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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: June 30, 2019
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. |
Table of Contents
June 30, 2019
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | 33.95 | 20.35 | 15.11 | 15.60 | |
Class 2 | 06/01/00 | 33.80 | 20.04 | 14.82 | 15.29 | |
Russell 2000 Growth Index | 20.36 | -0.49 | 8.63 | 14.41 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Top 10 holdings (%) (at June 30, 2019) | |
Bio-Techne Corp. | 3.7 |
Planet Fitness, Inc., Class A | 2.6 |
LendingTree, Inc. | 2.6 |
Quidel Corp. | 2.6 |
Floor & Decor Holdings, Inc. | 2.4 |
Cantel Medical Corp. | 2.4 |
Chemed Corp. | 2.3 |
Healthcare Services Group, Inc. | 2.3 |
Five9, Inc. | 2.3 |
Teladoc Health, Inc. | 2.2 |
Portfolio breakdown (%) (at June 30, 2019) | |
Common Stocks | 92.9 |
Limited Partnerships | 1.0 |
Money Market Funds | 6.1 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2019) | |
Communication Services | 0.7 |
Consumer Discretionary | 14.4 |
Consumer Staples | 0.7 |
Energy | 1.5 |
Financials | 3.3 |
Health Care | 40.0 |
Industrials | 15.6 |
Information Technology | 20.2 |
Materials | 2.5 |
Real Estate | 1.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 |
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(Unaudited)
January 1, 2019 — June 30, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,339.50 | 1,020.16 | 5.11 | 4.41 | 0.89 |
Class 2 | 1,000.00 | 1,000.00 | 1,338.00 | 1,018.93 | 6.54 | 5.64 | 1.14 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Common Stocks 95.1% | ||
Issuer | Shares | Value ($) |
Communication Services 0.6% | ||
Entertainment 0.6% | ||
World Wrestling Entertainment, Inc., Class A | 2,800 | 202,188 |
Total Communication Services | 202,188 | |
Consumer Discretionary 13.9% | ||
Diversified Consumer Services 0.5% | ||
Chegg, Inc.(a) | 3,825 | 147,607 |
Hotels, Restaurants & Leisure 6.0% | ||
Penn National Gaming, Inc.(a) | 4,860 | 93,604 |
Planet Fitness, Inc., Class A(a) | 11,143 | 807,199 |
Texas Roadhouse, Inc. | 12,144 | 651,768 |
Wingstop, Inc. | 3,800 | 360,050 |
Total | 1,912,621 | |
Internet & Direct Marketing Retail 1.3% | ||
Etsy, Inc.(a) | 6,809 | 417,868 |
Multiline Retail 0.5% | ||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 1,644 | 143,209 |
Specialty Retail 5.6% | ||
Five Below, Inc.(a) | 5,226 | 627,224 |
Floor & Decor Holdings, Inc.(a) | 17,701 | 741,672 |
Monro, Inc. | 4,876 | 415,923 |
Total | 1,784,819 | |
Total Consumer Discretionary | 4,406,124 | |
Consumer Staples 0.6% | ||
Personal Products 0.6% | ||
Medifast, Inc. | 1,563 | 200,533 |
Total Consumer Staples | 200,533 | |
Energy 0.4% | ||
Energy Equipment & Services 0.4% | ||
Frank’s International NV(a) | 24,069 | 131,417 |
Total Energy | 131,417 | |
Financials 3.2% | ||
Insurance 0.7% | ||
Goosehead Insurance, Inc., Class A | 4,587 | 219,259 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Thrifts & Mortgage Finance 2.5% | ||
LendingTree, Inc.(a) | 1,918 | 805,617 |
Total Financials | 1,024,876 | |
Health Care 38.5% | ||
Biotechnology 7.9% | ||
Adamas Pharmaceuticals, Inc.(a) | 16,110 | 99,882 |
Apellis Pharmaceuticals, Inc.(a) | 2,313 | 58,612 |
Array BioPharma, Inc.(a) | 13,704 | 634,906 |
bluebird bio, Inc.(a) | 554 | 70,469 |
CareDx, Inc.(a) | 13,371 | 481,222 |
