | (4,998,680) | 127,020 | — |
Cocoa | (1) | 03/2019 | GBP | (17,660) | — | (2,443) |
Coffee | (19) | 03/2019 | USD | (725,681) | 44,632 | — |
Copper | (5) | 03/2019 | USD | (746,219) | 10,685 | — |
Copper | (25) | 03/2019 | USD | (1,644,375) | 43,919 | — |
Corn | (40) | 03/2019 | USD | (750,000) | — | (746) |
Cotton | (18) | 03/2019 | USD | (649,800) | 39,758 | — |
DAX Index | (28) | 03/2019 | EUR | (7,393,050) | 181,590 | — |
DJIA Mini E | (29) | 03/2019 | USD | (3,373,860) | 112,960 | — |
Euro FX | (513) | 03/2019 | USD | (73,888,031) | — | (169,717) |
EURO STOXX 50 | (86) | 03/2019 | EUR | (2,557,640) | 67,350 | — |
FTSE 100 Index | (97) | 03/2019 | GBP | (6,459,230) | 11,769 | — |
FTSE/JSE Top 40 Index | (8) | 03/2019 | ZAR | (3,764,640) | — | (8,727) |
FTSE/MIB Index | (4) | 03/2019 | EUR | (364,120) | 11,452 | — |
Gas Oil | (145) | 02/2019 | USD | (7,413,125) | 376,981 | — |
Hang Seng Index | (21) | 01/2019 | HKD | (27,146,700) | — | (19,906) |
H-Shares Index | (35) | 01/2019 | HKD | (17,678,500) | — | (2,077) |
IBEX 35 Index | (11) | 01/2019 | EUR | (936,881) | 22,004 | — |
KOSPI 200 Index | (231) | 03/2019 | KRW | (15,130,500,000) | 12,461 | — |
Lean Hogs | (20) | 02/2019 | USD | (487,800) | 12,778 | — |
MSCI EAFE Index Future | (4) | 03/2019 | USD | (343,200) | 7,132 | — |
MSCI Singapore IX ETS | (25) | 01/2019 | SGD | (854,250) | — | (4,198) |
MSCI Taiwan Index | (74) | 01/2019 | USD | (2,659,560) | — | (55,413) |
NASDAQ 100 E-mini | (19) | 03/2019 | USD | (2,406,635) | 141,048 | — |
Nickel | (2) | 03/2019 | USD | (128,178) | 4,497 | — |
NY Harbor ULSD | (18) | 01/2019 | USD | (1,269,626) | 95,191 | — |
OMXS30 Index | (18) | 01/2019 | SEK | (2,534,850) | 6,503 | — |
Platinum | (15) | 04/2019 | USD | (600,450) | — | (2,216) |
Primary Aluminum | (1) | 03/2019 | USD | (46,200) | 1,485 | — |
RBOB Gasoline | (15) | 01/2019 | USD | (820,323) | 92,176 | — |
Russell 2000 E-mini | (55) | 03/2019 | USD | (3,709,750) | 183,530 | — |
S&P 500 E-mini | (18) | 03/2019 | USD | (2,254,680) | 88,910 | — |
S&P Mid 400 E-mini | (4) | 03/2019 | USD | (664,880) | 26,815 | — |
S&P/TSE 60 Index | (18) | 03/2019 | CAD | (3,086,280) | 49,947 | — |
Silver | (7) | 03/2019 | USD | (543,900) | — | (36,703) |
Soybean | (13) | 03/2019 | USD | (581,750) | 2,444 | — |
Soybean Oil | (7) | 03/2019 | USD | (216,930) | 1,514 | — |
Soybean Oil | (13) | 03/2019 | USD | (217,230) | 1,419 | — |
SPI 200 Index | (15) | 03/2019 | AUD | (2,085,375) | — | (9,786) |
Sugar #11 | (65) | 02/2019 | USD | (875,784) | 39,771 | — |
TOPIX Index | (50) | 03/2019 | JPY | (746,750,000) | 474,944 | — |
Wheat | (17) | 03/2019 | USD | (415,438) | 3,837 | — |
Wheat | (7) | 03/2019 | USD | (176,138) | 2,088 | — |
WTI Crude | (47) | 01/2019 | USD | (2,134,270) | 301,113 | — |
Zinc | (6) | 03/2019 | USD | (370,575) | 9,545 | — |
Total | 3,494,971 | (311,932) |
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December 31, 2018
Total return swap contracts on futures | ||||||||
Reference instrument | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bobl Mar 19 | Barclays | 03/2019 | EUR | 63,079,520 | — | — | 141,182 | — |
Euro-Bund Mar 19 | Barclays | 03/2019 | EUR | 15,209,220 | — | — | 19,790 | — |
Euro-Buxl 30-Year Mar 19 | Barclays | 03/2019 | EUR | 1,806,200 | — | — | — | (5,173) |
Euro-Schatz Mar 19 | Barclays | 03/2019 | EUR | 56,193,880 | — | — | 16,630 | — |
Japanese 10-Year Government Bond Mar 19 | Barclays | 03/2019 | JPY | 6,404,160,000 | — | — | 151,576 | — |
Long Gilt Mar 19 | Barclays | 03/2019 | GBP | 8,621,900 | — | — | 81,223 | — |
Coffee Mar 19 | Citi | 03/2019 | USD | (840,263) | — | — | 135,111 | — |
Corn Mar 19 | Citi | 03/2019 | USD | (131,250) | — | — | — | (2,348) |
Primary Aluminum Mar 19 | Citi | 03/2019 | USD | (1,108,800) | — | — | 56,550 | — |
Soybean Mar 19 | Citi | 03/2019 | USD | (895,000) | — | — | 32,110 | — |
Soybean Meal Mar 19 | Citi | 03/2019 | USD | (2,014,350) | — | — | 33,110 | — |
Soybean Oil Mar 19 | Citi | 03/2019 | USD | (434,460) | — | — | 19,032 | — |
Sugar #11 Mar 19 | Citi | 02/2019 | USD | (40,421) | — | — | 34 | — |
Wheat Mar 19 | Citi | 03/2019 | USD | (24,438) | — | — | 980 | — |
H-Shares Index Jan 19 | JPMorgan | 01/2019 | HKD | (9,091,800) | — | — | — | (8,212) |
Swiss Market Index | JPMorgan | 03/2019 | CHF | (747,900) | — | — | 11,038 | — |
Total | — | — | 698,366 | (15,733) |
(a) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
(b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | ||||||||
115,792,213 | 484,227,540 | (497,974,896) | 102,044,857 | (8,000) | (2,372) | 3,295,829 | 102,034,652 |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | New Israeli Sheqel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
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December 31, 2018
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TWD | New Taiwan Dollar |
USD | US Dollar |
ZAR | South African Rand |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 13 |
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December 31, 2018
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2018:
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Treasury Bills | 71,853,032 | — | — | — | 71,853,032 |
Money Market Funds | 70,003,500 | — | — | 102,034,652 | 172,038,152 |
Total Investments in Securities | 141,856,532 | — | — | 102,034,652 | 243,891,184 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 2,568,969 | — | — | 2,568,969 |
Futures Contracts | 4,487,162 | — | — | — | 4,487,162 |
Swap Contracts | — | 698,366 | — | — | 698,366 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (2,606,055) | — | — | (2,606,055) |
Futures Contracts | (1,783,879) | — | — | — | (1,783,879) |
Swap Contracts | — | (15,733) | — | — | (15,733) |
Total | 144,559,815 | 645,547 | — | 102,034,652 | 247,240,014 |
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December 31, 2018
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $141,856,262) | $141,856,532 |
Affiliated issuers (cost $102,035,616) | 102,034,652 |
Foreign currency (cost $542,046) | 541,767 |
Cash collateral held at broker for: | |
Forward foreign currency exchange contracts | 570,000 |
Swap contracts | 470,000 |
Other(a) | 2,830,000 |
Margin deposits on: | |
Futures contracts | 9,612,247 |
Unrealized appreciation on forward foreign currency exchange contracts | 2,568,969 |
Unrealized appreciation on swap contracts | 698,366 |
Receivable for: | |
Investments sold | 4,269 |
Capital shares sold | 49,518 |
Dividends | 320,212 |
Variation margin for futures contracts | 302,460 |
Prepaid expenses | 1,019 |
Trustees’ deferred compensation plan | 32,348 |
Total assets | 261,892,359 |
Liabilities | |
Due to custodian | 70,092 |
Foreign currency (cost $11,485) | 11,360 |
Unrealized depreciation on forward foreign currency exchange contracts | 2,606,055 |
Unrealized depreciation on swap contracts | 15,733 |
Cash collateral due to broker for: | |
Swap contracts | 341,064 |
Payable for: | |
Investments purchased | 4,706 |
Capital shares purchased | 23,002 |
Variation margin for futures contracts | 679,697 |
Management services fees | 23,363 |
Distribution and/or service fees | 523 |
Service fees | 3,496 |
Compensation of board members | 1,107 |
Compensation of chief compliance officer | 26 |
Other expenses | 55,039 |
Trustees’ deferred compensation plan | 32,348 |
Total liabilities | 3,867,611 |
Net assets applicable to outstanding capital stock | $258,024,748 |
Represented by | |
Paid in capital | 315,486,777 |
Total distributable earnings (loss) (Note 2) | (57,462,029) |
Total - representing net assets applicable to outstanding capital stock | $258,024,748 |
Class 1 | |
Net assets | $232,608,809 |
Shares outstanding | 32,469,354 |
Net asset value per share | $7.16 |
Class 2 | |
Net assets | $25,415,939 |
Shares outstanding | 3,559,466 |
Net asset value per share | $7.14 |
(a) | Includes collateral related to forward foreign currency exchange contracts and swap contracts. |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 15 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $46,465 |
Dividends — affiliated issuers | 3,295,829 |
Interest | 1,603,104 |
Total income | 4,945,398 |
Expenses: | |
Management services fees | 3,019,720 |
Distribution and/or service fees | |
Class 2 | 77,013 |
Service fees | 23,691 |
Compensation of board members | 16,430 |
Custodian fees | 23,067 |
Printing and postage fees | 16,019 |
Audit fees | 47,725 |
Legal fees | 6,067 |
Interest on collateral | 2,002 |
Compensation of chief compliance officer | 106 |
Other | 13,668 |
Total expenses | 3,245,508 |
Net investment income | 1,699,890 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 222 |
Investments — affiliated issuers | (8,000) |
Foreign currency translations | (323,679) |
Forward foreign currency exchange contracts | (542,835) |
Futures contracts | (14,946,018) |
Swap contracts | (5,214,356) |
Net realized loss | (21,034,666) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (1,787) |
Investments — affiliated issuers | (2,372) |
Foreign currency translations | (146,144) |
Forward foreign currency exchange contracts | 816,178 |
Futures contracts | (3,298,014) |
Swap contracts | 662,939 |
Net change in unrealized appreciation (depreciation) | (1,969,200) |
Net realized and unrealized loss | (23,003,866) |
Net decrease in net assets resulting from operations | $(21,303,976) |
16 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income (loss) | $1,699,890 | $(922,880) |
Net realized loss | (21,034,666) | (5,577,350) |
Net change in unrealized appreciation (depreciation) | (1,969,200) | 4,257,327 |
Net decrease in net assets resulting from operations | (21,303,976) | (2,242,903) |
Distributions to shareholders | ||
Net investment income | ||
Class 1 | — | (1,482,784) |
Class 2 | — | (104,274) |
Total distributions to shareholders (Note 2) | — | (1,587,058) |
Increase (decrease) in net assets from capital stock activity | (6,496,484) | 1,666,337 |
Total decrease in net assets | (27,800,460) | (2,163,624) |
Net assets at beginning of year | 285,825,208 | 287,988,832 |
Net assets at end of year | $258,024,748 | $285,825,208 |
Excess of distributions over net investment income | $(52,138,869) | $(53,866,807) |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | — | — | 2,020 | 15,921 |
Distributions reinvested | — | — | 199,836 | 1,482,784 |
Redemptions | — | — | (19,855) | (152,800) |
Net increase | — | — | 182,001 | 1,345,905 |
Class 2 | ||||
Subscriptions | 648,558 | 4,862,551 | 1,033,072 | 7,857,023 |
Distributions reinvested | — | — | 14,053 | 104,274 |
Redemptions | (1,526,017) | (11,359,035) | (1,001,448) | (7,640,865) |
Net increase (decrease) | (877,459) | (6,496,484) | 45,677 | 320,432 |
Total net increase (decrease) | (877,459) | (6,496,484) | 227,678 | 1,666,337 |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 17 |
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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 12/31/2018 | $7.75 | 0.05 | (0.64) | (0.59) | — | — | — |
Year Ended 12/31/2017 | $7.85 | (0.02) | (0.03) | (0.05) | (0.05) | — | (0.05) |
Year Ended 12/31/2016 | $9.11 | (0.07) | (0.69) | (0.76) | (0.50) | — | (0.50) |
Year Ended 12/31/2015 | $10.99 | (0.11) | 0.12 | 0.01 | (1.89) | — | (1.89) |
Year Ended 12/31/2014 | $10.83 | (0.11) | 1.09 | 0.98 | (0.16) | (0.66) | (0.82) |
Class 2 | |||||||
Year Ended 12/31/2018 | $7.74 | 0.03 | (0.63) | (0.60) | — | — | — |
Year Ended 12/31/2017 | $7.84 | (0.04) | (0.04) | (0.08) | (0.02) | — | (0.02) |
Year Ended 12/31/2016 | $9.09 | (0.09) | (0.69) | (0.78) | (0.47) | — | (0.47) |
Year Ended 12/31/2015 | $10.97 | (0.13) | 0.12 | (0.01) | (1.87) | — | (1.87) |
Year Ended 12/31/2014 | $10.82 | (0.13) | 1.08 | 0.95 | (0.14) | (0.66) | (0.80) |
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 which is less than 0.01%. |
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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 12/31/2018 | $7.16 | (7.61%) | 1.15%(c) | 1.15%(c) | 0.65% | 0% | $232,609 |
Year Ended 12/31/2017 | $7.75 | (0.66%) | 1.19% | 1.19% | (0.30%) | 0% | $251,487 |
Year Ended 12/31/2016 | $7.85 | (8.90%) | 1.21% | 1.21% | (0.82%) | 0% | $253,548 |
Year Ended 12/31/2015 | $9.11 | 0.19% | 1.20% | 1.20% | (1.09%) | 0% | $278,128 |
Year Ended 12/31/2014 | $10.99 | 10.34% | 1.19% | 1.13% | (1.06%) | 0% | $409,606 |
Class 2 | |||||||
Year Ended 12/31/2018 | $7.14 | (7.75%) | 1.40%(c) | 1.40%(c) | 0.38% | 0% | $25,416 |
Year Ended 12/31/2017 | $7.74 | (0.96%) | 1.44% | 1.44% | (0.55%) | 0% | $34,338 |
Year Ended 12/31/2016 | $7.84 | (9.09%) | 1.46% | 1.46% | (1.07%) | 0% | $34,441 |
Year Ended 12/31/2015 | $9.09 | (0.09%) | 1.46% | 1.46% | (1.34%) | 0% | $23,373 |
Year Ended 12/31/2014 | $10.97 | 10.00% | 1.44% | 1.39% | (1.32%) | 0% | $11,598 |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 19 |
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December 31, 2018
VPMF Offshore Fund, Ltd. | |
% of consolidated fund net assets | 23.32% |
Net assets | $60,170,546 |
Net investment income (loss) | 458,766 |
Net realized gain (loss) | (2,833,178) |
Net change in unrealized appreciation (depreciation) | (2,529,692) |
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December 31, 2018
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,437,803* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 11,038* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 2,568,969 |
Foreign exchange risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 662,058* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 965,836* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 410,401* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,421,465* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 276,927* |
Total | 7,754,497 |
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December 31, 2018
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 100,107* |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 8,212* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 2,606,055 |
Foreign exchange risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,430,935* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 13,305* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 5,173* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 239,532* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 2,348* |
Total | 4,405,667 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | (1,979,460) | (934,003) | (2,913,463) |
Equity risk | — | (1,982,940) | (1,864,316) | (3,847,256) |
Foreign exchange risk | (542,835) | (12,180,996) | — | (12,723,831) |
Interest rate risk | — | 1,197,378 | (2,416,037) | (1,218,659) |
Total | (542,835) | (14,946,018) | (5,214,356) | (20,703,209) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | (2,515,435) | (10,758) | (2,526,193) |
Equity risk | — | 575,087 | (123,701) | 451,386 |
Foreign exchange risk | 816,178 | (773,064) | — | 43,114 |
Interest rate risk | — | (584,602) | 797,398 | 212,796 |
Total | 816,178 | (3,298,014) | 662,939 | (1,818,897) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 457,039,176 |
Futures contracts — short | 945,560,059 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 2,032,854 | (2,739,268) |
Total return swap contracts | 1,014,087 | (312,887) |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 25 |
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December 31, 2018
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
Barclays ($) | Citi ($)(a) | Citi ($)(a) | JPMorgan ($) | Total ($) | |
Assets | |||||
Forward foreign currency exchange contracts | - | 1,026,646 | - | 1,542,323 | 2,568,969 |
OTC total return swap contracts on futures(b) | 410,401 | - | 276,927 | 11,038 | 698,366 |
Total assets | 410,401 | 1,026,646 | 276,927 | 1,553,361 | 3,267,335 |
Liabilities | |||||
Forward foreign currency exchange contracts | - | 1,042,532 | - | 1,563,523 | 2,606,055 |
OTC total return swap contracts on futures(b) | 5,173 | - | 2,348 | 8,212 | 15,733 |
Total liabilities | 5,173 | 1,042,532 | 2,348 | 1,571,735 | 2,621,788 |
Total financial and derivative net assets | 405,228 | (15,886) | 274,579 | (18,374) | 645,547 |
Total collateral received (pledged)(c) | 341,064 | (15,886) | - | (18,374) | 306,804 |
Net amount(d) | 64,164 | - | 274,579 | - | 338,743 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
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Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 1.56% |
Class 2 | 1.81 |
Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
28,048 | 17,736,768 | (17,764,816) |
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
— | — | — | 1,587,058 | — | 1,587,058 |
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December 31, 2018
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
— | — | (20,124,590) | (36,142,856) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
284,112,091 | 1,930,501 | (38,073,357) | (36,142,856) |
2019 ($) | No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) | Permanently lost ($) |
— | 12,890,599 | 7,233,991 | 20,124,590 | — | — | — |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 35 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2018 | 37 |
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• | 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 the Investment Manager, 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 the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2019 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; |
• | The terms and conditions of the Amended Subadvisory Agreement; |
• | The subadvisory fees payable by the Investment Manager under the Amended Subadvisory Agreement; |
• | Descriptions of various functions performed by the Subadviser under the Amended Subadvisory Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the reputation, regulatory history and resources of the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Subadviser with respect to compliance monitoring services, including an assessment of the Subadviser’s compliance system by the Fund’s Chief Compliance Officer; and |
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• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | -8.93 | 7.02 | 11.03 | |
Class 2 | 04/30/12 | -9.14 | 6.76 | 10.77 | |
Russell 1000 Index | -4.78 | 8.21 | 11.35 |
2 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2018 |
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Top 10 holdings (%) (at December 31, 2018) | |
Microsoft Corp. | 5.3 |
Apple, Inc. | 3.9 |
Amazon.com, Inc. | 3.3 |
Berkshire Hathaway, Inc., Class B | 3.2 |
Johnson & Johnson | 3.1 |
Pfizer, Inc. | 2.9 |
JPMorgan Chase & Co. | 2.9 |
MasterCard, Inc., Class A | 2.7 |
Alphabet, Inc., Class C | 2.7 |
Facebook, Inc., Class A | 2.6 |
Portfolio breakdown (%) (at December 31, 2018) | |
Common Stocks | 98.4 |
Money Market Funds | 1.6 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2018) | |
Communication Services | 13.1 |
Consumer Discretionary | 10.4 |
Consumer Staples | 5.9 |
Energy | 5.3 |
Financials | 15.8 |
Health Care | 17.0 |
Industrials | 5.8 |
Information Technology | 21.1 |
Materials | 2.4 |
Real Estate | 2.3 |
Utilities | 0.9 |
Total | 100.0 |
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(Unaudited)
July 1, 2018 — December 31, 2018 | |||||||
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 | 917.00 | 1,021.69 | 3.50 | 3.69 | 0.72 |
Class 2 | 1,000.00 | 1,000.00 | 916.20 | 1,020.43 | 4.71 | 4.97 | 0.97 |
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December 31, 2018
Common Stocks 98.9% | ||
Issuer | Shares | Value ($) |
Communication Services 13.0% | ||
Diversified Telecommunication Services 2.7% | ||
AT&T, Inc. | 837,776 | 23,910,127 |
Verizon Communications, Inc. | 234,208 | 13,167,174 |
Total | 37,077,301 | |
Entertainment 1.1% | ||
Activision Blizzard, Inc. | 132,519 | 6,171,410 |
Electronic Arts, Inc.(a) | 122,955 | 9,702,379 |
Total | 15,873,789 | |
Interactive Media & Services 6.9% | ||
Alphabet, Inc., Class A(a) | 22,171 | 23,167,808 |
Alphabet, Inc., Class C(a) | 35,444 | 36,706,161 |
Facebook, Inc., Class A(a) | 275,289 | 36,087,635 |
Total | 95,961,604 | |
Media 2.0% | ||
Comcast Corp., Class A | 838,712 | 28,558,143 |
Wireless Telecommunication Services 0.3% | ||
T-Mobile U.S.A., Inc.(a) | 55,531 | 3,532,327 |
Total Communication Services | 181,003,164 | |
Consumer Discretionary 10.2% | ||
Hotels, Restaurants & Leisure 1.9% | ||
McDonald’s Corp. | 95,715 | 16,996,113 |
Restaurant Brands International, Inc. | 197,857 | 10,347,921 |
Total | 27,344,034 | |
Internet & Direct Marketing Retail 4.5% | ||
Amazon.com, Inc.(a) | 30,262 | 45,452,616 |
eBay, Inc.(a) | 475,275 | 13,340,969 |
Expedia Group, Inc. | 36,775 | 4,142,704 |
Total | 62,936,289 | |
Multiline Retail 0.5% | ||
Dollar General Corp. | 61,558 | 6,653,189 |
Specialty Retail 1.7% | ||
Lowe’s Companies, Inc. | 257,552 | 23,787,503 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 1.6% | ||
PVH Corp. | 139,300 | 12,947,935 |
Tapestry, Inc. | 268,518 | 9,062,482 |
Total | 22,010,417 | |
Total Consumer Discretionary | 142,731,432 | |
Consumer Staples 5.8% | ||
Beverages 0.5% | ||
Constellation Brands, Inc., Class A | 43,960 | 7,069,647 |
Food & Staples Retailing 0.8% | ||
SYSCO Corp. | 175,454 | 10,993,947 |
Food Products 2.3% | ||
ConAgra Foods, Inc. | 454,438 | 9,706,796 |
Mondelez International, Inc., Class A | 574,276 | 22,988,268 |
Total | 32,695,064 | |
Tobacco 2.2% | ||
Philip Morris International, Inc. | 456,730 | 30,491,295 |
Total Consumer Staples | 81,249,953 | |
Energy 5.2% | ||
Energy Equipment & Services 0.4% | ||
Schlumberger Ltd. | 170,355 | 6,146,409 |
Oil, Gas & Consumable Fuels 4.8% | ||
Canadian Natural Resources Ltd. | 551,751 | 13,313,752 |
Chevron Corp. | 306,921 | 33,389,935 |
Cimarex Energy Co. | 58,420 | 3,601,593 |
EOG Resources, Inc. | 186,410 | 16,256,816 |
Total | 66,562,096 | |
Total Energy | 72,708,505 | |
Financials 15.7% | ||
Banks 7.5% | ||
Citigroup, Inc. | 547,659 | 28,511,128 |
JPMorgan Chase & Co. | 406,225 | 39,655,685 |
U.S. Bancorp | 121,542 | 5,554,469 |
Wells Fargo & Co. | 682,704 | 31,459,000 |
Total | 105,180,282 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2018 | 7 |
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December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 3.0% | ||
BlackRock, Inc. | 38,995 | 15,318,016 |
Charles Schwab Corp. (The) | 168,830 | 7,011,510 |
Morgan Stanley | 308,855 | 12,246,100 |
State Street Corp. | 110,070 | 6,942,115 |
Total | 41,517,741 | |
Diversified Financial Services 3.2% | ||
Berkshire Hathaway, Inc., Class B(a) | 217,078 | 44,322,986 |
Insurance 2.0% | ||
American International Group, Inc. | 327,467 | 12,905,475 |
Aon PLC | 98,678 | 14,343,834 |
Total | 27,249,309 | |
Total Financials | 218,270,318 | |
Health Care 16.9% | ||
Biotechnology 2.0% | ||
Alexion Pharmaceuticals, Inc.(a) | 111,328 | 10,838,894 |
Biogen, Inc.(a) | 53,780 | 16,183,478 |
Total | 27,022,372 | |
Health Care Equipment & Supplies 3.7% | ||
Abbott Laboratories | 154,117 | 11,147,283 |
Dentsply Sirona, Inc. | 187,560 | 6,979,108 |
Medtronic PLC | 372,188 | 33,854,220 |
Total | 51,980,611 | |
Health Care Providers & Services 3.6% | ||
Anthem, Inc. | 91,680 | 24,077,918 |
Cigna Corp. | 54,766 | 10,401,159 |
CVS Health Corp. | 239,370 | 15,683,522 |
Total | 50,162,599 | |
Life Sciences Tools & Services 0.4% | ||
Agilent Technologies, Inc. | 84,298 | 5,686,743 |
Pharmaceuticals 7.2% | ||
Allergan PLC | 126,249 | 16,874,441 |
Johnson & Johnson | 329,534 | 42,526,363 |
Pfizer, Inc. | 928,099 | 40,511,521 |
Total | 99,912,325 | |
Total Health Care | 234,764,650 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 5.8% | ||
Aerospace & Defense 1.3% | ||
Harris Corp. | 49,865 | 6,714,322 |
Northrop Grumman Corp. | 48,950 | 11,987,855 |
Total | 18,702,177 | |
Air Freight & Logistics 0.7% | ||
FedEx Corp. | 56,365 | 9,093,366 |
Airlines 0.6% | ||
Southwest Airlines Co. | 166,278 | 7,728,601 |
Electrical Equipment 0.5% | ||
Emerson Electric Co. | 113,468 | 6,779,713 |
Industrial Conglomerates 1.8% | ||
Honeywell International, Inc. | 189,922 | 25,092,495 |
Machinery 0.9% | ||
Caterpillar, Inc. | 102,200 | 12,986,554 |
Total Industrials | 80,382,906 | |
Information Technology 20.8% | ||
Communications Equipment 1.3% | ||
Cisco Systems, Inc. | 416,870 | 18,062,977 |
IT Services 5.7% | ||
Fidelity National Information Services, Inc. | 203,617 | 20,880,923 |
First Data Corp., Class A(a) | 633,416 | 10,711,065 |
MasterCard, Inc., Class A | 199,947 | 37,720,001 |
Total System Services, Inc. | 127,044 | 10,327,407 |
Total | 79,639,396 | |
Semiconductors & Semiconductor Equipment 3.5% | ||
Broadcom, Inc. | 93,802 | 23,851,973 |
Lam Research Corp. | 54,985 | 7,487,307 |
Microchip Technology, Inc. | 73,230 | 5,266,702 |
NVIDIA Corp. | 52,450 | 7,002,075 |
QUALCOMM, Inc. | 90,965 | 5,176,818 |
Total | 48,784,875 | |
Software 6.4% | ||
Adobe, Inc.(a) | 31,075 | 7,030,408 |
Microsoft Corp. | 718,675 | 72,995,820 |
Palo Alto Networks, Inc.(a) | 52,373 | 9,864,454 |
Total | 89,890,682 |
8 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2018 |
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December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Technology Hardware, Storage & Peripherals 3.9% | ||
Apple, Inc. | 342,668 | 54,052,451 |
Total Information Technology | 290,430,381 | |
Materials 2.3% | ||
Chemicals 2.3% | ||
Air Products & Chemicals, Inc. | 41,930 | 6,710,896 |
DowDuPont, Inc. | 267,622 | 14,312,425 |
Sherwin-Williams Co. (The) | 28,834 | 11,345,026 |
Total | 32,368,347 | |
Total Materials | 32,368,347 | |
Real Estate 2.3% | ||
Equity Real Estate Investment Trusts (REITS) 2.3% | ||
American Tower Corp. | 108,499 | 17,163,457 |
Equinix, Inc. | 19,725 | 6,954,246 |
Weyerhaeuser Co. | 343,105 | 7,500,275 |
Total | 31,617,978 | |
Total Real Estate | 31,617,978 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 0.9% | ||
Electric Utilities 0.9% | ||
American Electric Power Co., Inc. | 174,636 | 13,052,294 |
Total Utilities | 13,052,294 | |
Total Common Stocks (Cost $1,321,179,308) | 1,378,579,928 | |
Money Market Funds 1.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(b),(c) | 21,923,464 | 21,921,272 |
Total Money Market Funds (Cost $21,921,272) | 21,921,272 | |
Total Investments in Securities (Cost: $1,343,100,580) | 1,400,501,200 | |
Other Assets & Liabilities, Net | (6,823,046) | |
Net Assets | 1,393,678,154 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | ||||||||
65,286,942 | 568,195,176 | (611,558,654) | 21,923,464 | (3,297) | (2,378) | 540,134 | 21,921,272 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2018 | 9 |
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December 31, 2018
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Common Stocks | |||||
Communication Services | 181,003,164 | — | — | — | 181,003,164 |
Consumer Discretionary | 142,731,432 | — | — | — | 142,731,432 |
Consumer Staples | 81,249,953 | — | — | — | 81,249,953 |
Energy | 72,708,505 | — | — | — | 72,708,505 |
Financials | 218,270,318 | — | — | — | 218,270,318 |
Health Care | 234,764,650 | — | — | — | 234,764,650 |
Industrials | 80,382,906 | — | — | — | 80,382,906 |
Information Technology | 290,430,381 | — | — | — | 290,430,381 |
Materials | 32,368,347 | — | — | — | 32,368,347 |
Real Estate | 31,617,978 | — | — | — | 31,617,978 |
Utilities | 13,052,294 | — | — | — | 13,052,294 |
Total Common Stocks | 1,378,579,928 | — | — | — | 1,378,579,928 |
Money Market Funds | — | — | — | 21,921,272 | 21,921,272 |
Total Investments in Securities | 1,378,579,928 | — | — | 21,921,272 | 1,400,501,200 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,321,179,308) | $1,378,579,928 |
Affiliated issuers (cost $21,921,272) | 21,921,272 |
Receivable for: | |
Investments sold | 8,777,496 |
Dividends | 1,544,261 |
Foreign tax reclaims | 58,486 |
Prepaid expenses | 8,908 |
Trustees’ deferred compensation plan | 78,421 |
Total assets | 1,410,968,772 |
Liabilities | |
Payable for: | |
Investments purchased | 14,380,374 |
Capital shares purchased | 1,863,351 |
Management services fees | 888,384 |
Distribution and/or service fees | 20,231 |
Service fees | 4,441 |
Compensation of board members | 2,285 |
Compensation of chief compliance officer | 185 |
Other expenses | 52,946 |
Trustees’ deferred compensation plan | 78,421 |
Total liabilities | 17,290,618 |
Net assets applicable to outstanding capital stock | $1,393,678,154 |
Represented by | |
Trust capital | $1,393,678,154 |
Total - representing net assets applicable to outstanding capital stock | $1,393,678,154 |
Class 1 | |
Net assets | $1,301,754,951 |
Shares outstanding | 64,755,214 |
Net asset value per share | $20.10 |
Class 2 | |
Net assets | $91,923,203 |
Shares outstanding | 4,647,382 |
Net asset value per share | $19.78 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $36,890,118 |
Dividends — affiliated issuers | 540,134 |
Foreign taxes withheld | (140,943) |
Total income | 37,289,309 |
Expenses: | |
Management services fees | 14,387,769 |
Distribution and/or service fees | |
Class 2 | 270,177 |
Service fees | 62,685 |
Compensation of board members | 44,808 |
Custodian fees | 32,793 |
Printing and postage fees | 17,587 |
Audit fees | 34,250 |
Legal fees | 46,373 |
Compensation of chief compliance officer | 830 |
Other | 56,902 |
Total expenses | 14,954,174 |
Net investment income | 22,335,135 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 371,589,665 |
Investments — affiliated issuers | (3,297) |
Foreign currency translations | 7,984 |
Net realized gain | 371,594,352 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (503,062,003) |
Investments — affiliated issuers | (2,378) |
Foreign currency translations | (7,103) |
Net change in unrealized appreciation (depreciation) | (503,071,484) |
Net realized and unrealized loss | (131,477,132) |
Net decrease in net assets resulting from operations | $(109,141,997) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $22,335,135 | $24,616,442 |
Net realized gain | 371,594,352 | 171,919,700 |
Net change in unrealized appreciation (depreciation) | (503,071,484) | 276,181,600 |
Net increase (decrease) in net assets resulting from operations | (109,141,997) | 472,717,742 |
Decrease in net assets from capital stock activity | (991,818,558) | (277,512,699) |
Total increase (decrease) in net assets | (1,100,960,555) | 195,205,043 |
Net assets at beginning of year | 2,494,638,709 | 2,299,433,666 |
Net assets at end of year | $1,393,678,154 | $2,494,638,709 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 573,174 | 12,613,224 | 89,953 | 1,871,332 |
Redemptions | (43,845,452) | (994,617,858) | (14,373,078) | (288,696,218) |
Net decrease | (43,272,278) | (982,004,634) | (14,283,125) | (286,824,886) |
Class 2 | ||||
Subscriptions | 289,669 | 6,351,487 | 764,511 | 15,185,463 |
Redemptions | (735,853) | (16,165,411) | (290,680) | (5,873,276) |
Net increase (decrease) | (446,184) | (9,813,924) | 473,831 | 9,312,187 |
Total net decrease | (43,718,462) | (991,818,558) | (13,809,294) | (277,512,699) |
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Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2018 | $22.07 | 0.24 | (2.21) | (1.97) |
Year Ended 12/31/2017 | $18.12 | 0.21 | 3.74 | 3.95 |
Year Ended 12/31/2016 | $16.67 | 0.20 | 1.25 | 1.45 |
Year Ended 12/31/2015 | $16.19 | 0.54(c) | (0.06) | 0.48 |
Year Ended 12/31/2014 | $14.32 | 0.13 | 1.74 | 1.87 |
Class 2 | ||||
Year Ended 12/31/2018 | $21.77 | 0.19 | (2.18) | (1.99) |
Year Ended 12/31/2017 | $17.92 | 0.16 | 3.69 | 3.85 |
Year Ended 12/31/2016 | $16.53 | 0.16 | 1.23 | 1.39 |
Year Ended 12/31/2015 | $16.09 | 0.58(d) | (0.14) | 0.44 |
Year Ended 12/31/2014 | $14.26 | 0.08 | 1.75 | 1.83 |
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) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.40 per share. |
(d) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.47 per share. |
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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 12/31/2018 | $20.10 | (8.93%) | 0.71% | 0.71% | 1.09% | 63% | $1,301,755 |
Year Ended 12/31/2017 | $22.07 | 21.80% | 0.72% | 0.72% | 1.04% | 46% | $2,383,772 |
Year Ended 12/31/2016 | $18.12 | 8.70% | 0.76% | 0.76% | 1.18% | 53% | $2,216,643 |
Year Ended 12/31/2015 | $16.67 | 2.97% | 0.75% | 0.75% | 3.29% | 67% | $2,278,481 |
Year Ended 12/31/2014 | $16.19 | 13.06% | 0.76% | 0.76% | 0.83% | 59% | $2,446,355 |
Class 2 | |||||||
Year Ended 12/31/2018 | $19.78 | (9.14%) | 0.96% | 0.96% | 0.86% | 63% | $91,923 |
Year Ended 12/31/2017 | $21.77 | 21.49% | 0.97% | 0.97% | 0.78% | 46% | $110,867 |
Year Ended 12/31/2016 | $17.92 | 8.41% | 1.01% | 1.01% | 0.94% | 53% | $82,790 |
Year Ended 12/31/2015 | $16.53 | 2.73% | 1.01% | 1.01% | 3.52% | 67% | $55,892 |
Year Ended 12/31/2014 | $16.09 | 12.83% | 1.01% | 1.01% | 0.54% | 59% | $28,390 |
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May 1, 2018 through April 30, 2019 | Prior to May 1, 2018 | |
Class 1 | 0.72% | 0.76% |
Class 2 | 0.97 | 1.01 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 4/30/2013 | -5.11 | 2.82 | 1.74 | |
Class 2 | 4/30/2013 | -5.37 | 2.54 | 1.48 | |
Bloomberg Barclays U.S. Long Government/Credit Bond Index | -4.68 | 5.37 | 2.69 |
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Portfolio breakdown (%) (at December 31, 2018) | |
Asset-Backed Securities — Agency | 1.5 |
Corporate Bonds & Notes | 52.8 |
Foreign Government Obligations | 1.0 |
Money Market Funds | 2.9 |
Municipal Bonds | 0.0(a) |
U.S. Treasury Obligations | 41.8 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at December 31, 2018) | |
AAA rating | 46.3 |
AA rating | 3.0 |
A rating | 12.8 |
BBB rating | 37.9 |
Total | 100.0 |
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(Unaudited)
July 1, 2018 — December 31, 2018 | |||||||
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 | 1,001.10 | 1,022.76 | 2.59 | 2.61 | 0.51 |
Class 2 | 1,000.00 | 1,000.00 | 998.90 | 1,021.49 | 3.85 | 3.89 | 0.76 |
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December 31, 2018
Asset-Backed Securities — Agency 1.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2016-20L Class 1 | ||||
12/01/2036 | 2.810% | 5,361,514 | 5,237,143 | |
Series 2017-20E Class 1 | ||||
05/01/2037 | 2.880% | 485,680 | 476,306 | |
Series 2017-20F Class 1 | ||||
06/01/2037 | 2.810% | 3,962,291 | 3,868,020 | |
Series 2017-20G Class 1 | ||||
07/01/2037 | 2.980% | 3,453,990 | 3,410,515 | |
Series 2017-20H Class 1 | ||||
08/01/2037 | 2.750% | 2,987,528 | 2,905,023 | |
Series 2017-20I Class 1 | ||||
09/01/2037 | 2.590% | 5,377,365 | 5,178,017 | |
Total Asset-Backed Securities — Agency (Cost $21,628,368) | 21,075,024 | |||
Corporate Bonds & Notes 52.4% | ||||
Aerospace & Defense 0.9% | ||||
Lockheed Martin Corp. | ||||
09/15/2052 | 4.090% | 5,650,000 | 5,290,400 | |
Northrop Grumman Corp. | ||||
10/15/2047 | 4.030% | 7,615,000 | 6,919,545 | |
Total | 12,209,945 | |||
Automotive 0.4% | ||||
Ford Motor Co. | ||||
12/08/2046 | 5.291% | 6,580,000 | 5,401,640 | |
Banking 5.8% | ||||
Bank of America Corp.(a) | ||||
12/20/2028 | 3.419% | 3,660,000 | 3,408,492 | |
01/23/2049 | 3.946% | 6,060,000 | 5,394,176 | |
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 8,910,000 | 8,255,979 | |
Citigroup, Inc. | ||||
07/23/2048 | 4.650% | 8,210,000 | 8,027,648 | |
Goldman Sachs Group, Inc. (The)(a) | ||||
05/01/2029 | 4.223% | 3,293,000 | 3,172,638 | |
Goldman Sachs Group, Inc. (The) | ||||
07/08/2044 | 4.800% | 10,470,000 | 9,965,095 | |
JPMorgan Chase & Co.(a) | ||||
12/05/2029 | 4.452% | 8,445,000 | 8,581,370 | |
01/23/2049 | 3.897% | 10,265,000 | 9,014,908 | |
Morgan Stanley | ||||
01/22/2047 | 4.375% | 5,950,000 | 5,635,542 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo & Co. | ||||
10/23/2026 | 3.000% | 19,685,000 | 18,222,503 | |
Subordinated | ||||
11/04/2044 | 4.650% | 3,010,000 | 2,843,974 | |
Total | 82,522,325 | |||
Cable and Satellite 1.7% | ||||
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 6,245,000 | 5,616,022 | |
Comcast Corp. | ||||
08/15/2047 | 4.000% | 4,690,000 | 4,248,118 | |
10/15/2048 | 4.700% | 2,028,000 | 2,052,107 | |
11/01/2052 | 4.049% | 8,651,000 | 7,745,707 | |
Time Warner Cable LLC | ||||
09/15/2042 | 4.500% | 5,125,000 | 4,073,386 | |
Total | 23,735,340 | |||
Chemicals 0.8% | ||||
Dow Chemical Co. (The) | ||||
11/15/2042 | 4.375% | 4,500,000 | 3,957,912 | |
DowDuPont, Inc. | ||||
11/15/2038 | 5.319% | 3,228,000 | 3,328,665 | |
LYB International Finance BV | ||||
07/15/2043 | 5.250% | 5,040,000 | 4,843,914 | |
Total | 12,130,491 | |||
Diversified Manufacturing 0.6% | ||||
3M Co. | ||||
10/15/2047 | 3.625% | 1,920,000 | 1,779,550 | |
United Technologies Corp. | ||||
11/16/2048 | 4.625% | 6,360,000 | 6,145,083 | |
Total | 7,924,633 | |||
Electric 7.8% | ||||
Alabama Power Co. | ||||
02/15/2033 | 5.700% | 716,000 | 827,470 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 1,960,000 | 1,982,916 | |
02/15/2027 | 2.950% | 6,374,000 | 5,843,932 | |
03/31/2043 | 4.700% | 3,222,000 | 3,241,809 | |
03/01/2044 | 4.875% | 4,615,000 | 4,854,966 | |
Consolidated Edison Co. of New York, Inc. | ||||
06/15/2046 | 3.850% | 5,360,000 | 4,907,235 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 19,123,000 | 17,598,840 |
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December 31, 2018
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 18,165,000 | 15,789,999 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 8,080,000 | 7,767,821 | |
FirstEnergy Corp. | ||||
07/15/2047 | 4.850% | 1,250,000 | 1,245,443 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 12,129,000 | 10,956,126 | |
Mississippi Power Co. | ||||
03/30/2028 | 3.950% | 4,620,000 | 4,512,802 | |
Pacific Gas & Electric Co. | ||||
02/15/2044 | 4.750% | 1,610,000 | 1,328,392 | |
12/01/2047 | 3.950% | 8,195,000 | 6,201,255 | |
PPL Capital Funding, Inc. | ||||
05/15/2026 | 3.100% | 4,705,000 | 4,411,464 | |
Southern California Edison Co. | ||||
10/01/2043 | 4.650% | 2,090,000 | 2,080,144 | |
03/01/2048 | 4.125% | 2,200,000 | 2,077,537 | |
1st Refunding Mortgage | ||||
03/15/2043 | 3.900% | 1,252,000 | 1,136,571 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 10,250,000 | 9,445,641 | |
Xcel Energy, Inc. | ||||
09/15/2041 | 4.800% | 4,254,000 | 4,436,620 | |
Total | 110,646,983 | |||
Finance Companies 1.2% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 20,320,000 | 17,030,090 | |
Food and Beverage 4.0% | ||||
Anheuser-Busch Companies LLC/ InBev Worldwide, Inc.(b) | ||||
02/01/2046 | 4.900% | 20,591,000 | 19,052,502 | |
Bacardi Ltd.(b) | ||||
05/15/2038 | 5.150% | 9,321,000 | 8,581,649 | |
05/15/2048 | 5.300% | 915,000 | 818,067 | |
Conagra Brands, Inc. | ||||
11/01/2048 | 5.400% | 4,010,000 | 3,697,705 | |
Kellogg Co. | ||||
04/01/2046 | 4.500% | 2,100,000 | 1,912,504 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 12,866,000 | 10,645,380 | |
Molson Coors Brewing Co. | ||||
07/15/2046 | 4.200% | 6,312,000 | 5,245,240 | |
PepsiCo, Inc. | ||||
10/06/2046 | 3.450% | 3,900,000 | 3,490,360 | |
Sysco Corp. | ||||
04/01/2046 | 4.500% | 1,865,000 | 1,766,185 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tyson Foods, Inc. | ||||
06/02/2047 | 4.550% | 1,960,000 | 1,723,849 | |
Total | 56,933,441 | |||
Health Care 2.7% | ||||
Abbott Laboratories | ||||
11/30/2046 | 4.900% | 3,360,000 | 3,532,163 | |
Becton Dickinson and Co. | ||||
06/06/2027 | 3.700% | 5,290,000 | 5,010,260 | |
05/15/2044 | 4.875% | 4,119,000 | 4,060,889 | |
Cardinal Health, Inc. | ||||
06/15/2047 | 4.368% | 8,475,000 | 7,207,386 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 8,651,000 | 8,440,218 | |
McKesson Corp. | ||||
02/16/2028 | 3.950% | 2,110,000 | 2,029,075 | |
Medtronic, Inc. | ||||
03/15/2045 | 4.625% | 5,225,000 | 5,493,894 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 3,425,000 | 3,194,710 | |
Total | 38,968,595 | |||
Healthcare Insurance 1.6% | ||||
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 1,765,000 | 1,473,819 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 2,795,000 | 2,709,842 | |
Halfmoon Parent, Inc.(b) | ||||
12/15/2048 | 4.900% | 8,040,000 | 7,861,866 | |
UnitedHealth Group, Inc. | ||||
10/15/2047 | 3.750% | 11,185,000 | 10,272,841 | |