Immunomedics, Inc.(a) | 11,639 | 161,433 |
Ligand Pharmaceuticals, Inc.(a) | 3,409 | 389,138 |
Mirati Therapeutics, Inc.(a) | 644 | 66,332 |
Precision BioSciences, Inc.(a) | 8,297 | 109,935 |
Sarepta Therapeutics, Inc.(a) | 2,096 | 318,487 |
uniQure NV(a) | 1,461 | 114,177 |
Total | 2,504,593 | |
Health Care Equipment & Supplies 14.3% | ||
BioLife Solutions, Inc.(a) | 11,499 | 194,908 |
Cantel Medical Corp. | 9,178 | 740,114 |
Glaukos Corp.(a) | 3,354 | 252,892 |
Heska Corp.(a) | 3,855 | 328,330 |
Insulet Corp.(a) | 5,282 | 630,565 |
Neogen Corp.(a) | 8,569 | 532,220 |
Quidel Corp.(a) | 13,449 | 797,795 |
Quotient Ltd.(a) | 25,496 | 238,388 |
Tactile Systems Technology, Inc.(a) | 4,059 | 231,038 |
West Pharmaceutical Services, Inc. | 4,678 | 585,452 |
Total | 4,531,702 | |
Health Care Providers & Services 5.8% | ||
Addus HomeCare Corp.(a) | 2,542 | 190,523 |
Amedisys, Inc.(a) | 2,603 | 316,030 |
Chemed Corp. | 1,973 | 711,937 |
Guardant Health, Inc.(a) | 7,154 | 617,605 |
Total | 1,836,095 |
6 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Technology 2.1% | ||
Teladoc Health, Inc.(a) | 10,069 | 668,682 |
Life Sciences Tools & Services 7.9% | ||
Adaptive Biotechnologies Corp.(a) | 6,631 | 320,277 |
Bio-Techne Corp. | 5,469 | 1,140,232 |
Charles River Laboratories International, Inc.(a) | 3,729 | 529,145 |
Codexis, Inc.(a) | 8,513 | 156,895 |
Quanterix Corp.(a) | 10,998 | 371,622 |
Total | 2,518,171 | |
Pharmaceuticals 0.5% | ||
Reata Pharmaceuticals, Inc., Class A(a) | 1,837 | 173,321 |
Total Health Care | 12,232,564 | |
Industrials 15.0% | ||
Aerospace & Defense 1.2% | ||
Aerojet Rocketdyne Holdings, Inc.(a) | 8,422 | 377,053 |
Building Products 3.7% | ||
Simpson Manufacturing Co., Inc. | 9,290 | 617,413 |
Trex Company, Inc.(a) | 7,621 | 546,426 |
Total | 1,163,839 | |
Commercial Services & Supplies 3.3% | ||
Casella Waste Systems, Inc., Class A(a) | 8,661 | 343,235 |
Healthcare Services Group, Inc. | 23,246 | 704,819 |
Total | 1,048,054 | |
Machinery 3.2% | ||
John Bean Technologies Corp. | 3,973 | 481,249 |
Proto Labs, Inc.(a) | 4,642 | 538,565 |
Total | 1,019,814 | |
Professional Services 0.7% | ||
Exponent, Inc. | 3,846 | 225,145 |
Road & Rail 2.9% | ||
Knight-Swift Transportation Holdings, Inc. | 12,445 | 408,694 |
Saia, Inc.(a) | 7,930 | 512,833 |
Total | 921,527 | |
Total Industrials | 4,755,432 | |
Information Technology 19.4% | ||
Electronic Equipment, Instruments & Components 1.0% | ||
Littelfuse, Inc. | 1,745 | 308,708 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 1.0% | ||
Monolithic Power Systems, Inc. | 2,430 | 329,946 |
Software 17.4% | ||
Alteryx, Inc., Class A(a) | 5,000 | 545,600 |
Avalara, Inc.(a) | 2,790 | 201,438 |
Carbon Black, Inc.(a) | 11,106 | 185,693 |
Coupa Software, Inc.(a) | 5,034 | 637,355 |
Everbridge, Inc.(a) | 6,900 | 616,998 |
Five9, Inc.(a) | 13,683 | 701,801 |
ForeScout Technologies, Inc.(a) | 6,778 | 229,503 |
HubSpot, Inc.(a) | 2,008 | 342,404 |
Mimecast Ltd.(a) | 8,427 | 393,625 |
Paylocity Holding Corp.(a) | 4,054 | 380,346 |
RingCentral, Inc., Class A(a) | 2,684 | 308,445 |
Smartsheet, Inc., Class A(a) | 6,372 | 308,405 |
Tenable Holdings, Inc.(a) | 8,595 | 245,301 |
Trade Desk, Inc. (The), Class A(a) | 1,913 | 435,743 |
Total | 5,532,657 | |
Total Information Technology | 6,171,311 | |
Materials 2.4% | ||
Chemicals 2.4% | ||
Balchem Corp. | 5,180 | 517,845 |
Livent Corp.(a) | 36,372 | 251,694 |
Total | 769,539 | |
Total Materials | 769,539 | |
Real Estate 1.1% | ||
Equity Real Estate Investment Trusts (REITS) 1.1% | ||
STORE Capital Corp. | 10,305 | 342,023 |
Total Real Estate | 342,023 | |
Total Common Stocks (Cost $25,573,924) | 30,236,007 | |
Limited Partnerships 1.0% | ||
Energy 1.0% | ||
Oil, Gas & Consumable Fuels 1.0% | ||
Viper Energy Partners LP | 10,837 | 333,996 |
Total Energy | 333,996 | |
Total Limited Partnerships (Cost $361,147) | 333,996 | |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 | 7 |
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June 30, 2019 (Unaudited)
Money Market Funds 6.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(b),(c) | 1,997,912 | 1,997,712 |
Total Money Market Funds (Cost $1,997,712) | 1,997,712 | |
Total Investments in Securities (Cost: $27,932,783) | 32,567,715 | |
Other Assets & Liabilities, Net | (764,163) | |
Net Assets | 31,803,552 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | ||||||||
249,829 | 10,133,488 | (8,385,405) | 1,997,912 | 81 | — | 13,973 | 1,997,712 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
8 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 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 | 202,188 | — | — | — | 202,188 |
Consumer Discretionary | 4,406,124 | — | — | — | 4,406,124 |
Consumer Staples | 200,533 | — | — | — | 200,533 |
Energy | 131,417 | — | — | — | 131,417 |
Financials | 1,024,876 | — | — | — | 1,024,876 |
Health Care | 12,232,564 | — | — | — | 12,232,564 |
Industrials | 4,755,432 | — | — | — | 4,755,432 |
Information Technology | 6,171,311 | — | — | — | 6,171,311 |
Materials | 769,539 | — | — | — | 769,539 |
Real Estate | 342,023 | — | — | — | 342,023 |
Total Common Stocks | 30,236,007 | — | — | — | 30,236,007 |
Limited Partnerships | |||||
Energy | 333,996 | — | — | — | 333,996 |
Money Market Funds | — | — | — | 1,997,712 | 1,997,712 |
Total Investments in Securities | 30,570,003 | — | — | 1,997,712 | 32,567,715 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 | 9 |
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June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $25,935,071) | $30,570,003 |
Affiliated issuers (cost $1,997,712) | 1,997,712 |
Receivable for: | |
Capital shares sold | 5,380 |
Dividends | 8,897 |
Expense reimbursement due from Investment Manager | 6,745 |
Prepaid expenses | 1 |
Trustees’ deferred compensation plan | 54,208 |
Total assets | 32,642,946 |
Liabilities | |
Payable for: | |
Investments purchased | 665,179 |
Capital shares purchased | 40,207 |
Management services fees | 20,503 |
Distribution and/or service fees | 109 |
Service fees | 3,678 |
Compensation of board members | 27,873 |
Compensation of chief compliance officer | 3 |
Other expenses | 27,634 |
Trustees’ deferred compensation plan | 54,208 |
Total liabilities | 839,394 |
Net assets applicable to outstanding capital stock | $31,803,552 |
Represented by | |
Paid in capital | 18,940,259 |
Total distributable earnings (loss) | 12,863,293 |
Total - representing net assets applicable to outstanding capital stock | $31,803,552 |
Class 1 | |
Net assets | $31,220,822 |
Shares outstanding | 1,490,467 |
Net asset value per share | $20.95 |
Class 2 | |
Net assets | $582,730 |