Total | 22,318,368 | |||
Independent Energy 1.1% | ||||
Apache Corp. | ||||
04/15/2043 | 4.750% | 2,448,000 | 2,113,454 | |
Canadian Natural Resources Ltd. | ||||
06/01/2047 | 4.950% | 3,840,000 | 3,694,821 | |
ConocoPhillips Co. | ||||
11/15/2044 | 4.300% | 2,890,000 | 2,850,335 | |
Hess Corp. | ||||
02/15/2041 | 5.600% | 3,895,000 | 3,428,223 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 3,650,000 | 3,250,569 | |
Total | 15,337,402 |
8 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Integrated Energy 0.6% | ||||
Cenovus Energy, Inc. | ||||
09/15/2042 | 4.450% | 72,000 | 55,266 | |
09/15/2043 | 5.200% | 3,565,000 | 3,030,482 | |
Shell International Finance BV | ||||
05/11/2045 | 4.375% | 4,880,000 | 5,000,985 | |
Total | 8,086,733 | |||
Life Insurance 3.0% | ||||
American International Group, Inc. | ||||
07/16/2044 | 4.500% | 2,570,000 | 2,284,494 | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 4,032,000 | 2,995,502 | |
Guardian Life Insurance Co. of America (The)(b) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 1,600,000 | 1,595,554 | |
01/24/2077 | 4.850% | 6,023,000 | 5,956,121 | |
Massachusetts Mutual Life Insurance Co.(b) | ||||
Subordinated | ||||
04/15/2065 | 4.500% | 5,318,000 | 4,985,949 | |
MetLife, Inc. | ||||
03/01/2045 | 4.050% | 6,200,000 | 5,726,295 | |
Prudential Financial, Inc. | ||||
05/15/2044 | 4.600% | 7,320,000 | 7,302,417 | |
Teachers Insurance & Annuity Association of America(b) | ||||
Subordinated | ||||
05/15/2047 | 4.270% | 6,596,000 | 6,292,030 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 6,020,000 | 5,757,937 | |
Total | 42,896,299 | |||
Media and Entertainment 0.8% | ||||
21st Century Fox America, Inc. | ||||
09/15/2044 | 4.750% | 5,500,000 | 5,837,023 | |
Discovery Communications LLC | ||||
09/20/2047 | 5.200% | 2,883,000 | 2,655,364 | |
Warner Media LLC | ||||
12/15/2043 | 5.350% | 2,790,000 | 2,676,729 | |
Total | 11,169,116 | |||
Midstream 3.5% | ||||
Enterprise Products Operating LLC | ||||
02/15/2045 | 5.100% | 1,269,000 | 1,262,820 | |
02/15/2048 | 4.250% | 7,495,000 | 6,705,717 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 1,925,000 | 1,767,121 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 11,960,000 | 11,119,870 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MPLX LP | ||||
04/15/2048 | 4.700% | 6,355,000 | 5,488,311 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 7,500,000 | 6,256,957 | |
Southern Natural Gas Co. LLC | ||||
03/01/2032 | 8.000% | 560,000 | 722,613 | |
Sunoco Logistics Partners Operations LP | ||||
10/01/2047 | 5.400% | 4,465,000 | 4,025,506 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 3,505,000 | 3,097,680 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 10,100,000 | 9,385,940 | |
Total | 49,832,535 | |||
Natural Gas 1.3% | ||||
NiSource, Inc. | ||||
02/15/2044 | 4.800% | 3,351,000 | 3,247,166 | |
05/15/2047 | 4.375% | 7,384,000 | 6,911,889 | |
Sempra Energy | ||||
11/15/2025 | 3.750% | 2,550,000 | 2,461,650 | |
06/15/2027 | 3.250% | 374,000 | 343,299 | |
02/01/2028 | 3.400% | 5,650,000 | 5,170,078 | |
Total | 18,134,082 | |||
Oil Field Services 0.1% | ||||
Halliburton Co. | ||||
11/15/2045 | 5.000% | 1,945,000 | 1,908,652 | |
Pharmaceuticals 2.8% | ||||
AbbVie, Inc. | ||||
11/14/2048 | 4.875% | 7,610,000 | 7,102,063 | |
Allergan Funding SCS | ||||
06/15/2044 | 4.850% | 3,290,000 | 3,101,473 | |
Amgen, Inc. | ||||
06/15/2051 | 4.663% | 7,930,000 | 7,509,964 | |
Celgene Corp. | ||||
02/20/2048 | 4.550% | 3,200,000 | 2,781,072 | |
Gilead Sciences, Inc. | ||||
03/01/2047 | 4.150% | 5,745,000 | 5,274,961 | |
Johnson & Johnson | ||||
12/05/2033 | 4.375% | 10,574,000 | 11,362,450 | |
Pfizer, Inc. | ||||
09/15/2048 | 4.200% | 3,265,000 | 3,316,555 | |
Total | 40,448,538 | |||
Property & Casualty 0.4% | ||||
Liberty Mutual Group, Inc.(b) | ||||
08/01/2044 | 4.850% | 3,880,000 | 3,765,788 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2018 | 9 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Travelers Companies, Inc. (The) | ||||
05/30/2047 | 4.000% | 2,405,000 | 2,316,407 | |
Total | 6,082,195 | |||
Railroads 1.2% | ||||
Canadian National Railway Co. | ||||
02/03/2048 | 3.650% | 1,510,000 | 1,398,618 | |
CSX Corp. | ||||
05/01/2050 | 3.950% | 1,140,000 | 1,007,078 | |
11/01/2066 | 4.250% | 6,128,000 | 5,284,334 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 2,000,000 | 1,793,960 | |
Union Pacific Corp. | ||||
10/01/2051 | 3.799% | 6,190,000 | 5,292,679 | |
09/10/2058 | 4.800% | 3,055,000 | 3,048,089 | |
Total | 17,824,758 | |||
Restaurants 0.5% | ||||
McDonald’s Corp. | ||||
09/01/2048 | 4.450% | 7,195,000 | 6,861,915 | |
Retailers 1.9% | ||||
CVS Pass-Through Trust(b) | ||||
01/10/2036 | 4.704% | 8,106,565 | 8,039,151 | |
Home Depot, Inc. (The) | ||||
06/15/2047 | 3.900% | 4,500,000 | 4,257,014 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 5,000,000 | 4,311,135 | |
Target Corp. | ||||
04/15/2046 | 3.625% | 4,000,000 | 3,512,472 | |
Walmart, Inc. | ||||
12/15/2047 | 3.625% | 2,630,000 | 2,434,204 | |
06/29/2048 | 4.050% | 4,215,000 | 4,187,712 | |
Total | 26,741,688 | |||
Supermarkets 0.4% | ||||
Kroger Co. (The) | ||||
04/15/2042 | 5.000% | 1,064,000 | 1,001,874 | |
02/01/2047 | 4.450% | 5,590,000 | 4,902,380 | |
Total | 5,904,254 | |||
Technology 2.7% | ||||
Apple, Inc. | ||||
02/09/2045 | 3.450% | 4,925,000 | 4,363,402 | |
09/12/2047 | 3.750% | 3,690,000 | 3,409,479 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 8,900,000 | 7,980,078 | |
Intel Corp. | ||||
05/11/2047 | 4.100% | 3,000,000 | 2,929,698 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
International Business Machines Corp. | ||||
02/19/2046 | 4.700% | 1,365,000 | 1,362,665 | |
Microsoft Corp. | ||||
08/08/2046 | 3.700% | 11,545,000 | 11,084,112 | |
Oracle Corp. | ||||
07/08/2034 | 4.300% | 3,110,000 | 3,122,278 | |
07/15/2046 | 4.000% | 2,500,000 | 2,331,893 | |
QUALCOMM, Inc. | ||||
05/20/2047 | 4.300% | 1,665,000 | 1,482,106 | |
Total | 38,065,711 | |||
Tobacco 0.2% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 3,390,000 | 2,712,776 | |
Transportation Services 1.2% | ||||
ERAC U.S.A. Finance LLC(b) | ||||
11/01/2046 | 4.200% | 2,821,000 | 2,478,920 | |
FedEx Corp. | ||||
11/15/2045 | 4.750% | 3,390,000 | 3,183,634 | |
04/01/2046 | 4.550% | 7,070,000 | 6,451,283 | |
United Parcel Service, Inc. | ||||
11/15/2047 | 3.750% | 5,960,000 | 5,377,595 | |
Total | 17,491,432 | |||
Wireless 0.2% | ||||
Vodafone Group PLC | ||||
05/30/2048 | 5.250% | 3,495,000 | 3,274,843 | |
Wirelines 3.0% | ||||
AT&T, Inc. | ||||
06/15/2045 | 4.350% | 9,315,000 | 7,906,181 | |
03/01/2047 | 5.450% | 12,140,000 | 11,837,556 | |
Orange SA | ||||
01/13/2042 | 5.375% | 3,200,000 | 3,357,561 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 3,970,000 | 3,524,709 | |
Verizon Communications, Inc. | ||||
03/15/2055 | 4.672% | 17,825,000 | 16,408,715 | |
Total | 43,034,722 | |||
Total Corporate Bonds & Notes (Cost $805,505,611) | 745,629,502 | |||
10 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Foreign Government Obligations(c) 1.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 1.0% | ||||
Petroleos Mexicanos | ||||
03/13/2027 | 6.500% | 1,189,000 | 1,120,401 | |
06/15/2035 | 6.625% | 11,300,000 | 9,872,516 | |
09/21/2047 | 6.750% | 3,400,000 | 2,817,369 | |
Total | 13,810,286 | |||
Total Foreign Government Obligations (Cost $16,367,670) | 13,810,286 | |||
Municipal Bonds 0.0% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Local General Obligation 0.0% | ||||
City of Chicago | ||||
Unlimited Tax General Obligation Bonds | ||||
Series 2015B | ||||
01/01/2033 | 7.375% | 275,000 | 302,376 | |
Total Municipal Bonds (Cost $273,294) | 302,376 | |||
U.S. Treasury Obligations 41.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
10/31/2019 | 1.500% | 1,413,000 | 1,399,868 | |
09/30/2022 | 1.875% | 10,539,000 | 10,311,028 | |
10/31/2022 | 2.000% | 17,764,000 | 17,450,767 | |
10/31/2024 | 2.250% | 2,376,000 | 2,336,822 | |
02/28/2025 | 2.750% | 17,500,000 | 17,680,019 | |
08/15/2027 | 2.250% | 8,800,000 | 8,517,001 | |
05/15/2028 | 2.875% | 5,000,000 | 5,076,871 | |
02/15/2031 | 5.375% | 4,000,000 | 5,083,312 | |
02/15/2036 | 4.500% | 30,000,000 | 36,979,394 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
05/15/2038 | 4.500% | 30,000,000 | 37,338,163 | |
02/15/2039 | 3.500% | 49,000,000 | 53,591,836 | |
11/15/2039 | 4.375% | 6,300,000 | 7,724,162 | |
08/15/2040 | 3.875% | 10,000,000 | 11,485,195 | |
02/15/2041 | 4.750% | 8,000,000 | 10,334,983 | |
05/15/2041 | 4.375% | 25,383,000 | 31,239,634 | |
05/15/2043 | 2.875% | 17,600,000 | 17,182,833 | |
08/15/2044 | 3.125% | 5,000,000 | 5,102,576 | |
11/15/2044 | 3.000% | 10,000,000 | 9,980,732 | |
11/15/2046 | 2.875% | 8,000,000 | 7,779,446 | |
11/15/2047 | 2.750% | 26,500,000 | 25,085,038 | |
02/15/2048 | 3.000% | 101,200,000 | 100,667,918 | |
U.S. Treasury(d) | ||||
05/15/2047 | 3.000% | 122,157,900 | 121,651,151 | |
U.S. Treasury(e) | ||||
STRIPS | ||||
11/15/2019 | 0.000% | 11,055,900 | 10,814,916 | |
02/15/2040 | 0.000% | 38,410,800 | 20,591,790 | |
11/15/2041 | 0.000% | 13,661,000 | 6,859,850 | |
05/15/2043 | 0.000% | 19,069,000 | 9,078,632 | |
Total U.S. Treasury Obligations (Cost $593,328,051) | 591,343,937 |
Money Market Funds 2.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(f),(g) | 40,485,237 | 40,481,189 |
Total Money Market Funds (Cost $40,481,189) | 40,481,189 | |
Total Investments in Securities (Cost: $1,477,584,183) | 1,412,642,314 | |
Other Assets & Liabilities, Net | 11,715,445 | |
Net Assets | 1,424,357,759 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 998 | 03/2019 | USD | 145,708,000 | 6,253,449 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (413) | 03/2019 | USD | (50,392,453) | — | (1,194,552) |
U.S. Treasury 2-Year Note | (18) | 03/2019 | USD | (3,821,625) | — | (26,474) |
U.S. Treasury 5-Year Note | (199) | 03/2019 | USD | (22,822,813) | — | (371,978) |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2018 | 11 |
Table of Contents
December 31, 2018
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury Ultra 10-Year Note | (6) | 03/2019 | USD | (780,469) | — | (25,278) |
U.S. Ultra Treasury Bond | (111) | 03/2019 | USD | (17,832,844) | — | (662,887) |
Total | — | (2,281,169) |
(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, 2018. |
(b) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2018, the total value of these securities amounted to $69,427,597, which represents 4.87% of total net assets. |
(c) | Principal and interest may not be guaranteed by the government. |
(d) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(e) | Zero coupon bond. |
(f) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
(g) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | ||||||||
86,229,757 | 500,140,440 | (545,884,960) | 40,485,237 | (1,181) | (899) | 2,245,885 | 40,481,189 |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
12 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Asset-Backed Securities — Agency | — | 21,075,024 | — | — | 21,075,024 |
Corporate Bonds & Notes | — | 745,629,502 | — | — | 745,629,502 |
Foreign Government Obligations | — | 13,810,286 | — | — | 13,810,286 |
Municipal Bonds | — | 302,376 | — | — | 302,376 |
U.S. Treasury Obligations | 543,998,749 | 47,345,188 | — | — | 591,343,937 |
Money Market Funds | — | — | — | 40,481,189 | 40,481,189 |
Total Investments in Securities | 543,998,749 | 828,162,376 | — | 40,481,189 | 1,412,642,314 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 6,253,449 | — | — | — | 6,253,449 |
Liability | |||||
Futures Contracts | (2,281,169) | — | — | — | (2,281,169) |
Total | 547,971,029 | 828,162,376 | — | 40,481,189 | 1,416,614,594 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2018 | 13 |
Table of Contents
December 31, 2018
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,437,102,994) | $1,372,161,125 |
Affiliated issuers (cost $40,481,189) | 40,481,189 |
Receivable for: | |
Capital shares sold | 7,995 |
Dividends | 87,001 |
Interest | 13,300,315 |
Foreign tax reclaims | 34,737 |
Variation margin for futures contracts | 449,531 |
Prepaid expenses | 5,173 |
Trustees’ deferred compensation plan | 56,846 |
Total assets | 1,426,583,912 |
Liabilities | |
Due to custodian | 474 |
Payable for: | |
Capital shares purchased | 1,227,123 |
Variation margin for futures contracts | 283,632 |
Management services fees | 591,625 |
Distribution and/or service fees | 2,670 |
Service fees | 674 |
Compensation of board members | 2,088 |
Compensation of chief compliance officer | 137 |
Other expenses | 60,884 |
Trustees’ deferred compensation plan | 56,846 |
Total liabilities | 2,226,153 |
Net assets applicable to outstanding capital stock | $1,424,357,759 |
Represented by | |
Paid in capital | 1,466,762,357 |
Total distributable earnings (loss) (Note 2) | (42,404,598) |
Total - representing net assets applicable to outstanding capital stock | $1,424,357,759 |
Class 1 | |
Net assets | $1,412,096,930 |
Shares outstanding | 149,648,125 |
Net asset value per share | $9.44 |
Class 2 | |
Net assets | $12,260,829 |
Shares outstanding | 1,302,697 |
Net asset value per share | $9.41 |
14 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2018 |
Table of Contents
Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,001 |
Dividends — affiliated issuers | 2,245,885 |
Interest | 49,054,667 |
Total income | 51,303,553 |
Expenses: | |
Management services fees | 6,938,844 |
Distribution and/or service fees | |
Class 2 | 36,607 |
Service fees | 8,817 |
Compensation of board members | 32,718 |
Custodian fees | 40,406 |
Printing and postage fees | 9,733 |
Audit fees | 46,479 |
Legal fees | 30,786 |
Compensation of chief compliance officer | 538 |
Other | 40,372 |
Total expenses | 7,185,300 |
Net investment income | 44,118,253 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (4,483,890) |
Investments — affiliated issuers | (1,181) |
Futures contracts | (9,329,418) |
Net realized loss | (13,814,489) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (106,225,767) |
Investments — affiliated issuers | (899) |
Futures contracts | 418,490 |
Net change in unrealized appreciation (depreciation) | (105,808,176) |
Net realized and unrealized loss | (119,622,665) |
Net decrease in net assets resulting from operations | $(75,504,412) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $44,118,253 | $46,861,842 |
Net realized gain (loss) | (13,814,489) | 31,778,997 |
Net change in unrealized appreciation (depreciation) | (105,808,176) | 72,245,736 |
Net increase (decrease) in net assets resulting from operations | (75,504,412) | 150,886,575 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (86,946,740) | |
Class 2 | (911,450) | |
Net investment income | ||
Class 1 | (46,978,869) | |
Class 2 | (505,726) | |
Net realized gains | ||
Class 1 | (5,388,305) | |
Class 2 | (62,522) | |
Total distributions to shareholders (Note 2) | (87,858,190) | (52,935,422) |
Increase (decrease) in net assets from capital stock activity | 137,538,034 | (129,653,525) |
Total decrease in net assets | (25,824,568) | (31,702,372) |
Net assets at beginning of year | 1,450,182,327 | 1,481,884,699 |
Net assets at end of year | $1,424,357,759 | $1,450,182,327 |
Undistributed net investment income | $43,554,080 | $46,295,646 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 14,654,575 | 141,863,268 | 4,498,373 | 46,342,290 |
Distributions reinvested | 9,230,015 | 86,946,740 | 5,139,075 | 52,367,174 |
Redemptions | (9,184,771) | (89,190,425) | (22,288,806) | (226,358,364) |
Net increase (decrease) | 14,699,819 | 139,619,583 | (12,651,358) | (127,648,900) |
Class 2 | ||||
Subscriptions | 243,046 | 2,395,904 | 281,306 | 2,889,649 |
Distributions reinvested | 96,859 | 911,450 | 55,820 | 568,248 |
Redemptions | (561,464) | (5,388,903) | (534,344) | (5,462,522) |
Net decrease | (221,559) | (2,081,549) | (197,218) | (2,004,625) |
Total net increase (decrease) | 14,478,260 | 137,538,034 | (12,848,576) | (129,653,525) |
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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 12/31/2018 | $10.63 | 0.31 | (0.85) | (0.54) | (0.35) | (0.30) | (0.65) |
Year Ended 12/31/2017 | $9.92 | 0.34 | 0.77 | 1.11 | (0.36) | (0.04) | (0.40) |
Year Ended 12/31/2016 | $9.81 | 0.30 | 0.01 | 0.31 | (0.20) | — | (0.20) |
Year Ended 12/31/2015 | $10.02 | 0.21 | (0.22) | (0.01) | (0.20) | — | (0.20) |
Year Ended 12/31/2014 | $9.60 | 0.20 | 0.34 | 0.54 | (0.12) | — | (0.12) |
Class 2 | |||||||
Year Ended 12/31/2018 | $10.60 | 0.28 | (0.85) | (0.57) | (0.32) | (0.30) | (0.62) |
Year Ended 12/31/2017 | $9.90 | 0.31 | 0.76 | 1.07 | (0.33) | (0.04) | (0.37) |
Year Ended 12/31/2016 | $9.79 | 0.28 | 0.00(c) | 0.28 | (0.17) | — | (0.17) |
Year Ended 12/31/2015 | $9.99 | 0.18 | (0.20) | (0.02) | (0.18) | — | (0.18) |
Year Ended 12/31/2014 | $9.59 | 0.18 | 0.32 | 0.50 | (0.10) | — | (0.10) |
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. |
18 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2018 |
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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 12/31/2018 | $9.44 | (5.11%) | 0.51% | 0.51% | 3.13% | 80% | $1,412,097 |
Year Ended 12/31/2017 | $10.63 | 11.35% | 0.54% | 0.54% | 3.32% | 161% | $1,434,026 |
Year Ended 12/31/2016 | $9.92 | 3.02% | 0.57% | 0.56% | 2.96% | 394% | $1,464,843 |
Year Ended 12/31/2015 | $9.81 | (0.07%) | 0.57% | 0.56% | 2.09% | 414% | $1,483,185 |
Year Ended 12/31/2014 | $10.02 | 5.62% | 0.56% | 0.56% | 2.02% | 346% | $1,550,651 |
Class 2 | |||||||
Year Ended 12/31/2018 | $9.41 | (5.37%) | 0.76% | 0.76% | 2.87% | 80% | $12,261 |
Year Ended 12/31/2017 | $10.60 | 10.99% | 0.79% | 0.79% | 3.07% | 161% | $16,156 |
Year Ended 12/31/2016 | $9.90 | 2.78% | 0.82% | 0.81% | 2.73% | 394% | $17,042 |
Year Ended 12/31/2015 | $9.79 | (0.22%) | 0.82% | 0.81% | 1.86% | 414% | $12,641 |
Year Ended 12/31/2014 | $9.99 | 5.25% | 0.82% | 0.81% | 1.82% | 346% | $7,359 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 6,253,449* |
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December 31, 2018
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,281,169* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (9,329,418) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 418,490 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 217,835,698 |
Futures contracts — short | 133,733,330 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
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Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.59% |
Class 2 | 0.84 |
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December 31, 2018
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(249,987) | 249,987 | — |
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
61,447,742 | 26,410,449 | 87,858,191 | 52,935,422 | — | 52,935,422 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
43,614,989 | — | (15,071,554) | (70,887,123) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,487,501,717 | 5,635,672 | (76,522,795) | (70,887,123) |
2019 ($) | No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) | Permanently lost ($) |
— | 7,202,272 | 7,869,282 | 15,071,554 | — | — | — |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | -15.98 | 0.93 | 1.87 | |
Class 2 | 04/30/13 | -16.21 | 0.67 | 1.61 | |
MSCI EAFE Index (Net) | -13.79 | 0.53 | 2.34 |
2 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 |
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Top 10 holdings (%) (at December 31, 2018) | |
Roche Holding AG, Genusschein Shares (Switzerland) | 3.4 |
Novartis AG, Registered Shares (Switzerland) | 3.3 |
Allianz SE, Registered Shares (Germany) | 2.6 |
Total SA (France) | 2.4 |
Unilever NV-CVA (Netherlands) | 2.3 |
CSL Ltd. (Australia) | 2.0 |
Royal Dutch Shell PLC, Class A (United Kingdom) | 2.0 |
Imperial Brands PLC (United Kingdom) | 1.9 |
Enel SpA (Italy) | 1.8 |
Lloyds Banking Group PLC (United Kingdom) | 1.8 |
Equity sector breakdown (%) (at December 31, 2018) | |
Communication Services | 5.5 |
Consumer Discretionary | 9.2 |
Consumer Staples | 11.2 |
Energy | 7.0 |
Financials | 20.4 |
Health Care | 12.7 |
Industrials | 13.4 |
Information Technology | 5.1 |
Materials | 7.0 |
Real Estate | 3.8 |
Utilities | 4.7 |
Total | 100.0 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 | 3 |
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Country breakdown (%) (at December 31, 2018) | |
Australia | 6.7 |
Austria | 0.2 |
Belgium | 0.7 |
Denmark | 0.9 |
Finland | 0.4 |
France | 11.4 |
Germany | 7.0 |
Hong Kong | 3.4 |
Ireland | 0.3 |
Israel | 0.3 |
Italy | 4.2 |
Japan | 24.2 |
Jersey | 0.7 |
Macau | 0.2 |
Country breakdown (%) (at December 31, 2018) | |
Netherlands | 5.6 |
New Zealand | 0.2 |
Norway | 2.6 |
Singapore | 1.3 |
Spain | 3.1 |
Sweden | 1.0 |
Switzerland | 8.6 |
United Kingdom | 15.6 |
United States(a) | 1.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 |
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6 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 |
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(Unaudited)
July 1, 2018 — December 31, 2018 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 874.40 | 1,021.34 | 3.75 | 4.05 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 872.90 | 1,020.07 | 4.94 | 5.32 | 1.04 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 | 7 |
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December 31, 2018
Common Stocks 98.0% | ||
Issuer | Shares | Value ($) |
Australia 6.7% | ||
Alumina Ltd. | 1,463,712 | 2,370,931 |
Aristocrat Leisure Ltd. | 1,149,271 | 17,691,645 |
BlueScope Steel Ltd. | 936,007 | 7,220,468 |
CIMIC Group Ltd. | 613,990 | 18,775,779 |
Coca-Cola Amatil Ltd. | 815,176 | 4,701,593 |
Cochlear Ltd. | 67,411 | 8,259,780 |
Coles Group Ltd.(a) | 1,931,603 | 15,972,555 |
CSL Ltd. | 423,687 | 55,341,110 |
Inghams Group Ltd. | 2,396,519 | 6,972,683 |
Link Administration Holdings Ltd. | 1,319,983 | 6,299,222 |
Qantas Airways Ltd. | 3,567,933 | 14,555,473 |
Regis Resources Ltd. | 1,318,187 | 4,489,260 |
Sandfire Resources NL | 800,025 | 3,767,105 |
Saracen Mineral Holdings Ltd.(a) | 6,368,547 | 13,166,666 |
St. Barbara Ltd. | 1,279,041 | 4,236,625 |
Wesfarmers Ltd. | 194,896 | 4,427,777 |
Total | 188,248,672 | |
Austria 0.2% | ||
Raiffeisen Bank International AG | 111,223 | 2,838,070 |
voestalpine AG | 99,721 | 2,974,117 |
Total | 5,812,187 | |
Belgium 0.7% | ||
Proximus SADP | 213,821 | 5,785,740 |
UCB SA | 161,966 | 13,228,831 |
Total | 19,014,571 | |
Denmark 0.9% | ||
H Lundbeck A/S | 65,549 | 2,885,000 |
Novo Nordisk A/S, Class B | 502,639 | 23,084,743 |
Total | 25,969,743 | |
Finland 0.4% | ||
Fortum OYJ | 223,005 | 4,881,437 |
Neste OYJ | 94,726 | 7,333,932 |
Total | 12,215,369 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
France 11.3% | ||
Air France-KLM(a) | 278,334 | 3,022,634 |
AXA SA | 1,032,276 | 22,278,482 |
BNP Paribas SA | 230,717 | 10,419,351 |
Credit Agricole SA | 367,658 | 3,956,893 |
Eiffage SA | 78,839 | 6,591,510 |
Electricite de France SA | 2,090,797 | 33,090,756 |
Engie SA | 968,555 | 13,916,133 |
Faurecia SA | 267,785 | 10,103,878 |
Hermes International | 30,824 | 17,124,600 |
Ipsen SA | 148,893 | 19,264,784 |
Kering SA | 18,036 | 8,449,296 |
L’Oreal SA | 104,607 | 23,936,628 |
Orange SA | 949,535 | 15,387,948 |
Peugeot SA | 1,441,407 | 30,742,052 |
Safran SA | 44,935 | 5,389,278 |
Schneider Electric SE | 52,372 | 3,552,458 |
Total SA | 1,259,700 | 66,443,015 |
Unibail-Rodamco-Westfield | 156,498 | 24,217,207 |
Total | 317,886,903 | |
Germany 6.8% | ||
Allianz SE, Registered Shares | 360,816 | 72,507,872 |
Continental AG | 148,616 | 20,692,684 |
Covestro AG | 362,189 | 17,937,223 |
Deutsche Lufthansa AG, Registered Shares | 605,983 | 13,685,247 |
Hugo Boss AG | 179,866 | 11,087,712 |
MTU Aero Engines AG | 139,883 | 25,402,981 |
SAP SE | 210,496 | 20,891,658 |
Siltronic AG | 94,091 | 7,828,612 |
Total | 190,033,989 | |
Hong Kong 3.4% | ||
CK Asset Holdings Ltd. | 2,245,500 | 16,429,380 |
CK Hutchison Holdings Ltd. | 555,500 | 5,331,806 |
Hang Seng Bank Ltd. | 289,100 | 6,476,201 |
Jardine Matheson Holdings Ltd. | 227,600 | 15,847,503 |
Kerry Properties Ltd. | 1,685,000 | 5,751,050 |
Lifestyle International Holdings Ltd. | 3,645,000 | 5,525,665 |
8 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 |
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December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Link REIT (The) | 1,158,500 | 11,744,554 |
Sands China Ltd. | 3,398,400 | 14,820,466 |
Swire Pacific Ltd., Class A | 585,000 | 6,176,428 |
Xinyi Glass Holdings Ltd. | 5,036,000 | 5,563,021 |
Total | 93,666,074 | |
Ireland 0.3% | ||
ICON PLC(a) | 54,553 | 7,048,793 |
Israel 0.3% | ||
Attunity Ltd.(a) | 136,419 | 2,684,726 |
Israel Discount Bank Ltd. | 2,069,055 | 6,396,629 |
Total | 9,081,355 | |
Italy 4.1% | ||
Enel SpA | 8,691,859 | 50,388,833 |
ENI SpA | 892,580 | 14,100,268 |
Fiat Chrysler Automobiles NV(a) | 534,358 | 7,704,570 |
Intesa Sanpaolo SpA | 12,053,107 | 26,837,718 |
Poste Italiane SpA | 596,832 | 4,785,819 |
UniCredit SpA | 1,074,553 | 12,171,356 |
Total | 115,988,564 | |
Japan 24.1% | ||
Advantest Corp. | 665,200 | 13,610,417 |
AGC, Inc. | 307,100 | 9,545,580 |
Canon, Inc. | 412,500 | 11,350,225 |
Capcom Co., Ltd. | 529,700 | 10,502,637 |
Daicel Corp. | 1,547,100 | 15,881,961 |
Dai-ichi Life Holdings, Inc. | 205,300 | 3,188,235 |
Daiwa House Industry Co., Ltd. | 1,216,900 | 38,817,189 |
DMG Mori Co., Ltd. | 1,443,300 | 16,210,646 |
East Japan Railway Co. | 396,100 | 34,979,648 |
FUJIFILM Holdings Corp. | 379,700 | 14,718,887 |
Fukuoka Financial Group, Inc. | 301,400 | 6,110,440 |
Hitachi Capital Corp. | 143,500 | 3,017,183 |
Hitachi Ltd. | 383,000 | 10,153,427 |
Honda Motor Co., Ltd. | 651,300 | 17,158,543 |
Japan Post Holdings Co., Ltd. | 4,178,100 | 48,240,467 |
JFE Holdings, Inc. | 963,600 | 15,348,543 |
JSR Corp. | 351,200 | 5,271,700 |
KDDI Corp. | 214,600 | 5,127,850 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Kose Corp. | 33,900 | 5,324,940 |
Maeda Corp. | 233,700 | 2,182,306 |
Mitsubishi Heavy Industries Ltd. | 78,600 | 2,820,353 |
Mitsubishi UFJ Financial Group, Inc. | 4,345,600 | 21,326,707 |
MS&AD Insurance Group Holdings, Inc. | 873,400 | 24,826,648 |
Nitto Denko Corp. | 202,300 | 10,146,241 |
Nomura Holdings, Inc. | 1,884,000 | 7,139,621 |
NTT DoCoMo, Inc. | 2,157,000 | 48,466,121 |
ORIX Corp. | 2,229,300 | 32,574,361 |
Raysum Co., Ltd. | 201,200 | 1,782,522 |
Seven & I Holdings Co., Ltd. | 466,300 | 20,263,117 |
Shin-Etsu Chemical Co., Ltd. | 303,900 | 23,349,498 |
Shionogi & Co., Ltd. | 278,900 | 15,918,352 |
Showa Denko KK | 196,500 | 5,834,972 |
Sompo Holdings, Inc. | 525,400 | 17,847,893 |
Sumitomo Heavy Industries Ltd. | 217,500 | 6,449,134 |
Sumitomo Mitsui Construction Co., Ltd.(a) | 932,300 | 5,663,904 |
Sumitomo Mitsui Financial Group, Inc. | 729,400 | 24,044,720 |
Sumitomo Mitsui Trust Holdings, Inc. | 427,900 | 15,582,819 |
Suzuken Co., Ltd. | 379,600 | 19,330,231 |
Taisei Corp. | 390,300 | 16,715,928 |
Tokai Carbon Co., Ltd. | 185,200 | 2,101,205 |
Tokyo Electron Ltd. | 179,100 | 20,162,059 |
Tokyo Gas Co., Ltd. | 482,200 | 12,195,879 |
Tosoh Corp. | 569,700 | 7,389,637 |
Toyo Seikan Group Holdings Ltd. | 346,400 | 7,928,467 |
Toyota Motor Corp. | 186,700 | 10,807,427 |
UT Group Co., Ltd.(a) | 203,100 | 3,486,648 |
V Technology Co., Ltd. | 15,600 | 1,760,431 |
West Japan Railway Co. | 57,800 | 4,083,639 |
Total | 676,739,358 | |
Jersey 0.7% | ||
Ferguson PLC | 288,593 | 18,440,580 |
Macau 0.2% | ||
Wynn Macau Ltd. | 2,351,600 | 5,119,116 |
Netherlands 5.6% | ||
Aegon NV | 1,692,503 | 7,927,081 |
Euronext NV(b) | 144,415 | 8,320,832 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 | 9 |
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December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
ING Groep NV | 2,778,597 | 29,888,248 |
Koninklijke Ahold Delhaize NV | 796,966 | 20,133,110 |
Unilever NV-CVA | 1,146,289 | 62,097,070 |
Wolters Kluwer NV | 484,223 | 28,475,790 |
Total | 156,842,131 | |
New Zealand 0.2% | ||
a2 Milk Co., Ltd.(a) | 837,965 | 6,295,273 |
Norway 2.6% | ||
Aker BP ASA | 251,732 | 6,346,924 |
DNO ASA | 1,756,409 | 2,551,996 |
Equinor ASA | 2,026,910 | 42,995,097 |
SalMar ASA | 108,251 | 5,369,119 |
Telenor ASA | 799,513 | 15,526,784 |
Total | 72,789,920 | |
Singapore 1.3% | ||
China Sunsine Chemical Holdings Ltd. | 4,191,600 | 3,884,052 |
Yangzijiang Shipbuilding Holdings Ltd. | 35,486,500 | 32,606,494 |
Total | 36,490,546 | |
Spain 3.1% | ||
Amadeus IT Group SA, Class A | 406,513 | 28,284,185 |
Banco Bilbao Vizcaya Argentaria SA | 3,534,207 | 18,773,061 |
Industria de Diseno Textil SA | 693,122 | 17,691,721 |
International Consolidated Airlines Group SA | 2,781,971 | 22,054,771 |
Total | 86,803,738 | |
Sweden 1.0% | ||
Atlas Copco AB, Class A | 157,870 | 3,766,469 |
Mycronic AB | 280,764 | 3,751,410 |
Sandvik AB | 241,838 | 3,465,121 |
Volvo AB, B Shares | 1,333,373 | 17,459,266 |
Total | 28,442,266 | |
Switzerland 8.6% | ||
Georg Fischer AG, Registered Shares | 8,077 | 6,480,016 |
Nestlé SA, Registered Shares | 389,980 | 31,651,864 |
Novartis AG, Registered Shares | 1,050,876 | 90,001,505 |
Partners Group Holding AG | 20,273 | 12,333,011 |
Roche Holding AG, Genusschein Shares | 382,227 | 94,891,240 |
Swatch Group AG (The), Registered Shares | 110,766 | 6,406,909 |
Total | 241,764,545 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
United Kingdom 15.5% | ||
Anglo American PLC | 732,852 | 16,387,063 |
Ashtead Group PLC | 495,180 | 10,329,150 |
Associated British Foods PLC | 775,263 | 20,206,101 |
Auto Trader Group PLC | 1,784,033 | 10,353,445 |
Burberry Group PLC | 480,289 | 10,546,673 |
Cineworld Group PLC | 6,122,125 | 20,555,564 |
Evraz PLC | 1,901,111 | 11,641,414 |
Galiform PLC | 2,104,563 | 11,677,183 |
Games Workshop Group PLC | 174,721 | 6,761,716 |
Hargreaves Lansdown PLC | 1,056,831 | 24,925,344 |
HSBC Holdings PLC | 946,894 | 7,811,626 |
Imperial Brands PLC | 1,755,614 | 53,285,926 |
KAZ Minerals PLC | 458,006 | 3,115,980 |
Lloyds Banking Group PLC | 74,243,391 | 48,939,828 |
Mondi PLC | 470,789 | 9,805,475 |
National Grid PLC | 1,474,204 | 14,422,614 |
Pearson PLC | 580,331 | 6,952,304 |
Persimmon PLC | 147,669 | 3,636,467 |
Royal Bank of Scotland Group PLC | 10,966,950 | 30,422,942 |
Royal Dutch Shell PLC, Class A | 1,853,176 | 54,622,113 |
SSP Group PLC | 287,159 | 2,370,460 |
Tate & Lyle PLC | 2,481,296 | 20,879,412 |
Taylor Wimpey PLC | 5,361,334 | 9,322,602 |
Vodafone Group PLC | 6,101,673 | 11,863,421 |
WH Smith PLC | 146,086 | 3,204,626 |
Wm Morrison Supermarkets PLC | 4,301,206 | 11,693,024 |
Total | 435,732,473 | |
Total Common Stocks (Cost $2,916,232,120) | 2,750,426,166 |
Preferred Stocks 0.3% | |||
Issuer | Shares | Value ($) | |
Germany 0.3% | |||
Schaeffler AG | 825,485 | 7,031,913 | |
Total Preferred Stocks (Cost $12,424,607) | 7,031,913 |
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December 31, 2018
Money Market Funds 1.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(c),(d) | 39,708,331 | 39,704,360 |
Total Money Market Funds (Cost $39,704,360) | 39,704,360 | |
Total Investments in Securities (Cost $2,968,361,087) | 2,797,162,439 | |
Other Assets & Liabilities, Net | 7,973,835 | |
Net Assets | $2,805,136,274 |
(a) | Non-income producing investment. |
(b) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2018, the total value of these securities amounted to $8,320,832, which represents 0.30% of total net assets. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | ||||||||
16,969,451 | 986,577,417 | (963,838,537) | 39,708,331 | 5,914 | (1,697) | 571,914 | 39,704,360 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 | 11 |
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December 31, 2018
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Common Stocks | |||||
Australia | — | 188,248,672 | — | — | 188,248,672 |
Austria | — | 5,812,187 | — | — | 5,812,187 |
Belgium | — | 19,014,571 | — | — | 19,014,571 |
Denmark | — | 25,969,743 | — | — | 25,969,743 |
Finland | — | 12,215,369 | — | — | 12,215,369 |
France | — | 317,886,903 | — | — | 317,886,903 |
Germany | — | 190,033,989 | — | — | 190,033,989 |
Hong Kong | — | 93,666,074 | — | — | 93,666,074 |
Ireland | 7,048,793 | — | — | — | 7,048,793 |
Israel | 2,684,726 | 6,396,629 | — | — | 9,081,355 |
Italy | — | 115,988,564 | — | — | 115,988,564 |
Japan | — | 676,739,358 | — | — | 676,739,358 |
Jersey | — | 18,440,580 | — | — | 18,440,580 |
Macau | — | 5,119,116 | — | — | 5,119,116 |
Netherlands | — | 156,842,131 | — | — | 156,842,131 |
New Zealand | — | 6,295,273 | — | — | 6,295,273 |
Norway | — | 72,789,920 | — | — | 72,789,920 |
Singapore | — | 36,490,546 | — | — | 36,490,546 |
Spain | — | 86,803,738 | — | — | 86,803,738 |
Sweden | — | 28,442,266 | — | — | 28,442,266 |
12 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 |
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December 31, 2018
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Switzerland | — | 241,764,545 | — | — | 241,764,545 |
United Kingdom | — | 435,732,473 | — | — | 435,732,473 |
Total Common Stocks | 9,733,519 | 2,740,692,647 | — | — | 2,750,426,166 |
Preferred Stocks | |||||
Germany | — | 7,031,913 | — | — | 7,031,913 |
Total Preferred Stocks | — | 7,031,913 | — | — | 7,031,913 |
Money Market Funds | — | — | — | 39,704,360 | 39,704,360 |
Total Investments in Securities | 9,733,519 | 2,747,724,560 | — | 39,704,360 | 2,797,162,439 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 | 13 |
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December 31, 2018
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,928,656,727) | $2,757,458,079 |
Affiliated issuers (cost $39,704,360) | 39,704,360 |
Receivable for: | |
Investments sold | 107,377 |
Capital shares sold | 27,406 |
Dividends | 2,764,636 |
Foreign tax reclaims | 7,873,472 |
Prepaid expenses | 11,119 |
Trustees’ deferred compensation plan | 60,383 |
Total assets | 2,808,006,832 |
Liabilities | |
Foreign currency (cost $9,837) | 9,869 |
Payable for: | |
Investments purchased | 1,667 |
Capital shares purchased | 932,392 |
Management services fees | 1,738,221 |
Distribution and/or service fees | 4,080 |
Service fees | 938 |
Compensation of board members | 3,247 |
Compensation of chief compliance officer | 275 |
Other expenses | 119,486 |
Trustees’ deferred compensation plan | 60,383 |
Total liabilities | 2,870,558 |
Net assets applicable to outstanding capital stock | $2,805,136,274 |
Represented by | |
Paid in capital | 2,949,848,753 |
Total distributable earnings (loss) (Note 2) | (144,712,479) |
Total - representing net assets applicable to outstanding capital stock | $2,805,136,274 |
Class 1 | |
Net assets | $2,785,951,350 |
Shares outstanding | 284,381,283 |
Net asset value per share | $9.80 |
Class 2 | |
Net assets | $19,184,924 |
Shares outstanding | 1,958,727 |
Net asset value per share | $9.79 |
14 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $99,515,846 |
Dividends — affiliated issuers | 571,914 |
Foreign taxes withheld | (10,368,872) |
Total income | 89,718,888 |
Expenses: | |
Management services fees | 22,508,753 |
Distribution and/or service fees | |
Class 2 | 50,188 |
Service fees | 12,165 |
Compensation of board members | 55,166 |
Custodian fees | 318,379 |
Printing and postage fees | 10,962 |
Audit fees | 35,454 |
Legal fees | 64,228 |
Compensation of chief compliance officer | 1,149 |
Other | 72,817 |
Total expenses | 23,129,261 |
Net investment income | 66,589,627 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 15,942,267 |
Investments — affiliated issuers | 5,914 |
Foreign currency translations | (1,527,627) |
Net realized gain | 14,420,554 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (555,324,406) |
Investments — affiliated issuers | (1,697) |
Foreign currency translations | (208,533) |
Net change in unrealized appreciation (depreciation) | (555,534,636) |
Net realized and unrealized loss | (541,114,082) |
Net decrease in net assets resulting from operations | $(474,524,455) |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 | 15 |
Table of Contents
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $66,589,627 | $45,541,957 |
Net realized gain | 14,420,554 | 80,894,760 |
Net change in unrealized appreciation (depreciation) | (555,534,636) | 354,688,005 |
Net increase (decrease) in net assets resulting from operations | (474,524,455) | 481,124,722 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (73,892,446) | |
Class 2 | (465,865) | |
Net investment income | ||
Class 1 | (35,048,163) | |
Class 2 | (133,634) | |
Total distributions to shareholders (Note 2) | (74,358,311) | (35,181,797) |
Increase in net assets from capital stock activity | 326,765,951 | 1,247,592,775 |
Total increase (decrease) in net assets | (222,116,815) | 1,693,535,700 |
Net assets at beginning of year | 3,027,253,089 | 1,333,717,389 |
Net assets at end of year | $2,805,136,274 | $3,027,253,089 |
Undistributed net investment income | $12,017,930 | $12,706,003 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 39,461,471 | 396,635,395 | 123,061,238 | 1,321,876,155 |
Distributions reinvested | 6,516,926 | 73,892,446 | 3,137,454 | 35,048,163 |
Redemptions | (13,062,172) | (148,965,605) | (10,487,162) | (119,437,582) |
Net increase | 32,916,225 | 321,562,236 | 115,711,530 | 1,237,486,736 |
Class 2 | ||||
Subscriptions | 560,114 | 6,404,927 | 958,976 | 10,604,372 |
Distributions reinvested | 41,155 | 465,865 | 11,934 | 133,634 |
Redemptions | (145,945) | (1,667,077) | (56,823) | (631,967) |
Net increase | 455,324 | 5,203,715 | 914,087 | 10,106,039 |
Total net increase | 33,371,549 | 326,765,951 | 116,625,617 | 1,247,592,775 |
16 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 |
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CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 | 17 |
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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 12/31/2018 | $11.97 | 0.26 | (2.14) | (1.88) | (0.25) | (0.04) | (0.29) |
Year Ended 12/31/2017 | $9.78 | 0.21 | 2.13 | 2.34 | (0.15) | — | (0.15) |
Year Ended 12/31/2016 | $9.60 | 0.20 | 0.18 | 0.38 | (0.20) | — | (0.20) |
Year Ended 12/31/2015 | $10.24 | 0.24 | (0.58) | (0.34) | (0.30) | — | (0.30) |
Year Ended 12/31/2014 | $10.52 | 0.26 | (0.26) | 0.00(c) | (0.27) | (0.01) | (0.28) |
Class 2 | |||||||
Year Ended 12/31/2018 | $11.96 | 0.23 | (2.13) | (1.90) | (0.23) | (0.04) | (0.27) |
Year Ended 12/31/2017 | $9.78 | 0.17 | 2.13 | 2.30 | (0.12) | — | (0.12) |
Year Ended 12/31/2016 | $9.60 | 0.16 | 0.21 | 0.37 | (0.19) | — | (0.19) |
Year Ended 12/31/2015 | $10.25 | 0.21 | (0.58) | (0.37) | (0.28) | — | (0.28) |
Year Ended 12/31/2014 | $10.52 | 0.21 | (0.22) | (0.01) | (0.25) | (0.01) | (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) | Rounds to zero. |
18 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2018 |
Table of Contents
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 12/31/2018 | $9.80 | (15.98%) | 0.79% | 0.79% | 2.28% | 73% | $2,785,951 |
Year Ended 12/31/2017 | $11.97 | 24.05% | 0.83% | 0.83% | 1.90% | 71% | $3,009,266 |
Year Ended 12/31/2016 | $9.78 | 4.06% | 0.91% | 0.91% | 2.11% | 129% | $1,327,954 |
Year Ended 12/31/2015 | $9.60 | (3.37%) | 0.92% | 0.92% | 2.35% | 12% | $1,240,134 |
Year Ended 12/31/2014 | $10.24 | (0.05%) | 0.93% | 0.90% | 2.43% | 8% | $1,246,988 |
Class 2 | |||||||
Year Ended 12/31/2018 | $9.79 | (16.21%) | 1.04% | 1.04% | 2.04% | 73% | $19,185 |
Year Ended 12/31/2017 | $11.96 | 23.64% | 1.08% | 1.08% | 1.55% | 71% | $17,987 |
Year Ended 12/31/2016 | $9.78 | 3.87% | 1.17% | 1.17% | 1.68% | 129% | $5,764 |
Year Ended 12/31/2015 | $9.60 | (3.71%) | 1.17% | 1.17% | 2.09% | 12% | $3,452 |
Year Ended 12/31/2014 | $10.25 | (0.20%) | 1.18% | 1.15% | 1.99% | 8% | $2,251 |
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December 31, 2018
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.92% |
Class 2 | 1.17 |
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December 31, 2018
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
(2,248,531) | 2,248,533 | (2) |
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
74,358,311 | — | 74,358,311 | 35,181,797 | — | 35,181,797 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