Shares outstanding | 29,213 |
Net asset value per share | $19.95 |
10 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $68,444 |
Dividends — affiliated issuers | 13,973 |
Total income | 82,417 |
Expenses: | |
Management services fees | 126,733 |
Distribution and/or service fees | |
Class 2 | 711 |
Service fees | 19,335 |
Compensation of board members | 7,325 |
Custodian fees | 7,338 |
Printing and postage fees | 4,555 |
Audit fees | 15,677 |
Legal fees | 303 |
Compensation of chief compliance officer | 5 |
Other | 2,605 |
Total expenses | 184,587 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (54,231) |
Total net expenses | 130,356 |
Net investment loss | (47,939) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 2,349,645 |
Investments — affiliated issuers | 81 |
Foreign currency translations | 69 |
Net realized gain | 2,349,795 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 6,054,149 |
Net change in unrealized appreciation (depreciation) | 6,054,149 |
Net realized and unrealized gain | 8,403,944 |
Net increase in net assets resulting from operations | $8,356,005 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 | 11 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment loss | $(47,939) | $(94,686) |
Net realized gain | 2,349,795 | 6,162,571 |
Net change in unrealized appreciation (depreciation) | 6,054,149 | (6,085,197) |
Net increase (decrease) in net assets resulting from operations | 8,356,005 | (17,312) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (4,391,259) |
Class 2 | — | (82,849) |
Total distributions to shareholders | — | (4,474,108) |
Decrease in net assets from capital stock activity | (1,662,308) | (1,279,180) |
Total increase (decrease) in net assets | 6,693,697 | (5,770,600) |
Net assets at beginning of period | 25,109,855 | 30,880,455 |
Net assets at end of period | $31,803,552 | $25,109,855 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 42,525 | 801,969 | 88,009 | 1,660,371 |
Distributions reinvested | — | — | 253,830 | 4,391,259 |
Redemptions | (125,774) | (2,384,615) | (389,697) | (7,386,847) |
Net decrease | (83,249) | (1,582,646) | (47,858) | (1,335,217) |
Class 2 | ||||
Subscriptions | 644 | 11,917 | 3,409 | 62,691 |
Distributions reinvested | — | — | 5,018 | 82,849 |
Redemptions | (4,914) | (91,579) | (4,978) | (89,503) |
Net increase (decrease) | (4,270) | (79,662) | 3,449 | 56,037 |
Total net decrease | (87,519) | (1,662,308) | (44,409) | (1,279,180) |
12 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 |
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Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 | 13 |
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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 | ||||||
Six Months Ended 6/30/2019 (Unaudited) | $15.64 | (0.03) | 5.34 | 5.31 | — | — |
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 | ||||||
Six Months Ended 6/30/2019 (Unaudited) | $14.91 | (0.05) | 5.09 | 5.04 | — | — |
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. |
(c) | Annualized. |
14 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $20.95 | 33.95% | 1.26%(c) | 0.89%(c) | (0.32%)(c) | 51% | $31,221 |
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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $19.95 | 33.80% | 1.51%(c) | 1.14%(c) | (0.58%)(c) | 51% | $583 |
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% | $437 |
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Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.89% |
Class 2 | 1.14 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 | 19 |
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June 30, 2019 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
27,933,000 | 5,591,000 | (956,000) | 4,635,000 |
20 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2019 |
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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 an independent third-party data provider, 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 independent third-party data provider; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2020 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
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• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/19/98 | 12.73 | -10.74 | 5.19 | 11.67 | |
Class 2 | 06/01/00 | 12.61 | -10.94 | 4.94 | 11.45 | |
Russell 2000 Value Index | 13.47 | -6.24 | 5.39 | 12.40 |
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(Unaudited)
Top 10 holdings (%) (at June 30, 2019) | |
Iberiabank Corp. | 1.6 |
Radian Group, Inc. | 1.5 |
RLJ Lodging Trust | 1.3 |
Mack-Cali Realty Corp. | 1.3 |
First BanCorp | 1.2 |
Thor Industries, Inc. | 1.2 |
First Citizens BancShares Inc., Class A | 1.2 |
UMB Financial Corp. | 1.1 |
BankUnited, Inc. | 1.1 |
Investors Bancorp, Inc. | 1.1 |
Portfolio breakdown (%) (at June 30, 2019) | |
Common Stocks | 99.3 |
Money Market Funds | 0.7 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2019) | |
Communication Services | 1.3 |
Consumer Discretionary | 11.3 |
Consumer Staples | 2.6 |
Energy | 5.6 |
Financials | 38.1 |
Health Care | 3.5 |
Industrials | 12.4 |
Information Technology | 10.1 |
Materials | 8.0 |
Real Estate | 7.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 |
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January 1, 2019 — June 30, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,127.30 | 1,020.01 | 4.80 | 4.56 | 0.92 |
Class 2 | 1,000.00 | 1,000.00 | 1,126.10 | 1,018.78 | 6.10 | 5.79 | 1.17 |
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Common Stocks 99.4% | ||
Issuer | Shares | Value ($) |
Communication Services 1.3% | ||
Entertainment 0.4% | ||
AMC Entertainment Holdings, Inc., Class A | 38,343 | 357,740 |
Lions Gate Entertainment Corp., Class B | 73,050 | 848,111 |
Total | 1,205,851 | |
Media 0.6% | ||
Criteo SA, ADR(a) | 46,355 | 797,769 |
Liberty Latin America Ltd., Class C(a) | 60,983 | 1,048,298 |
Total | 1,846,067 | |
Wireless Telecommunication Services 0.3% | ||
Shenandoah Telecommunications Co. | 27,614 | 1,063,691 |
Total Communication Services | 4,115,609 | |
Consumer Discretionary 11.3% | ||
Auto Components 1.7% | ||
Cooper Tire & Rubber Co. | 68,014 | 2,145,842 |
Gentherm, Inc.(a) | 42,699 | 1,786,099 |
Modine Manufacturing Co.(a) | 97,008 | 1,388,184 |
Total | 5,320,125 | |
Automobiles 1.2% | ||
Thor Industries, Inc. | 63,221 | 3,695,268 |
Distributors 0.2% | ||
Educational Development Corp. | 90,208 | 630,554 |
Diversified Consumer Services 0.4% | ||
Carriage Services, Inc. | 64,810 | 1,232,038 |
Hotels, Restaurants & Leisure 0.4% | ||
PlayAGS, Inc.(a) | 66,400 | 1,291,480 |