13,807,305 | 14,732,902 | — | (173,195,297) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
2,970,357,736 | 111,352,186 | (284,547,483) | (173,195,297) |
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(Unaudited)
Capital gain dividend | Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
$15,469,547 | $9,889,857 | $0.03 | $99,515,846 | $0.35 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | -4.52 | 5.28 | 9.19 | |
Class 2 | 06/01/00 | -4.80 | 5.00 | 8.93 | |
Blended Benchmark | -2.35 | 6.24 | 9.42 | ||
S&P 500 Index | -4.38 | 8.49 | 13.12 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 2.52 | 3.48 |
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Portfolio breakdown (%) (at December 31, 2018) | |
Alternative Strategies Funds | 4.0 |
Equity Funds | 50.6 |
Exchange-Traded Funds | 1.1 |
Fixed-Income Funds | 32.7 |
Money Market Funds | 11.6 |
Total | 100.0 |
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(Unaudited)
July 1, 2018 — December 31, 2018 | ||||||||||
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 ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 947.70 | 1,024.23 | 1.09 | 1.13 | 0.22 | 3.60 | 3.74 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 946.10 | 1,022.96 | 2.32 | 2.41 | 0.47 | 4.83 | 5.02 | 0.98 |
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December 31, 2018
Alternative Strategies Funds 4.0% | ||
Shares | Value ($) | |
Columbia Commodity Strategy Fund, Institutional 3 Class(a) | 183,842 | 772,136 |
Columbia Multi-Asset Income Fund, Institutional 3 Class(a) | 187,026 | 1,623,389 |
Total Alternative Strategies Funds (Cost $2,788,045) | 2,395,525 | |
Equity Funds 50.3% | ||
U.S. Large Cap 50.3% | ||
Columbia Contrarian Core Fund, Institutional 3 Class(a) | 644,610 | 14,097,613 |
Columbia Disciplined Core Fund, Institutional 3 Class(a) | 1,544,644 | 16,450,454 |
Total | 30,548,067 | |
Total Equity Funds (Cost $21,441,929) | 30,548,067 | |
Exchange-Traded Funds 1.1% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 6,127 | 691,249 |
Total Exchange-Traded Funds (Cost $731,013) | 691,249 | |
Fixed-Income Funds 32.5% | ||
High Yield 5.7% | ||
Columbia High Yield Bond Fund, Institutional 3 Class(a) | 1,296,147 | 3,486,635 |
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
Investment Grade 26.8% | ||
Columbia Corporate Income Fund, Institutional 3 Class(a) | 312,876 | 3,009,866 |
Columbia Quality Income Fund, Institutional 3 Class(a) | 526,919 | 2,819,015 |
Columbia Total Return Bond Fund, Institutional 3 Class(a) | 402,915 | 3,553,715 |
Columbia U.S. Treasury Index Fund, Institutional 3 Class(a) | 629,209 | 6,896,131 |
Total | 16,278,727 | |
Total Fixed-Income Funds (Cost $20,177,377) | 19,765,362 | |
Money Market Funds 11.5% | ||
Columbia Government Money Market Fund, Institutional 3 Class, 2.113%(a) | 847,026 | 847,026 |
Columbia Short-Term Cash Fund, 2.459%(a),(b) | 6,164,470 | 6,163,855 |
Total Money Market Funds (Cost $7,011,337) | 7,010,881 | |
Total Investments in Securities (Cost: $52,149,701) | 60,411,084 | |
Other Assets & Liabilities, Net | 347,350 | |
Net Assets | 60,758,434 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 E-mini | 17 | 03/2019 | USD | 1,146,650 | — | (34,441) |
S&P 500 E-mini | 28 | 03/2019 | USD | 3,507,280 | — | (69,929) |
TOPIX Index | 9 | 03/2019 | JPY | 134,415,000 | — | (73,554) |
Total | — | (177,924) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 31 | Morgan Stanley | 12/20/2023 | 5.000 | Quarterly | USD | 3,402,000 | 158,396 | — | — | 158,396 | — |
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December 31, 2018
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Commodity Strategy Fund, Institutional 3 Class | |||||||||
311,029 | 27,693 | (154,880) | 183,842 | — | (14,345) | (281,955) | 121,020 | 772,136 | |
Columbia Contrarian Core Fund, Institutional 3 Class | |||||||||
695,438 | 95,587 | (146,415) | 644,610 | 1,137,603 | 407,778 | (3,092,453) | 195,414 | 14,097,613 | |
Columbia Corporate Income Fund, Institutional 3 Class | |||||||||
344,958 | 39,091 | (71,173) | 312,876 | — | (15,744) | (215,400) | 108,707 | 3,009,866 | |
Columbia Disciplined Core Fund, Institutional 3 Class | |||||||||
1,695,315 | 213,357 | (364,028) | 1,544,644 | 1,159,316 | 755,931 | (2,650,151) | 225,405 | 16,450,454 | |
Columbia Diversified Absolute Return Fund, Institutional 3 Class | |||||||||
126,954 | 12,265 | (139,219) | — | — | (19,505) | (14,096) | — | — | |
Columbia Government Money Market Fund, Institutional 3 Class, 2.113% | |||||||||
— | 847,026 | — | 847,026 | — | — | — | 6,026 | 847,026 | |
Columbia High Yield Bond Fund, Institutional 3 Class | |||||||||
— | 1,296,147 | — | 1,296,147 | — | — | (354,580) | 178,214 | 3,486,635 | |
Columbia Multi-Asset Income Fund, Institutional 3 Class | |||||||||
175,155 | 11,871 | — | 187,026 | — | — | (215,999) | 112,366 | 1,623,389 | |
Columbia Quality Income Fund, Institutional 3 Class | |||||||||
590,581 | 64,184 | (127,846) | 526,919 | — | (6,907) | (22,169) | 85,767 | 2,819,015 | |
Columbia Short-Term Cash Fund, 2.459% | |||||||||
10,226,216 | 2,358,594 | (6,420,340) | 6,164,470 | — | (523) | (475) | 124,515 | 6,163,855 | |
Columbia Total Return Bond Fund, Institutional 3 Class | |||||||||
449,632 | 49,750 | (96,467) | 402,915 | — | (13,630) | (86,498) | 112,470 | 3,553,715 | |
Columbia U.S. Treasury Index Fund, Institutional 3 Class | |||||||||
619,785 | 151,910 | (142,486) | 629,209 | — | (35,476) | (53,158) | 132,191 | 6,896,131 | |
Total | 2,296,919 | 1,057,579 | (6,986,934) | 1,402,095 | 59,719,835 |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
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.). |
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■ | 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 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | 2,395,525 | — | — | — | 2,395,525 |
Equity Funds | 30,548,067 | — | — | — | 30,548,067 |
Exchange-Traded Funds | 691,249 | — | — | — | 691,249 |
Fixed-Income Funds | 19,765,362 | — | — | — | 19,765,362 |
Money Market Funds | 847,026 | — | — | 6,163,855 | 7,010,881 |
Total Investments in Securities | 54,247,229 | — | — | 6,163,855 | 60,411,084 |
Investments in Derivatives | |||||
Asset | |||||
Swap Contracts | — | 158,396 | — | — | 158,396 |
Liability | |||||
Futures Contracts | (177,924) | — | — | — | (177,924) |
Total | 54,069,305 | 158,396 | — | 6,163,855 | 60,391,556 |
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December 31, 2018
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $731,013) | $691,249 |
Affiliated issuers (cost $51,418,688) | 59,719,835 |
Cash | 237 |
Margin deposits on: | |
Futures contracts | 280,081 |
Swap contracts | 118,209 |
Receivable for: | |
Investments sold | 5,743 |
Capital shares sold | 3,429 |
Dividends | 78,158 |
Variation margin for futures contracts | 33,765 |
Expense reimbursement due from Investment Manager | 708 |
Prepaid expenses | 265 |
Trustees’ deferred compensation plan | 56,667 |
Total assets | 60,988,346 |
Liabilities | |
Payable for: | |
Investments purchased | 98,301 |
Capital shares purchased | 10,692 |
Variation margin for swap contracts | 2,195 |
Management services fees | 427 |
Distribution and/or service fees | 207 |
Service fees | 9,437 |
Compensation of board members | 28,715 |
Compensation of chief compliance officer | 7 |
Audit fees | 15,400 |
Other expenses | 7,864 |
Trustees’ deferred compensation plan | 56,667 |
Total liabilities | 229,912 |
Net assets applicable to outstanding capital stock | $60,758,434 |
Represented by | |
Paid in capital | 48,382,643 |
Total distributable earnings (loss) (Note 2) | 12,375,791 |
Total - representing net assets applicable to outstanding capital stock | $60,758,434 |
Class 1 | |
Net assets | $50,741,827 |
Shares outstanding | 3,599,852 |
Net asset value per share | $14.10 |
Class 2 | |
Net assets | $10,016,607 |
Shares outstanding | 718,348 |
Net asset value per share | $13.94 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $34,351 |
Dividends — affiliated issuers | 1,402,095 |
Total income | 1,436,446 |
Expenses: | |
Management services fees | 56,228 |
Distribution and/or service fees | |
Class 2 | 28,777 |
Service fees | 120,326 |
Compensation of board members | 13,748 |
Custodian fees | 20,447 |
Printing and postage fees | 14,121 |
Audit fees | 15,400 |
Legal fees | 1,531 |
Compensation of chief compliance officer | 27 |
Other | 6,829 |
Total expenses | 277,434 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (78,368) |
Total net expenses | 199,066 |
Net investment income | 1,237,380 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 3,322 |
Investments — affiliated issuers | 1,057,579 |
Capital gain distributions from underlying affiliated funds | 2,296,919 |
Foreign currency translations | (9,463) |
Futures contracts | (45,112) |
Swap contracts | (138,153) |
Net realized gain | 3,165,092 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (53,550) |
Investments — affiliated issuers | (6,986,934) |
Foreign currency translations | (4,312) |
Futures contracts | (315,392) |
Swap contracts | 158,396 |
Net change in unrealized appreciation (depreciation) | (7,201,792) |
Net realized and unrealized loss | (4,036,700) |
Net decrease in net assets resulting from operations | $(2,799,320) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $1,237,380 | $935,551 |
Net realized gain | 3,165,092 | 4,877,231 |
Net change in unrealized appreciation (depreciation) | (7,201,792) | 4,737,965 |
Net increase (decrease) in net assets resulting from operations | (2,799,320) | 10,550,747 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (4,992,077) | |
Class 2 | (1,001,449) | |
Net investment income | ||
Class 1 | (983,980) | |
Class 2 | (176,759) | |
Net realized gains | ||
Class 1 | (56,338) | |
Class 2 | (11,757) | |
Total distributions to shareholders (Note 2) | (5,993,526) | (1,228,834) |
Decrease in net assets from capital stock activity | (2,887,472) | (9,607,048) |
Total decrease in net assets | (11,680,318) | (285,135) |
Net assets at beginning of year | 72,438,752 | 72,723,887 |
Net assets at end of year | $60,758,434 | $72,438,752 |
Undistributed net investment income | $1,146,384 | $902,975 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 32,541 | 515,760 | 41,587 | 622,702 |
Distributions reinvested | 329,076 | 4,992,077 | 68,397 | 1,040,318 |
Redemptions | (515,790) | (8,143,595) | (610,885) | (9,258,711) |
Net decrease | (154,173) | (2,635,758) | (500,901) | (7,595,691) |
Class 2 | ||||
Subscriptions | 58,160 | 912,315 | 33,645 | 498,299 |
Distributions reinvested | 66,674 | 1,001,449 | 12,501 | 188,516 |
Redemptions | (139,811) | (2,165,478) | (178,313) | (2,698,172) |
Net decrease | (14,977) | (251,714) | (132,167) | (2,011,357) |
Total net decrease | (169,150) | (2,887,472) | (633,068) | (9,607,048) |
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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 12/31/2018 | $16.17 | 0.29 | (0.92) | (0.63) | (0.24) | (1.20) | (1.44) |
Year Ended 12/31/2017 | $14.23 | 0.20 | 2.01 | 2.21 | (0.26) | (0.01) | (0.27) |
Year Ended 12/31/2016 | $13.97 | 0.20 | 0.54 | 0.74 | (0.32) | (0.16) | (0.48) |
Year Ended 12/31/2015 | $15.79 | 0.27 | (0.07) | 0.20 | (0.33) | (1.69) | (2.02) |
Year Ended 12/31/2014 | $15.05 | 0.23 | 1.25 | 1.48 | (0.39) | (0.35) | (0.74) |
Class 2 | |||||||
Year Ended 12/31/2018 | $16.01 | 0.25 | (0.92) | (0.67) | (0.20) | (1.20) | (1.40) |
Year Ended 12/31/2017 | $14.09 | 0.16 | 1.99 | 2.15 | (0.22) | (0.01) | (0.23) |
Year Ended 12/31/2016 | $13.84 | 0.16 | 0.54 | 0.70 | (0.29) | (0.16) | (0.45) |
Year Ended 12/31/2015 | $15.67 | 0.24 | (0.09) | 0.15 | (0.29) | (1.69) | (1.98) |
Year Ended 12/31/2014 | $14.94 | 0.19 | 1.25 | 1.44 | (0.36) | (0.35) | (0.71) |
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. |
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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 12/31/2018 | $14.10 | (4.52%) | 0.36% | 0.25% | 1.82% | 21% | $50,742 |
Year Ended 12/31/2017 | $16.17 | 15.62% | 0.33% | 0.29% | 1.34% | 26% | $60,697 |
Year Ended 12/31/2016 | $14.23 | 5.36% | 0.23% | 0.23% | 1.42% | 39% | $60,527 |
Year Ended 12/31/2015 | $13.97 | 1.07% | 0.23% | 0.22% | 1.82% | 19% | $65,872 |
Year Ended 12/31/2014 | $15.79 | 10.05% | 0.20% | 0.15% | 1.51% | 41% | $75,415 |
Class 2 | |||||||
Year Ended 12/31/2018 | $13.94 | (4.80%) | 0.61% | 0.49% | 1.58% | 21% | $10,017 |
Year Ended 12/31/2017 | $16.01 | 15.37% | 0.58% | 0.54% | 1.05% | 26% | $11,742 |
Year Ended 12/31/2016 | $14.09 | 5.06% | 0.48% | 0.48% | 1.16% | 39% | $12,197 |
Year Ended 12/31/2015 | $13.84 | 0.76% | 0.48% | 0.47% | 1.57% | 19% | $13,883 |
Year Ended 12/31/2014 | $15.67 | 9.80% | 0.45% | 0.40% | 1.26% | 41% | $16,557 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 158,396* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 177,924* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | (138,153) | (138,153) |
Equity risk | (14,357) | — | (14,357) |
Interest rate risk | (30,755) | — | (30,755) |
Total | (45,112) | (138,153) | (183,265) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | 158,396 | 158,396 |
Equity risk | (302,031) | — | (302,031) |
Interest rate risk | (13,361) | — | (13,361) |
Total | (315,392) | 158,396 | (156,996) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 8,943,441 |
Futures contracts — short | 1,696,039 |
Credit default swap contracts — buy protection | 3,404,000 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
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December 31, 2018
Morgan Stanley ($) | |
Assets | |
Liabilities | |
Centrally cleared credit default swap contracts(a) | 2,195 |
Total financial and derivative net assets | (2,195) |
Total collateral received (pledged)(b) | (2,195) |
Net amount(c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
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May 1, 2018 through April 30, 2019 | Prior to May 1, 2018 | |
Class 1 | 0.14% | 0.21% |
Class 2 | 0.39 | 0.46 |
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
(9,523) | 9,523 | — |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
1,791,112 | 4,202,414 | 5,993,526 | 1,228,834 | — | 1,228,834 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
1,233,021 | 2,962,048 | — | 8,270,065 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
52,121,491 | 9,321,612 | (1,051,547) | 8,270,065 |
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(Unaudited)
Dividends received deduction | Capital gain dividend |
33.15% | $3,125,882 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 07/05/94 | -0.39 | 3.34 | 6.55 | |
Class 2 | 06/01/00 | -0.64 | 3.08 | 6.29 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 2.52 | 3.48 | ||
ICE BofAML US Cash Pay High Yield Constrained Index | -2.26 | 3.81 | 10.91 | ||
FTSE Non-U.S. World Government Bond (All Maturities) Index - Unhedged | -1.82 | 0.28 | 1.27 | ||
JPMorgan Emerging Markets Bond Index - Global | -4.61 | 4.18 | 7.79 |
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Portfolio breakdown (%) (at December 31, 2018) | |
Asset-Backed Securities — Non-Agency | 9.3 |
Commercial Mortgage-Backed Securities - Non-Agency | 4.2 |
Common Stocks | 0.2 |
Corporate Bonds & Notes | 36.3 |
Foreign Government Obligations | 11.0 |
Money Market Funds | 5.9 |
Options Purchased Calls | 0.1 |
Residential Mortgage-Backed Securities - Agency | 15.1 |
Residential Mortgage-Backed Securities - Non-Agency | 13.8 |
Senior Loans | 3.7 |
Treasury Bills | 0.4 |
Total | 100.0 |
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Quality breakdown (%) (at December 31, 2018) | |
AAA rating | 18.4 |
AA rating | 6.1 |
A rating | 4.6 |
BBB rating | 19.9 |
BB rating | 13.9 |
B rating | 18.3 |
CCC rating | 3.0 |
Not rated | 15.8 |
Total | 100.0 |
Market Exposure Through Derivatives Investments (% of notional exposure) | |||
(at December 31, 2018)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 391.5 | (473.2) | (81.7) |
Foreign Currency Derivative Contracts | 17.8 | (36.1) | (18.3) |
Total Notional Market Value of Derivative Contracts | 409.3 | (509.3) | (100.0) |
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(Unaudited)
July 1, 2018 — December 31, 2018 | |||||||
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 | 1,000.90 | 1,021.95 | 3.40 | 3.43 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 1,000.80 | 1,020.68 | 4.66 | 4.71 | 0.92 |
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Asset-Backed Securities — Non-Agency 10.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class A1B | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 01/20/2031 | 3.619% | 750,000 | 727,715 | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class D | ||||
3-month USD LIBOR + 6.550% 10/15/2029 | 8.986% | 500,000 | 470,188 | |
Atrium XIII(a),(b) | ||||
Series 2013A Class B | ||||
3-month USD LIBOR + 1.500% 11/21/2030 | 3.977% | 1,300,000 | 1,260,654 | |
Babson CLO Ltd.(a),(b) | ||||
Series 2015-2A Class B2R | ||||
3-month USD LIBOR + 1.590% 10/20/2030 | 4.059% | 500,000 | 490,728 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class A2R | ||||
3-month USD LIBOR + 1.400% 10/15/2030 | 3.836% | 2,500,000 | 2,421,982 | |
CLUB Credit Trust(a) | ||||
Series 2018-P3 Class A | ||||
01/15/2026 | 3.820% | 1,005,000 | 1,004,230 | |
Conn’s Receivables Funding LLC(a) | ||||
Subordinated Series 2018-A Class B | ||||
01/15/2023 | 4.650% | 1,000,000 | 1,000,275 | |
Credit Suisse ABS Trust(a) | ||||
Series 2018-LD1 Class B | ||||
07/25/2024 | 4.280% | 440,000 | 439,912 | |
Dryden 33 Senior Loan Fund(a),(b) | ||||
Series 2014-33A Class ER | ||||
3-month USD LIBOR + 7.540% 10/15/2028 | 9.976% | 500,000 | 500,017 | |
Dryden XXVIII Senior Loan Fund(a),(b) | ||||
Series 2013-28A Class A2LR | ||||
3-month USD LIBOR + 1.650% 08/15/2030 | 4.266% | 500,000 | 492,530 | |
Madison Park Funding XVIII Ltd.(a),(b) | ||||
Series 2015-18A Class A1R | ||||
3-month USD LIBOR + 1.190% 10/21/2030 | 3.659% | 1,400,000 | 1,390,000 | |
Madison Park Funding XXXII Ltd.(a),(b),(c) | ||||
Series 2018-32A Class D | ||||
3-month USD LIBOR + 4.100% Floor 4.100% 01/22/2031 | 5.500% | 500,000 | 500,000 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley Resecuritization Pass-Through Trust(a),(d) | ||||
Series 2018-SC1 Class B | ||||
09/18/2023 | 1.000% | 400,000 | 384,000 | |
OHA Credit Partners XIV Ltd.(a),(b) | ||||
Series 2017-14A Class B | ||||
3-month USD LIBOR + 1.500% 01/21/2030 | 3.950% | 1,000,000 | 974,934 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2018-1A Class A | ||||
03/14/2029 | 3.300% | 855,000 | 856,070 | |
OZLM XXI(a),(b) | ||||
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 3.919% | 800,000 | 777,544 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2018-1A Class B | ||||
06/17/2024 | 3.900% | 600,000 | 600,297 | |
Series 2018-1A Class C | ||||
06/17/2024 | 4.870% | 500,000 | 500,042 | |
Subordinated, Series 2017-2A Class C | ||||
09/15/2023 | 5.370% | 500,000 | 502,619 | |
RR 1 LLC(a),(b) | ||||
Series 2017-1A Class A2R | ||||
3-month USD LIBOR + 1.700% 07/15/2029 | 4.136% | 800,000 | 784,994 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2016-3 Class A | ||||
12/26/2025 | 3.050% | 184,511 | 184,395 | |
SoFi Professional Loan Program LLC(a),(d),(e),(f),(g) | ||||
Series 2016-A Class RIO | ||||
01/25/2038 | 0.000% | 1 | 243,928 | |
Series 2016-A Class RPO | ||||
01/25/2038 | 0.000% | 1 | 410,663 | |
Voya CLO Ltd.(a),(b) | ||||
Series 2017-4A Class B | ||||
3-month USD LIBOR + 1.450% 10/15/2030 | 3.936% | 600,000 | 578,145 | |
Total Asset-Backed Securities — Non-Agency (Cost $17,995,512) | 17,495,862 | |||
Commercial Mortgage-Backed Securities - Non-Agency 4.7% | ||||
Ashford Hospitality Trust(a),(b) | ||||
Series 2018-KEYS Class C | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 05/15/2035 | 4.055% | 500,000 | 497,167 |
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Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BBCMS Trust(a),(b) | ||||
Subordinated, Series 2018-BXH Class F | ||||
1-month USD LIBOR + 2.950% Floor 2.950% 10/15/2037 | 5.405% | 800,000 | 793,046 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class F | ||||
1-month USD LIBOR + 2.900% Floor 2.900% 06/15/2035 | 5.355% | 700,000 | 691,738 | |
CHT 2017-COSMO Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class B | ||||
1-month USD LIBOR + 1.400% Floor 1.200% 11/15/2036 | 3.855% | 500,000 | 494,911 | |
Series 2017-CSMO Class E | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 11/15/2036 | 5.455% | 400,000 | 393,480 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated, Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 300,000 | 283,999 | |
Subordinated, Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 500,000 | 447,435 | |
Direxion Daily Retail Bull(a),(b) | ||||
Series 2018-RVP Class C | ||||
1-month USD LIBOR + 2.050% Floor 2.050% 03/15/2033 | 4.505% | 375,000 | 370,791 | |
Series 2018-RVP Class E | ||||
3-month USD LIBOR + 4.500% Floor 4.500% 03/15/2033 | 6.955% | 150,000 | 148,170 | |
Hilton U.S.A. Trust(a),(h) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 1,000,000 | 899,333 | |
Hilton U.S.A. Trust(a) | ||||
Subordinated, Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 500,000 | 505,413 | |
Independence Plaza Trust(a) | ||||
Series 2018-INDP Class C | ||||
07/10/2035 | 4.158% | 250,000 | 251,522 | |
Invitation Homes Trust(a),(b) | ||||
Series 2017-SFR2 Class E | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 12/17/2036 | 4.706% | 500,000 | 502,631 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class A | ||||
1-month USD LIBOR + 0.850% Floor 0.850% 02/15/2032 | 3.305% | 200,000 | 198,926 | |
Series 2018-NYCH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 02/15/2032 | 3.955% | 400,000 | 397,569 | |
Series 2018-NYCH Class E | ||||
1-month USD LIBOR + 2.900% Floor 3.200% 02/15/2032 | 5.355% | 600,000 | 593,761 | |
Series 2018-NYCH Class F | ||||
1-month USD LIBOR + 3.821% Floor 3.821% 02/15/2032 | 6.276% | 500,000 | 493,885 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $7,867,574) | 7,963,777 |
Common Stocks 0.2% | ||
Issuer | Shares | Value ($) |
Energy 0.2% | ||
Energy Equipment & Services 0.2% | ||
Fieldwood Energy LLC(i) | 8,596 | 326,648 |
Total Energy | 326,648 | |
Financials —% | ||
Diversified Financial Services —% | ||
Fairlane Management Corp.(d),(f),(i),(j) | 2,000 | — |
Total Financials | — | |
Utilities —% | ||
Independent Power and Renewable Electricity Producers —% | ||
Vistra Energy Corp.(i) | 10,180 | 7,533 |
Total Utilities | 7,533 | |
Total Common Stocks (Cost $200,545) | 334,181 |
Corporate Bonds & Notes(k) 40.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 1.0% | ||||
Bombardier, Inc.(a) | ||||
01/15/2023 | 6.125% | 45,000 | 42,168 | |
12/01/2024 | 7.500% | 102,000 | 96,909 | |
03/15/2025 | 7.500% | 36,000 | 33,930 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 9 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lockheed Martin Corp. | ||||
09/15/2052 | 4.090% | 440,000 | 411,996 | |
Northrop Grumman Corp. | ||||
10/15/2047 | 4.030% | 730,000 | 663,331 | |
TransDigm, Inc. | ||||
07/15/2022 | 6.000% | 146,000 | 142,884 | |
07/15/2024 | 6.500% | 48,000 | 46,687 | |
05/15/2025 | 6.500% | 150,000 | 143,245 | |
06/15/2026 | 6.375% | 56,000 | 52,178 | |
Total | 1,633,328 | |||
Automotive 0.2% | ||||
Delphi Technologies PLC(a) | ||||
10/01/2025 | 5.000% | 78,000 | 65,523 | |
Ford Motor Co. | ||||
12/08/2046 | 5.291% | 390,000 | 320,158 | |
Total | 385,681 | |||
Banking 3.2% | ||||
Ally Financial, Inc. | ||||
11/01/2031 | 8.000% | 297,000 | 330,368 | |
Bank of America Corp.(l) | ||||
01/20/2028 | 3.824% | 1,020,000 | 986,954 | |
Citigroup, Inc. | ||||
05/01/2026 | 3.400% | 360,000 | 338,793 | |
Goldman Sachs Group, Inc. (The)(l) | ||||
05/01/2029 | 4.223% | 930,000 | 896,008 | |
JPMorgan Chase & Co.(l) | ||||
12/05/2029 | 4.452% | 1,169,000 | 1,187,877 | |
Morgan Stanley(l) | ||||
01/24/2029 | 3.772% | 510,000 | 487,889 | |
Wells Fargo & Co. | ||||
10/23/2026 | 3.000% | 710,000 | 657,251 | |
Wells Fargo & Co.(l) | ||||
05/22/2028 | 3.584% | 540,000 | 518,510 | |
Total | 5,403,650 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
NFP Corp.(a) | ||||
07/15/2025 | 6.875% | 122,000 | 110,107 | |
VFH Parent LLC/Orchestra Co-Issuer, Inc.(a) | ||||
06/15/2022 | 6.750% | 17,000 | 16,500 | |
Total | 126,607 | |||
Building Materials 0.3% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
12/15/2023 | 5.750% | 112,000 | 111,058 | |
05/15/2026 | 5.875% | 105,000 | 99,915 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 186,000 | 163,637 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 86,000 | 76,119 | |
Total | 450,729 | |||
Cable and Satellite 2.1% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2025 | 5.375% | 180,000 | 172,632 | |
02/15/2026 | 5.750% | 140,000 | 137,248 | |
05/01/2026 | 5.500% | 5,000 | 4,813 | |
05/01/2027 | 5.125% | 164,000 | 152,657 | |
02/01/2028 | 5.000% | 23,000 | 21,158 | |
Comcast Corp. | ||||
08/15/2047 | 4.000% | 287,000 | 259,959 | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 6.625% | 16,000 | 16,226 | |
10/15/2025 | 10.875% | 214,000 | 240,179 | |
02/01/2028 | 5.375% | 201,000 | 185,125 | |
04/01/2028 | 7.500% | 165,000 | 164,479 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 236,000 | 189,915 | |
07/01/2026 | 7.750% | 280,000 | 231,642 | |
Intelsat Jackson Holdings SA(a) | ||||
10/15/2024 | 8.500% | 79,000 | 76,235 | |
Quebecor Media, Inc. | ||||
01/15/2023 | 5.750% | 199,000 | 200,575 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 25,000 | 22,767 | |
02/15/2025 | 6.625% | 107,000 | 92,260 | |
Sirius XM Radio, Inc.(a) | ||||
04/15/2025 | 5.375% | 46,000 | 43,517 | |
07/15/2026 | 5.375% | 56,000 | 52,927 | |
08/01/2027 | 5.000% | 201,000 | 183,572 | |
Unitymedia Hessen GmbH & Co. KG NRW(a) | ||||
01/15/2025 | 5.000% | 266,000 | 260,697 | |
Virgin Media Secured Finance PLC(a) | ||||
01/15/2026 | 5.250% | 338,000 | 309,588 | |
08/15/2026 | 5.500% | 89,000 | 82,750 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 172,000 | 149,139 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 303,000 | 272,700 | |
Total | 3,522,760 | |||
Chemicals 1.0% | ||||
Alpha 2 BV(a) | ||||
06/01/2023 | 8.750% | 85,000 | 81,092 |
10 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 109,000 | 109,680 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 83,000 | 78,160 | |
Axalta Coating Systems LLC(a) | ||||
08/15/2024 | 4.875% | 85,000 | 80,325 | |
Chemours Co. (The) | ||||
05/15/2023 | 6.625% | 39,000 | 39,390 | |
Elementia SAB de CV(a) | ||||
01/15/2025 | 5.500% | 250,000 | 230,830 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 18,000 | 15,974 | |
Koppers, Inc.(a) | ||||
02/15/2025 | 6.000% | 21,000 | 18,604 | |
Platform Specialty Products Corp.(a) | ||||
02/01/2022 | 6.500% | 6,000 | 6,029 | |
12/01/2025 | 5.875% | 189,000 | 176,598 | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 249,000 | 254,997 | |
12/15/2025 | 5.750% | 117,000 | 108,575 | |
SASOL Financing USA LLC | ||||
03/27/2024 | 5.875% | 205,000 | 204,571 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 58,000 | 51,551 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 175,000 | 162,827 | |
Total | 1,619,203 | |||
Construction Machinery 0.2% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 121,000 | 110,875 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 28,000 | 27,415 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 145,000 | 137,898 | |
12/15/2026 | 6.500% | 95,000 | 93,575 | |
Total | 369,763 | |||
Consumer Cyclical Services 0.2% | ||||
APX Group, Inc. | ||||
12/01/2020 | 8.750% | 125,000 | 119,026 | |
12/01/2022 | 7.875% | 133,000 | 125,619 | |
09/01/2023 | 7.625% | 45,000 | 36,474 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 32,000 | 30,473 | |
Total | 311,592 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Products 0.4% | ||||
Energizer Gamma Acquisition, Inc.(a) | ||||
07/15/2026 | 6.375% | 36,000 | 33,023 | |
Mattel, Inc.(a) | ||||
12/31/2025 | 6.750% | 84,000 | 75,090 | |
Prestige Brands, Inc.(a) | ||||
12/15/2021 | 5.375% | 69,000 | 67,620 | |
03/01/2024 | 6.375% | 153,000 | 147,789 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 16,000 | 15,800 | |
Scotts Miracle-Gro Co. (The) | ||||
12/15/2026 | 5.250% | 17,000 | 15,475 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 196,000 | 186,193 | |
Valvoline, Inc. | ||||
08/15/2025 | 4.375% | 74,000 | 68,788 | |
Total | 609,778 | |||
Diversified Manufacturing 0.4% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 100,000 | 98,000 | |
BWX Technologies, Inc.(a) | ||||
07/15/2026 | 5.375% | 25,000 | 24,210 | |
Gates Global LLC/Co.(a) | ||||
07/15/2022 | 6.000% | 66,000 | 64,315 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 20,000 | 19,726 | |
TriMas Corp.(a) | ||||
10/15/2025 | 4.875% | 12,000 | 11,159 | |
United Technologies Corp. | ||||
11/16/2028 | 4.125% | 220,000 | 217,991 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 84,000 | 79,241 | |
Zekelman Industries, Inc.(a) | ||||
06/15/2023 | 9.875% | 82,000 | 86,238 | |
Total | 600,880 | |||
Electric 5.3% | ||||
AES Corp. | ||||
03/15/2023 | 4.500% | 46,000 | 44,845 | |
05/15/2026 | 6.000% | 69,000 | 70,365 | |
09/01/2027 | 5.125% | 65,000 | 62,803 | |
Calpine Corp. | ||||
01/15/2025 | 5.750% | 76,000 | 69,409 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 51,000 | 46,538 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 11 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Clearway Energy Operating LLC | ||||
08/15/2024 | 5.375% | 231,000 | 219,672 | |
09/15/2026 | 5.000% | 77,000 | 69,137 | |
Clearway Energy Operating LLC(a) | ||||
10/15/2025 | 5.750% | 29,000 | 27,700 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 600,000 | 607,015 | |
02/15/2027 | 2.950% | 165,000 | 151,278 | |
03/31/2043 | 4.700% | 135,000 | 135,830 | |
DTE Energy Co. | ||||
06/01/2024 | 3.500% | 340,000 | 336,020 | |
10/01/2026 | 2.850% | 1,220,000 | 1,122,762 | |
Duke Energy Corp. | ||||
04/15/2024 | 3.750% | 748,000 | 749,240 | |
08/15/2027 | 3.150% | 393,000 | 367,460 | |
09/01/2046 | 3.750% | 248,000 | 215,575 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 675,000 | 648,921 | |
Energuate Trust(a) | ||||
05/03/2027 | 5.875% | 200,000 | 184,790 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 321,000 | 289,959 | |
Light Servicos de Eletricidade SA/Energia SA(a) | ||||
05/03/2023 | 7.250% | 200,000 | 191,398 | |
NextEra Energy Operating Partners LP(a) | ||||
09/15/2027 | 4.500% | 138,000 | 122,623 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 140,000 | 141,717 | |
Pacific Gas & Electric Co. | ||||
02/15/2044 | 4.750% | 264,000 | 217,823 | |
12/01/2047 | 3.950% | 340,000 | 257,282 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 172,000 | 165,987 | |
PPL Capital Funding, Inc. | ||||
03/15/2024 | 3.950% | 430,000 | 429,430 | |
Progress Energy, Inc. | ||||
04/01/2022 | 3.150% | 382,000 | 375,438 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 762,000 | 702,203 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 176,000 | 156,200 | |
Vistra Energy Corp. | ||||
11/01/2024 | 7.625% | 77,000 | 81,447 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 35,000 | 33,979 | |
WEC Energy Group, Inc. | ||||
06/15/2025 | 3.550% | 190,000 | 184,698 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Xcel Energy, Inc. | ||||
12/01/2026 | 3.350% | 525,000 | 506,798 | |
Total | 8,986,342 | |||
Finance Companies 1.2% | ||||
Avolon Holdings Funding Ltd.(a) | ||||
01/15/2023 | 5.500% | 97,000 | 93,829 | |
10/01/2023 | 5.125% | 116,000 | 111,411 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 1,100,000 | 921,905 | |
iStar, Inc. | ||||
04/01/2022 | 6.000% | 67,000 | 63,985 | |
Navient Corp. | ||||
03/25/2021 | 5.875% | 7,000 | 6,703 | |
07/26/2021 | 6.625% | 43,000 | 41,533 | |
06/15/2022 | 6.500% | 166,000 | 154,762 | |
03/25/2024 | 6.125% | 50,000 | 42,783 | |
10/25/2024 | 5.875% | 44,000 | 36,881 | |
06/15/2026 | 6.750% | 101,000 | 83,838 | |
Park Aerospace Holdings Ltd.(a) | ||||
08/15/2022 | 5.250% | 10,000 | 9,707 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 120,000 | 108,137 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 224,000 | 209,358 | |
Springleaf Finance Corp. | ||||
05/15/2022 | 6.125% | 46,000 | 44,596 | |
03/15/2023 | 5.625% | 48,000 | 43,966 | |
03/15/2025 | 6.875% | 81,000 | 72,311 | |
03/15/2026 | 7.125% | 72,000 | 64,322 | |
Total | 2,110,027 | |||
Food and Beverage 2.5% | ||||
Anheuser-Busch Companies LLC/ InBev Worldwide, Inc.(a) | ||||
02/01/2046 | 4.900% | 1,262,000 | 1,167,707 | |
B&G Foods, Inc. | ||||
04/01/2025 | 5.250% | 127,000 | 118,183 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 1,020,000 | 911,943 | |
FAGE International SA/U.S.A. Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 201,000 | 169,190 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 931,000 | 770,313 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 33,000 | 32,165 | |
11/01/2026 | 4.875% | 118,000 | 113,778 | |
MHP SA(a) | ||||
04/03/2026 | 6.950% | 250,000 | 215,451 |
12 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Molson Coors Brewing Co. | ||||
07/15/2046 | 4.200% | 433,000 | 359,821 | |
Post Holdings, Inc.(a) | ||||
08/15/2026 | 5.000% | 169,000 | 153,963 | |
03/01/2027 | 5.750% | 269,000 | 252,111 | |
01/15/2028 | 5.625% | 33,000 | 30,391 | |
Total | 4,295,016 | |||
Gaming 1.0% | ||||
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 135,000 | 130,327 | |
08/15/2026 | 6.000% | 14,000 | 13,182 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 48,000 | 41,921 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 178,000 | 171,796 | |
Eldorado Resorts, Inc.(a) | ||||
09/15/2026 | 6.000% | 52,000 | 49,134 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 161,000 | 159,705 | |
01/15/2027 | 6.250% | 50,000 | 47,955 | |
Jack Ohio Finance LLC/1 Corp.(a) | ||||
11/15/2021 | 6.750% | 100,000 | 100,903 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 1,000 | 990 | |
09/01/2026 | 4.500% | 45,000 | 40,773 | |
01/15/2028 | 4.500% | 114,000 | 99,972 | |
Penn National Gaming, Inc.(a) | ||||
01/15/2027 | 5.625% | 67,000 | 60,139 | |
Rivers Pittsburgh Borrower LP/Finance Corp.(a) | ||||
08/15/2021 | 6.125% | 127,000 | 123,609 | |
Scientific Games International, Inc. | ||||
12/01/2022 | 10.000% | 180,000 | 182,385 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 205,000 | 183,619 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 31,000 | 30,126 | |
Tunica-Biloxi Gaming Authority(a) | ||||
12/15/2020 | 3.780% | 918,242 | 245,630 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 73,000 | 68,597 | |
Total | 1,750,763 | |||
Health Care 2.6% | ||||
Acadia Healthcare Co., Inc. | ||||
03/01/2024 | 6.500% | 125,000 | 120,329 | |
Avantor, Inc.(a) | ||||
10/01/2025 | 9.000% | 83,000 | 82,953 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Becton Dickinson and Co. | ||||
06/06/2027 | 3.700% | 1,030,000 | 975,533 | |
Cardinal Health, Inc. | ||||
06/15/2047 | 4.368% | 570,000 | 484,744 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 147,000 | 137,281 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 31,000 | 30,613 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 82,000 | 74,591 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 660,000 | 643,919 | |
DaVita, Inc. | ||||
05/01/2025 | 5.000% | 78,000 | 70,773 | |
HCA, Inc. | ||||
05/01/2023 | 4.750% | 154,000 | 151,662 | |
02/01/2025 | 5.375% | 92,000 | 90,166 | |
02/15/2027 | 4.500% | 351,000 | 333,953 | |
Hologic, Inc.(a) | ||||
10/15/2025 | 4.375% | 87,000 | 81,169 | |
02/01/2028 | 4.625% | 75,000 | 67,875 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 170,000 | 158,527 | |
Polaris Intermediate Corp. PIK(a) | ||||
12/01/2022 | 8.500% | 53,000 | 48,414 | |
Sotera Health Holdings LLC(a) | ||||
05/15/2023 | 6.500% | 131,000 | 125,433 | |
Teleflex, Inc. | ||||
06/01/2026 | 4.875% | 28,000 | 26,740 | |
11/15/2027 | 4.625% | 53,000 | 49,332 | |
Tenet Healthcare Corp. | ||||
04/01/2022 | 8.125% | 62,000 | 62,079 | |
06/15/2023 | 6.750% | 90,000 | 84,489 | |
07/15/2024 | 4.625% | 113,000 | 105,259 | |
05/01/2025 | 5.125% | 93,000 | 86,800 | |
08/01/2025 | 7.000% | 66,000 | 61,307 | |
Universal Health Services, Inc.(a) | ||||
06/01/2026 | 5.000% | 160,000 | 155,585 | |
Total | 4,309,526 | |||
Healthcare Insurance 0.7% | ||||
Centene Corp. | ||||
01/15/2025 | 4.750% | 91,000 | 86,995 | |
Centene Corp.(a) | ||||
06/01/2026 | 5.375% | 120,000 | 117,181 | |
Halfmoon Parent, Inc.(a) | ||||
12/15/2048 | 4.900% | 675,000 | 660,045 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 13 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WellCare Health Plans, Inc. | ||||
04/01/2025 | 5.250% | 165,000 | 158,844 | |
WellCare Health Plans, Inc.(a) | ||||
08/15/2026 | 5.375% | 120,000 | 116,033 | |
Total | 1,139,098 | |||
Home Construction 0.2% | ||||
Lennar Corp. | ||||
06/01/2026 | 5.250% | 80,000 | 75,541 | |
06/15/2027 | 5.000% | 69,000 | 62,615 | |
11/29/2027 | 4.750% | 63,000 | 57,186 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 44,000 | 45,320 | |
06/06/2027 | 5.125% | 87,000 | 74,450 | |
Total | 315,112 | |||
Independent Energy 1.9% | ||||
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 45,000 | 42,043 | |
07/01/2026 | 6.375% | 174,000 | 162,026 | |
Canadian Natural Resources Ltd. | ||||
06/01/2047 | 4.950% | 45,000 | 43,299 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 198,000 | 182,968 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 84,000 | 78,199 | |
Chaparral Energy, Inc.(a) | ||||
07/15/2023 | 8.750% | 64,000 | 45,782 | |
Chesapeake Energy Corp. | ||||
10/01/2026 | 7.500% | 97,000 | 82,935 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 202,000 | 183,476 | |
Diamondback Energy, Inc. | ||||
05/31/2025 | 5.375% | 37,000 | 36,099 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2028 | 5.750% | 151,000 | 154,027 | |
Extraction Oil & Gas, Inc.(a) | ||||
05/15/2024 | 7.375% | 60,000 | 49,964 | |
02/01/2026 | 5.625% | 12,000 | 8,961 | |
Gran Tierra Energy International Holdings Ltd.(a) | ||||
02/15/2025 | 6.250% | 200,000 | 186,166 | |
Halcon Resources Corp. | ||||
02/15/2025 | 6.750% | 175,000 | 127,751 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 76,000 | 66,823 | |
Indigo Natural Resources LLC(a) | ||||
02/15/2026 | 6.875% | 55,000 | 47,368 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Jagged Peak Energy LLC(a) | ||||
05/01/2026 | 5.875% | 131,000 | 121,591 | |
Laredo Petroleum, Inc. | ||||
03/15/2023 | 6.250% | 254,000 | 228,352 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 149,000 | 137,167 | |
MEG Energy Corp.(a) | ||||
01/15/2025 | 6.500% | 22,000 | 22,330 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 125,000 | 111,321 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
08/15/2025 | 5.250% | 98,000 | 88,964 | |
10/15/2027 | 5.625% | 254,000 | 231,351 | |
PDC Energy, Inc. | ||||
09/15/2024 | 6.125% | 140,000 | 129,728 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 50,000 | 41,574 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 32,000 | 27,840 | |
09/15/2026 | 6.750% | 119,000 | 106,381 | |
01/15/2027 | 6.625% | 79,000 | 69,915 | |
Tullow Oil PLC(a) | ||||
03/01/2025 | 7.000% | 200,000 | 185,177 | |
Whiting Petroleum Corp. | ||||
01/15/2026 | 6.625% | 33,000 | 28,222 | |
WPX Energy, Inc. | ||||
01/15/2022 | 6.000% | 50,000 | 48,792 | |
09/15/2024 | 5.250% | 115,000 | 104,420 | |
06/01/2026 | 5.750% | 94,000 | 85,667 | |
Total | 3,266,679 | |||
Integrated Energy 0.2% | ||||
Cenovus Energy, Inc. | ||||
09/15/2043 | 5.200% | 340,000 | 289,022 | |
Leisure 0.1% | ||||
Boyne U.S.A., Inc.(a) | ||||
05/01/2025 | 7.250% | 51,000 | 52,531 | |
Live Nation Entertainment, Inc.(a) | ||||
11/01/2024 | 4.875% | 54,000 | 51,383 | |
03/15/2026 | 5.625% | 29,000 | 28,567 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 81,000 | 75,637 | |
Total | 208,118 | |||
Life Insurance 2.5% | ||||
Assicurazioni Generali SpA(a),(l) | ||||
Subordinated | ||||
06/08/2048 | 5.000% | EUR | 700,000 | 814,335 |
14 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 320,000 | 237,738 | |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 1,089,000 | 1,120,686 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 314,000 | 313,127 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 1,030,000 | 999,721 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 340,000 | 352,408 | |
05/15/2047 | 4.270% | 181,000 | 172,659 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 170,000 | 162,600 | |
Total | 4,173,274 | |||
Lodging 0.2% | ||||
Grupo Posadas SAB de CV(a) | ||||
06/30/2022 | 7.875% | 350,000 | 338,505 | |
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2026 | 5.125% | 46,000 | 44,110 | |
Marriott Ownership Resorts, Inc.(a) | ||||
09/15/2026 | 6.500% | 16,000 | 15,429 | |
Total | 398,044 | |||
Media and Entertainment 0.4% | ||||
Discovery Communications LLC | ||||
09/20/2047 | 5.200% | 60,000 | 55,263 | |
Match Group, Inc. | ||||
06/01/2024 | 6.375% | 74,000 | 75,558 | |
Netflix, Inc. | ||||
02/15/2025 | 5.875% | 68,000 | 68,732 | |
04/15/2028 | 4.875% | 194,000 | 177,021 | |
Netflix, Inc.(a) | ||||
11/15/2028 | 5.875% | 135,000 | 131,390 | |
05/15/2029 | 6.375% | 73,000 | 72,446 | |
Outfront Media Capital LLC/Corp. | ||||
03/15/2025 | 5.875% | 189,000 | 185,402 | |
Total | 765,812 | |||
Metals and Mining 1.0% | ||||
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 88,000 | 88,454 | |
Constellium NV(a) | ||||
05/15/2024 | 5.750% | 5,000 | 4,618 | |
03/01/2025 | 6.625% | 61,000 | 56,484 | |
02/15/2026 | 5.875% | 136,000 | 121,204 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freeport-McMoRan, Inc. | ||||
03/15/2043 | 5.450% | 432,000 | 328,860 | |
Geo Coal International Pte Ltd.(a) | ||||
10/04/2022 | 8.000% | 200,000 | 172,897 | |
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.(a) | ||||
12/15/2023 | 7.375% | 57,000 | 55,113 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 47,000 | 46,466 | |
01/15/2025 | 7.625% | 134,000 | 130,860 | |
Indo Energy Finance II BV(a) | ||||
01/24/2023 | 6.375% | 200,000 | 187,110 | |
Novelis Corp.(a) | ||||
08/15/2024 | 6.250% | 7,000 | 6,596 | |
09/30/2026 | 5.875% | 210,000 | 184,931 | |
Teck Resources Ltd. | ||||
07/15/2041 | 6.250% | 338,000 | 320,335 | |
Total | 1,703,928 | |||
Midstream 2.9% | ||||
Cheniere Corpus Christi Holdings LLC | ||||
06/30/2027 | 5.125% | 83,000 | 78,158 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2026 | 5.625% | 91,000 | 85,613 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 318,000 | 270,988 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 71,000 | 68,475 | |
Energy Transfer Equity LP | ||||
06/01/2027 | 5.500% | 84,000 | 82,052 | |
Enterprise Products Operating LLC | ||||
02/15/2045 | 5.100% | 365,000 | 363,222 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
08/01/2024 | 6.000% | 84,000 | 82,280 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 835,000 | 766,517 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 70,000 | 65,083 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 230,000 | 198,633 | |
NGPL PipeCo LLC(a) | ||||
12/15/2037 | 7.768% | 255,000 | 290,786 | |
NuStar Logistics LP | ||||
04/28/2027 | 5.625% | 92,000 | 85,583 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 821,000 | 684,928 | |
Rockies Express Pipeline LLC(a) | ||||
04/15/2040 | 6.875% | 143,000 | 150,227 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 15 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 76,000 | 71,784 | |
Star Energy Geothermal Wayang Windu Ltd.(a) | ||||
04/24/2033 | 6.750% | 196,600 | 179,840 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 30,000 | 29,309 | |
02/15/2026 | 5.500% | 84,000 | 79,263 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
01/15/2028 | 5.500% | 99,000 | 95,449 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 436,000 | 409,119 | |
01/15/2028 | 5.000% | 103,000 | 93,353 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 94,000 | 84,435 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 536,000 | 498,105 | |
Total | 4,813,202 | |||
Natural Gas 0.8% | ||||
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 500,000 | 468,032 | |
Sempra Energy | ||||
06/15/2024 | 3.550% | 425,000 | 412,989 | |
06/15/2027 | 3.250% | 450,000 | 413,060 | |
Total | 1,294,081 | |||
Oil Field Services 0.4% | ||||
Calfrac Holdings LP(a) | ||||
06/15/2026 | 8.500% | 46,000 | 34,739 | |
Diamond Offshore Drilling, Inc. | ||||
08/15/2025 | 7.875% | 41,000 | 34,037 | |
Nabors Industries, Inc. | ||||
09/15/2021 | 4.625% | 12,000 | 10,798 | |
01/15/2023 | 5.500% | 65,000 | 51,498 | |
02/01/2025 | 5.750% | 174,000 | 131,315 | |
Rowan Companies, Inc. | ||||
01/15/2024 | 4.750% | 46,000 | 34,020 | |
SESI LLC | ||||
12/15/2021 | 7.125% | 139,000 | 118,129 | |
09/15/2024 | 7.750% | 122,000 | 96,996 | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 47,000 | 45,101 | |
Weatherford International Ltd. | ||||
06/15/2021 | 7.750% | 63,000 | 47,360 | |
02/15/2024 | 9.875% | 3,000 | 1,835 | |
Total | 605,828 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Other Industry 0.1% | ||||
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 100,000 | 90,250 | |
WeWork Companies, Inc.(a) | ||||
05/01/2025 | 7.875% | 43,000 | 38,149 | |
Total | 128,399 | |||
Other REIT 0.1% | ||||
CyrusOne LP/Finance Corp. | ||||
03/15/2024 | 5.000% | 51,000 | 49,985 | |
03/15/2027 | 5.375% | 186,000 | 181,654 | |
Total | 231,639 | |||
Packaging 0.7% | ||||
Ardagh Packaging Finance PLC/Holdings U.S.A., Inc.(a) | ||||
05/15/2024 | 7.250% | 202,000 | 200,199 | |
02/15/2025 | 6.000% | 107,000 | 98,864 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 120,000 | 118,825 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 117,000 | 110,161 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 54,000 | 48,735 | |
Multi-Color Corp.(a) | ||||
11/01/2025 | 4.875% | 93,000 | 79,951 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 29,000 | 25,850 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
08/15/2023 | 5.875% | 27,000 | 27,252 | |
Reynolds Group Issuer, Inc./LLC | ||||
10/15/2020 | 5.750% | 244,215 | 243,578 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2023 | 5.125% | 120,000 | 114,177 | |
07/15/2024 | 7.000% | 160,000 | 151,201 | |
Total | 1,218,793 | |||
Pharmaceuticals 0.8% | ||||
Allergan Funding SCS | ||||
03/15/2035 | 4.550% | 220,000 | 209,342 | |
Amgen, Inc. | ||||
06/15/2051 | 4.663% | 280,000 | 265,169 | |
Bausch Health Companies, Inc.(a) | ||||
12/01/2021 | 5.625% | 84,000 | 83,029 | |
03/15/2024 | 7.000% | 27,000 | 27,349 | |
04/15/2025 | 6.125% | 399,000 | 346,786 | |
11/01/2025 | 5.500% | 58,000 | 54,199 | |
04/01/2026 | 9.250% | 145,000 | 145,460 | |
01/31/2027 | 8.500% | 27,000 | 26,158 |
16 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 77,000 | 72,429 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) | ||||
08/01/2023 | 6.375% | 161,000 | 154,005 | |
Total | 1,383,926 | |||
Property & Casualty 0.1% | ||||
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 133,000 | 120,166 | |
Railroads 0.2% | ||||
CSX Corp. | ||||
03/01/2048 | 4.300% | 280,000 | 268,041 | |
Restaurants 0.3% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
10/15/2025 | 5.000% | 178,000 | 163,755 | |
IRB Holding Corp.(a) | ||||
02/15/2026 | 6.750% | 98,000 | 85,200 | |
McDonald’s Corp. | ||||
12/09/2045 | 4.875% | 230,000 | 231,825 | |
Total | 480,780 | |||
Retailers 0.2% | ||||
Golden Legacy Pte. Ltd.(a) | ||||
06/07/2021 | 8.250% | 200,000 | 204,046 | |
L Brands, Inc. | ||||
11/01/2035 | 6.875% | 54,000 | 45,152 | |
Party City Holdings, Inc.(a) | ||||
08/15/2023 | 6.125% | 8,000 | 7,845 | |
08/01/2026 | 6.625% | 29,000 | 26,374 | |
Penske Automotive Group, Inc. | ||||
12/01/2024 | 5.375% | 30,000 | 28,092 | |
05/15/2026 | 5.500% | 17,000 | 15,810 | |
Total | 327,319 | |||
Supermarkets 0.4% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 31,000 | 27,125 | |
Kroger Co. (The) | ||||
02/01/2047 | 4.450% | 428,000 | 375,352 | |
01/15/2048 | 4.650% | 312,000 | 281,369 | |
Total | 683,846 | |||
Supranational 0.1% | ||||
Banque Ouest Africaine de Developpement(a) | ||||
07/27/2027 | 5.000% | 200,000 | 189,070 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 1.8% | ||||
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 52,000 | 49,967 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 650,000 | 582,815 | |
Camelot Finance SA(a) | ||||
10/15/2024 | 7.875% | 120,000 | 116,088 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 74,000 | 69,505 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 64,000 | 58,323 | |
03/15/2027 | 5.000% | 39,000 | 31,618 | |
Equinix, Inc. | ||||
01/15/2026 | 5.875% | 276,000 | 279,745 | |
05/15/2027 | 5.375% | 42,000 | 41,526 | |
First Data Corp.(a) | ||||
01/15/2024 | 5.750% | 114,000 | 111,099 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 156,000 | 151,718 | |
Informatica LLC(a) | ||||
07/15/2023 | 7.125% | 65,000 | 63,358 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 95,000 | 90,325 | |
Iron Mountain, Inc.(a) | ||||
03/15/2028 | 5.250% | 74,000 | 65,327 | |
MSCI, Inc.(a) | ||||
08/01/2026 | 4.750% | 36,000 | 34,146 | |
NCR Corp. | ||||
07/15/2022 | 5.000% | 100,000 | 94,295 | |
12/15/2023 | 6.375% | 112,000 | 108,429 | |
PTC, Inc. | ||||
05/15/2024 | 6.000% | 128,000 | 128,336 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 150,000 | 140,263 | |
Refinitiv US Holdings, Inc.(a) | ||||
05/15/2026 | 6.250% | 239,000 | 230,020 | |
11/15/2026 | 8.250% | 133,000 | 121,538 | |
Symantec Corp.(a) | ||||
04/15/2025 | 5.000% | 169,000 | 158,126 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 6.750% | 90,000 | 84,770 | |
VeriSign, Inc. | ||||
04/01/2025 | 5.250% | 192,000 | 191,948 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 78,000 | 73,307 | |
Total | 3,076,592 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 17 |
Table of Contents
December 31, 2018
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Transportation Services 0.5% | ||||
Avis Budget Car Rental LLC/Finance, Inc. | ||||
04/01/2023 | 5.500% | 46,000 | 44,619 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 113,000 | 97,970 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 650,000 | 593,117 | |
Hertz Corp. (The)(a) | ||||
06/01/2022 | 7.625% | 129,000 | 121,903 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 41,000 | 40,601 | |
Total | 898,210 | |||
Wireless 1.2% | ||||
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 400,000 | 366,880 | |
02/01/2027 | 8.125% | 68,000 | 64,090 | |
Altice Luxembourg SA(a) | ||||
05/15/2022 | 7.750% | 53,000 | 48,324 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 305,000 | 289,310 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 181,000 | 171,086 | |
Sprint Communications, Inc.(a) | ||||
03/01/2020 | 7.000% | 60,000 | 61,579 | |
Sprint Corp. | ||||
02/15/2025 | 7.625% | 180,000 | 181,697 | |
03/01/2026 | 7.625% | 128,000 | 127,771 | |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 291,000 | 297,028 | |
02/01/2026 | 4.500% | 50,000 | 46,183 | |
02/01/2028 | 4.750% | 147,000 | 135,287 | |
Wind Tre SpA(a) | ||||
01/20/2026 | 5.000% | 223,000 | 182,732 | |
Total | 1,971,967 | |||
Wirelines 1.2% | ||||
AT&T, Inc. | ||||
06/15/2045 | 4.350% | 900,000 | 763,882 | |
CenturyLink, Inc. | ||||
03/15/2022 | 5.800% | 119,000 | 114,287 | |
12/01/2023 | 6.750% | 52,000 | 50,095 | |
04/01/2024 | 7.500% | 86,000 | 83,321 | |
04/01/2025 | 5.625% | 130,000 | 114,545 | |
Frontier Communications Corp. | ||||
01/15/2023 | 7.125% | 116,000 | 65,934 | |
09/15/2025 | 11.000% | 41,000 | 25,549 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Liquid Telecommunications Financing PLC(a) | ||||
07/13/2022 | 8.500% | 200,000 | 202,000 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 72,000 | 62,209 | |
Verizon Communications, Inc. | ||||
03/15/2055 | 4.672% | 385,000 | 354,410 | |
Zayo Group LLC/Capital, Inc.(a) | ||||
01/15/2027 | 5.750% | 229,000 | 203,802 | |
Total | 2,040,034 | |||
Total Corporate Bonds & Notes (Cost $72,085,785) | 68,476,625 | |||
Foreign Government Obligations(k),(m) 12.4% | ||||
Argentina 1.6% | ||||
Argentine Republic Government International Bond | ||||
04/22/2019 | 6.250% | 750,000 | 755,997 | |
01/11/2023 | 4.625% | 120,000 | 95,433 | |
04/22/2026 | 7.500% | 500,000 | 402,198 | |
01/26/2027 | 6.875% | 100,000 | 76,521 | |
01/11/2028 | 5.875% | 200,000 | 144,570 | |
07/06/2028 | 6.625% | 550,000 | 408,570 | |
07/06/2036 | 7.125% | 250,000 | 179,989 | |
Argentine Republic Government International Bond(l) | ||||
12/31/2033 | 8.280% | 91,132 | 70,620 | |
Provincia de Buenos Aires(a) | ||||
06/15/2027 | 7.875% | 200,000 | 143,890 | |
Provincia de Cordoba(a) | ||||
06/10/2021 | 7.125% | 350,000 | 303,848 | |
08/01/2027 | 7.125% | 200,000 | 143,131 | |
Total | 2,724,767 | |||
Belarus 0.3% | ||||
Republic of Belarus International Bond(a) | ||||
06/29/2027 | 7.625% | 500,000 | 511,887 | |
Brazil 0.9% | ||||
Brazil Notas do Tesouro Nacional Serie F | ||||
01/01/2027 | 10.000% | BRL | 1,800,000 | 484,764 |
Brazilian Government International Bond | ||||
01/07/2041 | 5.625% | 150,000 | 144,167 | |
Petrobras Global Finance BV | ||||
01/27/2025 | 5.299% | 322,000 | 307,721 | |
01/17/2027 | 7.375% | 100,000 | 103,088 | |
01/27/2028 | 5.999% | 459,000 | 432,929 | |
Total | 1,472,669 | |||
Canada 0.3% | ||||
City of Toronto | ||||
06/07/2027 | 2.400% | CAD | 600,000 | 418,722 |
18 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Foreign Government Obligations(k),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
China 0.8% | ||||
Sinopec Group Overseas Development 2018 Ltd.(a) | ||||
09/12/2025 | 4.125% | 400,000 | 401,665 | |
State Grid Overseas Investment 2016 Ltd.(a) | ||||
05/04/2027 | 3.500% | 375,000 | 361,362 | |
Syngenta Finance NV(a) | ||||
04/24/2028 | 5.182% | 600,000 | 552,911 | |
Total | 1,315,938 | |||
Colombia 0.1% | ||||
Ecopetrol SA | ||||
06/26/2026 | 5.375% | 100,000 | 100,746 | |
Croatia 0.3% | ||||
Croatia Government International Bond(a) | ||||
01/26/2024 | 6.000% | 400,000 | 432,831 | |
Dominican Republic 1.1% | ||||
Dominican Republic Bond(a) | ||||
02/05/2027 | 11.250% | DOP | 10,000,000 | 203,212 |
Dominican Republic International Bond(a) | ||||
01/08/2021 | 14.000% | DOP | 3,012,000 | 63,348 |
03/04/2022 | 10.375% | DOP | 17,800,000 | 355,459 |
02/10/2023 | 14.500% | DOP | 3,600,000 | 79,523 |
01/27/2025 | 5.500% | 200,000 | 198,315 | |
01/25/2027 | 5.950% | 218,000 | 216,750 | |
04/30/2044 | 7.450% | 486,000 | 505,837 | |
01/27/2045 | 6.850% | 200,000 | 196,555 | |
Total | 1,818,999 | |||
Ecuador 0.3% | ||||
Ecuador Government International Bond(a) | ||||
12/13/2026 | 9.650% | 620,000 | 566,874 | |
Egypt 0.3% | ||||
Egypt Government International Bond(a) | ||||
02/21/2028 | 6.588% | 200,000 | 178,989 | |
01/31/2047 | 8.500% | 250,000 | 225,874 | |
02/21/2048 | 7.903% | 200,000 | 172,432 | |
Total | 577,295 | |||
El Salvador 0.1% | ||||
El Salvador Government International Bond(a) | ||||
02/28/2029 | 8.625% | 200,000 | 209,046 | |
Honduras 0.4% | ||||
Honduras Government International Bond(a) | ||||
03/15/2024 | 7.500% | 200,000 | 210,771 | |
01/19/2027 | 6.250% | 450,000 | 444,248 | |
Total | 655,019 |
Foreign Government Obligations(k),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Indonesia 0.6% | ||||
Indonesia Government International Bond(a) | ||||
01/17/2038 | 7.750% | 100,000 | 128,563 | |
Perusahaan Listrik Negara PT(a) | ||||
05/21/2028 | 5.450% | 400,000 | 402,994 | |
PT Pertamina Persero(a) | ||||
05/30/2044 | 6.450% | 400,000 | 415,840 | |
Total | 947,397 | |||
Ivory Coast 0.5% | ||||
Ivory Coast Government International Bond(a) | ||||
03/03/2028 | 6.375% | 200,000 | 179,733 | |
03/22/2030 | 5.250% | EUR | 200,000 | 201,952 |
06/15/2033 | 6.125% | 200,000 | 166,608 | |
Ivory Coast Government International Bond(a),(l) | ||||
12/31/2032 | 5.750% | 285,825 | 251,567 | |
Total | 799,860 | |||
Kazakhstan 0.5% | ||||
Kazakhstan Government International Bond(a) | ||||
07/21/2045 | 6.500% | 200,000 | 239,420 | |
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 600,000 | 590,388 | |
Total | 829,808 | |||
Malaysia 0.0% | ||||
Petronas Capital Ltd.(a) | ||||
08/12/2019 | 5.250% | 75,000 | 75,943 | |
Mexico 1.2% | ||||
Mexican Bonos | ||||
06/10/2021 | 6.500% | MXN | 50,000 | 2,430 |
Petroleos Mexicanos(a) | ||||
09/12/2024 | 7.190% | MXN | 260,000 | 10,326 |
Petroleos Mexicanos | ||||
01/23/2026 | 4.500% | 102,000 | 88,273 | |
08/04/2026 | 6.875% | 350,000 | 340,678 | |
11/12/2026 | 7.470% | MXN | 4,700,000 | 175,983 |
03/13/2027 | 6.500% | 1,088,000 | 1,025,228 | |
06/15/2035 | 6.625% | 100,000 | 87,367 | |
01/23/2045 | 6.375% | 200,000 | 161,718 | |
09/21/2047 | 6.750% | 180,000 | 149,155 | |
Total | 2,041,158 | |||
Morocco 0.1% | ||||
OCP SA(a) | ||||
04/25/2024 | 5.625% | 200,000 | 205,533 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 19 |
Table of Contents
December 31, 2018
Foreign Government Obligations(k),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nigeria 0.4% | ||||
Nigeria Government International Bond(a) | ||||
01/21/2031 | 8.747% | 200,000 | 194,598 | |
02/16/2032 | 7.875% | 600,000 | 546,263 | |
Total | 740,861 | |||
Oman 0.6% | ||||
Oman Government International Bond(a) | ||||
01/17/2028 | 5.625% | 900,000 | 792,607 | |
Oman Sovereign Sukuk SAOC(a) | ||||
10/31/2025 | 5.932% | 200,000 | 190,833 | |
Total | 983,440 | |||
Paraguay 0.2% | ||||
Paraguay Government International Bond(a) | ||||
03/27/2027 | 4.700% | 200,000 | 197,459 | |
08/11/2044 | 6.100% | 200,000 | 207,237 | |
Total | 404,696 | |||
Russian Federation 0.1% | ||||
Gazprom OAO Via Gaz Capital SA(a) | ||||
02/06/2028 | 4.950% | 225,000 | 214,770 | |
Senegal 0.3% | ||||
Senegal Government International Bond(a) | ||||
07/30/2024 | 6.250% | 200,000 | 194,720 | |
05/23/2033 | 6.250% | 430,000 | 371,221 | |
Total | 565,941 | |||
Serbia 0.2% | ||||
Serbia International Bond(a) | ||||
09/28/2021 | 7.250% | 250,000 | 269,486 | |
South Africa 0.6% | ||||
Eskom Holdings SOC Ltd.(a) | ||||
08/10/2028 | 6.350% | 400,000 | 386,217 | |
Republic of South Africa Government Bond | ||||
01/31/2037 | 8.500% | ZAR | 9,000,000 | 555,181 |
Total | 941,398 | |||
Sri Lanka 0.2% | ||||
Sri Lanka Government International Bond(a) | ||||
04/18/2023 | 5.750% | 200,000 | 184,601 | |
04/18/2028 | 6.750% | 200,000 | 181,794 | |
Total | 366,395 | |||
Trinidad and Tobago 0.1% | ||||
Petroleum Co. of Trinidad & Tobago Ltd.(a) | ||||
08/14/2019 | 9.750% | 200,000 | 190,813 |
Foreign Government Obligations(k),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ukraine 0.3% | ||||
Ukraine Government International Bond(a) | ||||
09/01/2024 | 7.750% | 100,000 | 88,244 | |
09/25/2032 | 7.375% | 220,000 | 175,440 | |
Ukraine Railways Via Shortline PLC(a) | ||||
09/15/2021 | 9.875% | 200,000 | 195,112 | |
Total | 458,796 | |||
Total Foreign Government Obligations (Cost $22,354,287) | 20,841,088 | |||
Residential Mortgage-Backed Securities - Agency 16.9% | ||||
Federal Home Loan Mortgage Corp. | ||||
10/01/2026 | 8.000% | 31,634 | 32,475 | |
Federal Home Loan Mortgage Corp.(b),(n) | ||||
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 3.495% | 3,373,950 | 633,653 | |
CMO Series 326 Class S2 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 03/15/2044 | 3.495% | 564,906 | 88,495 | |
Federal Home Loan Mortgage Corp.(n) | ||||
CMO Series 4120 Class AI | ||||
11/15/2039 | 3.500% | 2,412,086 | 256,839 | |
Federal Home Loan Mortgage Corp.(h),(n) | ||||
CMO Series 4620 Class AS | ||||
11/15/2042 | 1.418% | 1,779,022 | 74,922 | |
Federal National Mortgage Association(c) | ||||
01/17/2034 | 3.000% | 1,000,000 | 997,520 | |
01/14/2049 | 3.500% | 7,500,000 | 7,498,682 | |
01/14/2049 | 4.000% | 5,000,000 | 5,096,875 | |
01/14/2049 | 5.000% | 5,000,000 | 5,237,109 | |
Federal National Mortgage Association | ||||
05/01/2041 | 4.000% | 135,051 | 137,177 | |
Federal National Mortgage Association(h),(j),(n) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 1.933% | 3,362,498 | 0 | |
Federal National Mortgage Association(n) | ||||
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 1,451,963 | 155,885 | |
CMO Series 2012-139 Class IL | ||||
04/25/2040 | 3.500% | 2,210,444 | 299,326 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 1,841,022 | 387,533 |
20 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(b),(n) | ||||
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 3.644% | 586,854 | 97,605 | |
CMO Series 2016-31 Class H5 | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 3.494% | 998,597 | 176,003 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 3.494% | 1,372,740 | 253,324 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 07/25/2046 | 3.494% | 2,173,078 | 407,076 | |
CMO Series 2017-47 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 06/25/2047 | 3.594% | 854,675 | 157,638 | |
CMO Series 2017-49 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 3.644% | 1,026,658 | 201,137 | |
CMO Series 2017-56 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 3.644% | 1,718,328 | 316,498 | |
CMO Series 2018-76 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 3.644% | 802,127 | 160,873 | |
Government National Mortgage Association(c) | ||||
01/23/2049 | 3.000% | 2,000,000 | 1,969,492 | |
01/23/2049 | 4.500% | 2,000,000 | 2,069,492 | |
Government National Mortgage Association(n) | ||||
CMO Series 2014-190 Class AI | ||||
12/20/2038 | 3.500% | 1,780,421 | 213,843 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(b),(n) | ||||
CMO Series 2015-144 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2045 | 3.730% | 723,754 | 126,614 | |
CMO Series 2016-108 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 08/20/2046 | 3.610% | 818,040 | 162,661 | |
CMO Series 2016-146 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 10/20/2046 | 3.630% | 414,075 | 81,384 | |
CMO Series 2016-20 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 02/20/2046 | 3.630% | 1,057,873 | 166,246 | |
CMO Series 2016-91 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 07/20/2046 | 3.610% | 806,932 | 166,696 | |
CMO Series 2017-129 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 3.730% | 983,554 | 174,863 | |
CMO Series 2017-130 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 3.730% | 856,092 | 133,423 | |
CMO Series 2017-133 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2047 | 3.780% | 1,131,909 | 172,268 | |
CMO Series 2018-67 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 3.730% | 1,947,209 | 359,069 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $28,613,150) | 28,462,696 | |||
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 21 |
Table of Contents
December 31, 2018
Residential Mortgage-Backed Securities - Non-Agency 15.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ajax Mortgage Loan Trust(a) | ||||
CMO Series 2016-C Class A | ||||
10/25/2057 | 4.000% | 543,540 | 541,101 | |
Arroyo Mortgage Trust(a) | ||||
CMO Series 2018-1 Class A3 | ||||
04/25/2048 | 4.218% | 705,078 | 713,236 | |
Banc of America Funding Trust(a),(d),(h) | ||||
CMO Series 2016-R1 Class M2 | ||||
03/25/2040 | 3.500% | 507,334 | 494,347 | |
Bayview Opportunity Master Fund IIIa Trust(a) | ||||
Series 2017-RN8 Class A1 | ||||
11/28/2032 | 3.352% | 145,490 | 144,849 | |
Bayview Opportunity Master Fund IV Trust(a) | ||||
CMO Series 2018-RN2 Class A1 | ||||
02/25/2033 | 3.598% | 330,400 | 329,613 | |
Bayview Opportunity Master Fund IVa Trust(a) | ||||
CMO Series 2018-RN3 Class A1 | ||||
03/28/2033 | 3.672% | 63,744 | 63,514 | |
CMO Series 2018-RN6 Class A1 | ||||
07/25/2033 | 4.090% | 449,100 | 447,349 | |
Bayview Opportunity Master Fund Trust(a) | ||||
CMO Series 2018-RN8 Class A1 | ||||
09/28/2033 | 4.066% | 344,696 | 345,051 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2018-2A Class M1C | ||||
1-month USD LIBOR + 1.600% 08/25/2028 | 4.106% | 400,000 | 403,726 | |
CAM Mortgage Trust(a) | ||||
CMO Series 2018-1 Class A1 | ||||
12/01/2065 | 3.960% | 514,994 | 513,960 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 5.256% | 500,000 | 500,197 | |
CIM Trust(a) | ||||
CMO Series 2017-6 Class A1 | ||||
06/25/2057 | 3.015% | 749,991 | 727,041 | |
CMO Series 2017-8 Class A1 | ||||
12/25/2065 | 3.000% | 470,809 | 462,010 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.080% 09/25/2058 | 3.596% | 962,423 | 951,909 | |
COLT Mortgage Loan Trust(a) | ||||
CMO Series 2016-1 Class A2 | ||||
05/25/2046 | 3.500% | 41,540 | 41,233 | |
COLT Mortgage Loan Trust(a),(h) | ||||
CMO Series 2016-2 Class A2 | ||||
09/25/2046 | 3.250% | 164,662 | 163,985 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit Suisse Mortgage Capital Certificates(a),(h) | ||||
CMO Series 2008-4R Class 3A4 | ||||
01/26/2038 | 3.902% | 874,471 | 865,209 | |
Credit Suisse Mortgage Trust(a) | ||||
CMO Series 2018-RPL2 Class A1 | ||||
08/25/2062 | 4.030% | 188,129 | 187,346 | |
CSMC Trust(a) | ||||
CMO Series 2018-RPL8 Class A1 | ||||
07/25/2058 | 4.125% | 779,606 | 778,507 | |
CTS Corp.(a) | ||||
CMO Series 2015-6R Class 3A2 | ||||
02/27/2036 | 3.750% | 585,004 | 550,652 | |
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust | ||||
CMO Series 2003-1 Class 1A7 | ||||
04/25/2033 | 5.500% | 270,995 | 267,697 | |
GCAT LLC(a) | ||||
CMO Series 2017-2 Class A1 | ||||
04/25/2047 | 3.500% | 335,386 | 332,536 | |
CMO Series 2018-1 Class A1 | ||||
06/25/2048 | 3.844% | 370,729 | 367,856 | |
CMO Series 2018-2 Class A1 | ||||
06/26/2023 | 4.090% | 1,120,411 | 1,109,655 | |
Grand Avenue Mortgage Loan Trust(a) | ||||
CMO Series 2017-RPL1 Class A1 | ||||
08/25/2064 | 3.250% | 727,880 | 722,969 | |
Homeward Opportunities Fund I Trust(a),(d) | ||||
CMO Series 2018-1 Class M1 | ||||
06/25/2048 | 4.548% | 300,000 | 295,969 | |
Legacy Mortgage Asset Trust(a) | ||||
CMO Series 2017-GS1 Class A1 | ||||
01/25/2057 | 3.500% | 850,998 | 843,531 | |
New Residential Mortgage LLC(a) | ||||
Subordinated, CMO Series 2018-FNT1 Class D | ||||
05/25/2023 | 4.690% | 589,333 | 587,434 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2018-PLS1 Class C | ||||
01/25/2023 | 3.981% | 390,477 | 388,071 | |
Series 2018-PLS1 Class D | ||||
01/25/2023 | 4.374% | 390,477 | 388,311 | |
Subordinated, CMO Series 2018-PLS2 Class C | ||||
02/25/2023 | 4.102% | 402,199 | 401,198 | |
Subordinated, CMO Series 2018-PLS2 Class D | ||||
02/25/2023 | 4.593% | 683,738 | 682,035 | |
Oak Hill Advisors Residential Loan Trust(a) | ||||
CMO Series 2017-NPL1 Class A1 | ||||
06/25/2057 | 3.000% | 247,676 | 242,525 | |
CMO Series 2017-NPL2 Class A1 | ||||
07/25/2057 | 3.000% | 695,950 | 679,178 |
22 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oaktown Re Ltd.(a),(b) | ||||
CMO Series 2017-1A Class M1 | ||||
1-month USD LIBOR + 2.250% 04/25/2027 | 4.756% | 216,364 | 216,995 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 5.356% | 1,500,000 | 1,503,222 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 5.156% | 1,000,000 | 1,002,089 | |
Preston Ridge Partners Mortgage LLC(a) | ||||
CMO Series 2017-2A Class A1 | ||||
09/25/2022 | 3.470% | 581,694 | 578,825 | |
Preston Ridge Partners Mortgage LLC(a),(h) | ||||
CMO Series 2017-3A Class A1 | ||||
11/25/2022 | 3.470% | 914,059 | 908,072 | |
Pretium Mortgage Credit Partners I LLC(a) | ||||
CMO Series 2017-NPL4 Class A1 | ||||
08/27/2032 | 3.250% | 646,893 | 640,373 | |
CMO Series 2018-NPL1 Class A1 | ||||
01/27/2033 | 3.375% | 800,378 | 793,016 | |
PRPM LLC(a),(h) | ||||
CMO Series 2018-3A Class A1 | ||||
10/25/2023 | 4.483% | 875,897 | 880,222 | |
RCO Mortgage LLC(a),(h) | ||||
CMO Series 2017-1 Class A1 | ||||
08/25/2022 | 3.375% | 401,543 | 399,185 | |
RCO V Mortgage LLC(a) | ||||
CMO Series 2018-1 Class A1 | ||||
05/25/2023 | 4.000% | 351,325 | 350,050 | |
RCO V Mortgage LLC(a),(h) | ||||
CMO Series 2018-2 Class A1 | ||||
10/25/2023 | 4.458% | 498,114 | 496,819 | |
Vericrest Opportunity Loan Transferee LXII LLC(a) | ||||
CMO Series 2017-NPL9 Class A1 | ||||
09/25/2047 | 3.125% | 217,905 | 217,709 | |
Vericrest Opportunity Loan Transferee LXX LLC(a),(h) | ||||
CMO Series 2018-NPL6 Class A1A | ||||
09/25/2048 | 4.115% | 657,385 | 652,783 | |
Vericrest Opportunity Loan Transferee LXXI LLC(a) | ||||
CMO Series 2018-NPL7 Class A1A | ||||
09/25/2048 | 3.967% | 545,869 | 542,912 | |
Verus Securitization Trust(a) | ||||
CMO Series 2018-1 Class A3 | ||||
02/25/2048 | 3.205% | 396,504 | 393,776 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $26,193,688) | 26,109,848 | |||
Senior Loans 4.1% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.0% | ||||
Cogeco Communications (U.S.A.) II LP(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.375% 01/03/2025 | 4.897% | 49,750 | 46,972 | |
Chemicals 0.3% | ||||
ColourOz Investment 1 GmbH(b),(o) | ||||
Tranche C 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 09/07/2021 | 5.487% | 69,302 | 61,678 | |
ColourOz Investment 2 LLC(b),(o) | ||||
Tranche B2 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 09/07/2021 | 5.487% | 419,219 | 373,105 | |
Kraton Polymers LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 1.000% 03/08/2025 | 5.022% | 108,944 | 105,472 | |
Total | 540,255 | |||
Consumer Cyclical Services 0.6% | ||||
Staples, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 09/12/2024 | 6.541% | 268,509 | 256,875 | |
Uber Technologies, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% 07/13/2023 | 5.955% | 723,742 | 692,534 | |
Total | 949,409 | |||
Consumer Products 0.0% | ||||
Serta Simmons Bedding LLC(b),(o) | ||||
2nd Lien Term Loan | ||||
3-month USD LIBOR + 8.000% Floor 1.000% 11/08/2024 | 10.432% | 125,259 | 88,517 | |
Electric 0.3% | ||||
Astoria Energy LLC(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 12/24/2021 | 6.530% | 468,716 | 459,577 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 23 |
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December 31, 2018
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Food and Beverage 0.1% | ||||
8th Avenue Food & Provisions, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 10/01/2025 | 6.099% | 34,606 | 33,827 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.750% 10/01/2026 | 10.099% | 63,566 | 62,533 | |
Total | 96,360 | |||
Gaming 0.6% | ||||
Affinity Gaming(b),(o) | ||||
2nd Lien Term Loan | ||||
3-month USD LIBOR + 8.250% Floor 1.000% 01/31/2025 | 10.772% | 1,000,000 | 960,000 | |
Media and Entertainment 0.0% | ||||
UFC Holdings LLC(b),(o) | ||||
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.500% Floor 1.000% 08/18/2024 | 10.022% | 9,000 | 8,870 | |
Oil Field Services 0.3% | ||||
Fieldwood Energy LLC(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 5.250% Floor 1.000% 04/11/2022 | 7.772% | 275,952 | 257,154 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.250% Floor 1.000% 04/11/2023 | 9.772% | 372,536 | 323,734 | |
Total | 580,888 | |||
Packaging 0.6% | ||||
ProAmpac PG Borrower LLC(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 11/20/2023 | 6.049% | 982,500 | 935,831 | |
Retailers 0.2% | ||||
Academy Ltd.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 07/01/2022 | 6.349% | 556,087 | 367,712 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 1.1% | ||||
Ascend Learning LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 5.522% | 13,825 | 13,030 | |
Greeneden US Holdings I LLC/Genesys Telecommunications Laboratories, Inc.(b),(o) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 3.250% 12/01/2023 | 5.772% | 29,479 | 28,337 | |
Hyland Software, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 0.750% 07/01/2024 | 6.022% | 985,000 | 952,495 | |
ION Trading Technologies SARL(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 11/21/2024 | 6.522% | 987,956 | 931,149 | |
Total | 1,925,011 | |||
Total Senior Loans (Cost $7,507,037) | 6,959,402 | |||
Treasury Bills(k),(m) 0.5% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
Argentina 0.3% | ||||
Argentina Treasury Bills | ||||
04/30/2019 | (28.670%) | ARS | 15,500,000 | 455,067 |
Nigeria 0.2% | ||||
Nigeria Treasury Bills | ||||
01/17/2019 | 2.770% | NGN | 124,000,000 | 339,124 |
Total Treasury Bills (Cost $785,414) | 794,191 |
Options Purchased Calls 0.0% | ||||
Value ($) | ||||
(Cost $52,500) | 85,271 |
24 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 |
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December 31, 2018
Money Market Funds 6.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(p),(q) | 11,194,472 | 11,193,352 |
Total Money Market Funds (Cost $11,193,352) | 11,193,352 | |
Total Investments in Securities (Cost: $194,848,844) | 188,716,293 | |
Other Assets & Liabilities, Net | (20,424,568) | |
Net Assets | 168,291,725 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
2,249,077 EUR | 2,575,983 USD | Credit Suisse | 01/11/2019 | — | (2,731) |
420,409 USD | 580,000 AUD | Credit Suisse | 01/11/2019 | — | (11,815) |
379,418 USD | 3,240,000 NOK | Credit Suisse | 01/11/2019 | — | (4,553) |
950,000 CAD | 716,838 USD | Goldman Sachs | 01/11/2019 | 20,815 | — |
288,952 USD | 390,000 CAD | Goldman Sachs International | 01/11/2019 | — | (3,216) |
374,488 USD | 3,200,000 NOK | JPMorgan | 01/11/2019 | — | (4,251) |
538,852 MXN | 26,045 USD | Morgan Stanley | 01/11/2019 | — | (1,338) |
4,500,000 NOK | 526,249 USD | Morgan Stanley | 01/11/2019 | 5,602 | — |
374,059 USD | 3,200,000 NOK | Morgan Stanley | 01/11/2019 | — | (3,822) |
1,910,000 BRL | 507,554 USD | Standard Chartered Bank | 01/11/2019 | 14,983 | — |
8,091,000 ZAR | 568,599 USD | TD Securities | 01/11/2019 | 6,809 | — |
592,409 USD | 67,100,000 JPY | UBS | 01/11/2019 | 20,192 | — |
Total | 68,401 | (31,726) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 179 | 03/2019 | USD | 21,840,797 | 487,001 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bobl | (246) | 03/2019 | EUR | (32,599,920) | — | (162,601) |
Long Gilt | (34) | 03/2019 | GBP | (4,187,780) | — | (44,792) |
U.S. Treasury 2-Year Note | (65) | 03/2019 | USD | (13,800,313) | — | (95,602) |
U.S. Ultra Treasury Bond | (16) | 03/2019 | USD | (2,570,500) | — | (131,411) |
Total | — | (434,406) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 10,000,000 | 10,000,000 | 2.50 | 06/19/2019 | 52,500 | 85,271 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 25 |
Table of Contents
December 31, 2018
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (7,000,000) | (7,000,000) | 3.25 | 02/28/2019 | (37,625) | (2,338) |
Interest rate swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.193% | Receives At maturity, Pays At maturity | Goldman Sachs International | 11/23/2028 | USD | 1,800,000 | (34,353) | — | — | — | — | (34,353) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.017% | Receives At maturity, Pays At maturity | JPMorgan | 12/21/2028 | USD | 1,700,000 | (5,586) | — | — | — | — | (5,586) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.193% | Receives At maturity, Pays At maturity | Morgan Stanley | 12/07/2028 | USD | 1,900,000 | (36,524) | — | — | — | — | (36,524) |
Total | (76,463) | — | — | — | — | (76,463) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 2.740% | 3-Month USD LIBOR | Receives Semi annually, Pays Quarterly | Morgan Stanley | 02/16/2023 | USD | 15,500,000 | 208,851 | — | — | 208,851 | — |
Fixed rate of 6.361% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 10/24/2025 | MXN | 17,000,000 | (104,825) | — | — | — | (104,825) |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/21/2026 | MXN | 8,000,000 | (59,757) | — | — | — | (59,757) |
Fixed rate of 5.960% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 02/02/2026 | MXN | 20,000,000 | (150,788) | — | — | — | (150,788) |
Total | (106,519) | — | — | 208,851 | (315,370) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | 4.961 | USD | 200,000 | (25,180) | 116 | — | (22,347) | — | (2,717) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 4.943 | USD | 200,000 | (23,000) | 117 | — | (20,845) | — | (2,038) |
Total | (48,180) | 233 | — | (43,192) | — | (4,755) |
* | 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. |
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December 31, 2018
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 31 | Morgan Stanley | 12/20/2023 | 5.000 | Quarterly | 4.519 | USD | 1,650,000 | 6,898 | — | — | 6,898 | — |
Markit CDX North America High Yield Index, Series 31 | Morgan Stanley | 12/20/2023 | 5.000 | Quarterly | 4.519 | USD | 1,650,000 | (1,104) | — | — | — | (1,104) |
Total | 5,794 | — | — | 6,898 | (1,104) |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 8.590% |
3-Month USD LIBOR | London Interbank Offered Rate | 2.808% |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 1.900% |
(a) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2018, the total value of these securities amounted to $91,980,142, which represents 54.66% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2018. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | Valuation based on significant unobservable inputs. |
(e) | Represents shares owned in the residual interest of an asset-backed securitization. |
(f) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2018, the total value of these securities amounted to $654,591, which represents 0.39% of total net assets. |
(g) | Zero coupon bond. |
(h) | 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, 2018. |
(i) | Non-income producing investment. |
(j) | Negligible market value. |
(k) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(l) | 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, 2018. |
(m) | Principal and interest may not be guaranteed by the government. |
(n) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(o) | The stated interest rate represents the weighted average interest rate at December 31, 2018 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. |
(p) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 27 |
Table of Contents
December 31, 2018
(q) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | ||||||||
6,491,622 | 66,901,570 | (62,198,720) | 11,194,472 | (315) | (597) | 162,468 | 11,193,352 |
CMO | Collateralized Mortgage Obligation |
PIK | Payment In Kind |
ARS | Argentine Peso |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
DOP | Dominican Republic Peso |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
MXN | Mexican Peso |
NGN | Nigerian Naira |
NOK | Norwegian Krone |
USD | US Dollar |
ZAR | South African Rand |
■ | 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). |
28 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 |
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December 31, 2018
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 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Asset-Backed Securities — Non-Agency | — | 16,457,271 | 1,038,591 | — | 17,495,862 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 7,963,777 | — | — | 7,963,777 |
Common Stocks | |||||
Energy | — | 326,648 | — | — | 326,648 |
Financials | — | — | — | — | — |
Utilities | — | 7,533 | — | — | 7,533 |
Total Common Stocks | — | 334,181 | — | — | 334,181 |
Corporate Bonds & Notes | — | 68,476,625 | — | — | 68,476,625 |
Foreign Government Obligations | — | 20,841,088 | — | — | 20,841,088 |
Residential Mortgage-Backed Securities - Agency | — | 28,462,696 | — | — | 28,462,696 |
Residential Mortgage-Backed Securities - Non-Agency | — | 25,319,532 | 790,316 | — | 26,109,848 |
Senior Loans | — | 6,959,402 | — | — | 6,959,402 |
Treasury Bills | — | 794,191 | — | — | 794,191 |
Options Purchased Calls | — | 85,271 | — | — | 85,271 |
Money Market Funds | — | — | — | 11,193,352 | 11,193,352 |
Total Investments in Securities | — | 175,694,034 | 1,828,907 | 11,193,352 | 188,716,293 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 68,401 | — | — | 68,401 |
Futures Contracts | 487,001 | — | — | — | 487,001 |
Swap Contracts | — | 215,749 | — | — | 215,749 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (31,726) | — | — | (31,726) |
Futures Contracts | (434,406) | — | — | — | (434,406) |
Options Contracts Written | — | (2,338) | — | — | (2,338) |
Swap Contracts | — | (397,692) | — | — | (397,692) |
Total | 52,595 | 175,546,428 | 1,828,907 | 11,193,352 | 188,621,282 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 29 |
Table of Contents
December 31, 2018
See the Portfolio of Investments for all investment classifications not indicated in the table.
Investments in securities | Balance as of 12/31/2017 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 12/31/2018 ($) |
Asset-Backed Securities — Non-Agency | 2,476,000 | 2,615 | — | (267,584) | 377,560 | — | — | (1,550,000) | 1,038,591 |
Common Stocks | 260,400 | — | 121,909 | (21,485) | — | (360,824) | — | — | — |
Corporate Bonds & Notes | 332,280 | — | — | — | — | — | — | (332,280) | — |
Residential Mortgage-Backed Securities — Non-Agency | 5,033,223 | 671 | — | (3,830) | 299,999 | (3,200,000) | — | (1,339,747) | 790,316 |
Senior Loans | 600,000 | — | 12,250 | (11,000) | — | (601,250) | — | — | — |
Total | 8,701,903 | 3,286 | 134,159 | (303,899) | 677,559 | (4,162,074) | — | (3,222,027) | 1,828,907 |
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December 31, 2018
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $183,602,992) | $177,437,670 |
Affiliated issuers (cost $11,193,352) | 11,193,352 |
Options purchased (cost $52,500) | 85,271 |
Cash | 49,612 |
Foreign currency (cost $8,508) | 8,673 |
Margin deposits on: | |
Futures contracts | 540,476 |
Swap contracts | 505,753 |
Unrealized appreciation on forward foreign currency exchange contracts | 68,401 |
Receivable for: | |
Investments sold | 110,858 |
Capital shares sold | 45,444 |
Dividends | 20,379 |
Interest | 1,700,215 |
Foreign tax reclaims | 12,174 |
Variation margin for futures contracts | 75,556 |
Variation margin for swap contracts | 25,664 |
Expense reimbursement due from Investment Manager | 12,185 |
Prepaid expenses | 635 |
Trustees’ deferred compensation plan | 69,887 |
Total assets | 191,962,205 |
Liabilities | |
Option contracts written, at value (premiums received $37,625) | 2,338 |
Unrealized depreciation on forward foreign currency exchange contracts | 31,726 |
Unrealized depreciation on swap contracts | 81,218 |
Upfront receipts on swap contracts | 43,192 |
Payable for: | |
Investments purchased on a delayed delivery basis | 23,225,760 |
Capital shares purchased | 11,071 |
Variation margin for futures contracts | 18,641 |
Variation margin for swap contracts | 209 |
Management services fees | 86,014 |
Distribution and/or service fees | 14,621 |
Service fees | 9,662 |
Compensation of board members | 1,020 |
Compensation of chief compliance officer | 16 |
Other expenses | 75,105 |
Trustees’ deferred compensation plan | 69,887 |
Total liabilities | 23,670,480 |
Net assets applicable to outstanding capital stock | $168,291,725 |
Represented by | |
Paid in capital | 169,177,982 |
Total distributable earnings (loss) (Note 2) | (886,257) |
Total - representing net assets applicable to outstanding capital stock | $168,291,725 |
Class 1 | |
Net assets | $99,737,938 |
Shares outstanding | 24,816,702 |
Net asset value per share | $4.02 |
Class 2 | |
Net assets | $68,553,787 |
Shares outstanding | 17,232,659 |
Net asset value per share | $3.98 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 | 31 |
Table of Contents
Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $344,713 |
Dividends — affiliated issuers | 162,468 |
Interest | 8,081,667 |
Total income | 8,588,848 |
Expenses: | |
Management services fees | 1,007,137 |
Distribution and/or service fees | |
Class 2 | 168,889 |
Service fees | 93,385 |
Compensation of board members | 14,830 |
Custodian fees | 76,122 |
Printing and postage fees | 29,102 |
Audit fees | 57,821 |
Legal fees | 3,676 |
Interest on collateral | 3,560 |
Compensation of chief compliance officer | 64 |
Other | 12,276 |
Total expenses | 1,466,862 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (142,404) |
Total net expenses | 1,324,458 |
Net investment income | 7,264,390 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (644,009) |
Investments — affiliated issuers | (315) |
Foreign currency translations | (36,947) |
Forward foreign currency exchange contracts | 240,499 |
Futures contracts | 21,390 |
Options purchased | 527,150 |
Options contracts written | 88,500 |
Swap contracts | (367,674) |
Net realized loss | (171,406) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (8,767,786) |
Investments — affiliated issuers | (597) |
Foreign currency translations | (16,628) |
Forward sale commitments | 16,562 |
Forward foreign currency exchange contracts | 16,872 |
Futures contracts | 324,278 |
Options purchased | 130,181 |
Options contracts written | 35,287 |
Swap contracts | 425,045 |
Net change in unrealized appreciation (depreciation) | (7,836,786) |
Net realized and unrealized loss | (8,008,192) |
Net decrease in net assets resulting from operations | $(743,802) |
32 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2018 |
Table of Contents
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $7,264,390 | $6,650,413 |
Net realized gain (loss) | (171,406) | 2,452 |
Net change in unrealized appreciation (depreciation) | (7,836,786) | 2,249,940 |
Net increase (decrease) in net assets resulting from operations | (743,802) | 8,902,805 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (3,438,395) | |
Class 2 | (2,217,129) | |
Net investment income | ||
Class 1 | (2,945,144) | |
Class 2 | (1,578,928) | |
Total distributions to shareholders (Note 2) | (5,655,524) | (4,524,072) |
Increase in net assets from capital stock activity | 11,002,638 | 16,662,375 |
Total increase in net assets | 4,603,312 | 21,041,108 |
Net assets at beginning of year | 163,688,413 | 142,647,305 |
Net assets at end of year | $168,291,725 | $163,688,413 |
Undistributed net investment income | $6,983,142 | $5,528,977 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 677,059 | 2,758,715 | 191,399 | 796,022 |
Distributions reinvested | 848,986 | 3,438,395 | 713,110 | 2,945,144 |
Redemptions | (605,434) | (2,483,158) | (680,029) | (2,818,917) |
Net increase | 920,611 | 3,713,952 | 224,480 | 922,249 |
Class 2 | ||||
Subscriptions | 5,051,153 | 20,665,730 | 5,101,930 | 21,011,774 |
Distributions reinvested | 552,900 | 2,217,129 | 386,046 | 1,578,928 |
Redemptions | (3,819,211) | (15,594,173) | (1,664,340) | (6,850,576) |
Net increase | 1,784,842 | 7,288,686 | 3,823,636 | 15,740,126 |
Total net increase | 2,705,453 | 11,002,638 | 4,048,116 | 16,662,375 |
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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 12/31/2018 | $4.18 | 0.18 | (0.20) | (0.02) | (0.14) | — | (0.14) |
Year Ended 12/31/2017 | $4.05 | 0.18 | 0.08 | 0.26 | (0.13) | — | (0.13) |
Year Ended 12/31/2016 | $4.45 | 0.19 | 0.21 | 0.40 | (0.53) | (0.27) | (0.80) |
Year Ended 12/31/2015 | $8.71 | 0.34 | (0.32)(d) | 0.02 | (3.20) | (1.08) | (4.28) |
Year Ended 12/31/2014 | $8.77 | 0.39 | (0.05) | 0.34 | (0.30) | (0.10) | (0.40) |
Class 2 | |||||||
Year Ended 12/31/2018 | $4.14 | 0.17 | (0.20) | (0.03) | (0.13) | — | (0.13) |
Year Ended 12/31/2017 | $4.02 | 0.17 | 0.07 | 0.24 | (0.12) | — | (0.12) |
Year Ended 12/31/2016 | $4.41 | 0.18 | 0.21 | 0.39 | (0.51) | (0.27) | (0.78) |
Year Ended 12/31/2015 | $8.66 | 0.26 | (0.25)(d) | 0.01 | (3.18) | (1.08) | (4.26) |
Year Ended 12/31/2014 | $8.73 | 0.37 | (0.07) | 0.30 | (0.27) | (0.10) | (0.37) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
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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 12/31/2018 | $4.02 | (0.39%) | 0.77%(c) | 0.69%(c) | 4.43% | 157% | $99,738 |
Year Ended 12/31/2017 | $4.18 | 6.36% | 0.77% | 0.71% | 4.42% | 162% | $99,806 |
Year Ended 12/31/2016 | $4.05 | 9.15% | 0.73% | 0.66% | 4.50% | 179% | $95,971 |
Year Ended 12/31/2015 | $4.45 | (1.77%) | 0.69% | 0.68% | 4.23% | 192% | $89,998 |
Year Ended 12/31/2014 | $8.71 | 3.77% | 0.67% | 0.67% | 4.39% | 130% | $900,978 |
Class 2 | |||||||
Year Ended 12/31/2018 | $3.98 | (0.64%) | 1.02%(c) | 0.94%(c) | 4.18% | 157% | $68,554 |
Year Ended 12/31/2017 | $4.14 | 5.90% | 1.03% | 0.96% | 4.19% | 162% | $63,882 |
Year Ended 12/31/2016 | $4.02 | 9.05% | 0.98% | 0.90% | 4.24% | 179% | $46,676 |
Year Ended 12/31/2015 | $4.41 | (1.93%) | 0.98% | 0.94% | 4.23% | 192% | $35,854 |
Year Ended 12/31/2014 | $8.66 | 3.41% | 0.92% | 0.92% | 4.14% | 130% | $33,769 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 6,898* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 68,401 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 487,001* |
Interest rate risk | Investments, at value — Options purchased | 85,271 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 208,851* |
Total | 856,422 |
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Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 5,859* |
Credit risk | Upfront receipts on swap contracts | 43,192 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 31,726 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 434,406* |
Interest rate risk | Options contracts written, at value | 2,338 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 391,833* |
Total | 909,354 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 3,392 | 3,392 |
Foreign exchange risk | 240,499 | — | — | — | — | 240,499 |
Interest rate risk | — | 21,390 | 88,500 | 527,150 | (371,066) | 265,974 |
Total | 240,499 | 21,390 | 88,500 | 527,150 | (367,674) | 509,865 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 132,391 | 132,391 |
Foreign exchange risk | 16,872 | — | — | — | — | 16,872 |
Interest rate risk | — | 324,278 | 35,287 | 130,181 | 292,654 | 782,400 |
Total | 16,872 | 324,278 | 35,287 | 130,181 | 425,045 | 931,663 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 15,788,507 |
Futures contracts — short | 54,682,836 |
Credit default swap contracts — buy protection | 10,863,750 |
Credit default swap contracts — sell protection | 3,100,000 |
Derivative instrument | Average value ($) |
Options contracts — purchased | 241,016* |
Options contracts — written | (57,543)** |
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Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 84,803 | (32,842) |
Interest rate swap contracts | 96,316 | (329,689) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2018. |
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Citi ($) | Credit Suisse ($) | Goldman Sachs ($) | Goldman Sachs International ($) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Standard Chartered ($) | TD Securities ($) | UBS ($) | Total ($) | |
Assets | |||||||||||
Centrally cleared credit default swap contracts(b) | - | - | - | - | - | - | 2,128 | - | - | - | 2,128 |
Centrally cleared interest rate swap contracts(b) | - | - | - | - | - | - | 23,536 | - | - | - | 23,536 |
Forward foreign currency exchange contracts | - | - | 20,815 | - | - | 5,602 | - | 14,983 | 6,809 | 20,192 | 68,401 |
Options purchased calls | 85,271 | - | - | - | - | - | - | - | - | - | 85,271 |
Total assets | 85,271 | - | 20,815 | - | - | 5,602 | 25,664 | 14,983 | 6,809 | 20,192 | 179,336 |
Liabilities | |||||||||||
Centrally cleared interest rate swap contracts(b) | - | - | - | - | - | - | 209 | - | - | - | 209 |
Forward foreign currency exchange contracts | - | 19,099 | - | 3,216 | 4,251 | 5,160 | - | - | - | - | 31,726 |
Options contracts written | 2,338 | - | - | - | - | - | - | - | - | - | 2,338 |
OTC credit default swap contracts(c) | - | - | - | - | 25,064 | 22,883 | - | - | - | - | 47,947 |
OTC interest rate swap contracts(c) | - | - | - | 34,353 | 5,586 | 36,524 | - | - | - | - | 76,463 |
Total liabilities | 2,338 | 19,099 | - | 37,569 | 34,901 | 64,567 | 209 | - | - | - | 158,683 |
Total financial and derivative net assets | 82,933 | (19,099) | 20,815 | (37,569) | (34,901) | (58,965) | 25,455 | 14,983 | 6,809 | 20,192 | 20,653 |
Total collateral received (pledged)(d) | - | - | - | - | - | - | - | - | - | - | - |
Net amount(e) | 82,933 | (19,099) | 20,815 | (37,569) | (34,901) | (58,965) | 25,455 | 14,983 | 6,809 | 20,192 | 20,653 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(c) | Over-the-Counter (OTC) Swap Contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
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May 1, 2018 through April 30, 2019 | Prior to May 1, 2018 | |
Class 1 | 0.67% | 0.72% |
Class 2 | 0.92 | 0.97 |
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Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(154,701) | 154,701 | — |
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
5,655,524 | — | 5,655,524 | 4,524,072 | — | 4,524,072 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
6,690,177 | — | (1,346,728) | (6,147,648) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
194,768,930 | 1,958,515 | (8,106,163) | (6,147,648) |
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2019 ($) | No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) | Permanently lost ($) |
— | — | 1,346,728 | 1,346,728 | 363,213 | — | — |
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(Unaudited)
Dividends received deduction | |
1.63% |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | ||||
Inception | 1 Year | Life | ||
Class 2 | 11/02/16 | -3.92 | 7.87 | |
Blended Benchmark | -2.58 | 7.29 | ||
S&P 500 Index | -4.38 | 10.81 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 0.53 |
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Portfolio Allocation (%) (at December 31, 2018) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 53.4 |
U.S. Large Cap | 53.4 |
Underlying Funds: Fixed-Income Funds | 12.2 |
High Yield | 0.7 |
Investment Grade | 11.5 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 8.1 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 19.0 |
Options Purchased Puts | 1.3 |
Residential Mortgage-Backed Securities - Agency | 6.0 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $341.9 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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(Unaudited)
July 1, 2018 — December 31, 2018 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 2 | 1,000.00 | 1,000.00 | 947.70 | 1,022.55 | 2.71 | 2.82 | 0.55 | 4.74 | 4.92 | 0.96 |
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Equity Funds 56.3% | ||
Shares | Value ($) | |
U.S. Large Cap 56.3% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,287,205 | 107,247,029 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 10,801,333 | 213,326,340 |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 4,898,888 | 106,942,721 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 3,741,592 | 106,635,379 |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 11,295,566 | 212,808,461 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 3,827,882 | 107,065,862 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 5,136,458 | 106,273,320 |
Total | 960,299,112 | |
Total Equity Funds (Cost $952,434,741) | 960,299,112 | |
Exchange-Traded Funds 8.6% | ||
iShares Core U.S. Aggregate Bond ETF | 481,000 | 51,221,690 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 711,900 | 80,316,558 |
SPDR S&P 500 ETF Trust | 14,500 | 3,623,840 |
Vanguard Total Bond Market ETF | 144,000 | 11,406,240 |
Total Exchange-Traded Funds (Cost $146,113,036) | 146,568,328 | |
Fixed-Income Funds 12.9% | ||
High Yield 0.7% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 1,789,814 | 12,367,614 |
Investment Grade 12.2% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 4,362,365 | 43,972,633 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 1,376,415 | 12,773,133 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 1,135,170 | 10,716,006 |
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 1,262,633 | 12,916,735 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 3,987,227 | 42,463,971 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 3,968,147 | 41,189,363 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 588,142 | 5,899,063 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 3,634,359 | 38,233,459 |
Total | 208,164,363 | |
Total Fixed-Income Funds (Cost $224,696,276) | 220,531,977 |
Residential Mortgage-Backed Securities - Agency 6.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/14/2049 | 3.500% | 35,000,000 | 34,993,848 | |
01/14/2049 | 4.000% | 71,158,000 | 72,536,686 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $106,297,473) | 107,530,534 |
Options Purchased Puts 1.3% | ||||
Value ($) | ||||
(Cost $12,303,070) | 22,678,990 |
Money Market Funds 20.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(a),(d) | 341,988,289 | 341,954,090 |
Total Money Market Funds (Cost $341,958,460) | 341,954,090 | |
Total Investments in Securities (Cost: $1,783,803,056) | 1,799,563,031 | |
Other Assets & Liabilities, Net | (94,036,260) | |
Net Assets | 1,705,526,771 |
6 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 |
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December 31, 2018
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 E-mini | 1,468 | 03/2019 | USD | 183,881,680 | — | (10,558,561) |
S&P 500 Index | 21 | 03/2019 | USD | 13,152,300 | — | (755,023) |
U.S. Long Bond | 176 | 03/2019 | USD | 25,696,000 | 918,561 | — |
U.S. Treasury 10-Year Note | 346 | 03/2019 | USD | 42,217,406 | 814,605 | — |
U.S. Treasury 2-Year Note | 197 | 03/2019 | USD | 41,825,563 | 248,479 | — |
U.S. Treasury 5-Year Note | 521 | 03/2019 | USD | 59,752,188 | 841,510 | — |
U.S. Ultra Treasury Bond | 97 | 03/2019 | USD | 15,583,656 | 743,499 | — |
Total | 3,566,654 | (11,313,584) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 178,237,035 | 711 | 2,300.00 | 12/20/2019 | 3,887,772 | 8,112,510 |
S&P 500 Index | Deutsche Bank | USD | 85,232,900 | 340 | 2,350.00 | 12/20/2019 | 1,739,112 | 4,363,900 |
S&P 500 Index | Deutsche Bank | USD | 94,257,560 | 376 | 2,250.00 | 12/20/2019 | 2,151,862 | 3,790,080 |
S&P 500 Index | Deutsche Bank | USD | 156,678,125 | 625 | 2,150.00 | 06/19/2020 | 4,524,324 | 6,412,500 |
Total | 12,303,070 | 22,678,990 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | |||||||||
242,249,460 | 447,480,195 | (347,741,366) | 341,988,289 | — | (17,162) | (7,812) | 6,229,424 | 341,954,090 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
1,314,241 | 973,216 | (252) | 2,287,205 | — | (416) | (6,278,054) | — | 107,247,029 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
966,572 | 823,932 | (690) | 1,789,814 | — | (311) | (908,737) | 454,607 | 12,367,614 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
2,407,690 | 1,960,424 | (5,749) | 4,362,365 | 227,811 | (2,225) | (603,942) | 737,331 | 43,972,633 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
6,168,457 | 4,637,776 | (4,900) | 10,801,333 | — | (4,579) | (14,267,316) | — | 213,326,340 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
773,564 | 604,604 | (1,753) | 1,376,415 | — | (376) | (126,575) | 176,109 | 12,773,133 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
566,982 | 570,116 | (1,928) | 1,135,170 | 225,905 | (977) | (752,545) | 255,474 | 10,716,006 | |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | |||||||||
2,572,438 | 2,329,366 | (2,916) | 4,898,888 | — | (6,115) | (13,975,603) | — | 106,942,721 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
706,210 | 558,050 | (1,627) | 1,262,633 | 7,978 | (530) | (5,352) | 262,780 | 12,916,735 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
2,169,318 | 1,820,707 | (2,798) | 3,987,227 | 186,606 | (909) | (1,212,442) | 861,439 | 42,463,971 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 | 7 |
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December 31, 2018
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
2,187,357 | 1,566,776 | (12,541) | 3,741,592 | — | 10,561 | (4,648,057) | — | 106,635,379 | |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares | |||||||||
6,239,402 | 5,056,500 | (336) | 11,295,566 | — | (402) | (20,552,560) | — | 212,808,461 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
2,349,719 | 1,488,549 | (10,386) | 3,827,882 | — | 833 | (1,299,752) | — | 107,065,862 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
2,803,431 | 2,335,127 | (2,100) | 5,136,458 | — | (3,667) | (10,890,458) | — | 106,273,320 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
2,198,565 | 1,773,713 | (4,131) | 3,968,147 | 53,804 | (1,163) | (387,383) | 622,215 | 41,189,363 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
335,113 | 254,068 | (1,039) | 588,142 | — | (156) | 6,711 | 52,457 | 5,899,063 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
1,978,665 | 1,659,078 | (3,384) | 3,634,359 | 327,897 | (1,191) | (779,847) | 688,912 | 38,233,459 | |
Total | 1,030,001 | (28,785) | (76,689,724) | 10,340,748 | 1,522,785,179 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
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). |
8 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 |
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December 31, 2018
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 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 960,299,112 | 960,299,112 |
Exchange-Traded Funds | 146,568,328 | — | — | — | 146,568,328 |
Fixed-Income Funds | — | — | — | 220,531,977 | 220,531,977 |
Residential Mortgage-Backed Securities - Agency | — | 107,530,534 | — | — | 107,530,534 |
Options Purchased Puts | 22,678,990 | — | — | — | 22,678,990 |
Money Market Funds | — | — | — | 341,954,090 | 341,954,090 |
Total Investments in Securities | 169,247,318 | 107,530,534 | — | 1,522,785,179 | 1,799,563,031 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 3,566,654 | — | — | — | 3,566,654 |
Liability | |||||
Futures Contracts | (11,313,584) | — | — | — | (11,313,584) |
Total | 161,500,388 | 107,530,534 | — | 1,522,785,179 | 1,791,816,101 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 | 9 |
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December 31, 2018
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $252,410,509) | $254,098,862 |
Affiliated issuers (cost $1,519,089,477) | 1,522,785,179 |
Options purchased (cost $12,303,070) | 22,678,990 |
Margin deposits on: | |
Futures contracts | 9,357,258 |
Receivable for: | |
Capital shares sold | 1,322,805 |
Dividends | 783,512 |
Interest | 147,020 |
Variation margin for futures contracts | 1,943,283 |
Prepaid expenses | 4,675 |
Trustees’ deferred compensation plan | 16,418 |
Total assets | 1,813,138,002 |
Liabilities | |
Payable for: | |
Investments purchased | 879,584 |
Investments purchased on a delayed delivery basis | 106,444,493 |
Capital shares purchased | 66,257 |
Management services fees | 32,728 |
Distribution and/or service fees | 34,753 |
Service fees | 86,065 |
Compensation of board members | 2,215 |
Compensation of chief compliance officer | 131 |
Other expenses | 48,587 |
Trustees’ deferred compensation plan | 16,418 |
Total liabilities | 107,611,231 |
Net assets applicable to outstanding capital stock | $1,705,526,771 |
Represented by | |
Trust capital | $1,705,526,771 |
Total - representing net assets applicable to outstanding capital stock | $1,705,526,771 |
Class 2 | |
Net assets | $1,705,526,771 |
Shares outstanding | 144,823,212 |
Net asset value per share | $11.78 |
10 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,773,230 |
Dividends — affiliated issuers | 10,340,748 |
Interest | 160,794 |
Total income | 12,274,772 |
Expenses: | |
Management services fees | 3,008,398 |
Distribution and/or service fees | |
Class 2 | 3,296,106 |
Service fees | 793,554 |
Compensation of board members | 29,571 |
Custodian fees | 55,671 |
Printing and postage fees | 38,200 |
Audit fees | 26,356 |
Legal fees | 28,661 |
Compensation of chief compliance officer | 490 |
Other | 28,598 |
Total expenses | 7,305,605 |
Net investment income | 4,969,167 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (736,729) |
Investments — affiliated issuers | (28,785) |
Capital gain distributions from underlying affiliated funds | 1,030,001 |
Futures contracts | (11,893,733) |
Options purchased | (4,688,272) |
Net realized loss | (16,317,518) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 1,035,786 |
Investments — affiliated issuers | (76,689,724) |
Futures contracts | (13,089,367) |
Options purchased | 11,901,933 |
Net change in unrealized appreciation (depreciation) | (76,841,372) |
Net realized and unrealized loss | (93,158,890) |
Net decrease in net assets resulting from operations | $(88,189,723) |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 | 11 |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $4,969,167 | $1,143,903 |
Net realized gain (loss) | (16,317,518) | 24,810,846 |
Net change in unrealized appreciation (depreciation) | (76,841,372) | 84,498,568 |
Net increase (decrease) in net assets resulting from operations | (88,189,723) | 110,453,317 |
Increase in net assets from capital stock activity | 795,420,956 | 721,210,586 |
Total increase in net assets | 707,231,233 | 831,663,903 |
Net assets at beginning of year | 998,295,538 | 166,631,635 |
Net assets at end of year | $1,705,526,771 | $998,295,538 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 63,716,875 | 799,021,512 | 65,449,940 | 723,035,667 |
Redemptions | (287,934) | (3,600,556) | (161,613) | (1,825,081) |
Net increase | 63,428,941 | 795,420,956 | 65,288,327 | 721,210,586 |
Total net increase | 63,428,941 | 795,420,956 | 65,288,327 | 721,210,586 |
12 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 |
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Class 2 | Year Ended December 31, | ||
2018 | 2017 | 2016(a) | |
Per share data | |||
Net asset value, beginning of period | $12.26 | $10.35 | $10.00 |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.05 | 0.02 | (0.01) |
Net realized and unrealized gain (loss) | (0.53) | 1.89 | 0.36 |
Total from investment operations | (0.48) | 1.91 | 0.35 |
Net asset value, end of period | $11.78 | $12.26 | $10.35 |
Total return | (3.92%) | 18.45% | 3.50% |
Ratios to average net assets | |||
Total gross expenses(b) | 0.55% | 0.55% | 0.63%(c) |
Total net expenses(b),(d) | 0.55% | 0.55% | 0.63%(c) |
Net investment income (loss) | 0.38% | 0.17% | (0.26%)(c) |
Supplemental data | |||
Net assets, end of period (in thousands) | $1,705,527 | $998,296 | $166,632 |
Portfolio turnover | 44% | 9% | 12% |
Notes to Financial Highlights | |
(a) | The Fund commenced operations on November 2, 2016. Per share data and total return reflect activity from that date. |
(b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(c) | Annualized. |
(d) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 | 13 |
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December 31, 2018
14 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 |
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December 31, 2018
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 | 15 |
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December 31, 2018
16 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 |
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December 31, 2018
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Investments, at value — Options Purchased | 22,678,990 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 3,566,654* |
Total | 26,245,644 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 11,313,584* |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 | 17 |
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December 31, 2018
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (11,080,688) | (4,688,272) | (15,768,960) |
Interest rate risk | (813,045) | — | (813,045) |
Total | (11,893,733) | (4,688,272) | (16,582,005) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (16,651,917) | 11,901,933 | (4,749,984) |
Interest rate risk | 3,562,550 | — | 3,562,550 |
Total | (13,089,367) | 11,901,933 | (1,187,434) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 382,585,885 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 13,750,470 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
18 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 |
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December 31, 2018
Deutsche Bank ($) | |
Assets | |
Options purchased puts | 22,678,990 |
Total assets | 22,678,990 |
Total financial and derivative net assets | 22,678,990 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 22,678,990 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 | 19 |
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December 31, 2018
20 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 |
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Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 | 21 |
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December 31, 2018
Fee rate(s) contractual through April 30, 2019 | |
Class 2 | 1.10% |
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December 31, 2018
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24 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 |
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Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 | 25 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
26 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2018 | 27 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | ||||
Inception | 1 Year | Life | ||
Class 2 | 11/02/16 | -3.23 | 6.16 | |
Blended Benchmark | -1.90 | 5.76 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 0.53 | ||
S&P 500 Index | -4.38 | 10.81 |
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Portfolio Allocation (%) (at December 31, 2018) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 41.3 |
U.S. Large Cap | 41.3 |
Underlying Funds: Fixed-Income Funds | 24.9 |
High Yield | 1.4 |
Investment Grade | 23.5 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 9.4 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 18.2 |
Options Purchased Puts | 1.0 |
Residential Mortgage-Backed Securities - Agency | 5.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $217.8 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives which provide exposure to multiple markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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(Unaudited)
July 1, 2018 — December 31, 2018 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 2 | 1,000.00 | 1,000.00 | 961.10 | 1,022.50 | 2.78 | 2.87 | 0.56 | 4.77 | 4.92 | 0.96 |
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Equity Funds 43.3% | ||
Shares | Value ($) | |
U.S. Large Cap 43.3% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,177,069 | 55,192,779 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 5,564,074 | 109,890,452 |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 2,519,935 | 55,010,185 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 1,924,261 | 54,841,451 |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 5,816,558 | 109,583,949 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 1,973,425 | 55,196,698 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 2,639,987 | 54,621,320 |
Total | 494,336,834 | |
Total Equity Funds (Cost $486,915,940) | 494,336,834 | |
Exchange-Traded Funds 9.9% | ||
iShares Core U.S. Aggregate Bond ETF | 456,400 | 48,602,036 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 411,113 | 46,381,769 |
SPDR S&P 500 ETF Trust | 7,600 | 1,899,392 |
Vanguard Total Bond Market ETF | 207,310 | 16,421,025 |
Total Exchange-Traded Funds (Cost $113,949,854) | 113,304,222 | |
Fixed-Income Funds 26.1% | ||
High Yield 1.5% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 2,424,671 | 16,754,478 |
Investment Grade 24.6% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 5,893,841 | 59,409,918 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 1,862,786 | 17,286,653 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 1,542,080 | 14,557,230 |
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 1,709,888 | 17,492,151 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 5,385,180 | 57,352,168 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 5,364,393 | 55,682,404 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 786,191 | 7,885,499 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 4,908,810 | 51,640,686 |
Total | 281,306,709 | |
Total Fixed-Income Funds (Cost $304,651,840) | 298,061,187 |
Residential Mortgage-Backed Securities - Agency 5.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/14/2049 | 3.500% | 25,500,000 | 25,495,518 | |
01/14/2049 | 4.000% | 36,699,000 | 37,410,043 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $62,145,783) | 62,905,561 |
Options Purchased Puts 1.0% | ||||
Value ($) | ||||
(Cost $6,281,875) | 11,630,665 |
Money Market Funds 19.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(a),(d) | 217,862,489 | 217,840,702 |
Total Money Market Funds (Cost $217,846,925) | 217,840,702 | |
Total Investments in Securities (Cost: $1,191,792,217) | 1,198,079,171 | |
Other Assets & Liabilities, Net | (56,051,478) | |
Net Assets | 1,142,027,693 |
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Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 E-mini | 723 | 03/2019 | USD | 90,562,980 | — | (5,200,163) |
S&P 500 Index | 10 | 03/2019 | USD | 6,263,000 | — | (359,535) |
U.S. Long Bond | 145 | 03/2019 | USD | 21,170,000 | 836,343 | — |
U.S. Treasury 10-Year Note | 172 | 03/2019 | USD | 20,986,688 | 401,422 | — |
U.S. Treasury 2-Year Note | 115 | 03/2019 | USD | 24,415,938 | 147,123 | — |
U.S. Treasury 5-Year Note | 240 | 03/2019 | USD | 27,525,000 | 380,997 | — |
U.S. Ultra Treasury Bond | 61 | 03/2019 | USD | 9,800,031 | 474,262 | — |
Total | 2,240,147 | (5,559,698) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 75,456,185 | 301 | 2,300.00 | 12/20/2019 | 1,645,878 | 3,434,410 |
S&P 500 Index | Deutsche Bank | USD | 56,404,125 | 225 | 2,350.00 | 12/20/2019 | 1,150,883 | 2,887,875 |
S&P 500 Index | Deutsche Bank | USD | 51,641,110 | 206 | 2,250.00 | 12/20/2019 | 1,178,946 | 2,076,480 |
S&P 500 Index | Deutsche Bank | USD | 78,965,775 | 315 | 2,150.00 | 06/19/2020 | 2,306,168 | 3,231,900 |
Total | 6,281,875 | 11,630,665 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | |||||||||
161,288,850 | 236,138,579 | (179,564,940) | 217,862,489 | — | (8,956) | (8,602) | 4,132,017 | 217,840,702 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
722,277 | 455,763 | (971) | 1,177,069 | — | (97) | (2,789,677) | — | 55,192,779 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
1,422,600 | 1,002,071 | — | 2,424,671 | — | — | (1,280,101) | 675,539 | 16,754,478 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
3,552,167 | 2,342,344 | (670) | 5,893,841 | 339,106 | (382) | (971,750) | 1,097,548 | 59,409,918 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
3,395,578 | 2,172,244 | (3,748) | 5,564,074 | — | (2,376) | (6,507,789) | — | 109,890,452 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
1,144,831 | 718,081 | (126) | 1,862,786 | — | (42) | (195,078) | 262,874 | 17,286,653 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
835,032 | 707,365 | (317) | 1,542,080 | 337,756 | (381) | (1,137,942) | 381,967 | 14,557,230 | |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | |||||||||
1,413,860 | 1,108,399 | (2,324) | 2,519,935 | — | (2,529) | (6,902,090) | — | 55,010,185 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
1,044,393 | 665,710 | (215) | 1,709,888 | 11,904 | (86) | (46,808) | 392,121 | 17,492,151 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
3,197,212 | 2,188,493 | (525) | 5,385,180 | 277,669 | (346) | (1,828,801) | 1,281,812 | 57,352,168 |
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December 31, 2018
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
1,203,106 | 724,888 | (3,733) | 1,924,261 | — | 4,755 | (2,002,032) | — | 54,841,451 | |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares | |||||||||
3,434,449 | 2,384,813 | (2,704) | 5,816,558 | — | (1,992) | (9,817,508) | — | 109,583,949 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
1,292,128 | 683,376 | (2,079) | 1,973,425 | — | 871 | (130,190) | — | 55,196,698 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
1,541,406 | 1,100,470 | (1,889) | 2,639,987 | — | (1,956) | (5,326,201) | — | 54,621,320 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
3,244,285 | 2,120,759 | (651) | 5,364,393 | 80,130 | (241) | (656,402) | 926,665 | 55,682,404 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
489,684 | 296,721 | (214) | 786,191 | — | (45) | 2,300 | 77,329 | 7,885,499 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
2,918,256 | 1,991,161 | (607) | 4,908,810 | 488,011 | (364) | (1,236,655) | 1,025,312 | 51,640,686 | |
Total | 1,534,576 | (14,167) | (40,835,326) | 10,253,184 | 1,010,238,723 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
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). |
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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 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 494,336,834 | 494,336,834 |
Exchange-Traded Funds | 113,304,222 | — | — | — | 113,304,222 |
Fixed-Income Funds | — | — | — | 298,061,187 | 298,061,187 |
Residential Mortgage-Backed Securities - Agency | — | 62,905,561 | — | — | 62,905,561 |
Options Purchased Puts | 11,630,665 | — | — | — | 11,630,665 |
Money Market Funds | — | — | — | 217,840,702 | 217,840,702 |
Total Investments in Securities | 124,934,887 | 62,905,561 | — | 1,010,238,723 | 1,198,079,171 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 2,240,147 | — | — | — | 2,240,147 |
Liability | |||||
Futures Contracts | (5,559,698) | — | — | — | (5,559,698) |
Total | 121,615,336 | 62,905,561 | — | 1,010,238,723 | 1,194,759,620 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $176,095,637) | $176,209,783 |
Affiliated issuers (cost $1,009,414,705) | 1,010,238,723 |
Options purchased (cost $6,281,875) | 11,630,665 |
Margin deposits on: | |
Futures contracts | 4,782,089 |
Receivable for: | |
Investments sold | 32,409 |
Capital shares sold | 9,735 |
Dividends | 485,489 |
Interest | 85,239 |
Variation margin for futures contracts | 989,627 |
Prepaid expenses | 3,390 |
Trustees’ deferred compensation plan | 13,973 |
Total assets | 1,204,481,122 |
Liabilities | |
Payable for: | |
Investments purchased | 54,064,677 |
Investments purchased on a delayed delivery basis | 8,166,344 |
Capital shares purchased | 56,034 |
Management services fees | 21,918 |
Distribution and/or service fees | 23,332 |
Service fees | 57,201 |
Compensation of board members | 1,779 |
Compensation of chief compliance officer | 93 |
Other expenses | 48,078 |
Trustees’ deferred compensation plan | 13,973 |
Total liabilities | 62,453,429 |
Net assets applicable to outstanding capital stock | $1,142,027,693 |
Represented by | |
Trust capital | $1,142,027,693 |
Total - representing net assets applicable to outstanding capital stock | $1,142,027,693 |
Class 2 | |
Net assets | $1,142,027,693 |
Shares outstanding | 100,328,322 |
Net asset value per share | $11.38 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,654,875 |
Dividends — affiliated issuers | 10,253,184 |
Interest | 89,145 |
Total income | 11,997,204 |
Expenses: | |
Management services fees | 2,115,355 |
Distribution and/or service fees | |
Class 2 | 2,309,840 |
Service fees | 555,739 |
Compensation of board members | 24,616 |
Custodian fees | 55,136 |
Printing and postage fees | 33,486 |
Audit fees | 27,400 |
Legal fees | 20,246 |
Compensation of chief compliance officer | 353 |
Other | 21,193 |
Total expenses | 5,163,364 |
Net investment income | 6,833,840 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (281,881) |
Investments — affiliated issuers | (14,167) |
Capital gain distributions from underlying affiliated funds | 1,534,576 |
Futures contracts | (5,970,624) |
Options purchased | (2,717,595) |
Net realized loss | (7,449,691) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (337,228) |
Investments — affiliated issuers | (40,835,326) |
Futures contracts | (6,347,246) |
Options purchased | 6,161,533 |
Net change in unrealized appreciation (depreciation) | (41,358,267) |
Net realized and unrealized loss | (48,807,958) |
Net decrease in net assets resulting from operations | $(41,974,118) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $6,833,840 | $2,414,194 |
Net realized gain (loss) | (7,449,691) | 13,913,612 |
Net change in unrealized appreciation (depreciation) | (41,358,267) | 44,022,418 |
Net increase (decrease) in net assets resulting from operations | (41,974,118) | 60,350,224 |
Increase in net assets from capital stock activity | 468,188,202 | 565,679,575 |
Total increase in net assets | 426,214,084 | 626,029,799 |
Net assets at beginning of year | 715,813,609 | 89,783,810 |
Net assets at end of year | $1,142,027,693 | $715,813,609 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 39,678,622 | 471,040,166 | 52,296,754 | 567,891,415 |
Redemptions | (240,863) | (2,851,964) | (199,276) | (2,211,840) |
Net increase | 39,437,759 | 468,188,202 | 52,097,478 | 565,679,575 |
Total net increase | 39,437,759 | 468,188,202 | 52,097,478 | 565,679,575 |
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Class 2 | Year Ended December 31, | ||
2018 | 2017 | 2016(a) | |
Per share data | |||
Net asset value, beginning of period | $11.76 | $10.21 | $10.00 |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.09 | 0.06 | (0.01) |
Net realized and unrealized gain (loss) | (0.47) | 1.49 | 0.22 |
Total from investment operations | (0.38) | 1.55 | 0.21 |
Net asset value, end of period | $11.38 | $11.76 | $10.21 |
Total return | (3.23%) | 15.18% | 2.10% |
Ratios to average net assets | |||
Total gross expenses(b) | 0.56% | 0.56% | 0.75%(c) |
Total net expenses(b),(d) | 0.56% | 0.56% | 0.64%(c) |
Net investment income (loss) | 0.74% | 0.56% | (0.16%)(c) |
Supplemental data | |||
Net assets, end of period (in thousands) | $1,142,028 | $715,814 | $89,784 |
Portfolio turnover | 42% | 9% | 16% |
Notes to Financial Highlights | |
(a) | Class 2 shares commenced operations on November 2, 2016. Per share data and total return reflect activity from that date. |
(b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(c) | Annualized. |
(d) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Investments, at value — Options Purchased | 11,630,665 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 2,240,147* |
Total | 13,870,812 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 5,559,698* |
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December 31, 2018
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (4,569,039) | (2,717,595) | (7,286,634) |
Interest rate risk | (1,401,585) | — | (1,401,585) |
Total | (5,970,624) | (2,717,595) | (8,688,219) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (8,604,551) | 6,161,533 | (2,443,018) |
Interest rate risk | 2,257,305 | — | 2,257,305 |
Total | (6,347,246) | 6,161,533 | (185,713) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 231,315,239 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 7,297,752 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 11,630,665 |
Total financial and derivative net assets | 11,630,665 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 11,630,665 |
(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. |
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Fee rate(s) contractual through April 30, 2019 | |
Class 2 | 1.10% |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | ||||
Inception | 1 Year | Life | ||
Class 2 | 11/02/16 | -2.49 | 4.38 | |
Blended Benchmark | -1.26 | 4.21 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 0.53 | ||
S&P 500 Index | -4.38 | 10.81 |
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Portfolio Allocation (%) (at December 31, 2018) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 29.6 |
U.S. Large Cap | 29.6 |
Underlying Funds: Fixed-Income Funds | 36.9 |
High Yield | 2.2 |
Investment Grade | 34.7 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 8.5 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 19.3 |
Options Purchased Puts | 0.6 |
Residential Mortgage-Backed Securities - Agency | 5.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $28.2 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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(Unaudited)
July 1, 2018 — December 31, 2018 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 2 | 1,000.00 | 1,000.00 | 975.10 | 1,022.05 | 3.25 | 3.33 | 0.65 | 5.21 | 5.33 | 1.04 |
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Equity Funds 31.0% | ||
Shares | Value ($) | |
U.S. Large Cap 31.0% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 102,567 | 4,809,377 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 484,160 | 9,562,163 |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 218,693 | 4,774,070 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 168,271 | 4,795,732 |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 506,991 | 9,551,704 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 173,780 | 4,860,632 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 230,301 | 4,764,915 |
Total | 43,118,593 | |
Total Equity Funds (Cost $42,130,719) | 43,118,593 | |
Exchange-Traded Funds 9.0% | ||
iShares Core U.S. Aggregate Bond ETF | 42,610 | 4,537,539 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 48,977 | 5,525,585 |
SPDR S&P 500 ETF Trust | 1,950 | 487,344 |
Vanguard Total Bond Market ETF | 24,060 | 1,905,793 |
Total Exchange-Traded Funds (Cost $12,554,536) | 12,456,261 | |
Fixed-Income Funds 38.7% | ||
High Yield 2.3% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 452,973 | 3,130,042 |
Investment Grade 36.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 1,062,139 | 10,706,362 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 338,765 | 3,143,738 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 271,887 | 2,566,618 |
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 307,681 | 3,147,576 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 971,939 | 10,351,157 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 965,201 | 10,018,785 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 143,171 | 1,436,006 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 881,763 | 9,276,144 |
Total | 50,646,386 | |
Total Fixed-Income Funds (Cost $54,806,797) | 53,776,428 |
Residential Mortgage-Backed Securities - Agency 5.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/14/2049 | 3.500% | 2,950,000 | 2,949,482 | |
01/14/2049 | 4.000% | 4,390,000 | 4,475,056 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $7,348,154) | 7,424,538 |
Options Purchased Puts 0.7% | ||||
Value ($) | ||||
(Cost $507,609) | 944,235 |
Money Market Funds 20.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(a),(d) | 28,156,859 | 28,154,043 |
Total Money Market Funds (Cost $28,155,086) | 28,154,043 | |
Total Investments in Securities (Cost: $145,502,901) | 145,874,098 | |
Other Assets & Liabilities, Net | (6,812,625) | |
Net Assets | 139,061,473 |
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Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 E-mini | 45 | 03/2019 | USD | 5,636,700 | — | (323,662) |
U.S. Long Bond | 14 | 03/2019 | USD | 2,044,000 | 89,682 | — |
U.S. Treasury 10-Year Note | 23 | 03/2019 | USD | 2,806,359 | 56,181 | — |
U.S. Treasury 2-Year Note | 22 | 03/2019 | USD | 4,670,875 | 29,090 | — |
U.S. Treasury 5-Year Note | 43 | 03/2019 | USD | 4,931,563 | 71,559 | — |
U.S. Ultra Treasury Bond | 10 | 03/2019 | USD | 1,606,563 | 82,010 | — |
Total | 328,522 | (323,662) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 5,765,755 | 23 | 2,300.00 | 12/20/2019 | 125,765 | 262,430 |
S&P 500 Index | Deutsche Bank | USD | 4,763,015 | 19 | 2,350.00 | 12/20/2019 | 97,185 | 243,865 |
S&P 500 Index | Deutsche Bank | USD | 4,512,330 | 18 | 2,250.00 | 12/20/2019 | 103,015 | 181,440 |
S&P 500 Index | Deutsche Bank | USD | 6,267,125 | 25 | 2,150.00 | 06/19/2020 | 181,644 | 256,500 |
Total | 507,609 | 944,235 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | |||||||||
18,383,590 | 26,356,242 | (16,582,973) | 28,156,859 | — | (783) | (1,361) | 485,804 | 28,154,043 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
58,354 | 49,724 | (5,511) | 102,567 | — | (4,373) | (204,878) | — | 4,809,377 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
248,329 | 219,056 | (14,412) | 452,973 | — | (7,522) | (215,413) | 119,043 | 3,130,042 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
620,618 | 495,973 | (54,452) | 1,062,139 | 59,422 | (27,541) | (139,659) | 192,323 | 10,706,362 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
273,654 | 232,704 | (22,198) | 484,160 | — | (6,221) | (494,651) | — | 9,562,163 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
200,040 | 153,799 | (15,074) | 338,765 | — | (4,151) | (29,611) | 46,172 | 3,143,738 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
146,151 | 141,275 | (15,539) | 271,887 | 59,044 | (11,669) | (186,992) | 66,772 | 2,566,618 | |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | |||||||||
114,221 | 113,942 | (9,470) | 218,693 | — | (7,653) | (540,948) | — | 4,774,070 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
182,642 | 143,103 | (18,064) | 307,681 | 2,085 | (7,750) | 535 | 68,689 | 3,147,576 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
558,249 | 453,061 | (39,371) | 971,939 | 48,612 | (17,681) | (300,183) | 224,411 | 10,351,157 |
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December 31, 2018
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
97,166 | 87,003 | (15,898) | 168,271 | — | (9,163) | (142,984) | — | 4,795,732 | |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares | |||||||||
276,985 | 252,101 | (22,095) | 506,991 | — | (8,683) | (762,112) | — | 9,551,704 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
104,345 | 86,491 | (17,056) | 173,780 | — | (5,222) | 20,951 | — | 4,860,632 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
124,518 | 112,471 | (6,688) | 230,301 | — | (5,019) | (421,463) | — | 4,764,915 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
567,718 | 446,558 | (49,075) | 965,201 | 14,057 | (17,707) | (95,847) | 162,566 | 10,018,785 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
85,806 | 64,699 | (7,334) | 143,171 | — | (1,167) | 1,593 | 13,612 | 1,436,006 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
509,987 | 414,273 | (42,497) | 881,763 | 85,517 | (21,032) | (194,550) | 179,672 | 9,276,144 | |
Total | 268,737 | (163,337) | (3,707,573) | 1,559,064 | 125,049,064 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
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). |
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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 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 43,118,593 | 43,118,593 |
Exchange-Traded Funds | 12,456,261 | — | — | — | 12,456,261 |
Fixed-Income Funds | — | — | — | 53,776,428 | 53,776,428 |
Residential Mortgage-Backed Securities - Agency | — | 7,424,538 | — | — | 7,424,538 |
Options Purchased Puts | 944,235 | — | — | — | 944,235 |
Money Market Funds | — | — | — | 28,154,043 | 28,154,043 |
Total Investments in Securities | 13,400,496 | 7,424,538 | — | 125,049,064 | 145,874,098 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 328,522 | — | — | — | 328,522 |
Liability | |||||
Futures Contracts | (323,662) | — | — | — | (323,662) |
Total | 13,405,356 | 7,424,538 | — | 125,049,064 | 145,878,958 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $19,902,690) | $19,880,799 |
Affiliated issuers (cost $125,092,602) | 125,049,064 |
Options purchased (cost $507,609) | 944,235 |
Margin deposits on: | |
Futures contracts | 373,500 |
Receivable for: | |
Capital shares sold | 258,321 |
Dividends | 61,434 |
Interest | 10,070 |
Variation margin for futures contracts | 78,528 |
Prepaid expenses | 397 |
Trustees’ deferred compensation plan | 9,045 |
Total assets | 146,665,393 |
Liabilities | |
Payable for: | |
Investments purchased | 174,258 |
Investments purchased on a delayed delivery basis | 7,358,223 |
Capital shares purchased | 9,381 |
Management services fees | 2,644 |
Distribution and/or service fees | 2,841 |
Service fees | 6,645 |
Compensation of board members | 976 |
Compensation of chief compliance officer | 11 |
Other expenses | 39,896 |
Trustees’ deferred compensation plan | 9,045 |
Total liabilities | 7,603,920 |
Net assets applicable to outstanding capital stock | $139,061,473 |
Represented by | |
Trust capital | $139,061,473 |
Total - representing net assets applicable to outstanding capital stock | $139,061,473 |
Class 2 | |
Net assets | $139,061,473 |
Shares outstanding | 12,672,483 |
Net asset value per share | $10.97 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $194,227 |
Dividends — affiliated issuers | 1,559,064 |
Interest | 7,101 |
Total income | 1,760,392 |
Expenses: | |
Management services fees | 245,591 |
Distribution and/or service fees | |
Class 2 | 268,249 |
Service fees | 64,471 |
Compensation of board members | 13,856 |
Custodian fees | 53,719 |
Printing and postage fees | 17,878 |
Audit fees | 23,981 |
Legal fees | 2,346 |
Compensation of chief compliance officer | 41 |
Other | 6,624 |
Total expenses | 696,756 |
Net investment income | 1,063,636 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (57,891) |
Investments — affiliated issuers | (163,337) |
Capital gain distributions from underlying affiliated funds | 268,737 |
Futures contracts | (736,244) |
Options purchased | (242,807) |
Net realized loss | (931,542) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (111,428) |
Investments — affiliated issuers | (3,707,573) |
Futures contracts | (260,105) |
Options purchased | 505,556 |
Net change in unrealized appreciation (depreciation) | (3,573,550) |
Net realized and unrealized loss | (4,505,092) |
Net decrease in net assets resulting from operations | $(3,441,456) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $1,063,636 | $402,025 |
Net realized gain (loss) | (931,542) | 1,382,750 |
Net change in unrealized appreciation (depreciation) | (3,573,550) | 3,844,776 |
Net increase (decrease) in net assets resulting from operations | (3,441,456) | 5,629,551 |
Increase in net assets from capital stock activity | 59,866,788 | 58,734,099 |
Total increase in net assets | 56,425,332 | 64,363,650 |
Net assets at beginning of year | 82,636,141 | 18,272,491 |
Net assets at end of year | $139,061,473 | $82,636,141 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 6,135,783 | 68,960,793 | 6,803,749 | 72,118,855 |
Redemptions | (805,631) | (9,094,005) | (1,275,599) | (13,384,756) |
Net increase | 5,330,152 | 59,866,788 | 5,528,150 | 58,734,099 |
Total net increase | 5,330,152 | 59,866,788 | 5,528,150 | 58,734,099 |
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Class 2 | Year Ended December 31, | ||
2018 | 2017 | 2016(a) | |
Per share data | |||
Net asset value, beginning of period | $11.25 | $10.07 | $10.00 |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.11 | 0.09 | (0.02) |
Net realized and unrealized gain (loss) | (0.39) | 1.09 | 0.09 |
Total from investment operations | (0.28) | 1.18 | 0.07 |
Net asset value, end of period | $10.97 | $11.25 | $10.07 |
Total return | (2.49%) | 11.72% | 0.70% |
Ratios to average net assets | |||
Total gross expenses(b) | 0.65% | 0.74% | 1.08%(c) |
Total net expenses(b),(d) | 0.65% | 0.67% | 0.66%(c) |
Net investment income (loss) | 0.99% | 0.80% | (0.28%)(c) |
Supplemental data | |||
Net assets, end of period (in thousands) | $139,061 | $82,636 | $18,272 |
Portfolio turnover | 51% | 49% | 10% |
Notes to Financial Highlights | |
(a) | The Fund commenced operations on November 2, 2016. Per share data and total return reflect activity from that date. |
(b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(c) | Annualized. |
(d) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Investments, at value — Options Purchased | 944,235 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 328,522* |
Total | 1,272,757 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 323,662* |
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* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (441,936) | (242,807) | (684,743) |
Interest rate risk | (294,308) | — | (294,308) |
Total | (736,244) | (242,807) | (979,051) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (589,679) | 505,556 | (84,123) |
Interest rate risk | 329,574 | — | 329,574 |
Total | (260,105) | 505,556 | 245,451 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 24,024,096 |
Derivative instrument | Average value ($) |
Options contracts — purchased | 593,366 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 944,235 |
Total financial and derivative net assets | 944,235 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 944,235 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
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Fee rate(s) contractual through April 30, 2019 | |
Class 2 | 1.10% |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | -8.52 | -2.15 | -1.88 | |
Class 2 | 04/30/12 | -8.74 | -2.38 | -2.12 | |
FTSE One-Month U.S. Treasury Bill Index | 1.82 | 0.57 | 0.44 |
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Portfolio breakdown — long positions (%) (at December 31, 2018) | |
Common Stocks | 49.5 |
Exchange-Traded Funds | 8.6 |
Foreign Government Obligations | 5.6 |
Inflation-Indexed Bonds | 9.9 |
Residential Mortgage-Backed Securities - Agency | 1.4 |
U.S. Treasury Obligations | 4.5 |
Short-Term Investments Segregated in Connection with Open Derivatives Contracts(a) | 69.3 |
Total | 148.8 |
(a) | Includes investments in Money Market Funds (amounting to $132.5 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives which provide exposure to multiple markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and Note 2 to the Notes to Consolidated Financial Statements. |
Portfolio breakdown — short positions (%) (at December 31, 2018) | |
Common Stocks | (48.8) |
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2018)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 90.1 | (35.2) | 54.9 |
Commodities Derivative Contracts | 11.9 | 0.0 | 11.9 |
Equity Derivative Contracts | 42.6 | (12.3) | 30.3 |
Foreign Currency Derivative Contracts | 58.4 | (55.5) | 2.9 |
Total Notional Market Value of Derivative Contracts | 203.0 | (103.0) | 100.0 |
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(Unaudited)
July 1, 2018 — December 31, 2018 | |||||||
Account value at the beginning of the period ($) | 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 | 942.20 | 1,015.61 | 9.45 | 9.81 | 1.92 |
Class 2 | 1,000.00 | 1,000.00 | 941.40 | 1,014.34 | 10.68 | 11.08 | 2.17 |
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Common Stocks 37.4% | ||
Issuer | Shares | Value ($) |
Communication Services 0.8% | ||
Interactive Media & Services 0.4% | ||
Facebook, Inc., Class A(a),(b) | 7,644 | 1,002,052 |
Media 0.4% | ||
AMC Networks, Inc., Class A(a) | 9,063 | 497,378 |
Sirius XM Holdings, Inc.(b) | 71,010 | 405,467 |
Total | 902,845 | |
Total Communication Services | 1,904,897 | |
Consumer Discretionary 4.8% | ||
Auto Components 0.5% | ||
Gentex Corp.(b) | 63,806 | 1,289,519 |
Diversified Consumer Services 0.3% | ||
H&R Block, Inc.(b) | 30,136 | 764,550 |
Hotels, Restaurants & Leisure 1.1% | ||
Extended Stay America, Inc.(b) | 79,254 | 1,228,437 |
International Game Technology PLC(b) | 21,360 | 312,497 |
Marriott International, Inc., Class A(b) | 10,714 | 1,163,112 |
Total | 2,704,046 | |
Multiline Retail 0.5% | ||
Kohl’s Corp.(b) | 19,907 | 1,320,630 |
Specialty Retail 2.1% | ||
Advance Auto Parts, Inc. | 5,406 | 851,229 |
Best Buy Co., Inc.(b) | 10,328 | 546,971 |
Dick’s Sporting Goods, Inc.(b) | 38,471 | 1,200,295 |
Foot Locker, Inc.(b) | 28,049 | 1,492,207 |
Urban Outfitters, Inc.(a),(b) | 34,544 | 1,146,861 |
Total | �� | 5,237,563 |
Textiles, Apparel & Luxury Goods 0.3% | ||
Columbia Sportswear Co. | 3,770 | 317,019 |
Ralph Lauren Corp.(b) | 4,397 | 454,914 |
Total | 771,933 | |
Total Consumer Discretionary | 12,088,241 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 2.4% | ||
Food & Staples Retailing 0.6% | ||
Walgreens Boots Alliance, Inc.(b) | 18,562 | 1,268,341 |
Walmart, Inc.(b) | 2,544 | 236,974 |
Total | 1,505,315 | |
Food Products 0.9% | ||
Ingredion, Inc.(b) | 10,703 | 978,254 |
Tyson Foods, Inc., Class A(b) | 22,180 | 1,184,412 |
Total | 2,162,666 | |
Personal Products 0.6% | ||
Herbalife Nutrition Ltd.(a) | 24,126 | 1,422,228 |
Tobacco 0.3% | ||
Philip Morris International, Inc.(b) | 12,954 | 864,809 |
Total Consumer Staples | 5,955,018 | |
Energy 2.1% | ||
Energy Equipment & Services 0.1% | ||
National Oilwell Varco, Inc.(b) | 10,725 | 275,633 |
Oil, Gas & Consumable Fuels 2.0% | ||
ConocoPhillips | 20,880 | 1,301,868 |
Marathon Petroleum Corp.(b) | 5,105 | 301,246 |
Murphy Oil Corp.(b) | 45,121 | 1,055,380 |
PBF Energy, Inc., Class A(b) | 36,883 | 1,204,968 |
Valero Energy Corp.(b) | 6,949 | 520,966 |
Whiting Petroleum Corp.(a),(b) | 34,042 | 772,413 |
Total | 5,156,841 | |
Total Energy | 5,432,474 | |
Financials 6.0% | ||
Banks 1.6% | ||
CIT Group, Inc. | 21,096 | 807,344 |
Citizens Financial Group, Inc. | 13,064 | 388,393 |
Comerica, Inc. | 3,135 | 215,343 |
Popular, Inc.(b) | 26,855 | 1,268,093 |
Regions Financial Corp. | 30,955 | 414,178 |
Synovus Financial Corp.(b) | 28,528 | 912,611 |
Total | 4,005,962 |
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Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 0.7% | ||
Lazard Ltd., Class A(b) | 31,247 | 1,153,327 |
LPL Financial Holdings, Inc.(b) | 1,222 | 74,640 |
S&P Global, Inc.(b) | 2,805 | 476,681 |
Total | 1,704,648 | |
Consumer Finance 0.8% | ||
Capital One Financial Corp. | 9,249 | 699,132 |
Navient Corp.(b) | 121,024 | 1,066,221 |
Santander Consumer U.S.A. Holdings, Inc. | 12,735 | 224,009 |
Total | 1,989,362 | |
Diversified Financial Services 0.5% | ||
Voya Financial, Inc.(b) | 29,666 | 1,190,793 |
Insurance 2.4% | ||
Allstate Corp. (The) | 13,794 | 1,139,798 |
Athene Holding Ltd., Class A(a) | 30,594 | 1,218,559 |
Brown & Brown, Inc.(b) | 2,763 | 76,148 |
CNA Financial Corp. | 5,030 | 222,075 |
MetLife, Inc.(b) | 31,740 | 1,303,244 |
Prudential Financial, Inc.(b) | 14,670 | 1,196,339 |
Unum Group(b) | 36,587 | 1,074,926 |
Total | 6,231,089 | |
Total Financials | 15,121,854 | |
Health Care 3.6% | ||
Health Care Equipment & Supplies 0.8% | ||
Baxter International, Inc.(b) | 7,882 | 518,793 |
Dentsply Sirona, Inc.(b) | 24,338 | 905,617 |
STERIS PLC(b) | 4,982 | 532,327 |
Total | 1,956,737 | |
Health Care Providers & Services 1.3% | ||
Cardinal Health, Inc. | 21,476 | 957,829 |
McKesson Corp. | 10,345 | 1,142,812 |
Premier, Inc.(a),(b) | 32,851 | 1,226,985 |
Total | 3,327,626 | |
Life Sciences Tools & Services 0.5% | ||
Agilent Technologies, Inc. | 2,584 | 174,317 |
Bruker Corp.(b) | 39,329 | 1,170,824 |
Total | 1,345,141 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 1.0% | ||
Bristol-Myers Squibb Co. | 14,992 | 779,284 |
Eli Lilly & Co.(b) | 12,960 | 1,499,731 |
Merck & Co., Inc.(b) | 1,132 | 86,496 |
Perrigo Co. PLC(b) | 6,283 | 243,467 |
Total | 2,608,978 | |
Total Health Care | 9,238,482 | |
Industrials 5.3% | ||
Aerospace & Defense 0.5% | ||
Boeing Co. (The) | 3,916 | 1,262,910 |
Air Freight & Logistics 0.5% | ||
CH Robinson Worldwide, Inc. | 14,878 | 1,251,091 |
Expeditors International of Washington, Inc.(b) | 1,851 | 126,035 |
Total | 1,377,126 | |
Airlines 1.2% | ||
Copa Holdings SA, Class A | 15,609 | 1,228,584 |
Delta Air Lines, Inc.(b) | 23,512 | 1,173,249 |
Southwest Airlines Co.(b) | 13,175 | 612,374 |
United Continental Holdings, Inc.(a),(b) | 908 | 76,027 |
Total | 3,090,234 | |
Commercial Services & Supplies 0.3% | ||
ADT, Inc. | 115,170 | 692,172 |
Electrical Equipment 0.8% | ||
Acuity Brands, Inc. | 4,074 | 468,306 |
Hubbell, Inc.(b) | 3,246 | 322,458 |
Rockwell Automation, Inc.(b) | 7,969 | 1,199,175 |
Total | 1,989,939 | |
Industrial Conglomerates 0.1% | ||
Honeywell International, Inc.(b) | 1,277 | 168,717 |
Machinery 1.1% | ||
Allison Transmission Holdings, Inc. | 29,089 | 1,277,298 |
Snap-On, Inc.(b) | 8,737 | 1,269,399 |
Terex Corp.(b) | 7,320 | 201,812 |
Total | 2,748,509 | |
Professional Services 0.3% | ||
Robert Half International, Inc. | 14,636 | 837,179 |
8 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Trading Companies & Distributors 0.5% | ||
MSC Industrial Direct Co., Inc., Class A(b) | 16,539 | 1,272,180 |
Total Industrials | 13,438,966 | |
Information Technology 6.1% | ||
Communications Equipment 0.8% | ||
F5 Networks, Inc.(a),(b) | 3,121 | 505,695 |
Ubiquiti Networks, Inc.(b) | 14,341 | 1,425,639 |
Total | 1,931,334 | |
IT Services 1.4% | ||
MasterCard, Inc., Class A(b) | 6,681 | 1,260,371 |
Paychex, Inc.(b) | 11,779 | 767,402 |
VeriSign, Inc.(a),(b) | 8,718 | 1,292,792 |
Visa, Inc., Class A(b) | 1,666 | 219,812 |
Total | 3,540,377 | |
Semiconductors & Semiconductor Equipment 1.5% | ||
Cypress Semiconductor Corp. | 105,331 | 1,339,811 |
Qorvo, Inc.(a),(b) | 20,903 | 1,269,439 |
QUALCOMM, Inc.(b) | 19,376 | 1,102,688 |
Total | 3,711,938 | |
Software 2.0% | ||
Adobe, Inc.(a) | 5,573 | 1,260,835 |
Aspen Technology, Inc.(a) | 13,272 | 1,090,693 |
Fortinet, Inc.(a),(b) | 18,107 | 1,275,276 |
LogMeIn, Inc.(b) | 6,473 | 528,003 |
VMware, Inc., Class A(b) | 7,530 | 1,032,589 |
Total | 5,187,396 | |
Technology Hardware, Storage & Peripherals 0.4% | ||
HP, Inc.(b) | 6,431 | 131,578 |
NetApp, Inc.(b) | 16,947 | 1,011,228 |
Total | 1,142,806 | |
Total Information Technology | 15,513,851 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 3.9% | ||
Chemicals 2.4% | ||
Cabot Corp. | 26,434 | 1,135,076 |
Eastman Chemical Co.(b) | 16,203 | 1,184,601 |
Huntsman Corp.(b) | 67,087 | 1,294,108 |
LyondellBasell Industries NV, Class A(b) | 14,783 | 1,229,354 |
Westlake Chemical Corp.(b) | 18,232 | 1,206,412 |
Total | 6,049,551 | |
Containers & Packaging 0.3% | ||
Avery Dennison Corp.(b) | 5,877 | 527,931 |
Packaging Corp. of America(b) | 3,232 | 269,743 |
Total | 797,674 | |
Metals & Mining 0.8% | ||
Steel Dynamics, Inc.(b) | 36,494 | 1,096,280 |
United States Steel Corp.(b) | 46,276 | 844,074 |
Total | 1,940,354 | |
Paper & Forest Products 0.4% | ||
Domtar Corp.(b) | 30,611 | 1,075,364 |
Total Materials | 9,862,943 | |
Real Estate 2.4% | ||
Equity Real Estate Investment Trusts (REITS) 2.1% | ||
Hospitality Properties Trust(b) | 31,139 | 743,599 |
Host Hotels & Resorts, Inc.(b) | 63,897 | 1,065,163 |
Park Hotels & Resorts, Inc.(b) | 45,210 | 1,174,556 |
Rayonier, Inc.(b) | 42,767 | 1,184,218 |
Spirit Realty Capital, Inc. | 28,188 | 993,627 |
Uniti Group, Inc. | 10,975 | 170,881 |
Total | 5,332,044 | |
Real Estate Management & Development 0.3% | ||
Jones Lang LaSalle, Inc.(b) | 6,449 | 816,443 |
Total Real Estate | 6,148,487 | |
Total Common Stocks (Cost $110,237,736) | 94,705,213 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 | 9 |
Table of Contents
December 31, 2018
Exchange-Traded Funds 6.5% | ||
Shares | Value ($) | |
iPath Bloomberg Commodity Index Total Return ETN(a) | 460,594 | 9,773,805 |
Vanguard REIT ETF | 90,218 | 6,727,556 |
Total Exchange-Traded Funds (Cost $17,873,068) | 16,501,361 |
Foreign Government Obligations(c),(d) 4.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Austria 0.2% | ||||
Republic of Austria Government Bond(e) | ||||
03/15/2037 | 4.150% | EUR | 265,000 | 461,234 |
Belgium 0.7% | ||||
Kingdom of Belgium Government Bond(e) | ||||
06/22/2024 | 2.600% | EUR | 636,000 | 828,259 |
06/22/2027 | 0.800% | EUR | 443,000 | 514,481 |
03/28/2041 | 4.250% | EUR | 308,000 | 529,000 |
Total | 1,871,740 | |||
France 0.3% | ||||
French Republic Government Bond OAT(e) | ||||
05/25/2045 | 3.250% | EUR | 305,000 | 480,564 |
05/25/2048 | 2.000% | EUR | 205,000 | 255,060 |
Total | 735,624 | |||
Italy 0.6% | ||||
Italy Buoni Poliennali Del Tesoro(e) | ||||
09/01/2028 | 4.750% | EUR | 599,000 | 810,993 |
09/01/2046 | 3.250% | EUR | 313,000 | 349,277 |
03/01/2047 | 2.700% | EUR | 394,000 | 400,605 |
Total | 1,560,875 | |||
Japan 0.3% | ||||
Japan Government 30-Year Bond | ||||
06/20/2048 | 0.700% | JPY | 82,450,000 | 749,497 |
09/20/2048 | 0.900% | JPY | 7,150,000 | 68,359 |
Total | 817,856 | |||
Mexico 0.2% | ||||
Mexican Bonos | ||||
06/10/2021 | 6.500% | MXN | 10,000,000 | 486,033 |
South Africa 0.5% | ||||
Republic of South Africa Government Bond | ||||
12/21/2026 | 10.500% | ZAR | 15,820,000 | 1,200,187 |
Foreign Government Obligations(c),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Spain 1.1% | ||||
Spain Government Bond(e) | ||||
10/31/2024 | 2.750% | EUR | 1,225,000 | 1,572,604 |
04/30/2028 | 1.400% | EUR | 485,000 | 558,100 |
07/30/2030 | 1.950% | EUR | 313,000 | 369,841 |
07/30/2040 | 4.900% | EUR | 245,000 | 404,978 |
Total | 2,905,523 | |||
United Kingdom 0.3% | ||||
United Kingdom Gilt(e) | ||||
06/07/2032 | 4.250% | GBP | 380,000 | 645,983 |
Total Foreign Government Obligations (Cost $10,525,126) | 10,685,055 | |||
Inflation-Indexed Bonds(c) 7.5% | ||||
Australia 0.1% | ||||
Australia Government Bond(e) | ||||
08/21/2035 | 2.000% | AUD | 123,817 | 103,106 |
08/21/2040 | 1.250% | AUD | 103,961 | 78,259 |
Total | 181,365 | |||
France 0.9% | ||||
France Government Bond OAT(e) | ||||
07/25/2030 | 0.700% | EUR | 284,982 | 366,084 |
07/25/2032 | 3.150% | EUR | 312,751 | 529,766 |
French Republic Government Bond OAT(e) | ||||
07/25/2024 | 0.250% | EUR | 942,214 | 1,154,106 |
07/25/2040 | 1.800% | EUR | 211,021 | 341,397 |
Total | 2,391,353 | |||
Germany 0.3% | ||||
Bundesrepublik Deutschland Bundesobligation Inflation-Linked Bond(e) | ||||
04/15/2030 | 0.500% | EUR | 144,108 | 190,938 |
Deutsche Bundesrepublik Inflation-Linked Bond(e) | ||||
04/15/2023 | 0.100% | EUR | 400,971 | 484,421 |
04/15/2046 | 0.100% | EUR | 61,305 | 86,273 |
Total | 761,632 | |||
Italy 0.6% | ||||
Italy Buoni Poliennali Del Tesoro(e) | ||||
09/15/2026 | 3.100% | EUR | 765,051 | 971,289 |
09/15/2041 | 2.550% | EUR | 339,306 | 413,814 |
Total | 1,385,103 |
10 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Inflation-Indexed Bonds(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Japan 0.5% | ||||
Japanese Government CPI-Linked Bond | ||||
03/10/2025 | 0.100% | JPY | 28,521,500 | 267,635 |
03/10/2026 | 0.100% | JPY | 34,074,096 | 321,033 |
03/10/2027 | 0.100% | JPY | 75,974,382 | 716,051 |
Total | 1,304,719 | |||
Spain 0.5% | ||||
Spain Government Inflation-Linked Bond(e) | ||||
11/30/2024 | 1.800% | EUR | 485,758 | 628,362 |
11/30/2027 | 0.650% | EUR | 203,358 | 243,624 |
11/30/2030 | 1.000% | EUR | 249,490 | 303,899 |
Total | 1,175,885 | |||
United Kingdom 2.3% | ||||
United Kingdom Gilt Inflation-Linked Bond(e) | ||||
03/22/2024 | 0.125% | GBP | 300,439 | 430,953 |
03/22/2029 | 0.125% | GBP | 630,306 | 989,460 |
03/22/2034 | 0.750% | GBP | 485,132 | 895,325 |
11/22/2037 | 1.125% | GBP | 337,613 | 708,304 |
03/22/2044 | 0.125% | GBP | 336,814 | 654,071 |
03/22/2052 | 0.250% | GBP | 611,198 | 1,368,469 |
11/22/2056 | 0.125% | GBP | 221,256 | 509,223 |
11/22/2065 | 0.125% | GBP | 133,274 | 353,632 |
Total | 5,909,437 | |||
United States 2.3% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
01/15/2022 | 0.125% | 867,033 | 841,883 | |
01/15/2024 | 0.625% | 1,058,882 | 1,042,902 | |
01/15/2025 | 0.250% | 908,596 | 870,465 | |
07/15/2027 | 0.375% | 1,043,094 | 989,541 | |
01/15/2028 | 0.500% | 888,857 | 848,704 | |
02/15/2042 | 0.750% | 391,706 | 355,834 | |
02/15/2043 | 0.625% | 342,078 | 300,377 | |
02/15/2045 | 0.750% | 286,734 | 256,794 | |
02/15/2048 | 1.000% | 239,967 | 227,675 | |
Total | 5,734,175 | |||
Total Inflation-Indexed Bonds (Cost $19,110,168) | 18,843,669 | |||
Residential Mortgage-Backed Securities - Agency 1.0% | ||||
Federal National Mortgage Association(f) | ||||
01/17/2034 | 2.500% | 365,000 | 356,452 | |
01/14/2049 | 3.000% | 415,000 | 404,502 | |
01/14/2049 | 3.500% | 525,000 | 524,908 | |
01/14/2049 | 4.000% | 360,000 | 366,975 | |
01/14/2049 | 4.500% | 150,000 | 155,323 | |
01/14/2049 | 5.000% | 75,000 | 78,557 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(f) | ||||
01/23/2049 | 3.500% | 735,000 | 739,821 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $2,595,609) | 2,626,538 | |||
U.S. Treasury Obligations 3.4% | ||||
U.S. Treasury | ||||
11/30/2024 | 2.125% | 200 | 195 | |
11/15/2027 | 2.250% | 3,140,600 | 3,033,905 | |
02/15/2028 | 2.750% | 2,776,400 | 2,790,878 | |
05/15/2028 | 2.875% | 2,712,900 | 2,754,608 | |
Total U.S. Treasury Obligations (Cost $8,437,470) | 8,579,586 |
Money Market Funds 52.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(g),(h) | 132,548,866 | 132,535,611 |
Total Money Market Funds (Cost $132,537,875) | 132,535,611 | |
Total Investments in Securities (Cost $301,317,052) | 284,477,033 | |
Investments in securities sold short | ||
Common Stocks (36.9)% | ||
Issuer | Shares | Value ($) |
Communication Services (0.7)% | ||
Entertainment (0.4)% | ||
Lions Gate Entertainment Corp. | (51,816) | (834,238) |
Madison Square Garden Co. (The), Class A(a) | (630) | (168,651) |
Netflix, Inc.(a) | (363) | (97,160) |
Total | (1,100,049) | |
Media (0.3)% | ||
Charter Communications, Inc., Class A(a) | (2,192) | (624,654) |
Total Communication Services | (1,724,703) | |
Consumer Discretionary (4.6)% | ||
Distributors (0.6)% | ||
LKQ Corp.(a) | (34,294) | (813,796) |
Pool Corp. | (5,658) | (841,062) |
Total | (1,654,858) | |
Diversified Consumer Services (0.3)% | ||
Grand Canyon Education, Inc.(a) | (7,943) | (763,640) |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 | 11 |
Table of Contents
December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Hotels, Restaurants & Leisure (1.1)% | ||
Caesars Entertainment Corp.(a) | (103,600) | (703,444) |
Hilton Grand Vacations, Inc.(a) | (32,699) | (862,927) |
McDonald’s Corp. | (2,818) | (500,392) |
Wynn Resorts Ltd. | (6,271) | (620,265) |
Total | (2,687,028) | |
Household Durables (0.1)% | ||
Leggett & Platt, Inc. | (8,985) | (322,022) |
Internet & Direct Marketing Retail (0.1)% | ||
Wayfair, Inc., Class A(a) | (1,725) | (155,388) |
Leisure Products (0.2)% | ||
Mattel, Inc.(a) | (60,998) | (609,370) |
Multiline Retail (0.4)% | ||
Dollar Tree, Inc.(a) | (11,867) | (1,071,828) |
Specialty Retail (1.1)% | ||
AutoNation, Inc.(a) | (21,961) | (784,008) |
CarMax, Inc.(a) | (13,917) | (873,013) |
L Brands, Inc. | (28,876) | (741,247) |
Penske Automotive Group, Inc. | (7,879) | (317,681) |
Total | (2,715,949) | |
Textiles, Apparel & Luxury Goods (0.7)% | ||
Carter’s, Inc. | (3,936) | (321,256) |
PVH Corp. | (6,957) | (646,653) |
Under Armour, Inc., Class C(a) | (47,051) | (760,815) |
Total | (1,728,724) | |
Total Consumer Discretionary | (11,708,807) | |
Consumer Staples (2.3)% | ||
Beverages (0.4)% | ||
Brown-Forman Corp., Class B | (18,551) | (882,656) |
Food & Staples Retailing (0.4)% | ||
Casey’s General Stores, Inc. | (8,034) | (1,029,477) |
Food Products (0.9)% | ||
Hain Celestial Group, Inc. (The)(a) | (44,244) | (701,710) |
Kraft Heinz Co. (The) | (17,268) | (743,214) |
McCormick & Co., Inc. | (6,791) | (945,579) |
Total | (2,390,503) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Products (0.0)% | ||
Church & Dwight Co., Inc. | (835) | (54,910) |
Personal Products (0.6)% | ||
Coty, Inc., Class A | (114,134) | (748,719) |
Estee Lauder Companies, Inc. (The), Class A | (5,198) | (676,260) |
Total | (1,424,979) | |
Total Consumer Staples | (5,782,525) | |
Energy (2.1)% | ||
Energy Equipment & Services (0.0)% | ||
Weatherford International PLC(a) | (219,843) | (122,892) |
Oil, Gas & Consumable Fuels (2.1)% | ||
Cheniere Energy, Inc.(a) | (15,626) | (924,903) |
Concho Resources, Inc.(a) | (1,297) | (133,319) |
Diamondback Energy, Inc. | (8,887) | (823,825) |
Hess Corp. | (10,518) | (425,979) |
ONEOK, Inc. | (5,718) | (308,486) |
Parsley Energy, Inc.(a) | (46,863) | (748,871) |
SM Energy Co. | (31,722) | (491,056) |
Williams Companies, Inc. (The) | (38,295) | (844,405) |
WPX Energy, Inc.(a) | (53,217) | (604,013) |
Total | (5,304,857) | |
Total Energy | (5,427,749) | |
Financials (6.2)% | ||
Banks (1.9)% | ||
Bank of Hawaii Corp. | (12,156) | (818,342) |
First Horizon National Corp. | (26,079) | (343,200) |
First Republic Bank | (10,619) | (922,791) |
Pinnacle Financial Partners, Inc. | (6,317) | (291,214) |
Prosperity Bancshares, Inc. | (13,814) | (860,612) |
U.S. Bancorp | (17,499) | (799,704) |
Wells Fargo & Co. | (16,142) | (743,823) |
Total | (4,779,686) | |
Capital Markets (0.3)% | ||
BGC Partners, Inc., Class A | (30,439) | (157,370) |
Interactive Brokers Group, Inc., Class A | (5,096) | (278,496) |
Virtu Financial, Inc., Class A | (14,580) | (375,581) |
Total | (811,447) |
12 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Finance (0.5)% | ||
American Express Co. | (8,308) | (791,919) |
Credit Acceptance Corp.(a) | (999) | (381,378) |
Total | (1,173,297) | |
Insurance (2.8)% | ||
Alleghany Corp. | (568) | (354,046) |
American International Group, Inc. | (15,204) | (599,190) |
Arch Capital Group Ltd.(a) | (31,027) | (829,041) |
Assurant, Inc. | (9,291) | (830,987) |
Chubb Ltd. | (7,263) | (938,234) |
Markel Corp.(a) | (791) | (821,098) |
RenaissanceRe Holdings Ltd. | (6,752) | (902,742) |
White Mountains Insurance Group Ltd. | (1,029) | (882,563) |
Willis Towers Watson PLC | (6,507) | (988,153) |
Total | (7,146,054) | |
Thrifts & Mortgage Finance (0.7)% | ||
New York Community Bancorp, Inc. | (74,241) | (698,608) |
TFS Financial Corp. | (62,966) | (1,015,641) |
Total | (1,714,249) | |
Total Financials | (15,624,733) | |
Health Care (3.6)% | ||
Health Care Equipment & Supplies (1.1)% | ||
ABIOMED, Inc.(a) | (2,656) | (863,306) |
Align Technology, Inc.(a) | (365) | (76,442) |
Dexcom, Inc.(a) | (1,736) | (207,973) |
Insulet Corp.(a) | (11,534) | (914,877) |
Integra LifeSciences Holdings Corp.(a) | (1,416) | (63,862) |
Penumbra, Inc.(a) | (6,533) | (798,332) |
Total | (2,924,792) | |
Health Care Providers & Services (1.2)% | ||
Acadia Healthcare Co., Inc.(a) | (6,195) | (159,273) |
Anthem, Inc. | (3,509) | (921,569) |
Chemed Corp. | (3,073) | (870,519) |
DaVita, Inc.(a) | (1,476) | (75,955) |
Henry Schein, Inc.(a) | (5,109) | (401,159) |
Mednax, Inc.(a) | (19,720) | (650,760) |
Total | (3,079,235) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Technology (0.2)% | ||
Cerner Corp.(a) | (9,656) | (506,361) |
Life Sciences Tools & Services (0.6)% | ||
Bio-Rad Laboratories, Inc., Class A(a) | (3,404) | (790,477) |
Bio-Techne Corp. | (4,967) | (718,824) |
Total | (1,509,301) | |
Pharmaceuticals (0.5)% | ||
Catalent, Inc.(a) | (24,368) | (759,794) |
Zoetis, Inc. | (4,901) | (419,232) |
Total | (1,179,026) | |
Total Health Care | (9,198,715) | |
Industrials (5.1)% | ||
Aerospace & Defense (0.6)% | ||
BWX Technologies, Inc. | (21,997) | (840,945) |
Lockheed Martin Corp. | (2,879) | (753,838) |
Total | (1,594,783) | |
Air Freight & Logistics (0.2)% | ||
Fedex Corp. | (3,933) | (634,511) |
Airlines (0.7)% | ||
Alaska Air Group, Inc. | (14,584) | (887,436) |
American Airlines Group, Inc. | (27,646) | (887,713) |
Total | (1,775,149) | |
Commercial Services & Supplies (0.7)% | ||
Copart, Inc.(a) | (18,832) | (899,793) |
Stericycle, Inc.(a) | (20,564) | (754,493) |
Total | (1,654,286) | |
Construction & Engineering (0.3)% | ||
Fluor Corp. | (20,606) | (663,513) |
Valmont Industries, Inc. | (1,034) | (114,723) |
Total | (778,236) | |
Machinery (1.6)% | ||
Caterpillar, Inc. | (1,267) | (160,998) |
Colfax Corp.(a) | (30,608) | (639,707) |
Deere & Co. | (6,698) | (999,141) |
Donaldson Co., Inc. | (15,964) | (692,678) |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 | 13 |
Table of Contents
December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Wabtec Corp. | (10,317) | (724,769) |
Welbilt, Inc.(a) | (68,784) | (764,190) |
Total | (3,981,483) | |
Road & Rail (0.7)% | ||
AMERCO | (2,826) | (927,239) |
Ryder System, Inc. | (17,105) | (823,606) |
Total | (1,750,845) | |
Trading Companies & Distributors (0.3)% | ||
Air Lease Corp. | (24,244) | (732,411) |
Total Industrials | (12,901,704) | |
Information Technology (5.8)% | ||
Communications Equipment (0.3)% | ||
EchoStar Corp., Class A(a) | (23,289) | (855,172) |
Electronic Equipment, Instruments & Components (0.5)% | ||
Arrow Electronics, Inc.(a) | (13,619) | (939,030) |
Avnet, Inc. | (6,500) | (234,650) |
Total | (1,173,680) | |
IT Services (1.7)% | ||
Amdocs Ltd. | (14,153) | (829,083) |
Euronet Worldwide, Inc.(a) | (9,021) | (923,570) |
Gartner, Inc.(a) | (6,222) | (795,420) |
Square, Inc., Class A(a) | (12,483) | (700,171) |
Teradata Corp.(a) | (2,057) | (78,907) |
Twilio, Inc.(a) | (10,896) | (973,013) |
Wex, Inc.(a) | (685) | (95,941) |
Total | (4,396,105) | |
Semiconductors & Semiconductor Equipment (1.5)% | ||
Advanced Micro Devices, Inc.(a) | (32,976) | (608,737) |
First Solar, Inc.(a) | (20,277) | (860,860) |
Monolithic Power Systems, Inc. | (8,138) | (946,042) |
Universal Display Corp. | (4,661) | (436,130) |
Versum Materials, Inc. | (30,075) | (833,679) |
Total | (3,685,448) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software (1.5)% | ||
2U, Inc.(a) | (15,798) | (785,477) |
Autodesk, Inc.(a) | (6,911) | (888,824) |
FireEye, Inc.(a) | (52,057) | (843,844) |
Nuance Communications, Inc.(a) | (57,523) | (761,029) |
PTC, Inc.(a) | (5,510) | (456,779) |
Total | (3,735,953) | |
Technology Hardware, Storage & Peripherals (0.3)% | ||
Hewlett Packard Enterprise Co. | (60,583) | (800,301) |
Xerox Corp. | (3,539) | (69,931) |
Total | (870,232) | |
Total Information Technology | (14,716,590) | |
Materials (4.0)% | ||
Chemicals (2.3)% | ||
Albemarle Corp. | (9,828) | (757,444) |
Ashland Global Holdings, Inc. | (11,322) | (803,409) |
Ecolab, Inc. | (6,301) | (928,452) |
FMC Corp. | (9,498) | (702,472) |
International Flavors & Fragrances, Inc. | (2,721) | (365,349) |
Platform Specialty Products Corp.(a) | (86,090) | (889,310) |
RPM International, Inc. | (10,521) | (618,424) |
Scotts Miracle-Gro Co. (The), Class A | (13,112) | (805,864) |
Total | (5,870,724) | |
Construction Materials (0.4)% | ||
Martin Marietta Materials, Inc. | (519) | (89,200) |
Vulcan Materials Co. | (8,575) | (847,210) |
Total | (936,410) | |
Containers & Packaging (0.9)% | ||
Ball Corp. | (21,007) | (965,902) |
Crown Holdings, Inc.(a) | (20,870) | (867,566) |
Sealed Air Corp. | (9,288) | (323,594) |
Total | (2,157,062) | |
Metals & Mining (0.4)% | ||
Royal Gold, Inc. | (12,723) | (1,089,725) |
Total Materials | (10,053,921) |
14 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate (2.5)% | ||
Equity Real Estate Investment Trusts (REITS) (2.4)% | ||
American Campus Communities, Inc. | (22,848) | (945,679) |
Crown Castle International Corp. | (8,352) | (907,278) |
Equinix, Inc. | (2,216) | (781,273) |
Federal Realty Investment Trust | (7,342) | (866,649) |
Healthcare Trust of America, Inc., Class A | (14,487) | (366,666) |
Macerich Co. (The) | (18,172) | (786,484) |
Prologis, Inc. | (1,274) | (74,809) |
Realty Income Corp. | (6,818) | (429,807) |
Welltower, Inc. | (13,978) | (970,213) |
Total | (6,128,858) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate Management & Development (0.1)% | ||
Newmark Group, Inc., Class A | (10,763) | (86,323) |
Total Real Estate | (6,215,181) | |
Total Common Stocks (Proceeds $109,840,914) | (93,354,628) | |
Total Investments in Securities Sold Short (Proceeds $109,840,914) | (93,354,628) | |
Total Investments in Securities, Net of Securities Sold Short | 191,122,405 | |
Other Assets & Liabilities, Net | 62,085,305 | |
Net Assets | 253,207,710 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
164,043,000 SEK | 18,173,784 USD | Citi | 01/09/2019 | — | (344,662) |
61,673 USD | 92,000 NZD | Citi | 01/09/2019 | 86 | — |
18,118,855 USD | 26,926,000 NZD | Citi | 01/09/2019 | — | (44,079) |
18,279,253 USD | 164,043,000 SEK | Citi | 01/09/2019 | 239,194 | — |
9,565,000 GBP | 12,163,334 USD | Credit Suisse | 01/09/2019 | — | (32,079) |
1,367,373,000 JPY | 12,119,533 USD | Credit Suisse | 01/09/2019 | — | (362,081) |
12,076,409 USD | 16,470,000 CAD | Credit Suisse | 01/09/2019 | — | (10,226) |
12,085,282 USD | 9,565,000 GBP | Credit Suisse | 01/09/2019 | 110,131 | — |
12,093,443 USD | 1,367,373,000 JPY | Credit Suisse | 01/09/2019 | 388,171 | — |
40,433,000 CAD | 29,801,122 USD | HSBC | 01/09/2019 | 179,266 | — |
1,328,612,000 JPY | 12,084,432 USD | HSBC | 01/09/2019 | — | (43,366) |
35,518,000 NZD | 24,303,601 USD | HSBC | 01/09/2019 | 461,222 | — |
30,659,346 USD | 40,433,000 CAD | HSBC | 01/09/2019 | — | (1,037,490) |
24,234,054 USD | 35,518,000 NZD | HSBC | 01/09/2019 | — | (391,675) |
4,300,000 CAD | 3,276,348 USD | HSBC | 01/15/2019 | 125,573 | — |
3,200,000 CHF | 3,212,880 USD | HSBC | 01/15/2019 | — | (46,565) |
3,100,000 EUR | 3,552,963 USD | HSBC | 01/15/2019 | — | (2,656) |
2,500,000 GBP | 3,189,800 USD | HSBC | 01/15/2019 | 1,280 | — |
473,800,000 JPY | 4,185,845 USD | HSBC | 01/15/2019 | — | (141,214) |
21,800,000 NOK | 2,590,247 USD | HSBC | 01/15/2019 | 67,511 | — |
21,600,000 SEK | 2,411,918 USD | HSBC | 01/15/2019 | — | (27,721) |
8,100,000 SGD | 5,907,562 USD | HSBC | 01/15/2019 | — | (37,018) |
2,649,564 USD | 3,600,000 AUD | HSBC | 01/15/2019 | — | (113,242) |
3,220,547 USD | 3,200,000 CHF | HSBC | 01/15/2019 | 38,899 | — |
3,532,326 USD | 3,100,000 EUR | HSBC | 01/15/2019 | 23,293 | — |
2,285,778 USD | 3,300,000 NZD | HSBC | 01/15/2019 | — | (70,317) |
2,403,381 USD | 21,600,000 SEK | HSBC | 01/15/2019 | 36,259 | — |
5,928,724 USD | 8,100,000 SGD | HSBC | 01/15/2019 | 15,856 | — |
166,000 AUD | 119,871 USD | HSBC | 01/25/2019 | 2,893 | — |
2,712,000 CAD | 2,058,357 USD | HSBC | 01/25/2019 | 70,617 | — |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 | 15 |
Table of Contents
December 31, 2018
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
261,000 CHF | 264,769 USD | HSBC | 01/25/2019 | — | (1,336) |
622,000 EUR | 711,823 USD | HSBC | 01/25/2019 | — | (2,229) |
7,054,000 GBP | 9,004,502 USD | HSBC | 01/25/2019 | 3,020 | — |
572,733,000 JPY | 5,097,916 USD | HSBC | 01/25/2019 | — | (136,961) |
9,823,000 MXN | 477,060 USD | HSBC | 01/25/2019 | — | (20,947) |
10,250,000 NOK | 1,213,359 USD | HSBC | 01/25/2019 | 26,629 | — |
20,000 NZD | 13,894 USD | HSBC | 01/25/2019 | 464 | — |
2,825,000 SEK | 316,156 USD | HSBC | 01/25/2019 | — | (3,193) |
197,000 SGD | 144,570 USD | HSBC | 01/25/2019 | — | (40) |
1,765,984 USD | 2,393,000 AUD | HSBC | 01/25/2019 | — | (79,667) |
3,899,893 USD | 3,863,000 CHF | HSBC | 01/25/2019 | 38,665 | — |
178,268 USD | 141,000 GBP | HSBC | 01/25/2019 | 1,659 | — |
266,587 USD | 208,000 GBP | HSBC | 01/25/2019 | — | (1,162) |
514,148 USD | 57,136,000 JPY | HSBC | 01/25/2019 | 8,085 | — |
42,451,000 ZAR | 3,077,432 USD | HSBC | 01/25/2019 | 135,150 | — |
18,072,000 CHF | 18,219,911 USD | Morgan Stanley | 01/09/2019 | — | (177,152) |
30,229,632 USD | 42,821,000 AUD | Morgan Stanley | 01/09/2019 | — | (64,726) |
247,394 USD | 244,000 CHF | Morgan Stanley | 01/09/2019 | 995 | — |
1,471,000 AUD | 1,085,804 USD | Morgan Stanley | 01/25/2019 | 49,209 | — |
46,000 CAD | 34,904 USD | Morgan Stanley | 01/25/2019 | 1,189 | — |
929,000 CHF | 938,450 USD | Morgan Stanley | 01/25/2019 | — | (8,721) |
1,247,000 DKK | 191,399 USD | Morgan Stanley | 01/25/2019 | — | (359) |
14,681,000 EUR | 16,801,670 USD | Morgan Stanley | 01/25/2019 | — | (52,028) |
474,733 USD | 648,000 AUD | Morgan Stanley | 01/25/2019 | — | (18,096) |
2,057,819 USD | 2,712,000 CAD | Morgan Stanley | 01/25/2019 | — | (70,080) |
969,398 USD | 848,000 EUR | Morgan Stanley | 01/25/2019 | 4,101 | — |
103,866 USD | 82,000 GBP | Morgan Stanley | 01/25/2019 | 772 | — |
217,940 USD | 170,000 GBP | Morgan Stanley | 01/25/2019 | — | (1,006) |
1,180,236 USD | 9,975,000 NOK | Morgan Stanley | 01/25/2019 | — | (25,344) |
821,000 ZAR | 57,594 USD | Morgan Stanley | 01/25/2019 | 691 | — |
26,779,000 EUR | 30,555,374 USD | UBS | 01/09/2019 | — | (143,047) |
258,420,000 NOK | 30,347,964 USD | UBS | 01/09/2019 | 451,927 | — |
156,273,000 NOK | 17,953,538 USD | UBS | 01/09/2019 | — | (125,340) |
472,322 USD | 413,000 EUR | UBS | 01/09/2019 | 1,123 | — |
48,361,755 USD | 414,693,000 NOK | UBS | 01/09/2019 | — | (386,839) |
Total | 2,483,930 | (4,022,664) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
10-Year Mini JGB | 121 | 03/2019 | JPY | 1,846,823,000 | 88,108 | — |
3-Month Euro Euribor | 66 | 03/2019 | EUR | 16,548,675 | 4,633 | — |
3-Month Euroyen | 86 | 03/2019 | JPY | 2,148,602,500 | 1,667 | — |
Euro CHF 3-Month ICE | 75 | 03/2019 | CHF | 18,885,000 | — | (4,915) |
EURO STOXX 50 | 93 | 03/2019 | EUR | 2,765,820 | — | (59,855) |
Euro-BTP | 6 | 03/2019 | EUR | 766,920 | 39,897 | — |
Euro-Bund | 59 | 03/2019 | EUR | 9,648,860 | 34,977 | — |
Euro-Buxl 30-Year | 1 | 03/2019 | EUR | 180,620 | 5,659 | — |
Euro-OAT | 15 | 03/2019 | EUR | 2,262,000 | 6,663 | — |
FTSE 100 Index | 220 | 03/2019 | GBP | 14,649,800 | 31,870 | — |
Hang Seng Index | 6 | 01/2019 | HKD | 7,756,200 | — | (1,591) |
Long Gilt | 65 | 03/2019 | GBP | 8,006,050 | 99,450 | — |
MSCI EAFE Index Future | 123 | 03/2019 | USD | 10,553,400 | — | (156,832) |
MSCI Emerging Markets Index | 84 | 03/2019 | USD | 4,060,560 | — | (28,561) |
Russell 2000 E-mini | 28 | 03/2019 | USD | 1,888,600 | — | (56,726) |
S&P 500 E-mini | 172 | 03/2019 | USD | 21,544,720 | — | (429,567) |
S&P 500 E-mini | 339 | 03/2019 | USD | 42,463,140 | — | (902,986) |
16 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
TOPIX Index | 14 | 03/2019 | JPY | 209,090,000 | — | (114,417) |
U.S. Long Bond | 2 | 03/2019 | USD | 292,000 | 13,793 | — |
U.S. Treasury 10-Year Note | 50 | 03/2019 | USD | 6,100,781 | 144,033 | — |
U.S. Treasury Ultra 10-Year Note | 43 | 03/2019 | USD | 5,593,359 | 172,915 | — |
Total | 643,665 | (1,755,450) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
90-Day Sterling | (117) | 03/2019 | GBP | (14,487,525) | — | (15,110) |
CAC40 Index | (26) | 01/2019 | EUR | (1,229,410) | 20,836 | — |
Canadian Government 10-Year Bond | (17) | 03/2019 | CAD | (2,325,090) | — | (54,038) |
Euro-BTP | (24) | 03/2019 | EUR | (3,067,680) | — | (161,855) |
FTSE 100 Index | (15) | 03/2019 | GBP | (998,850) | 9,631 | — |
MSCI Emerging Markets Index | (285) | 03/2019 | USD | (13,776,900) | 95,627 | — |
OMXS30 Index | (94) | 01/2019 | SEK | (13,237,550) | 38,323 | — |
S&P/TSE 60 Index | (94) | 03/2019 | CAD | (16,117,240) | 60,526 | — |
S&P/TSE 60 Index | (15) | 03/2019 | CAD | (2,571,900) | 9,707 | — |
SPI 200 Index | (10) | 03/2019 | AUD | (1,390,250) | — | (3,306) |
SPI 200 Index | (149) | 03/2019 | AUD | (20,714,725) | — | (49,259) |
TOPIX Index | (102) | 03/2019 | JPY | (1,523,370,000) | 705,677 | — |
Total | 940,327 | (283,568) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
3-Month USD LIBOR | Fixed rate of 2.044% | Receives Quarterly, Pays Semi annually | Morgan Stanley | 09/08/2027 | USD | 21,339,000 | 971,568 | — | — | 971,568 | — |
Fixed rate of 0.770% | 6-Month EURIBOR | Receives Annually, Pays Semi annually | Morgan Stanley | 09/08/2027 | EUR | 16,967,000 | 235,234 | — | — | 235,234 | — |
Fixed rate of 0.210% | 6-Month JPY BBA LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 09/08/2027 | JPY | 259,538,000 | 18,838 | — | — | 18,838 | — |
Fixed rate of 0.285% | 6-Month JPY BBA LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 12/06/2027 | JPY | 227,882,000 | 28,531 | — | — | 28,531 | — |
Fixed rate of 1.065% | 6-Month EURIBOR | Receives Annually, Pays Semi annually | Morgan Stanley | 03/07/2028 | EUR | 4,450,000 | 220,133 | — | — | 220,133 | — |
Fixed rate of 0.293% | 6-Month JPY BBA LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 04/05/2028 | JPY | 3,535,770,528 | 458,771 | — | — | 458,771 | — |
6-Month GBP LIBOR | Fixed rate of 1.550% | Receives Semi annually, Pays Semi annually | Morgan Stanley | 05/01/2028 | GBP | 6,987,000 | (119,257) | — | — | — | (119,257) |
3-Month USD LIBOR | Fixed rate of 3.037% | Receives Quarterly, Pays Semi annually | Morgan Stanley | 05/03/2028 | USD | 14,513,256 | (410,966) | — | — | — | (410,966) |
6-Month EURIBOR | Fixed rate of 1.006% | Receives Semi annually, Pays Annually | Morgan Stanley | 05/04/2028 | EUR | 6,119,789 | (221,975) | — | — | — | (221,975) |
Fixed rate of 1.506% | 6-Month GBP LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 07/02/2028 | GBP | 12,220,000 | 177,578 | — | — | 177,578 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.556% | Receives Semi annually, Pays Semi annually | Morgan Stanley | 07/03/2028 | CAD | 21,765,000 | (191,133) | — | — | — | (191,133) |
6-Month GBP LIBOR | Fixed rate of 1.640% | Receives Semi annually, Pays Semi annually | Morgan Stanley | 08/01/2028 | GBP | 7,854,000 | (231,637) | — | — | — | (231,637) |
Fixed rate of 0.403% | 6-Month JPY BBA LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 08/03/2028 | JPY | 1,539,121,000 | 351,027 | — | — | 351,027 | — |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 | 17 |
Table of Contents
December 31, 2018
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 1.529% | 6-Month GBP LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 09/04/2028 | GBP | 35,085,000 | 537,024 | — | — | 537,024 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.652% | Receives Semi annually, Pays Semi annually | Morgan Stanley | 09/04/2028 | CAD | 31,573,000 | (442,709) | — | — | — | (442,709) |
Fixed rate of 0.374% | 6-Month JPY BBA LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 09/06/2028 | JPY | 2,394,709,000 | 470,511 | — | — | 470,511 | — |
Fixed rate of 2.896% | 3-Month CAD Canada Bankers’ Acceptances | Receives Semi annually, Pays Semi annually | Morgan Stanley | 10/03/2028 | CAD | 7,064,000 | 209,350 | — | — | 209,350 | — |
Fixed rate of 2.831% | 6-Month AUD BBA LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 10/04/2028 | AUD | 17,314,000 | 341,293 | — | — | 341,293 | — |
3-Month USD LIBOR | Fixed rate of 3.163% | Receives Quarterly, Pays Semi annually | Morgan Stanley | 10/05/2028 | USD | 16,707,000 | (667,674) | — | — | — | (667,674) |
6-Month GBP LIBOR | Fixed rate of 1.610% | Receives Semi annually, Pays Semi annually | Morgan Stanley | 11/01/2028 | GBP | 6,933,000 | (163,605) | — | — | — | (163,605) |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.943% | Receives Semi annually, Pays Semi annually | Morgan Stanley | 11/01/2028 | CAD | 14,175,000 | (455,998) | — | — | — | (455,998) |
Fixed rate of 0.325% | 6-Month JPY BBA LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 11/05/2028 | JPY | 2,918,942,000 | 420,716 | — | — | 420,716 | — |
Fixed rate of 0.975% | 6-Month EURIBOR | Receives Annually, Pays Semi annually | Morgan Stanley | 11/05/2028 | EUR | 2,483,000 | 56,073 | — | — | 56,073 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.751% | Receives Semi annually, Pays Semi annually | Morgan Stanley | 12/03/2028 | CAD | 19,186,000 | (364,541) | — | — | — | (364,541) |
Fixed rate of 2.773% | 6-Month AUD BBA LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 12/04/2028 | AUD | 23,802,000 | 352,326 | — | — | 352,326 | — |
Fixed rate of 0.879% | 6-Month EURIBOR | Receives Annually, Pays Semi annually | Morgan Stanley | 12/05/2028 | EUR | 12,458,000 | 122,614 | — | — | 122,614 | — |
Fixed rate of 0.245% | 6-Month JPY BBA LIBOR | Receives Semi annually, Pays Semi annually | Morgan Stanley | 12/05/2028 | JPY | 1,413,918,000 | 95,495 | — | — | 95,495 | — |
Total | 1,797,587 | — | — | 5,067,082 | (3,269,495) |
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 Emerging Markets Index, Series 30 | Morgan Stanley | 12/20/2023 | 1.000 | Quarterly | 2.065 | USD | 6,646,000 | (30,780) | — | — | — | (30,780) |
Markit CDX North America High Yield Index, Series 31 | Morgan Stanley | 12/20/2023 | 5.000 | Quarterly | 4.519 | USD | 7,579,000 | (358,864) | — | — | — | (358,864) |
Markit CDX North America Investment Grade Index, Series 31 | Morgan Stanley | 12/20/2023 | 1.000 | Quarterly | 0.877 | USD | 2,139,000 | 3,111 | — | — | 3,111 | — |
Markit CDX North America Investment Grade Index, Series 31 | Morgan Stanley | 12/20/2023 | 1.000 | Quarterly | 0.877 | USD | 4,107,000 | (50,412) | — | — | — | (50,412) |
Markit iTraxx Europe Crossover Index, Series 30 | Morgan Stanley | 12/20/2023 | 5.000 | Quarterly | 3.531 | EUR | 3,107,979 | 9,392 | — | — | 9,392 | — |
Total | (427,553) | — | — | 12,503 | (440,056) |
18 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 |
Table of Contents
December 31, 2018
* | 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. |
Total return swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments | Upfront receipts | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on Barclays Backwardation Alpha Bloomberg CI Index ER (BCCFBA3P)† | Fixed rate of 0.350% | Monthly | Barclays | 11/30/2019 | USD | 8,117,379 | 290,127†† | (2,368) | — | — | 287,759 | — |
Total return on Barclays Dualis Volatility Weighted Index (BCCFDUVP)† | Fixed rate of 0.540% | Monthly | Barclays | 11/30/2019 | USD | 7,550,970 | 78,856†† | (3,398) | — | — | 75,458 | — |
Total return on Barclays Commodity Hedging Insights 2 Index (BCCFHI2P)† | Fixed rate of 0.150% | Monthly | Barclays | 11/30/2019 | USD | 5,895,144 | 57,914†† | (737) | — | — | 57,177 | — |
Total return on Barclays TrendStar+ Alt Roll 2 Index (BXIITSP2)† | Fixed rate of 0.600% | Monthly | Barclays | 11/30/2019 | USD | 11,821,296 | (18,648)†† | (5,910) | — | — | — | (24,558) |
Total return on Citi Commodities Congestion Pre-Post Roll Alpha (B) Index (CVICRTB1)† | Fixed rate of 0.270% | Monthly | Citi | 11/30/2019 | USD | 11,192,804 | 35,001†† | (2,602) | — | — | 32,399 | — |
Total return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)† | Fixed rate of 0.300% | Monthly | Citi | 11/30/2019 | USD | 11,150,197 | (129,632)†† | (2,880) | — | — | — | (132,512) |
Total return on Deutsche Bank Currency Valuation - USD Excess Return (DBPPPUSF)† | Fixed rate of 0.000% | Monthly | Deutsche Bank | 11/30/2019 | USD | 17,517,933 | 396,825†† | — | — | — | 396,825 | — |
Total return on Deutsche Bank Haven Plus - Excess Return (DBHVPER)† | Fixed rate of 0.000% | Monthly | Deutsche Bank | 11/30/2019 | USD | 4,297,139 | (80,015)†† | — | — | — | — | (80,015) |
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December 31, 2018
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments | Upfront receipts | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on Goldman Sachs Commodity Curve Index (ABGSRP09)† | Fixed rate of 0.110% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 14,047,215 | 191,981†† | (1,287) | — | — | 190,694 | — |
Total return on Goldman Sachs Macro Index C0210 (GSCC0210)† | Fixed rate of -0.020% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 17,793,501 | 61,893†† | 297 | — | — | 62,190 | — |
Total return on Goldman Sachs 17 Basket Volatility Carry Index (GSVLIB17)† | Fixed rate of 0.100% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 1,403,104 | 19,237†† | (117) | — | — | 19,120 | — |
Total return on Goldman Sachs Commodity Volatility Carry Series 18 Excess Return Strategy (GSVIC18E)† | Fixed rate of 0.100% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 860,357 | 3,653†† | (72) | — | — | 3,581 | — |
Total return on Goldman Sachs 19 10y Volatility Carry Index (GSVLTY19)† | Fixed rate of 0.100% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 849,677 | (8,716)†† | (71) | — | — | — | (8,787) |
Total return on Goldman Sachs Macro Index VA08 (GSFXVA08)† | Fixed rate of 0.180% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 11,318,961 | (24,071)†† | (1,698) | — | — | — | (25,769) |
Total return on Goldman Sachs Equity Volatility Carry Series 28 Excess Return Strategy (GSVIW28E)† | Fixed rate of 0.100% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 2,856,776 | (34,058)†† | (238) | — | — | — | (34,296) |
Total return on Goldman Sachs Macro Index C0038 (GSCC0038)† | Fixed rate of 0.220% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 11,270,226 | (41,385)†† | (2,066) | — | — | — | (43,451) |
Total return on Goldman Sachs Macro Index MF03 (GSIRMF03)† | Fixed rate of 0.100% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 32,853,045 | (93,059)†† | (2,738) | — | — | — | (95,797) |
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December 31, 2018
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments | Upfront receipts | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on Goldman Sachs Macro Index CA09 (GSFXCA09)† | Fixed rate of 0.260% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 11,382,035 | (115,175)†† | (2,466) | — | — | — | (117,641) |
Total return on Goldman Sachs Volatility Carry U.S. Series 71 Excess Return Strategy (GSVIUS71)† | Fixed rate of 0.100% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 6,296,435 | (220,690)†† | (525) | — | — | — | (221,215) |
Total return on GS RP Equity World Long Short Series 37 Excess Return Strategy (GSISM37E)† | Fixed rate of 0.000% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 33,871,964 | (234,374)†† | — | — | — | — | (234,374) |
Total return on JPMorgan L/S Russell 1000 (JPQICTLS)† | Fixed rate of 0.400% | Monthly | JPMorgan | 11/30/2019 | USD | 6,259,804 | 159,480†† | (1,809) | — | — | 157,671 | — |
Total return on J.P. Morgan Equity Risk Premium - Global Pure Value L/S USD Index 1 (JPQFVLW1)† | Fixed rate of 0.000% | Monthly | JPMorgan | 11/30/2019 | USD | 5,997,234 | (95,350)†† | — | — | — | — | (95,350) |
Total return on J.P. Morgan Equity Risk Premium - Global Balanced Multi-Factor (Long / Short) US (JPQFMFWA)† | Fixed rate of -0.150% | Monthly | JPMorgan | 11/30/2019 | USD | 19,870,479 | (170,014)†† | 2,567 | — | — | — | (167,447) |
Total return on MSEF Global Value (MSCBSVAG)† | Fixed rate of -0.200% | Monthly | Morgan Stanley | 11/30/2019 | USD | 6,019,227 | (104,211)†† | 1,037 | — | — | — | (103,174) |
Total return on MS Global Risk Parity Index (MSCBSMRG)† | Fixed rate of -0.150% | Monthly | Morgan Stanley | 11/30/2019 | USD | 31,415,505 | (132,509)†† | 4,057 | — | — | — | (128,452) |
Total | (206,940) | (23,024) | — | — | 1,282,874 | (1,512,838) |
† | By investing in the total return swap contract, the Fund gains exposure to the underlying investments that make up the custom basket/index without having to own the underlying investments directly. The components of the custom basket/index are available on Columbia Variable Portfolio – Diversified Absolute Return Fund’s page of columbiathreadneedleus.com website. |
†† | Valuation based on significant unobservable inputs. |
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December 31, 2018
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
3-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 2.310% |
3-Month USD LIBOR | London Interbank Offered Rate | 2.808% |
6-Month AUD BBA LIBOR | London Interbank Offered Rate | 2.220% |
6-Month EURIBOR | Euro Interbank Offered Rate | (0.238%) |
6-Month GBP LIBOR | London Interbank Offered Rate | 1.035% |
6-Month JPY BBA LIBOR | London Interbank Offered Rate | 0.010% |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with investments sold short. |
(c) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(d) | Principal and interest may not be guaranteed by the government. |
(e) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2018, the total value of these securities amounted to $19,985,754, which represents 7.89% of total net assets. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
(h) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | ||||||||
163,698,354 | 311,318,757 | (342,468,245) | 132,548,866 | (13,638) | (2,846) | 3,087,209 | 132,535,611 |
AUD | Australian Dollar |
CAD | Canada Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
ZAR | South African Rand |
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■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Common Stocks | |||||
Communication Services | 1,904,897 | — | — | — | 1,904,897 |
Consumer Discretionary | 12,088,241 | — | — | — | 12,088,241 |
Consumer Staples | 5,955,018 | — | — | — | 5,955,018 |
Energy | 5,432,474 | — | — | — | 5,432,474 |
Financials | 15,121,854 | — | — | — | 15,121,854 |
Health Care | 9,238,482 | — | — | — | 9,238,482 |
Industrials | 13,438,966 | — | — | — | 13,438,966 |
Information Technology | 15,513,851 | — | — | — | 15,513,851 |
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December 31, 2018
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Materials | 9,862,943 | — | — | — | 9,862,943 |
Real Estate | 6,148,487 | — | — | — | 6,148,487 |
Total Common Stocks | 94,705,213 | — | — | — | 94,705,213 |
Exchange-Traded Funds | 16,501,361 | — | — | — | 16,501,361 |
Foreign Government Obligations | — | 10,685,055 | — | — | 10,685,055 |
Inflation-Indexed Bonds | — | 18,843,669 | — | — | 18,843,669 |
Residential Mortgage-Backed Securities - Agency | — | 2,626,538 | — | — | 2,626,538 |
U.S. Treasury Obligations | 8,579,586 | — | — | — | 8,579,586 |
Money Market Funds | — | — | — | 132,535,611 | 132,535,611 |
Total Investments in Securities | 119,786,160 | 32,155,262 | — | 132,535,611 | 284,477,033 |
Investments in Securities Sold Short | |||||
Common Stocks | |||||
Communication Services | (1,724,703) | — | — | — | (1,724,703) |
Consumer Discretionary | (11,708,807) | — | — | — | (11,708,807) |
Consumer Staples | (5,782,525) | — | — | — | (5,782,525) |
Energy | (5,427,749) | — | — | — | (5,427,749) |
Financials | (15,624,733) | — | — | — | (15,624,733) |
Health Care | (9,198,715) | — | — | — | (9,198,715) |
Industrials | (12,901,704) | — | — | — | (12,901,704) |
Information Technology | (14,716,590) | — | — | — | (14,716,590) |
Materials | (10,053,921) | — | — | — | (10,053,921) |
Real Estate | (6,215,181) | — | — | — | (6,215,181) |
Total Common Stocks | (93,354,628) | — | — | — | (93,354,628) |
Total Investments in Securities Sold Short | (93,354,628) | — | — | — | (93,354,628) |
Total Investments in Securities, Net of Securities Sold Short | 26,431,532 | 32,155,262 | — | 132,535,611 | 191,122,405 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 2,483,930 | — | — | 2,483,930 |
Futures Contracts | 1,583,992 | — | — | — | 1,583,992 |
Swap Contracts | — | 5,079,585 | 1,282,874 | — | 6,362,459 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (4,022,664) | — | — | (4,022,664) |
Futures Contracts | (2,039,018) | — | — | — | (2,039,018) |
Swap Contracts | — | (3,709,551) | (1,512,838) | — | (5,222,389) |
Total | 25,976,506 | 31,986,562 | (229,964) | 132,535,611 | 190,268,715 |
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December 31, 2018
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $168,779,177) | $151,941,422 |
Affiliated issuers (cost $132,537,875) | 132,535,611 |
Cash | 26,273 |
Foreign currency (cost $162,860) | 157,493 |
Cash collateral held at broker for: | |
Swap contracts | 1,915,000 |
Securities sold short | 50,512,772 |
Margin deposits on: | |
Futures contracts | 8,882,747 |
Swap contracts | 3,933,463 |
Unrealized appreciation on forward foreign currency exchange contracts | 2,483,930 |
Unrealized appreciation on swap contracts | 1,282,874 |
Receivable for: | |
Dividends | 491,101 |
Interest | 166,212 |
Foreign tax reclaims | 18,591 |
Variation margin for futures contracts | 745,710 |
Variation margin for swap contracts | 193,065 |
Prepaid expenses | 1,019 |
Trustees’ deferred compensation plan | 31,237 |
Total assets | 355,318,520 |
Liabilities | |
Securities sold short, at value (proceeds $109,840,914) | 93,354,628 |
Due to custodian | 6 |
Unrealized depreciation on forward foreign currency exchange contracts | 4,022,664 |
Unrealized depreciation on swap contracts | 1,512,838 |
Payable for: | |
Investments purchased on a delayed delivery basis | 2,599,599 |
Capital shares purchased | 3,265 |
Dividends and interest on securities sold short | 90,902 |
Variation margin for futures contracts | 145,487 |
Variation margin for swap contracts | 254,708 |
Management services fees | 22,872 |
Distribution and/or service fees | 66 |
Service fees | 164 |
Compensation of board members | 1,103 |
Compensation of chief compliance officer | 26 |
Other expenses | 71,245 |
Trustees’ deferred compensation plan | 31,237 |
Total liabilities | 102,110,810 |
Net assets applicable to outstanding capital stock | $253,207,710 |
Represented by | |
Trust capital | $253,207,710 |
Total - representing net assets applicable to outstanding capital stock | $253,207,710 |
Class 1 | |
Net assets | $250,015,479 |
Shares outstanding | 28,393,867 |
Net asset value per share | $8.81 |
Class 2 | |
Net assets | $3,192,231 |
Shares outstanding | 368,399 |
Net asset value per share | $8.67 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 | 25 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,058,253 |
Dividends — affiliated issuers | 3,087,209 |
Interest | 276,921 |
Foreign taxes withheld | (22,441) |
Total income | 6,399,942 |
Expenses: | |
Management services fees | 2,968,588 |
Distribution and/or service fees | |
Class 2 | 8,673 |
Service fees | 2,069 |
Compensation of board members | 16,337 |
Custodian fees | 107,615 |
Printing and postage fees | 9,027 |
Audit fees | 53,561 |
Legal fees | 5,924 |
Interest on collateral | 7,066 |
Dividends and interest on securities sold short | 2,759,295 |
Compensation of chief compliance officer | 103 |
Other | 19,315 |
Total expenses | 5,957,573 |
Net investment income | 442,369 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,954,902 |
Investments — affiliated issuers | (13,638) |
Foreign currency translations | (154,900) |
Forward foreign currency exchange contracts | 5,107,109 |
Futures contracts | (4,980,716) |
Securities sold short | (16,523,124) |
Swap contracts | (12,293,808) |
Net realized loss | (20,904,175) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (24,805,193) |
Investments — affiliated issuers | (2,846) |
Foreign currency translations | (132,272) |
Forward foreign currency exchange contracts | (2,160,903) |
Futures contracts | (890,677) |
Securities sold short | 24,989,923 |
Swap contracts | (102,444) |
Net change in unrealized appreciation (depreciation) | (3,104,412) |
Net realized and unrealized loss | (24,008,587) |
Net decrease in net assets resulting from operations | $(23,566,218) |
26 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income (loss) | $442,369 | $(832,486) |
Net realized gain (loss) | (20,904,175) | 8,687,417 |
Net change in unrealized appreciation (depreciation) | (3,104,412) | (356,814) |
Net increase (decrease) in net assets resulting from operations | (23,566,218) | 7,498,117 |
Increase in net assets from capital stock activity | 1,831,458 | 127,744 |
Total increase (decrease) in net assets | (21,734,760) | 7,625,861 |
Net assets at beginning of year | 274,942,470 | 267,316,609 |
Net assets at end of year | $253,207,710 | $274,942,470 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 218,333 | 2,044,031 | 101,799 | 973,703 |
Redemptions | — | — | (16,981) | (162,331) |
Net increase | 218,333 | 2,044,031 | 84,818 | 811,372 |
Class 2 | ||||
Subscriptions | 69,549 | 643,468 | 67,329 | 634,310 |
Redemptions | (92,560) | (856,041) | (139,874) | (1,317,938) |
Net decrease | (23,011) | (212,573) | (72,545) | (683,628) |
Total net increase | 195,322 | 1,831,458 | 12,273 | 127,744 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 | 27 |
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Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2018 | $9.63 | 0.02 | (0.84) | (0.82) |
Year Ended 12/31/2017 | $9.36 | (0.03) | 0.30 | 0.27 |
Year Ended 12/31/2016 | $9.60 | (0.05) | (0.19) | (0.24) |
Year Ended 12/31/2015 | $9.65 | (0.05)(e) | 0.00(f) | (0.05) |
Year Ended 12/31/2014 | $9.82 | (0.03) | (0.14) | (0.17) |
Class 2 | ||||
Year Ended 12/31/2018 | $9.50 | (0.01) | (0.82) | (0.83) |
Year Ended 12/31/2017 | $9.26 | (0.05) | 0.29 | 0.24 |
Year Ended 12/31/2016 | $9.51 | (0.07) | (0.18) | (0.25) |
Year Ended 12/31/2015 | $9.59 | (0.08)(g) | 0.00(f) | (0.08) |
Year Ended 12/31/2014 | $9.78 | (0.06) | (0.13) | (0.19) |
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 dividends and interest on securities sold short. If dividends and interest on securities sold short had been excluded, expenses would have been lower by: |
Class | 12/31/2018 | 12/31/2017 | 12/31/2016 | 12/31/2015 | 12/31/2014 |
Class 1 | 1.02% | 0.86% | 0.62% | 0.24% | —% |
Class 2 | 1.03% | 0.84% | 0.62% | 0.28% | —% |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.01 per share. |
(f) | Rounds to zero. |
(g) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.02 per share. |
28 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 |
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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 12/31/2018 | $8.81 | (8.52%) | 2.20%(c),(d) | 2.20%(c),(d) | 0.17% | 178% | $250,015 |
Year Ended 12/31/2017 | $9.63 | 2.88% | 2.06%(c) | 2.06%(c) | (0.30%) | 186% | $271,225 |
Year Ended 12/31/2016 | $9.36 | (2.50%) | 1.86%(c) | 1.86%(c) | (0.49%) | 165% | $263,020 |
Year Ended 12/31/2015 | $9.60 | (0.52%) | 1.45%(c) | 1.45%(c) | (0.54%) | 221% | $263,053 |
Year Ended 12/31/2014 | $9.65 | (1.73%) | 1.19% | 1.16% | (0.37%) | 100% | $330,550 |
Class 2 | |||||||
Year Ended 12/31/2018 | $8.67 | (8.74%) | 2.46%(c),(d) | 2.46%(c),(d) | (0.10%) | 178% | $3,192 |
Year Ended 12/31/2017 | $9.50 | 2.59% | 2.30%(c) | 2.30%(c) | (0.56%) | 186% | $3,717 |
Year Ended 12/31/2016 | $9.26 | (2.63%) | 2.11%(c) | 2.10%(c) | (0.75%) | 165% | $4,296 |
Year Ended 12/31/2015 | $9.51 | (0.83%) | 1.75%(c) | 1.74%(c) | (0.81%) | 221% | $5,227 |
Year Ended 12/31/2014 | $9.59 | (1.94%) | 1.44% | 1.41% | (0.62%) | 100% | $4,155 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2018 | 29 |
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December 31, 2018
CVPDAR1 Offshore Fund, Ltd. | CVPDAR2 Offshore Fund, Ltd. | CVPDAR3 Offshore Fund, Ltd. | |
% of consolidated fund net assets | — | 5.16% | 3.08% |
Net assets | — | $13,077,130 | $7,806,605 |
Net investment income (loss) | (4,745) | (88,734) | 57,326 |
Net realized gain (loss) | (6) | 116,464 | (5,397,999) |
Net change in unrealized appreciation (depreciation) | — | (1,479,272) | 383,272 |
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Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 12,503* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 972,197* |
Equity risk | Component of trust capital — unrealized appreciation on swap contracts | 157,671* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 2,483,930 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on swap contracts | 415,945* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 611,795* |
Interest rate risk | Component of trust capital — unrealized appreciation on swap contracts | 5,129,272* |
Commodity-related investment risk | Component of trust capital — unrealized appreciation on swap contracts | 647,068* |
Total | 10,430,381 |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 440,056* |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,803,100* |
Equity risk | Component of trust capital - unrealized depreciation on swap contracts | 763,093* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 4,022,664 |
Foreign exchange risk | Component of trust capital - unrealized depreciation on swap contracts | 488,091* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 235,918* |
Interest rate risk | Component of trust capital - unrealized depreciation on swap contracts | 3,398,637* |
Commodity-related investment risk | Component of trust capital - unrealized depreciation on swap contracts | 132,512* |
Total | 11,284,071 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
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Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | — | (5,397,149) | (5,397,149) |
Credit risk | — | — | 495,833 | 495,833 |
Equity risk | — | (4,001,686) | (6,392,552) | (10,394,238) |
Foreign exchange risk | 5,107,109 | — | (3,578,127) | 1,528,982 |
Interest rate risk | — | (979,030) | 2,578,187 | 1,599,157 |
Total | 5,107,109 | (4,980,716) | (12,293,808) | (12,167,415) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | — | 383,340 | 383,340 |
Credit risk | — | — | (657,805) | (657,805) |
Equity risk | — | (1,500,715) | (116,432) | (1,617,147) |
Foreign exchange risk | (2,160,903) | — | (700,236) | (2,861,139) |
Interest rate risk | — | 610,038 | 988,689 | 1,598,727 |
Total | (2,160,903) | (890,677) | (102,444) | (3,154,024) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 152,250,777 |
Futures contracts — short | 66,819,212 |
Credit default swap contracts — sell protection | 23,029,992 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 1,675,899 | (1,880,624) |
Interest rate swap contracts | 3,119,205 | (1,345,347) |
Total return swap contracts | 1,858,891 | (2,070,203) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
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Barclays ($)(a) | Barclays ($)(a) | Citi ($)(a) | Citi ($)(a) | Credit Suisse ($) | Deutsche Bank ($) | Goldman Sachs International ($)(a) | Goldman Sachs International ($)(a) | HSBC ($) | JPMorgan ($)(a) | JPMorgan ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | |||||||||||||||
Centrally cleared credit default swap contracts(b) | - | - | - | - | - | - | - | - | - | - | - | - | 29,493 | - | 29,493 |
Centrally cleared interest rate swap contracts(b) | - | - | - | - | - | - | - | - | - | - | - | - | 163,572 | - | 163,572 |
Forward foreign currency exchange contracts | - | - | 239,280 | - | 498,302 | - | - | - | 1,236,341 | - | - | 56,957 | - | 453,050 | 2,483,930 |
OTC total return swap contracts(c) | - | 420,394 | - | 32,399 | - | 396,825 | 81,310 | 194,275 | - | 157,671 | - | - | - | - | 1,282,874 |
Total assets | - | 420,394 | 239,280 | 32,399 | 498,302 | 396,825 | 81,310 | 194,275 | 1,236,341 | 157,671 | - | 56,957 | 193,065 | 453,050 | 3,959,869 |
Liabilities | |||||||||||||||
- | - | - | - | ||||||||||||
Centrally cleared interest rate swap contracts(b) | - | - | - | - | - | - | - | - | - | - | - | - | 254,708 | - | 254,708 |
Forward foreign currency exchange contracts | - | - | 388,741 | - | 404,386 | - | - | - | 2,156,799 | - | - | 417,512 | - | 655,226 | 4,022,664 |
OTC total return swap contracts(c) | 24,558 | - | - | 132,512 | - | 80,015 | 781,330 | - | - | 262,797 | - | 231,626 | - | - | 1,512,838 |
Securities borrowed | 93,354,628 | 93,354,628 | |||||||||||||
Total liabilities | 24,558 | - | 388,741 | 132,512 | 404,386 | 80,015 | 781,330 | - | 2,156,799 | 262,797 | 93,354,628 | 649,138 | 254,708 | 655,226 | 99,144,838 |
Total financial and derivative net assets | (24,558) | 420,394 | (149,461) | (100,113) | 93,916 | 316,810 | (700,020) | 194,275 | (920,458) | (105,126) | (93,354,628) | (592,181) | (61,643) | (202,176) | (95,184,969) |
Total collateral received (pledged)(d) | - | 350,000 | - | - | - | 250,000 | (580,000) | - | - | (105,126) | (93,354,628) | (355,000) | - | - | (93,794,754) |
Net amount(e) | (24,558) | 70,394 | (149,461) | (100,113) | 93,916 | 66,810 | (120,020) | 194,275 | (920,458) | - | - | (237,181) | (61,643) | (202,176) | (1,390,215) |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(c) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
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May 1, 2018 through April 30, 2019 | Prior to May 1, 2018 | |
Class 1 | 1.28% | 1.30% |
Class 2 | 1.53 | 1.55 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 2 | 04/12/13 | -4.30 | 2.44 | 2.92 | |
Blended Benchmark | -2.60 | 3.74 | 3.98 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 2.52 | 1.72 |
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Portfolio Allocation (%) (at December 31, 2018) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 28.1 |
International | 7.5 |
U.S. Large Cap | 16.7 |
U.S. Mid Cap | 1.9 |
U.S. Small Cap | 2.0 |
Underlying Funds: Fixed-Income Funds | 40.2 |
Investment Grade | 40.2 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 5.9 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 20.1 |
Options Purchased Puts | 0.6 |
Residential Mortgage-Backed Securities - Agency | 5.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $274.0 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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(Unaudited)
July 1, 2018 — December 31, 2018 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 2 | 1,000.00 | 1,000.00 | 965.60 | 1,022.61 | 2.69 | 2.77 | 0.54 | 4.88 | 5.02 | 0.98 |
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Equity Funds 29.4% | ||
Shares | Value ($) | |
International 7.9% | ||
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 3,883,259 | 37,667,614 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 1,497,278 | 13,730,034 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 3,842,618 | 37,657,660 |
CTIVP® – Oppenheimer International Growth Fund, Class 1 Shares(a) | 1,390,118 | 13,150,518 |
Total | 102,205,826 | |
U.S. Large Cap 17.5% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 977,563 | 19,649,026 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,265,818 | 59,354,204 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 591,833 | 14,115,220 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,107,388 | 17,828,947 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,047,037 | 9,726,974 |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 531,067 | 11,593,191 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 590,756 | 16,836,553 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 620,470 | 16,305,944 |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 1,181,601 | 22,261,357 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 530,354 | 11,911,755 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 593,240 | 16,592,919 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 573,909 | 11,874,174 |
Total | 228,050,264 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 2.0% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 210,211 | 5,162,787 |
Columbia Variable Portfolio – Mid Cap Value Fund, Class 1 Shares(a),(b) | 261,728 | 5,156,038 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 312,835 | 7,398,535 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 346,782 | 7,851,146 |
Total | 25,568,506 | |
U.S. Small Cap 2.0% | ||
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 442,793 | 8,762,879 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 416,329 | 8,717,931 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 368,988 | 8,944,269 |
Total | 26,425,079 | |
Total Equity Funds (Cost $319,759,536) | 382,249,675 | |
Exchange-Traded Funds 6.2% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 122,400 | 13,809,168 |
iShares MSCI EAFE ETF | 316,987 | 18,632,496 |
SPDR S&P 500 ETF Trust | 193,625 | 48,390,760 |
Total Exchange-Traded Funds (Cost $70,949,995) | 80,832,424 | |
Fixed-Income Funds 42.1% | ||
Investment Grade 42.1% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 10,580,087 | 106,647,275 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,414,409 | 31,685,717 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 6,113,945 | 57,715,634 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 3,146,856 | 32,192,340 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,618,804 | 70,490,263 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 10,396,658 | 107,917,312 |
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Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,022,064 | 10,251,303 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 12,455,695 | 131,033,908 |
Total | 547,933,752 | |
Total Fixed-Income Funds (Cost $562,154,975) | 547,933,752 |
Residential Mortgage-Backed Securities - Agency 5.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/17/2034- 01/14/2049 | 3.500% | 46,675,000 | 46,886,171 | |
01/14/2049 | 4.000% | 21,748,000 | 22,169,367 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $68,226,813) | 69,055,538 |
Options Purchased Puts 0.6% | ||||
Value ($) | ||||
(Cost $4,370,628) | 8,354,745 |
Money Market Funds 21.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(a),(d) | 273,989,299 | 273,961,900 |
Total Money Market Funds (Cost $273,977,005) | 273,961,900 | |
Total Investments in Securities (Cost: $1,299,438,952) | 1,362,388,034 | |
Other Assets & Liabilities, Net | (61,406,750) | |
Net Assets | 1,300,981,284 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 50 | 03/2019 | USD | 3,526,000 | — | (84,685) |
British Pound | 125 | 03/2019 | USD | 9,992,188 | — | (22,791) |
Euro FX | 30 | 03/2019 | USD | 4,320,938 | — | (861) |
EURO STOXX 50 | 11 | 03/2019 | EUR | 327,140 | — | (7,079) |
FTSE 100 Index | 46 | 03/2019 | GBP | 3,063,140 | — | (36,169) |
Japanese Yen | 80 | 03/2019 | USD | 9,171,000 | 214,370 | — |
MSCI Singapore IX ETS | 19 | 01/2019 | SGD | 649,230 | 2,654 | — |
S&P 500 E-mini | 394 | 03/2019 | USD | 49,352,440 | — | (2,833,837) |
S&P 500 Index | 8 | 03/2019 | USD | 5,010,400 | — | (287,628) |
SPI 200 Index | 30 | 03/2019 | AUD | 4,170,750 | — | (6,171) |
TOPIX Index | 49 | 03/2019 | JPY | 731,815,000 | — | (406,087) |
U.S. Long Bond | 157 | 03/2019 | USD | 22,922,000 | 884,818 | — |
U.S. Treasury 10-Year Note | 293 | 03/2019 | USD | 35,750,578 | 713,132 | — |
U.S. Treasury 2-Year Note | 46 | 03/2019 | USD | 9,766,375 | 43,758 | — |
U.S. Treasury 5-Year Note | 442 | 03/2019 | USD | 50,691,875 | 724,722 | — |
U.S. Ultra Treasury Bond | 28 | 03/2019 | USD | 4,498,375 | 200,910 | — |
Total | 2,784,364 | (3,685,308) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Hang Seng Index | (2) | 01/2019 | HKD | (2,585,400) | 828 | — |
OMXS30 Index | (10) | 01/2019 | SEK | (1,408,250) | 4,077 | — |
Russell 2000 E-mini | (55) | 03/2019 | USD | (3,709,750) | 238,976 | — |
S&P 500 E-mini | (70) | 03/2019 | USD | (8,768,200) | — | (154,220) |
S&P/TSE 60 Index | (30) | 03/2019 | CAD | (5,143,800) | 78,999 | — |
Total | 322,880 | (154,220) |
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December 31, 2018
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 69,189,060 | 276 | 2,300.00 | 12/20/2019 | 1,330,178 | 3,149,160 |
S&P 500 Index | Deutsche Bank | USD | 81,472,625 | 325 | 2,150.00 | 12/20/2019 | 1,428,939 | 2,569,125 |
S&P 500 Index | Deutsche Bank | USD | 56,404,125 | 225 | 2,200.00 | 12/20/2019 | 1,256,683 | 2,011,500 |
S&P 500 Index | Deutsche Bank | USD | 15,542,470 | 62 | 2,250.00 | 12/20/2019 | 354,828 | 624,960 |
Total | 4,370,628 | 8,354,745 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | |||||||||
249,771,533 | 196,600,129 | (172,382,363) | 273,989,299 | — | (8,043) | (17,228) | 5,415,856 | 273,961,900 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
1,063,978 | 23,996 | (110,411) | 977,563 | — | 603,278 | (2,409,479) | — | 19,649,026 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
1,511,560 | 15,555 | (261,297) | 1,265,818 | — | 3,596,803 | (5,144,992) | — | 59,354,204 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
971,974 | 11,014 | (391,155) | 591,833 | — | 1,912,765 | (2,817,570) | — | 14,115,220 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
10,578,013 | 562,811 | (560,737) | 10,580,087 | 802,385 | (340,411) | (2,664,353) | 2,596,991 | 106,647,275 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
1,279,806 | 22,606 | (195,024) | 1,107,388 | — | 1,002,875 | (1,418,354) | — | 17,828,947 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
3,480,500 | 127,467 | (193,558) | 3,414,409 | — | (212,600) | (348,670) | 635,942 | 31,685,717 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
5,610,800 | 722,063 | (218,918) | 6,113,945 | 1,776,241 | (254,115) | (6,581,365) | 2,008,744 | 57,715,634 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
239,144 | 3,918 | (32,851) | 210,211 | — | 241,798 | (430,556) | — | 5,162,787 | |
Columbia Variable Portfolio – Mid Cap Value Fund, Class 1 Shares | |||||||||
273,201 | 5,803 | (17,276) | 261,728 | — | 72,301 | (849,563) | — | 5,156,038 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
— | 1,145,194 | (98,157) | 1,047,037 | — | 46,209 | (705,272) | — | 9,726,974 | |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | |||||||||
566,067 | 14,276 | (49,276) | 531,067 | — | 187,321 | (1,752,568) | — | 11,593,191 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
481,114 | 13,801 | (52,122) | 442,793 | — | 318,669 | (1,658,685) | — | 8,762,879 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
3,169,732 | 156,455 | (179,331) | 3,146,856 | 28,748 | (123,269) | (268,929) | 946,931 | 32,192,340 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
9,582,864 | 548,753 | (3,512,813) | 6,618,804 | 658,132 | (2,210,780) | (2,985,580) | 3,038,159 | 70,490,263 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
3,055,717 | 917,051 | (89,509) | 3,883,259 | 88,351 | 27,891 | (6,911,823) | 787,360 | 37,667,614 |
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Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
2,138,250 | 185,940 | (826,912) | 1,497,278 | 102,374 | (159,661) | (4,765,229) | 660,524 | 13,730,034 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
3,047,932 | 894,810 | (100,124) | 3,842,618 | 111,603 | 63,544 | (6,691,127) | 782,717 | 37,657,660 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
659,043 | 14,894 | (83,181) | 590,756 | — | 755,542 | (1,005,265) | — | 16,836,553 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
725,024 | 14,553 | (119,107) | 620,470 | — | 630,888 | (492,793) | — | 16,305,944 | |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares | |||||||||
1,302,274 | 26,010 | (146,683) | 1,181,601 | — | 761,564 | (2,536,127) | — | 22,261,357 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
558,274 | 16,661 | (44,581) | 530,354 | — | 116,885 | (1,408,410) | — | 11,911,755 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
717,190 | 6,881 | (130,831) | 593,240 | — | 1,045,633 | (185,618) | — | 16,592,919 | |
CTIVP® – Oppenheimer International Growth Fund, Class 1 Shares | |||||||||
1,976,488 | 200,940 | (787,310) | 1,390,118 | 910,346 | (1,405,078) | (4,345,742) | 239,317 | 13,150,518 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
609,005 | 12,507 | (47,603) | 573,909 | — | 101,732 | (1,281,426) | — | 11,874,174 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
10,427,116 | 503,885 | (534,343) | 10,396,658 | 204,696 | (267,284) | (2,286,902) | 2,367,204 | 107,917,312 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
338,041 | 4,907 | (30,113) | 312,835 | — | 205,100 | (989,274) | — | 7,398,535 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
1,051,333 | 29,278 | (58,547) | 1,022,064 | — | (16,566) | (17,669) | 132,145 | 10,251,303 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
400,391 | 4,156 | (57,765) | 346,782 | — | 397,884 | (557,751) | — | 7,851,146 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
9,362,072 | 3,540,109 | (446,486) | 12,455,695 | 1,243,426 | (343,554) | (3,147,740) | 2,612,444 | 131,033,908 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
507,025 | 9,649 | (100,345) | 416,329 | — | 694,934 | (832,599) | — | 8,717,931 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
395,275 | 10,901 | (37,188) | 368,988 | — | 264,769 | (1,593,177) | — | 8,944,269 | |
Total | 5,926,302 | 7,707,024 | (69,101,836) | 22,224,334 | 1,204,145,327 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
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HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
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The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2018:
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 382,249,675 | 382,249,675 |
Exchange-Traded Funds | 80,832,424 | — | — | — | 80,832,424 |
Fixed-Income Funds | — | — | — | 547,933,752 | 547,933,752 |
Residential Mortgage-Backed Securities - Agency | — | 69,055,538 | — | — | 69,055,538 |
Options Purchased Puts | 8,354,745 | — | — | — | 8,354,745 |
Money Market Funds | — | — | — | 273,961,900 | 273,961,900 |
Total Investments in Securities | 89,187,169 | 69,055,538 | — | 1,204,145,327 | 1,362,388,034 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 3,107,244 | — | — | — | 3,107,244 |
Liability | |||||
Futures Contracts | (3,839,528) | — | — | — | (3,839,528) |
Total | 88,454,885 | 69,055,538 | — | 1,204,145,327 | 1,361,655,750 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $139,176,808) | $149,887,962 |
Affiliated issuers (cost $1,155,891,516) | 1,204,145,327 |
Options purchased (cost $4,370,628) | 8,354,745 |
Margin deposits on: | |
Futures contracts | 5,795,815 |
Receivable for: | |
Investments sold | 820,541 |
Dividends | 836,753 |
Interest | 95,656 |
Variation margin for futures contracts | 840,468 |
Prepaid expenses | 5,354 |
Trustees’ deferred compensation plan | 43,194 |
Total assets | 1,370,825,815 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 68,322,469 |
Capital shares purchased | 1,172,201 |
Variation margin for futures contracts | 145,436 |
Management services fees | 23,435 |
Distribution and/or service fees | 26,661 |
Service fees | 66,229 |
Compensation of board members | 2,050 |
Compensation of chief compliance officer | 134 |
Other expenses | 42,722 |
Trustees’ deferred compensation plan | 43,194 |
Total liabilities | 69,844,531 |
Net assets applicable to outstanding capital stock | $1,300,981,284 |
Represented by | |
Trust capital | $1,300,981,284 |
Total - representing net assets applicable to outstanding capital stock | $1,300,981,284 |
Class 2 | |
Net assets | $1,300,981,284 |
Shares outstanding | 110,312,219 |
Net asset value per share | $11.79 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,139,674 |
Dividends — affiliated issuers | 22,224,334 |
Interest | 136,167 |
Total income | 24,500,175 |
Expenses: | |
Management services fees | 3,050,821 |
Distribution and/or service fees | |
Class 2 | 3,503,411 |
Service fees | 840,089 |
Compensation of board members | 32,779 |
Custodian fees | 41,031 |
Printing and postage fees | 15,695 |
Audit fees | 24,075 |
Legal fees | 30,861 |
Compensation of chief compliance officer | 542 |
Other | 33,418 |
Total expenses | 7,572,722 |
Net investment income | 16,927,453 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 3,875,587 |
Investments — affiliated issuers | 7,707,024 |
Capital gain distributions from underlying affiliated funds | 5,926,302 |
Foreign currency translations | (58,120) |
Forward foreign currency exchange contracts | (113,042) |
Futures contracts | (7,853,762) |
Options purchased | (4,601,717) |
Net realized gain | 4,882,272 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (14,069,538) |
Investments — affiliated issuers | (69,101,836) |
Foreign currency translations | (6,402) |
Forward foreign currency exchange contracts | 47,417 |
Futures contracts | (3,307,750) |
Options purchased | 6,744,952 |
Net change in unrealized appreciation (depreciation) | (79,693,157) |
Net realized and unrealized loss | (74,810,885) |
Net decrease in net assets resulting from operations | $(57,883,432) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $16,927,453 | $13,032,903 |
Net realized gain | 4,882,272 | 20,483,920 |
Net change in unrealized appreciation (depreciation) | (79,693,157) | 110,848,372 |
Net increase (decrease) in net assets resulting from operations | (57,883,432) | 144,365,195 |
Decrease in net assets from capital stock activity | (66,633,641) | (77,831,155) |
Total increase (decrease) in net assets | (124,517,073) | 66,534,040 |
Net assets at beginning of year | 1,425,498,357 | 1,358,964,317 |
Net assets at end of year | $1,300,981,284 | $1,425,498,357 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 4,464,595 | 54,571,049 | 5,142,619 | 60,855,341 |
Redemptions | (9,904,606) | (121,204,690) | (11,991,966) | (138,686,496) |
Net decrease | (5,440,011) | (66,633,641) | (6,849,347) | (77,831,155) |
Total net decrease | (5,440,011) | (66,633,641) | (6,849,347) | (77,831,155) |
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Class 2 | Year Ended December 31, | ||||
2018 | 2017 | 2016 | 2015 | 2014 | |
Per share data | |||||
Net asset value, beginning of period | $12.32 | $11.08 | $10.74 | $10.94 | $10.45 |
Income (loss) from investment operations: | |||||
Net investment income | 0.15 | 0.11 | 0.07 | 0.09 | 0.05 |
Net realized and unrealized gain (loss) | (0.68) | 1.13 | 0.27 | (0.29) | 0.44 |
Total from investment operations | (0.53) | 1.24 | 0.34 | (0.20) | 0.49 |
Net asset value, end of period | $11.79 | $12.32 | $11.08 | $10.74 | $10.94 |
Total return | (4.30%) | 11.19% | 3.17% | (1.83%) | 4.69% |
Ratios to average net assets | |||||
Total gross expenses(a) | 0.54% | 0.53% | 0.51% | 0.52% | 0.52% |
Total net expenses(a),(b) | 0.54% | 0.53% | 0.51% | 0.52% | 0.52% |
Net investment income | 1.21% | 0.95% | 0.64% | 0.83% | 0.51% |
Supplemental data | |||||
Net assets, end of period (in thousands) | $1,300,981 | $1,425,498 | $1,358,964 | $936,541 | $703,842 |
Portfolio turnover | 101% | 100% | 108% | 118% | 122% |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 325,534* |
Equity risk | Investments, at value — Options Purchased | 8,354,745 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 214,370* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 2,567,340* |
Total | 11,461,989 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 3,731,191* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 108,337* |
Total | 3,839,528 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
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Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | (2,018,739) | (4,601,717) | (6,620,456) |
Foreign exchange risk | (113,042) | (1,709,438) | — | (1,822,480) |
Interest rate risk | — | (4,125,585) | — | (4,125,585) |
Total | (113,042) | (7,853,762) | (4,601,717) | (12,568,521) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | (5,968,191) | 6,744,952 | 776,761 |
Foreign exchange risk | 47,417 | (142,249) | — | (94,832) |
Interest rate risk | — | 2,802,690 | — | 2,802,690 |
Total | 47,417 | (3,307,750) | 6,744,952 | 3,484,619 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 210,704,339 |
Futures contracts — short | 8,172,028 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 7,390,588 |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 9,516 | (10,877) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2018. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 8,354,745 |
Total assets | 8,354,745 |
Total financial and derivative net assets | 8,354,745 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 8,354,745 |
(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. |
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Fee rate(s) contractual through April 30, 2019 | |
Class 2 | 1.10% |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 2 | 04/12/13 | -7.73 | 2.57 | 4.19 | |
Blended Benchmark | -4.85 | 4.78 | 5.93 | ||
Russell 3000 Index | -5.24 | 7.91 | 10.19 |
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Portfolio Allocation (%) (at December 31, 2018) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 58.0 |
International | 15.6 |
U.S. Large Cap | 35.7 |
U.S. Mid Cap | 3.7 |
U.S. Small Cap | 3.0 |
Underlying Funds: Fixed-Income Funds | 11.9 |
Investment Grade | 11.9 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 9.2 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 14.1 |
Options Purchased Puts | 1.2 |
Residential Mortgage-Backed Securities - Agency | 5.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $1.5 billion) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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4 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2018 |
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Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2018 | 5 |
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(Unaudited)
July 1, 2018 — December 31, 2018 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 2 | 1,000.00 | 1,000.00 | 926.10 | 1,022.86 | 2.39 | 2.51 | 0.49 | 5.03 | 5.28 | 1.03 |
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Equity Funds 60.9% | ||
Shares | Value ($) | |
International 16.4% | ||
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 61,099,416 | 592,664,332 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 23,706,038 | 217,384,372 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 60,462,299 | 592,530,527 |
CTIVP® – Oppenheimer International Growth Fund, Class 1 Shares(a) | 21,812,039 | 206,341,893 |
Total | 1,608,921,124 | |
U.S. Large Cap 37.4% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 15,037,545 | 302,254,655 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 19,812,501 | 929,008,176 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 9,168,073 | 218,658,529 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 17,586,547 | 283,143,410 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 16,399,672 | 152,352,955 |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 9,502,815 | 207,446,450 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 9,295,444 | 264,920,156 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 10,171,566 | 267,308,753 |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 18,667,771 | 351,700,802 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 9,479,488 | 212,909,287 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 9,741,509 | 272,470,018 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 10,227,818 | 211,613,558 |
Total | 3,673,786,749 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 3.9% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 3,152,590 | 77,427,609 |
Columbia Variable Portfolio – Mid Cap Value Fund, Class 1 Shares(a),(b) | 3,804,210 | 74,942,937 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 4,716,537 | 111,546,103 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 5,112,269 | 115,741,775 |
Total | 379,658,424 | |
U.S. Small Cap 3.2% | ||
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 5,178,769 | 102,487,844 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 5,274,572 | 110,449,534 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 4,223,170 | 102,369,647 |
Total | 315,307,025 | |
Total Equity Funds (Cost $5,187,078,265) | 5,977,673,322 | |
Exchange-Traded Funds 9.6% | ||
iShares Core U.S. Aggregate Bond ETF | 725,000 | 77,205,250 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 3,000,400 | 338,505,128 |
iShares MSCI EAFE ETF | 1,588,000 | 93,342,640 |
SPDR S&P 500 ETF Trust | 1,738,300 | 434,435,936 |
Total Exchange-Traded Funds (Cost $861,845,584) | 943,488,954 | |
Fixed-Income Funds 12.4% | ||
Investment Grade 12.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 20,974,801 | 211,425,990 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 6,703,991 | 62,213,038 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 12,012,944 | 113,402,193 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 6,179,295 | 63,214,187 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 13,954,928 | 148,619,983 |
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Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 22,207,112 | 230,509,822 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 2,101,166 | 21,074,696 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 35,423,070 | 372,650,699 |
Total | 1,223,110,608 | |
Total Fixed-Income Funds (Cost $1,252,748,131) | 1,223,110,608 |
Residential Mortgage-Backed Securities - Agency 5.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/14/2049 | 3.500% | 119,845,000 | 119,823,934 | |
01/14/2049 | 4.000% | 450,734,000 | 459,466,971 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $572,791,326) | 579,290,905 |
Options Purchased Puts 1.3% | ||||
Value ($) | ||||
(Cost $65,849,903) | 123,328,270 |
Money Market Funds 14.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(a),(d) | 1,451,148,492 | 1,451,003,377 |
Total Money Market Funds (Cost $1,451,045,901) | 1,451,003,377 | |
Total Investments in Securities (Cost: $9,391,359,110) | 10,297,895,436 | |
Other Assets & Liabilities, Net | (477,587,180) | |
Net Assets | 9,820,308,256 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 750 | 03/2019 | USD | 52,890,000 | — | (1,270,275) |
British Pound | 1,910 | 03/2019 | USD | 152,680,625 | — | (348,241) |
CAC40 Index | 40 | 01/2019 | EUR | 1,891,400 | — | (32,201) |
DAX Index | 35 | 03/2019 | EUR | 9,241,313 | — | (225,007) |
Euro FX | 500 | 03/2019 | USD | 72,015,625 | — | (14,350) |
FTSE 100 Index | 627 | 03/2019 | GBP | 41,751,930 | — | (493,005) |
FTSE/MIB Index | 88 | 03/2019 | EUR | 8,010,640 | — | (223,846) |
Japanese Yen | 1,330 | 03/2019 | USD | 152,467,875 | 3,563,906 | — |
MSCI Singapore IX ETS | 322 | 01/2019 | SGD | 11,002,740 | 44,982 | — |
S&P 500 E-mini | 5,351 | 03/2019 | USD | 670,266,260 | — | (38,486,960) |
S&P 500 Index | 190 | 03/2019 | USD | 118,997,000 | — | (6,831,165) |
SPI 200 Index | 443 | 03/2019 | AUD | 61,588,075 | — | (91,123) |
Swiss Franc | 80 | 03/2019 | USD | 10,244,000 | 33,704 | — |
TOPIX Index | 755 | 03/2019 | JPY | 11,275,925,000 | — | (6,257,059) |
U.S. Long Bond | 1,039 | 03/2019 | USD | 151,694,000 | 4,530,043 | — |
U.S. Treasury 10-Year Note | 1,658 | 03/2019 | USD | 202,301,906 | 2,305,835 | — |
U.S. Treasury 2-Year Note | 1,087 | 03/2019 | USD | 230,783,688 | 1,031,711 | — |
U.S. Treasury 5-Year Note | 3,196 | 03/2019 | USD | 366,541,250 | 3,828,254 | — |
U.S. Ultra Treasury Bond | 642 | 03/2019 | USD | 103,141,313 | 4,866,181 | — |
Total | 20,204,616 | (54,273,232) |
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December 31, 2018
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Dollar | (150) | 03/2019 | USD | (11,026,500) | 291,195 | — |
EURO STOXX 50 | (31) | 03/2019 | EUR | (921,940) | 26,885 | — |
Hang Seng Index | (162) | 01/2019 | HKD | (209,417,400) | 67,069 | — |
OMXS30 Index | (496) | 01/2019 | SEK | (69,849,200) | 202,216 | — |
Russell 2000 E-mini | (82) | 03/2019 | USD | (5,530,900) | 356,292 | — |
S&P 500 E-mini | (2,021) | 03/2019 | USD | (253,150,460) | — | (1,601,883) |
S&P/TSE 60 Index | (450) | 03/2019 | CAD | (77,157,000) | 1,184,986 | — |
Total | 2,128,643 | (1,601,883) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 1,445,700,395 | 5,767 | 2,300.00 | 12/20/2019 | 28,849,154 | 65,801,470 |
S&P 500 Index | Deutsche Bank | USD | 902,466,000 | 3,600 | 2,150.00 | 12/20/2019 | 19,268,103 | 28,458,000 |
S&P 500 Index | Deutsche Bank | USD | 501,370,000 | 2,000 | 2,200.00 | 12/20/2019 | 11,380,074 | 17,880,000 |
S&P 500 Index | Deutsche Bank | USD | 278,260,350 | 1,110 | 2,250.00 | 12/20/2019 | 6,352,572 | 11,188,800 |
Total | 65,849,903 | 123,328,270 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | |||||||||
1,475,575,342 | 2,188,834,617 | (2,213,261,467) | 1,451,148,492 | — | (90,336) | (63,036) | 34,256,305 | 1,451,003,377 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
14,808,342 | 278,539 | (49,336) | 15,037,545 | — | 60,274 | (29,582,561) | — | 302,254,655 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
20,790,752 | 42,671 | (1,020,922) | 19,812,501 | — | 9,692,029 | (43,338,827) | — | 929,008,176 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
13,337,367 | 534,707 | (4,704,001) | 9,168,073 | — | 19,721,788 | (34,354,464) | — | 218,658,529 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
18,108,505 | 3,129,985 | (263,689) | 20,974,801 | 1,507,247 | (164,443) | (5,102,322) | 4,878,340 | 211,425,990 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
17,919,771 | 98 | (333,322) | 17,586,547 | — | 1,714,998 | (12,857,012) | — | 283,143,410 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
5,873,565 | 917,928 | (87,502) | 6,703,991 | — | (102,581) | (886,205) | 1,177,445 | 62,213,038 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
9,758,424 | 2,362,925 | (108,405) | 12,012,944 | 3,345,266 | (134,594) | (12,319,415) | 3,783,150 | 113,402,193 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
3,093,627 | 70,200 | (11,237) | 3,152,590 | — | 12,026 | (3,891,595) | — | 77,427,609 | |
Columbia Variable Portfolio – Mid Cap Value Fund, Class 1 Shares | |||||||||
3,505,266 | 298,944 | — | 3,804,210 | — | — | (11,401,117) | — | 74,942,937 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
— | 16,407,306 | (7,634) | 16,399,672 | — | (2,447) | (11,173,985) | — | 152,352,955 |
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Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | |||||||||
9,273,262 | 235,575 | (6,022) | 9,502,815 | — | 14,462 | (28,788,056) | — | 207,446,450 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
5,627,406 | — | (448,637) | 5,178,769 | — | 2,390,739 | (18,933,090) | — | 102,487,844 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
5,357,999 | 908,364 | (87,068) | 6,179,295 | 53,484 | (55,177) | (542,984) | 1,761,716 | 63,214,187 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
17,002,355 | 3,062,847 | (6,110,274) | 13,954,928 | 1,279,327 | (3,701,024) | (6,045,071) | 5,905,807 | 148,619,983 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
43,404,331 | 17,695,085 | — | 61,099,416 | 1,353,717 | — | (107,567,461) | 12,009,458 | 592,664,332 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
31,304,243 | 3,963,759 | (11,561,964) | 23,706,038 | 1,590,130 | (19,177,647) | (58,596,773) | 10,147,807 | 217,384,372 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
43,400,906 | 17,061,393 | — | 60,462,299 | 1,712,186 | — | (103,775,008) | 11,902,139 | 592,530,527 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
9,418,459 | 1,168 | (124,183) | 9,295,444 | — | 1,297,723 | (7,657,004) | — | 264,920,156 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
10,475,135 | — | (303,569) | 10,171,566 | — | 1,467,902 | (3,620,604) | — | 267,308,753 | |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares | |||||||||
18,293,611 | 418,697 | (44,537) | 18,667,771 | — | 9,604 | (30,547,057) | — | 351,700,802 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
8,802,255 | 699,100 | (21,867) | 9,479,488 | — | (32,159) | (23,380,515) | — | 212,909,287 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
10,118,752 | — | (377,243) | 9,741,509 | — | 2,910,128 | 5,798,264 | — | 272,470,018 | |
CTIVP® – Oppenheimer International Growth Fund, Class 1 Shares | |||||||||
28,519,871 | 4,695,576 | (11,403,408) | 21,812,039 | 14,001,746 | (40,118,467) | (49,974,803) | 3,645,101 | 206,341,893 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
9,590,217 | 648,025 | (10,424) | 10,227,818 | — | (14,900) | (21,607,923) | — | 211,613,558 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
19,180,255 | 3,309,402 | (282,545) | 22,207,112 | 414,042 | (119,939) | (4,512,171) | 4,788,172 | 230,509,822 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
4,472,479 | 244,590 | (532) | 4,716,537 | — | (265) | (12,392,247) | — | 111,546,103 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
1,843,644 | 285,978 | (28,456) | 2,101,166 | — | (6,982) | (39,867) | 256,389 | 21,074,696 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
5,081,898 | 58,292 | (27,921) | 5,112,269 | — | 35,416 | (4,043,740) | — | 115,741,775 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
24,917,869 | 10,912,729 | (407,528) | 35,423,070 | 3,639,588 | (261,932) | (9,657,451) | 7,646,792 | 372,650,699 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
5,953,165 | — | (678,593) | 5,274,572 | — | 4,116,255 | (8,080,531) | — | 110,449,534 |
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Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
4,546,650 | — | (323,480) | 4,223,170 | — | 2,062,512 | (17,949,327) | — | 102,369,647 | |
Total | 28,896,733 | (18,477,037) | (676,883,958) | 102,158,621 | 8,651,787,307 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
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Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 5,977,673,322 | 5,977,673,322 |
Exchange-Traded Funds | 943,488,954 | — | — | — | 943,488,954 |
Fixed-Income Funds | — | — | — | 1,223,110,608 | 1,223,110,608 |
Residential Mortgage-Backed Securities - Agency | — | 579,290,905 | — | — | 579,290,905 |
Options Purchased Puts | 123,328,270 | — | — | — | 123,328,270 |
Money Market Funds | — | — | — | 1,451,003,377 | 1,451,003,377 |
Total Investments in Securities | 1,066,817,224 | 579,290,905 | — | 8,651,787,307 | 10,297,895,436 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 22,333,259 | — | — | — | 22,333,259 |
Liability | |||||
Futures Contracts | (55,875,115) | — | — | — | (55,875,115) |
Total | 1,033,275,368 | 579,290,905 | — | 8,651,787,307 | 10,264,353,580 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,434,636,910) | $1,522,779,859 |
Affiliated issuers (cost $7,890,872,297) | 8,651,787,307 |
Options purchased (cost $65,849,903) | 123,328,270 |
Margin deposits on: | |
Futures contracts | 85,367,829 |
Receivable for: | |
Investments sold | 4,865,235 |
Dividends | 5,676,381 |
Interest | 802,531 |
Variation margin for futures contracts | 10,213,192 |
Prepaid expenses | 40,190 |
Trustees’ deferred compensation plan | 191,011 |
Total assets | 10,405,051,805 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 573,593,857 |
Capital shares purchased | 6,950,336 |
Variation margin for futures contracts | 3,052,206 |
Management services fees | 146,746 |
Distribution and/or service fees | 200,966 |
Service fees | 504,919 |
Compensation of board members | 10,014 |
Compensation of chief compliance officer | 1,028 |
Other expenses | 92,466 |
Trustees’ deferred compensation plan | 191,011 |
Total liabilities | 584,743,549 |
Net assets applicable to outstanding capital stock | $9,820,308,256 |
Represented by | |
Trust capital | $9,820,308,256 |
Total - representing net assets applicable to outstanding capital stock | $9,820,308,256 |
Class 2 | |
Net assets | $9,820,308,256 |
Shares outstanding | 776,105,446 |
Net asset value per share | $12.65 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $17,339,973 |
Dividends — affiliated issuers | 102,158,621 |
Interest | 1,148,212 |
Total income | 120,646,806 |
Expenses: | |
Management services fees | 18,564,402 |
Distribution and/or service fees | |
Class 2 | 26,302,655 |
Service fees | 6,310,816 |
Compensation of board members | 162,844 |
Custodian fees | 54,183 |
Printing and postage fees | 124,157 |
Audit fees | 26,450 |
Legal fees | 232,864 |
Compensation of chief compliance officer | 4,090 |
Other | 218,261 |
Total expenses | 52,000,722 |
Net investment income | 68,646,084 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 5,797,464 |
Investments — affiliated issuers | (18,477,037) |
Capital gain distributions from underlying affiliated funds | 28,896,733 |
Foreign currency translations | (344,166) |
Forward foreign currency exchange contracts | (702,164) |
Futures contracts | (114,539,133) |
Options purchased | (53,153,261) |
Net realized loss | (152,521,564) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (89,062,737) |
Investments — affiliated issuers | (676,883,958) |
Foreign currency translations | (328,298) |
Forward foreign currency exchange contracts | 228,555 |
Futures contracts | (69,321,408) |
Options purchased | 88,340,978 |
Net change in unrealized appreciation (depreciation) | (747,026,868) |
Net realized and unrealized loss | (899,548,432) |
Net decrease in net assets resulting from operations | $(830,902,348) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $68,646,084 | $38,080,323 |
Net realized gain (loss) | (152,521,564) | 170,253,871 |
Net change in unrealized appreciation (depreciation) | (747,026,868) | 1,263,404,356 |
Net increase (decrease) in net assets resulting from operations | (830,902,348) | 1,471,738,550 |
Increase in net assets from capital stock activity | 529,542,967 | 417,082,709 |
Total increase (decrease) in net assets | (301,359,381) | 1,888,821,259 |
Net assets at beginning of year | 10,121,667,637 | 8,232,846,378 |
Net assets at end of year | $9,820,308,256 | $10,121,667,637 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 48,595,835 | 671,619,689 | 42,930,125 | 550,269,700 |
Redemptions | (10,519,887) | (142,076,722) | (10,636,580) | (133,186,991) |
Net increase | 38,075,948 | 529,542,967 | 32,293,545 | 417,082,709 |
Total net increase | 38,075,948 | 529,542,967 | 32,293,545 | 417,082,709 |
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Class 2 | Year Ended December 31, | ||||
2018 | 2017 | 2016 | 2015 | 2014 | |
Per share data | |||||
Net asset value, beginning of period | $13.71 | $11.67 | $11.29 | $11.68 | $11.14 |
Income (loss) from investment operations: | |||||
Net investment income | 0.09 | 0.05 | 0.04 | 0.03 | 0.03 |
Net realized and unrealized gain (loss) | (1.15) | 1.99 | 0.34 | (0.42) | 0.51 |
Total from investment operations | (1.06) | 2.04 | 0.38 | (0.39) | 0.54 |
Net asset value, end of period | $12.65 | $13.71 | $11.67 | $11.29 | $11.68 |
Total return | (7.73%) | 17.48% | 3.37% | (3.34%) | 4.85% |
Ratios to average net assets | |||||
Total gross expenses(a) | 0.49% | 0.48% | 0.47% | 0.48% | 0.49% |
Total net expenses(a),(b) | 0.49% | 0.48% | 0.47% | 0.48% | 0.49% |
Net investment income | 0.65% | 0.42% | 0.37% | 0.29% | 0.26% |
Supplemental data | |||||
Net assets, end of period (in thousands) | $9,820,308 | $10,121,668 | $8,232,846 | $7,441,534 | $6,005,482 |
Portfolio turnover | 74% | 83% | 91% | 74% | 47% |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,882,430* |
Equity risk | Investments, at value — Options Purchased | 123,328,270 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 3,888,805* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 16,562,024* |
Total | 145,661,529 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 54,242,249* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 1,632,866* |
Total | 55,875,115 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
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Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | (67,220,639) | (53,153,261) | (120,373,900) |
Foreign exchange risk | (702,164) | (26,060,946) | — | (26,763,110) |
Interest rate risk | — | (21,257,548) | — | (21,257,548) |
Total | (702,164) | (114,539,133) | (53,153,261) | (168,394,558) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | (82,556,410) | 88,340,978 | 5,784,568 |
Foreign exchange risk | 228,555 | (3,417,091) | — | (3,188,536) |
Interest rate risk | — | 16,652,093 | — | 16,652,093 |
Total | 228,555 | (69,321,408) | 88,340,978 | 19,248,125 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,520,078,171 |
Futures contracts — short | 138,107,245 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 104,985,083 |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 40,241 | (59,853) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2018. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 123,328,270 |
Total assets | 123,328,270 |
Total financial and derivative net assets | 123,328,270 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 123,328,270 |
(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. |
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Fee rate(s) contractual through April 30, 2019 | |
Class 2 | 1.10% |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 2 | 04/12/13 | -2.58 | 2.26 | 2.21 | |
Blended Benchmark | -1.43 | 3.26 | 3.05 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 2.52 | 1.72 |
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Portfolio Allocation (%) (at December 31, 2018) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 15.1 |
International | 3.8 |
U.S. Large Cap | 8.8 |
U.S. Mid Cap | 1.0 |
U.S. Small Cap | 1.5 |
Underlying Funds: Fixed-Income Funds | 51.5 |
Investment Grade | 51.5 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 6.0 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 21.5 |
Options Purchased Puts | 0.4 |
Residential Mortgage-Backed Securities - Agency | 5.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $96.4 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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(Unaudited)
July 1, 2018 — December 31, 2018 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 2 | 1,000.00 | 1,000.00 | 986.10 | 1,022.45 | 2.87 | 2.92 | 0.57 | 4.83 | 4.92 | 0.96 |
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Equity Funds 15.9% | ||
Shares | Value ($) | |
International 4.0% | ||
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 646,410 | 6,270,183 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 238,546 | 2,187,464 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 641,386 | 6,285,582 |
CTIVP® – Oppenheimer International Growth Fund, Class 1 Shares(a) | 231,852 | 2,193,321 |
Total | 16,936,550 | |
U.S. Large Cap 9.3% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 174,509 | 3,507,632 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 223,329 | 10,471,908 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 103,102 | 2,458,984 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 200,408 | 3,226,571 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 185,789 | 1,725,979 |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 88,055 | 1,922,245 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 99,230 | 2,828,051 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 108,031 | 2,839,061 |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 211,916 | 3,992,487 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 85,227 | 1,914,188 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 102,062 | 2,854,676 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 92,497 | 1,913,768 |
Total | 39,655,550 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 1.1% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 40,539 | 995,625 |
Columbia Variable Portfolio – Mid Cap Value Fund, Class 1 Shares(a),(b) | 50,184 | 988,633 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 56,901 | 1,345,717 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 60,152 | 1,361,839 |
Total | 4,691,814 | |
U.S. Small Cap 1.5% | ||
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 110,713 | 2,191,008 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 105,623 | 2,211,741 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 90,060 | 2,183,055 |
Total | 6,585,804 | |
Total Equity Funds (Cost $57,666,230) | 67,869,718 | |
Exchange-Traded Funds 6.3% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 27,400 | 3,091,268 |
iShares MSCI EAFE ETF | 94,532 | 5,556,591 |
SPDR S&P 500 ETF Trust | 73,425 | 18,350,376 |
Total Exchange-Traded Funds (Cost $23,717,981) | 26,998,235 | |
Fixed-Income Funds 54.3% | ||
Investment Grade 54.3% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 4,553,032 | 45,894,559 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 1,484,566 | 13,776,770 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 2,490,541 | 23,510,706 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 1,346,121 | 13,770,816 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 3,051,980 | 32,503,587 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 4,412,528 | 45,802,046 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 569,048 | 5,707,549 |
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December 31, 2018
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 4,781,923 | 50,305,832 |
Total | 231,271,865 | |
Total Fixed-Income Funds (Cost $235,214,441) | 231,271,865 |
Residential Mortgage-Backed Securities - Agency 5.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/17/2034- 01/14/2049 | 3.500% | 20,140,000 | 20,191,304 | |
01/14/2049 | 4.000% | 4,279,000 | 4,361,905 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $24,223,207) | 24,553,209 |
Options Purchased Puts 0.4% | ||||
Value ($) | ||||
(Cost $808,270) | 1,587,490 |
Money Market Funds 22.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(a),(d) | 96,425,130 | 96,415,488 |
Total Money Market Funds (Cost $96,421,660) | 96,415,488 | |
Total Investments in Securities (Cost: $438,051,789) | 448,696,005 | |
Other Assets & Liabilities, Net | (22,402,305) | |
Net Assets | 426,293,700 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 10 | 03/2019 | USD | 705,200 | — | (16,937) |
British Pound | 18 | 03/2019 | USD | 1,438,875 | — | (3,282) |
Euro FX | 10 | 03/2019 | USD | 1,440,313 | — | (287) |
EURO STOXX 50 | 5 | 03/2019 | EUR | 148,700 | — | (3,218) |
FTSE 100 Index | 8 | 03/2019 | GBP | 532,720 | — | (6,290) |
Japanese Yen | 15 | 03/2019 | USD | 1,719,563 | 40,194 | — |
MSCI Singapore IX ETS | 4 | 01/2019 | SGD | 136,680 | 559 | — |
S&P 500 E-mini | 71 | 03/2019 | USD | 8,893,460 | — | (510,666) |
S&P 500 Index | 1 | 03/2019 | USD | 626,300 | — | (35,954) |
SPI 200 Index | 5 | 03/2019 | AUD | 695,125 | — | (1,028) |
TOPIX Index | 7 | 03/2019 | JPY | 104,545,000 | — | (58,012) |
U.S. Long Bond | 51 | 03/2019 | USD | 7,446,000 | 302,344 | — |
U.S. Treasury 10-Year Note | 111 | 03/2019 | USD | 13,543,734 | 290,895 | — |
U.S. Treasury 2-Year Note | 75 | 03/2019 | USD | 15,923,438 | 100,065 | — |
U.S. Treasury 5-Year Note | 127 | 03/2019 | USD | 14,565,313 | 213,903 | — |
U.S. Ultra Treasury Bond | 4 | 03/2019 | USD | 642,625 | 23,460 | — |
Total | 971,420 | (635,674) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
OMXS30 Index | (5) | 01/2019 | SEK | (704,125) | 2,038 | — |
Russell 2000 E-mini | (29) | 03/2019 | USD | (1,956,050) | 90,026 | — |
S&P 500 E-mini | (53) | 03/2019 | USD | (6,638,780) | 100,939 | — |
S&P/TSE 60 Index | (4) | 03/2019 | CAD | (685,840) | 10,533 | — |
Total | 203,536 | — |
8 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 |
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Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 17,547,950 | 70 | 2,300.00 | 12/20/2019 | 342,488 | 798,700 |
S&P 500 Index | Deutsche Bank | USD | 12,534,250 | 50 | 2,150.00 | 12/20/2019 | 224,742 | 395,250 |
S&P 500 Index | Deutsche Bank | USD | 8,773,975 | 35 | 2,200.00 | 12/20/2019 | 195,256 | 312,900 |
S&P 500 Index | Deutsche Bank | USD | 2,005,480 | 8 | 2,250.00 | 12/20/2019 | 45,784 | 80,640 |
Total | 808,270 | 1,587,490 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | |||||||||
92,934,721 | 55,956,870 | (52,466,461) | 96,425,130 | — | (2,507) | (6,655) | 1,858,435 | 96,415,488 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
172,297 | 50,533 | (48,321) | 174,509 | — | 152,778 | (417,532) | — | 3,507,632 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
241,666 | 61,922 | (80,259) | 223,329 | — | 766,870 | (941,959) | — | 10,471,908 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
159,493 | 33,000 | (89,391) | 103,102 | — | 345,775 | (475,595) | — | 2,458,984 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
4,862,354 | 396,590 | (705,912) | 4,553,032 | 343,051 | (263,586) | (1,059,695) | 1,110,315 | 45,894,559 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
207,223 | 65,846 | (72,661) | 200,408 | — | 215,398 | (255,706) | — | 3,226,571 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
1,606,387 | 123,059 | (244,880) | 1,484,566 | — | (175,182) | (71,701) | 272,764 | 13,776,770 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
2,412,280 | 441,960 | (363,699) | 2,490,541 | 722,672 | (181,916) | (2,656,855) | 817,268 | 23,510,706 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
41,582 | 11,420 | (12,463) | 40,539 | — | 61,489 | (85,790) | — | 995,625 | |
Columbia Variable Portfolio – Mid Cap Value Fund, Class 1 Shares | |||||||||
47,187 | 13,208 | (10,211) | 50,184 | — | 23,179 | (149,429) | — | 988,633 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
— | 213,722 | (27,933) | 185,789 | — | 9,698 | (107,284) | — | 1,725,979 | |
Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | |||||||||
83,646 | 26,144 | (21,735) | 88,055 | — | 91,201 | (306,946) | — | 1,922,245 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
102,538 | 35,677 | (27,502) | 110,713 | — | 100,823 | (371,944) | — | 2,191,008 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
1,455,713 | 110,305 | (219,897) | 1,346,121 | 12,261 | (76,040) | (101,070) | 403,874 | 13,770,816 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
4,538,276 | 575,804 | (2,062,100) | 3,051,980 | 291,390 | (1,029,944) | (1,321,189) | 1,345,156 | 32,503,587 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
461,365 | 290,003 | (104,958) | 646,410 | 12,892 | 30,517 | (1,006,627) | 114,352 | 6,270,183 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 | 9 |
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December 31, 2018
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
320,313 | 110,529 | (192,296) | 238,546 | 15,178 | 44,789 | (752,073) | 97,955 | 2,187,464 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
459,441 | 288,200 | (106,255) | 641,386 | 16,286 | 36,547 | (970,933) | 113,739 | 6,285,582 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
104,635 | 29,461 | (34,866) | 99,230 | — | 177,803 | (188,934) | — | 2,828,051 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
114,851 | 32,615 | (39,435) | 108,031 | — | 152,012 | (111,998) | — | 2,839,061 | |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares | |||||||||
210,993 | 61,036 | (60,113) | 211,916 | — | 187,754 | (443,723) | — | 3,992,487 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
83,400 | 23,119 | (21,292) | 85,227 | — | 51,039 | (226,871) | — | 1,914,188 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
112,353 | 29,815 | (40,106) | 102,062 | — | 212,154 | (53,044) | — | 2,854,676 | |
CTIVP® – Oppenheimer International Growth Fund, Class 1 Shares | |||||||||
299,200 | 114,987 | (182,335) | 231,852 | 131,268 | (157,778) | (667,590) | 34,891 | 2,193,321 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
91,206 | 23,796 | (22,505) | 92,497 | — | 59,060 | (219,010) | — | 1,913,768 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
4,737,170 | 361,276 | (685,918) | 4,412,528 | 86,512 | (231,583) | (903,400) | 1,000,453 | 45,802,046 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
55,598 | 14,723 | (13,420) | 56,901 | — | 55,516 | (174,117) | — | 1,345,717 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
624,303 | 40,634 | (95,889) | 569,048 | — | (18,858) | (2,046) | 72,878 | 5,707,549 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
62,387 | 16,349 | (18,584) | 60,152 | — | 89,437 | (101,651) | — | 1,361,839 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
3,524,814 | 1,849,548 | (592,439) | 4,781,923 | 435,645 | (304,625) | (880,034) | 915,291 | 50,305,832 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
107,712 | 36,409 | (38,498) | 105,623 | — | 164,767 | (185,292) | — | 2,211,741 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
84,476 | 25,639 | (20,055) | 90,060 | — | 52,539 | (322,078) | — | 2,183,055 | |
Total | 2,067,155 | 639,126 | (15,538,771) | 8,157,371 | 395,557,071 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
10 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 |
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JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 | 11 |
Table of Contents
December 31, 2018
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2018:
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 67,869,718 | 67,869,718 |
Exchange-Traded Funds | 26,998,235 | — | — | — | 26,998,235 |
Fixed-Income Funds | — | — | — | 231,271,865 | 231,271,865 |
Residential Mortgage-Backed Securities - Agency | — | 24,553,209 | — | — | 24,553,209 |
Options Purchased Puts | 1,587,490 | — | — | — | 1,587,490 |
Money Market Funds | — | — | — | 96,415,488 | 96,415,488 |
Total Investments in Securities | 28,585,725 | 24,553,209 | — | 395,557,071 | 448,696,005 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,174,956 | — | — | — | 1,174,956 |
Liability | |||||
Futures Contracts | (635,674) | — | — | — | (635,674) |
Total | 29,125,007 | 24,553,209 | — | 395,557,071 | 449,235,287 |
12 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 |
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December 31, 2018
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $47,941,188) | $51,551,444 |
Affiliated issuers (cost $389,302,331) | 395,557,071 |
Options purchased (cost $808,270) | 1,587,490 |
Margin deposits on: | |
Futures contracts | 1,513,121 |
Receivable for: | |
Investments sold | 109,329 |
Dividends | 297,065 |
Interest | 32,948 |
Variation margin for futures contracts | 202,741 |
Prepaid expenses | 1,652 |
Trustees’ deferred compensation plan | 26,714 |
Total assets | 450,879,575 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 24,256,154 |
Capital shares purchased | 156,183 |
Variation margin for futures contracts | 70,672 |
Management services fees | 8,003 |
Distribution and/or service fees | 8,742 |
Service fees | 21,147 |
Compensation of board members | 1,231 |
Compensation of chief compliance officer | 41 |
Other expenses | 36,988 |
Trustees’ deferred compensation plan | 26,714 |
Total liabilities | 24,585,875 |
Net assets applicable to outstanding capital stock | $426,293,700 |
Represented by | |
Trust capital | $426,293,700 |
Total - representing net assets applicable to outstanding capital stock | $426,293,700 |
Class 2 | |
Net assets | $426,293,700 |
Shares outstanding | 37,639,525 |
Net asset value per share | $11.33 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 | 13 |
Table of Contents
Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $619,760 |
Dividends — affiliated issuers | 8,157,371 |
Interest | 45,659 |
Total income | 8,822,790 |
Expenses: | |
Management services fees | 996,195 |
Distribution and/or service fees | |
Class 2 | 1,091,083 |
Service fees | 261,476 |
Compensation of board members | 18,812 |
Custodian fees | 38,941 |
Printing and postage fees | 24,500 |
Audit fees | 24,075 |
Legal fees | 9,602 |
Compensation of chief compliance officer | 170 |
Other | 13,427 |
Total expenses | 2,478,281 |
Net investment income | 6,344,509 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 397,477 |
Investments — affiliated issuers | 639,126 |
Capital gain distributions from underlying affiliated funds | 2,067,155 |
Foreign currency translations | (9,935) |
Forward foreign currency exchange contracts | (39,622) |
Futures contracts | (2,096,752) |
Options purchased | (947,309) |
Net realized gain | 10,140 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (3,577,340) |
Investments — affiliated issuers | (15,538,771) |
Foreign currency translations | (6,325) |
Forward foreign currency exchange contracts | 16,405 |
Futures contracts | 66,714 |
Options purchased | 1,301,491 |
Net change in unrealized appreciation (depreciation) | (17,737,826) |
Net realized and unrealized loss | (17,727,686) |
Net decrease in net assets resulting from operations | $(11,383,177) |
14 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 |
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | |
Operations | ||
Net investment income | $6,344,509 | $5,014,185 |
Net realized gain | 10,140 | 5,178,059 |
Net change in unrealized appreciation (depreciation) | (17,737,826) | 22,691,989 |
Net increase (decrease) in net assets resulting from operations | (11,383,177) | 32,884,233 |
Decrease in net assets from capital stock activity | (25,229,922) | (14,769,144) |
Total increase (decrease) in net assets | (36,613,099) | 18,115,089 |
Net assets at beginning of year | 462,906,799 | 444,791,710 |
Net assets at end of year | $426,293,700 | $462,906,799 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 6,084,084 | 69,537,596 | 7,169,967 | 81,231,494 |
Redemptions | (8,235,967) | (94,767,518) | (8,648,852) | (96,000,638) |
Net decrease | (2,151,883) | (25,229,922) | (1,478,885) | (14,769,144) |
Total net decrease | (2,151,883) | (25,229,922) | (1,478,885) | (14,769,144) |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 | 15 |
Table of Contents
Class 2 | Year Ended December 31, | ||||
2018 | 2017 | 2016 | 2015 | 2014 | |
Per share data | |||||
Net asset value, beginning of period | $11.63 | $10.78 | $10.46 | $10.58 | $10.13 |
Income (loss) from investment operations: | |||||
Net investment income | 0.17 | 0.13 | 0.09 | 0.10 | 0.06 |
Net realized and unrealized gain (loss) | (0.47) | 0.72 | 0.23 | (0.22) | 0.39 |
Total from investment operations | (0.30) | 0.85 | 0.32 | (0.12) | 0.45 |
Net asset value, end of period | $11.33 | $11.63 | $10.78 | $10.46 | $10.58 |
Total return | (2.58%) | 7.88% | 3.06% | (1.13%) | 4.44% |
Ratios to average net assets | |||||
Total gross expenses(a) | 0.57% | 0.55% | 0.53% | 0.56% | 0.61% |
Total net expenses(a),(b) | 0.57% | 0.55% | 0.53% | 0.56% | 0.60% |
Net investment income | 1.45% | 1.17% | 0.86% | 0.98% | 0.54% |
Supplemental data | |||||
Net assets, end of period (in thousands) | $426,294 | $462,907 | $444,792 | $241,975 | $142,420 |
Portfolio turnover | 119% | 103% | 106% | 142% | 184% |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
16 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 |
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Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 | 17 |
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18 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 |
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Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2018 | 19 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 204,095* |
Equity risk | Investments, at value — Options Purchased | 1,587,490 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 40,194* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 930,667* |
Total | 2,762,446 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 615,168* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 20,506* |
Total | 635,674 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
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Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | 73,161 | (947,309) | (874,148) |
Foreign exchange risk | (39,622) | (399,995) | — | (439,617) |
Interest rate risk | — | (1,769,918) | — | (1,769,918) |
Total | (39,622) | (2,096,752) | (947,309) | (3,083,683) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | (989,726) | 1,301,491 | 311,765 |
Foreign exchange risk | 16,405 | (4,481) | — | 11,924 |
Interest rate risk | — | 1,060,921 | — | 1,060,921 |
Total | 16,405 | 66,714 | 1,301,491 | 1,384,610 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 65,714,280 |
Futures contracts — short | 3,371,043 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 1,348,748 |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 2,700 | (3,542) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2018. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 1,587,490 |
Total financial and derivative net assets | 1,587,490 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 1,587,490 |
(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. |
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Fee rate(s) contractual through April 30, 2019 | |
Class 2 | 1.10% |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | ||||
Inception | 1 Year | Life | ||
Class 2 | 09/12/17 | -5.29 | -1.23 | |
Blended Benchmark | -3.71 | -0.31 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 0.08 | ||
Russell 3000 Index | -5.24 | 1.64 | ||
MSCI EAFE Index (Net) | -13.79 | -7.62 |
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Portfolio Allocation (%) (at December 31, 2018) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 53.7 |
International | 16.5 |
U.S. Large Cap | 33.1 |
U.S. Small Cap | 4.1 |
Underlying Funds: Fixed-Income Funds | 28.8 |
Investment Grade | 28.8 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 4.4 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 11.4 |
Residential Mortgage-Backed Securities - Agency | 1.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $11.3 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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(Unaudited)
July 1, 2018 — December 31, 2018 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 2 | 1,000.00 | 1,000.00 | 949.80 | 1,022.55 | 2.72 | 2.82 | 0.55 | 5.44 | 5.64 | 1.10 |
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Equity Funds 54.5% | ||
Shares | Value ($) | |
International 16.7% | ||
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 1,664,634 | 16,313,409 |
U.S. Large Cap 33.6% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 349,356 | 16,381,334 |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 865,746 | 16,310,650 |
Total | 32,691,984 | |
U.S. Small Cap 4.2% | ||
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 97,946 | 2,050,980 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 84,060 | 2,037,629 |
Total | 4,088,609 | |
Total Equity Funds (Cost $58,250,506) | 53,094,002 | |
Exchange-Traded Funds 4.5% | ||
iShares Core U.S. Aggregate Bond ETF | 24,750 | 2,635,627 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 15,220 | 1,717,120 |
Total Exchange-Traded Funds (Cost $4,402,264) | 4,352,747 | |
Fixed-Income Funds 29.3% | ||
Investment Grade 29.3% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 1,211,879 | 12,215,739 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 405,062 | 4,062,771 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 1,162,047 | 12,224,731 |
Total | 28,503,241 | |
Total Fixed-Income Funds (Cost $28,655,780) | 28,503,241 |
Residential Mortgage-Backed Securities - Agency 1.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/17/2034 | 2.500% | 1,750,000 | 1,709,019 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,693,672) | 1,709,019 |
Money Market Funds 11.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(a),(d) | 11,289,201 | 11,288,072 |
Total Money Market Funds (Cost $11,288,368) | 11,288,072 | |
Total Investments in Securities (Cost: $104,290,590) | 98,947,081 | |
Other Assets & Liabilities, Net | (1,576,812) | |
Net Assets | 97,370,269 |
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Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 6 | 03/2019 | USD | 876,000 | 39,691 | — |
U.S. Treasury 10-Year Note | 10 | 03/2019 | USD | 1,220,156 | 28,808 | — |
U.S. Treasury 2-Year Note | 3 | 03/2019 | USD | 636,938 | 4,172 | — |
U.S. Treasury 5-Year Note | 17 | 03/2019 | USD | 1,949,688 | 31,312 | — |
U.S. Ultra Treasury Bond | 9 | 03/2019 | USD | 1,445,906 | 73,809 | — |
Total | 177,792 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (4) | 03/2019 | GBP | (266,360) | 2,568 | — |
MSCI EAFE Index Future | (3) | 03/2019 | USD | (257,400) | 4,928 | — |
S&P 500 E-mini | (1) | 03/2019 | USD | (125,260) | 7,188 | — |
Total | 14,684 | — |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | |||||||||
2,111,451 | 13,727,198 | (4,549,448) | 11,289,201 | — | 21 | (338) | 129,040 | 11,288,072 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
61,393 | 288,249 | (286) | 349,356 | — | (381) | (1,069,593) | — | 16,381,334 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
217,024 | 997,106 | (2,251) | 1,211,879 | 53,238 | (863) | (65,169) | 172,310 | 12,215,739 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
250,472 | 1,415,907 | (1,745) | 1,664,634 | 31,587 | (2,591) | (2,570,496) | 207,110 | 16,313,409 | |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares | |||||||||
145,803 | 720,594 | (651) | 865,746 | — | (581) | (1,540,458) | — | 16,310,650 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
74,430 | 331,257 | (625) | 405,062 | — | (78) | 14,434 | 30,287 | 4,062,771 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
205,568 | 958,492 | (2,013) | 1,162,047 | 88,328 | (1,061) | (112,424) | 185,578 | 12,224,731 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
16,981 | 81,983 | (1,018) | 97,946 | — | (2,922) | (228,275) | — | 2,050,980 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
13,299 | 72,588 | (1,827) | 84,060 | — | (1,659) | (308,388) | — | 2,037,629 | |
Total | 173,153 | (10,115) | (5,880,707) | 724,325 | 92,885,315 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
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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). |
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The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2018:
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 53,094,002 | 53,094,002 |
Exchange-Traded Funds | 4,352,747 | — | — | — | 4,352,747 |
Fixed-Income Funds | — | — | — | 28,503,241 | 28,503,241 |
Residential Mortgage-Backed Securities - Agency | — | 1,709,019 | — | — | 1,709,019 |
Money Market Funds | — | — | — | 11,288,072 | 11,288,072 |
Total Investments in Securities | 4,352,747 | 1,709,019 | — | 92,885,315 | 98,947,081 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 192,476 | — | — | — | 192,476 |
Total | 4,545,223 | 1,709,019 | — | 92,885,315 | 99,139,557 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $6,095,936) | $6,061,766 |
Affiliated issuers (cost $98,194,654) | 92,885,315 |
Margin deposits on: | |
Futures contracts | 106,961 |
Receivable for: | |
Capital shares sold | 155,707 |
Dividends | 21,869 |
Interest | 1,944 |
Variation margin for futures contracts | 17,117 |
Prepaid expenses | 205 |
Trustees’ deferred compensation plan | 6,752 |
Total assets | 99,257,636 |
Liabilities | |
Due to custodian | 3 |
Payable for: | |
Investments purchased | 129,291 |
Investments purchased on a delayed delivery basis | 1,695,616 |
Capital shares purchased | 3,600 |
Variation margin for futures contracts | 1,080 |
Management services fees | 1,062 |
Distribution and/or service fees | 1,987 |
Service fees | 4,782 |
Compensation of board members | 942 |
Compensation of chief compliance officer | 6 |
Other expenses | 42,246 |
Trustees’ deferred compensation plan | 6,752 |
Total liabilities | 1,887,367 |
Net assets applicable to outstanding capital stock | $97,370,269 |
Represented by | |
Trust capital | $97,370,269 |
Total - representing net assets applicable to outstanding capital stock | $97,370,269 |
Class 2 | |
Net assets | $97,370,269 |
Shares outstanding | 9,893,343 |
Net asset value per share | $9.84 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $78,909 |
Dividends — affiliated issuers | 724,325 |
Interest | 863 |
Total income | 804,097 |
Expenses: | |
Management services fees | 72,909 |
Distribution and/or service fees | |
Class 2 | 143,608 |
Service fees | 34,476 |
Compensation of board members | 13,051 |
Custodian fees | 43,120 |
Printing and postage fees | 5,112 |
Audit fees | 28,850 |
Legal fees | 1,224 |
Compensation of chief compliance officer | 2 |
Other | 5,416 |
Total expenses | 347,768 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (31,830) |
Total net expenses | 315,938 |
Net investment income | 488,159 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (17,175) |
Investments — affiliated issuers | (10,115) |
Capital gain distributions from underlying affiliated funds | 173,153 |
Foreign currency translations | 1,807 |
Futures contracts | (39,405) |
Net realized gain | 108,265 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (39,592) |
Investments — affiliated issuers | (5,880,707) |
Foreign currency translations | (1,158) |
Futures contracts | 185,272 |
Net change in unrealized appreciation (depreciation) | (5,736,185) |
Net realized and unrealized loss | (5,627,920) |
Net decrease in net assets resulting from operations | $(5,139,761) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017(a) | |
Operations | ||
Net investment income (loss) | $488,159 | $(652) |
Net realized gain | 108,265 | 41,742 |
Net change in unrealized appreciation (depreciation) | (5,736,185) | 583,994 |
Net increase (decrease) in net assets resulting from operations | (5,139,761) | 625,084 |
Increase in net assets from capital stock activity | 84,707,376 | 7,177,570 |
Total increase in net assets | 79,567,615 | 7,802,654 |
Net assets at beginning of year | 17,802,654 | 10,000,000 |
Net assets at end of year | $97,370,269 | $17,802,654 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017(a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 8,232,878 | 85,252,015 | 1,713,483 | 17,475,830 |
Redemptions | (52,844) | (544,639) | (1,000,174) | (10,298,260) |
Net increase | 8,180,034 | 84,707,376 | 713,309 | 7,177,570 |
Total net increase | 8,180,034 | 84,707,376 | 713,309 | 7,177,570 |
(a) | Based on operations from September 12, 2017 (fund commencement of operations) through the stated period end. |
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Class 2 | Year Ended December 31, | |
2018 | 2017(a) | |
Per share data | ||
Net asset value, beginning of period | $10.39 | $10.00 |
Income (loss) from investment operations: | ||
Net investment income | 0.09 | (0.00)(b) |
Net realized and unrealized gain (loss) | (0.64) | 0.39 |
Total from investment operations | (0.55) | 0.39 |
Net asset value, end of period | $9.84 | $10.39 |
Total return | (5.29%) | 3.90% |
Ratios to average net assets | ||
Total gross expenses(c) | 0.61% | 1.17%(d) |
Total net expenses(c),(e) | 0.55% | 0.49%(d) |
Net investment income (loss) | 0.85% | (0.01%)(d) |
Supplemental data | ||
Net assets, end of period (in thousands) | $97,370 | $17,803 |
Portfolio turnover | 47% | 75% |
Notes to Financial Highlights | |
(a) | The Fund commenced operations on September 12, 2017. Per share data and total return reflect activity from that date. |
(b) | Rounds to zero. |
(c) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(d) | Annualized. |
(e) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 14,684* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 177,792* |
Total | 192,476 |
* | 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 ($) |
Equity risk | 68,090 |
Interest rate risk | (107,495) |
Total | (39,405) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 7,261 |
Interest rate risk | 178,011 |
Total | 185,272 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 3,758,390 |
Futures contracts — short | 720,431 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
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Fee rate(s) contractual through April 30, 2019 | |
Class 2 | 1.10% |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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Average annual total returns (%) (for the period ended December 31, 2018) | ||||
Inception | 1 Year | Life | ||
Class 2 | 09/12/17 | -3.53 | 0.77 | |
Blended Benchmark | -1.90 | 1.45 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 0.08 | ||
S&P 500 Index | -4.38 | 2.29 |
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Portfolio Allocation (%) (at December 31, 2018) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 54.3 |
U.S. Large Cap | 54.3 |
Underlying Funds: Fixed-Income Funds | 29.1 |
Investment Grade | 29.1 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 8.9 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 6.3 |
Residential Mortgage-Backed Securities - Agency | 1.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $5.1 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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(Unaudited)
July 1, 2018 — December 31, 2018 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 2 | 1,000.00 | 1,000.00 | 960.10 | 1,022.40 | 2.88 | 2.97 | 0.58 | 5.46 | 5.64 | 1.10 |
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Equity Funds 54.8% | ||
Shares | Value ($) | |
U.S. Large Cap 54.8% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 288,900 | 13,546,509 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 321,812 | 8,457,210 |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 716,120 | 13,491,711 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 406,478 | 8,410,023 |
Total | 43,905,453 | |
Total Equity Funds (Cost $47,157,450) | 43,905,453 | |
Exchange-Traded Funds 9.0% | ||
iShares Core U.S. Aggregate Bond ETF | 30,200 | 3,215,998 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 12,685 | 1,431,122 |
Vanguard Total Bond Market ETF | 32,000 | 2,534,720 |
Total Exchange-Traded Funds (Cost $7,192,265) | 7,181,840 | |
Fixed-Income Funds 29.4% | ||
Investment Grade 29.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 1,000,550 | 10,085,544 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 334,677 | 3,356,811 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 959,748 | 10,096,548 |
Total | 23,538,903 | |
Total Fixed-Income Funds (Cost $23,571,993) | 23,538,903 |
Residential Mortgage-Backed Securities - Agency 1.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/17/2034 | 2.500% | 1,150,000 | 1,123,069 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,112,984) | 1,123,069 |
Money Market Funds 6.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.459%(a),(d) | 5,146,444 | 5,145,930 |
Total Money Market Funds (Cost $5,145,955) | 5,145,930 | |
Total Investments in Securities (Cost: $84,180,647) | 80,895,195 | |
Other Assets & Liabilities, Net | (775,981) | |
Net Assets | 80,119,214 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 10 | 03/2019 | USD | 1,460,000 | 41,307 | — |
U.S. Treasury 10-Year Note | 12 | 03/2019 | USD | 1,464,188 | 25,538 | — |
U.S. Treasury 2-Year Note | 6 | 03/2019 | USD | 1,273,875 | 3,726 | — |
U.S. Treasury 5-Year Note | 22 | 03/2019 | USD | 2,523,125 | 31,942 | — |
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Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Ultra Treasury Bond | 7 | 03/2019 | USD | 1,124,594 | 57,407 | — |
U.S. Ultra Treasury Bond | 1 | 03/2019 | USD | 160,656 | — | (346) |
Total | 159,920 | (346) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 E-mini | (46) | 03/2019 | USD | (5,761,960) | — | (163,649) |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2018 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.459% | |||||||||
1,416,025 | 11,666,112 | (7,935,693) | 5,146,444 | — | (162) | (41) | 93,649 | 5,145,930 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
42,008 | 246,973 | (81) | 288,900 | — | (165) | (983,190) | — | 13,546,509 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
148,672 | 851,885 | (7) | 1,000,550 | 34,973 | — | (15,687) | 113,191 | 10,085,544 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
48,038 | 273,897 | (123) | 321,812 | — | (115) | (567,334) | — | 8,457,210 | |
CTIVP® – MFS® Blended Research® Core Equity Fund, Class 1 Shares | |||||||||
99,778 | 616,446 | (104) | 716,120 | — | (135) | (1,339,826) | — | 13,491,711 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
56,020 | 350,746 | (288) | 406,478 | — | (519) | (809,447) | — | 8,410,023 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
50,977 | 299,505 | (15,805) | 334,677 | — | (954) | 16,220 | 19,872 | 3,356,811 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
140,836 | 819,147 | (235) | 959,748 | 58,015 | (152) | (41,087) | 121,891 | 10,096,548 | |
Total | 92,988 | (2,202) | (3,740,392) | 348,603 | 72,590,286 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2018. |
USD | US Dollar |
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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 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 43,905,453 | 43,905,453 |
Exchange-Traded Funds | 7,181,840 | — | — | — | 7,181,840 |
Fixed-Income Funds | — | — | — | 23,538,903 | 23,538,903 |
Residential Mortgage-Backed Securities - Agency | — | 1,123,069 | — | — | 1,123,069 |
Money Market Funds | — | — | — | 5,145,930 | 5,145,930 |
Total Investments in Securities | 7,181,840 | 1,123,069 | — | 72,590,286 | 80,895,195 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 159,920 | — | — | — | 159,920 |
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Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Liability | |||||
Futures Contracts | (163,995) | — | — | — | (163,995) |
Total | 7,177,765 | 1,123,069 | — | 72,590,286 | 80,891,120 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $8,305,249) | $8,304,909 |
Affiliated issuers (cost $75,875,398) | 72,590,286 |
Margin deposits on: | |
Futures contracts | 361,560 |
Receivable for: | |
Capital shares sold | 215,373 |
Dividends | 17,427 |
Interest | 1,278 |
Variation margin for futures contracts | 20,469 |
Prepaid expenses | 136 |
Trustees’ deferred compensation plan | 6,673 |
Total assets | 81,518,111 |
Liabilities | |
Due to custodian | 400 |
Payable for: | |
Investments purchased | 177,310 |
Investments purchased on a delayed delivery basis | 1,114,262 |
Capital shares purchased | 6,773 |
Variation margin for futures contracts | 44,160 |
Management services fees | 857 |
Distribution and/or service fees | 1,633 |
Service fees | 3,898 |
Compensation of board members | 925 |
Compensation of chief compliance officer | 4 |
Other expenses | 42,002 |
Trustees’ deferred compensation plan | 6,673 |
Total liabilities | 1,398,897 |
Net assets applicable to outstanding capital stock | $80,119,214 |
Represented by | |
Trust capital | $80,119,214 |
Total - representing net assets applicable to outstanding capital stock | $80,119,214 |
Class 2 | |
Net assets | $80,119,214 |
Shares outstanding | 7,928,981 |
Net asset value per share | $10.10 |
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Year Ended December 31, 2018
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $52,073 |
Dividends — affiliated issuers | 348,603 |
Total income | 400,676 |
Expenses: | |
Management services fees | 51,409 |
Distribution and/or service fees | |
Class 2 | 101,900 |
Service fees | 24,453 |
Compensation of board members | 12,847 |
Custodian fees | 42,985 |
Printing and postage fees | 4,577 |
Audit fees | 28,850 |
Legal fees | 841 |
Compensation of chief compliance officer | 5 |
Other | 5,848 |
Total expenses | 273,715 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (38,936) |
Total net expenses | 234,779 |
Net investment income | 165,897 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (12,610) |
Investments — affiliated issuers | (2,202) |
Capital gain distributions from underlying affiliated funds | 92,988 |
Futures contracts | (66,773) |
Net realized gain | 11,403 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (4,146) |
Investments — affiliated issuers | (3,740,392) |
Futures contracts | (9,947) |
Net change in unrealized appreciation (depreciation) | (3,754,485) |
Net realized and unrealized loss | (3,743,082) |
Net decrease in net assets resulting from operations | $(3,577,185) |
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Year Ended December 31, 2018 | Year Ended December 31, 2017(a) | |
Operations | ||
Net investment income (loss) | $165,897 | $(10,885) |
Net realized gain | 11,403 | 190,818 |
Net change in unrealized appreciation (depreciation) | (3,754,485) | 464,958 |
Net increase (decrease) in net assets resulting from operations | (3,577,185) | 644,891 |
Increase in net assets from capital stock activity | 71,506,050 | 1,545,458 |
Total increase in net assets | 67,928,865 | 2,190,349 |
Net assets at beginning of year | 12,190,349 | 10,000,000 |
Net assets at end of year | $80,119,214 | $12,190,349 |
Year Ended | Year Ended | |||
December 31, 2018 | December 31, 2017(a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 6,797,707 | 71,854,956 | 1,165,001 | 11,925,794 |
Redemptions | (33,424) | (348,906) | (1,000,303) | (10,380,336) |
Net increase | 6,764,283 | 71,506,050 | 164,698 | 1,545,458 |
Total net increase | 6,764,283 | 71,506,050 | 164,698 | 1,545,458 |
(a) | Based on operations from September 12, 2017 (fund commencement of operations) through the stated period end. |
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Class 2 | Year Ended December 31, | |
2018 | 2017(a) | |
Per share data | ||
Net asset value, beginning of period | $10.47 | $10.00 |
Income (loss) from investment operations: | ||
Net investment income (loss) | 0.04 | (0.01) |
Net realized and unrealized gain (loss) | (0.41) | 0.48 |
Total from investment operations | (0.37) | 0.47 |
Net asset value, end of period | $10.10 | $10.47 |
Total return | (3.53%) | 4.70% |
Ratios to average net assets | ||
Total gross expenses(b) | 0.67% | 1.19%(c) |
Total net expenses(b),(d) | 0.58% | 0.52%(c) |
Net investment income (loss) | 0.41% | (0.26%)(c) |
Supplemental data | ||
Net assets, end of period (in thousands) | $80,119 | $12,190 |
Portfolio turnover | 45% | 109% |
Notes to Financial Highlights | |
(a) | The Fund commenced operations on September 12, 2017. Per share data and total return reflect activity from that date. |
(b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(c) | Annualized. |
(d) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
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December 31, 2018
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December 31, 2018
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December 31, 2018
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December 31, 2018
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 159,920* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 163,649* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 346* |
Total | 163,995 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 8,230 |
Interest rate risk | (75,003) |
Total | (66,773) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (168,159) |
Interest rate risk | 158,212 |
Total | (9,947) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 3,421,634* |
Futures contracts — short | 56,497** |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2018. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2018. |
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December 31, 2018
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December 31, 2018
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December 31, 2018
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December 31, 2018
Fee rate(s) contractual through April 30, 2019 | |
Class 2 | 1.10% |
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December 31, 2018
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December 31, 2018
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018 | 69 | None |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice President and Chief Financial Officer of United Airlines from July 1999 to September 2001 | 69 | Spartan Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel information technology) |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington Trust Company, NA and other Wellington affiliates from 1997 to 2010 | 69 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 69 | Director, CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); 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 |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to October 2005; University Professor, Boston College from November 2005 to August 2007 | 69 | Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014 | 69 | None |
Anne-Lee Verville c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1945 | Trustee 1998 | Retired. General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987 to 1988, IBM Corporation (computer and technology) | 69 | Enesco Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015 | 69 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008 | 69 | Director, Health Services for Children with Special Needs, Inc.; Director, Guidewell Financial Solutions |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton and Ms. Trunow as a Trustee at a future shareholder meeting. |
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Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 193 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
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Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Amy Johnson 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Vice President (2006) | Managing Director and Global Head of Operations, Columbia Management Investment Advisers, LLC since April 2016 (previously Managing Director and Chief Operating Officer, 2010 - 2016). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
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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 adopted in 2(a) above. |
(c) | During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the code of ethics described in 2(a) above that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. | Audit Committee Financial Expert. |
The registrant’s Board of Trustees has determined that Douglas A. Hacker, David M. Moffett andAnne-Lee Verville, each of whom are members of the registrant’s Board of Trustees and Audit Committee, each qualify as an audit committee financial expert. Mr. Hacker, Mr. Moffett and Ms. Verville 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 seventeen series of the registrant whose report to stockholders are included in this annual filing. Fee information for fiscal year end 2018 includes fees for two funds that liquidated during the period and two funds that commenced operations 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, 2018 and December 31, 2017 are approximately as follows:
2018 | 2017 | |
$430,600 | $391,900 |
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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, 2018 and December 31, 2017 are approximately as follows:
2018 | 2017 | |
$0 | $0 |
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, 2018 and December 31, 2017, there were no Audit-Related Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including anysub-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, 2018 and December 31, 2017 are approximately as follows:
2018 | 2017 | |
$133,500 | $116,100 |
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 2018 and 2017, also include Tax Fees for agreed-upon procedures related to foreign tax filings.
During the fiscal years ended December 31, 2018 and December 31, 2017, there were no Tax Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including anysub-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, 2018 and December 31, 2017 are approximately as follows:
2018 | 2017 | |
$0 | $0 |
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All Other Fees include amounts for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) above.
Aggregate All Other Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including anysub-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, 2018 and December 31, 2017 are approximately as follows:
2018 | 2017 | |
$235,000 | $235,000 |
In fiscal years 2018 and 2017, All Other Fees primarily consists of fees billed for internal control examinations of the registrant’s transfer agent and investment adviser.
(e)(1) Audit CommitteePre-Approval Policies and Procedures
The registrant’s Audit Committee is required topre-approve the engagement of the registrant’s independent auditors to provide audit andnon-audit services to the registrant andnon-audit services to its investment adviser (excluding anysub-adviser whose role is primarily portfolio management and issub-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 andNon-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 andnon-audit services to the registrant’s Adviser and its Control Affiliates. A service will require specificpre-approval by the Audit Committee if it is to be provided by the Fund’s independent auditor; provided, however, thatpre-approval ofnon-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 delegatepre-approval authority to anypre-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
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decisions to the Audit Committee at its next regular meeting. The Audit Committee’s responsibilities with respect to thepre-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 specificpre-approval. This schedule will provide a description of each type of service that is subject to specificpre-approval, along with total projected fees for each service. Thepre-approval will generally cover aone-year period. The Audit Committee will review and approve the types of services and the projected fees for the nextone-year period and may add to, or subtract from, the list ofpre-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 specificpre-approval and a description of services provided by the independent auditor, by category, with actual fees during the current reporting period.
*****
(e)(2) 100% of the services performed for items (b) through (d) above during 2018 and 2017 werepre-approved by the registrant’s Audit Committee.
(f) Not applicable.
(g) The aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-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 during the fiscal years ended December 31, 2018 and December 31, 2017 are approximately as follows:
2018 | 2017 | |
$368,500 | $351,100 |
(h) The registrant’s Audit Committee of the Board of Directors has considered whether the provision ofnon-audit services that were rendered to the registrant’s adviser (not including anysub-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 notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X, is compatible with maintaining the principal accountant’s independence.
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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 CFR210.12-12) is included in Item 1 of this FormN-CSR. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-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 material information required to be disclosed by the registrant in FormN-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. |
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Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits. |
(a)(1) Code of ethics required to be disclosed under Item 2 of FormN-CSR attached hereto as Exhibit 99.CODE ETH.
(a)(2) Certifications pursuant to Rule30a-2(a) under the Investment Company Act of 1940 (17 CFR270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Rule30a-2(b) under the Investment Company Act of 1940 (17 CFR270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
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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 Insurance Trust |
By (Signature and Title) | /s/ Christopher O. Petersen | |
Christopher O. Petersen, President and Principal Executive Officer |
Date | February 20, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Christopher O. Petersen | |
Christopher O. Petersen, President and Principal Executive Officer |
Date | February 20, 2019 |
By (Signature and Title) | /s/ Michael G. Clarke | |
Michael G. Clarke, Chief Financial Officer |
Date | February 20, 2019 |