Household Durables 2.7% | ||
Cavco Industries, Inc.(a) | 8,057 | 1,269,300 |
Ethan Allen Interiors, Inc. | 89,930 | 1,893,926 |
Hamilton Beach Brands Holding Co. | 47,938 | 913,219 |
Hooker Furniture Corp. | 40,863 | 842,595 |
Legacy Housing Corp.(a) | 61,144 | 761,243 |
Lifetime Brands, Inc. | 74,347 | 703,322 |
TRI Pointe Group, Inc.(a) | 179,997 | 2,154,564 |
Total | 8,538,169 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Leisure Products 1.0% | ||
Acushnet Holdings Corp. | 25,394 | 666,846 |
American Outdoor Brands Corp.(a) | 122,620 | 1,104,806 |
Malibu Boats, Inc., Class A(a) | 34,662 | 1,346,619 |
Total | 3,118,271 | |
Multiline Retail 0.5% | ||
Hudson’s Bay Co. | 220,996 | 1,620,069 |
Specialty Retail 2.1% | ||
Aaron’s, Inc. | 27,748 | 1,704,005 |
Children’s Place, Inc. (The) | 17,210 | 1,641,490 |
Designer Brands, Inc. | 59,220 | 1,135,247 |
Signet Jewelers Ltd. | 53,938 | 964,411 |
Urban Outfitters, Inc.(a) | 50,190 | 1,141,823 |
Total | 6,586,976 | |
Textiles, Apparel & Luxury Goods 1.1% | ||
Skechers U.S.A., Inc., Class A(a) | 68,230 | 2,148,563 |
Steven Madden Ltd. | 37,882 | 1,286,094 |
Total | 3,434,657 | |
Total Consumer Discretionary | 35,467,607 | |
Consumer Staples 2.6% | ||
Food & Staples Retailing 1.0% | ||
Andersons, Inc. (The) | 37,367 | 1,017,877 |
SpartanNash Co. | 59,993 | 700,119 |
Weis Markets, Inc. | 38,383 | 1,397,525 |
Total | 3,115,521 | |
Food Products 1.2% | ||
Fresh Del Monte Produce, Inc. | 70,656 | 1,904,179 |
Hain Celestial Group, Inc. (The)(a) | 85,772 | 1,878,407 |
Total | 3,782,586 | |
Personal Products 0.4% | ||
Inter Parfums, Inc. | 20,482 | 1,361,848 |
Total Consumer Staples | 8,259,955 |
6 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 |
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Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 5.6% | ||
Energy Equipment & Services 1.9% | ||
Dawson Geophysical Co.(a) | 362,260 | 905,650 |
Frank’s International NV(a) | 173,160 | 945,454 |
Natural Gas Services Group, Inc.(a) | 72,349 | 1,193,758 |
Profire Energy, Inc.(a) | 431,831 | 652,065 |
ProPetro Holding Corp.(a) | 101,360 | 2,098,152 |
Total | 5,795,079 | |
Oil, Gas & Consumable Fuels 3.7% | ||
Callon Petroleum Co.(a) | 234,558 | 1,545,737 |
Carrizo Oil & Gas, Inc.(a) | 149,401 | 1,496,998 |
Delek U.S. Holdings, Inc. | 77,063 | 3,122,593 |
Jagged Peak Energy, Inc.(a) | 156,642 | 1,295,429 |
Pacific Ethanol, Inc.(a) | 483,535 | 369,904 |
Range Resources Corp. | 167,940 | 1,172,221 |
SM Energy Co. | 105,577 | 1,321,824 |
Whiting Petroleum Corp.(a) | 74,170 | 1,385,496 |
Total | 11,710,202 | |
Total Energy | 17,505,281 | |
Financials 37.8% | ||
Banks 23.0% | ||
Atlantic Union Bankshares Corp. | 58,630 | 2,071,398 |
Auburn National Bancorporation, Inc. | 19,900 | 666,650 |
BancFirst Corp. | 48,732 | 2,712,423 |
BankUnited, Inc. | 104,763 | 3,534,704 |
Banner Corp. | 46,780 | 2,533,137 |
Boston Private Financial Holdings, Inc. | 186,886 | 2,255,714 |
Bridge Bancorp, Inc. | 44,501 | 1,310,999 |
Brookline Bancorp, Inc. | 143,811 | 2,211,813 |
Capital City Bank Group, Inc. | 91,135 | 2,264,705 |
CB Financial Services, Inc. | 26,850 | 637,687 |
CenterState Bank Corp. | 96,123 | 2,213,713 |
Columbia Banking System, Inc. | 65,049 | 2,353,473 |
Community Trust Bancorp, Inc. | 39,827 | 1,684,284 |
Fidelity Southern Corp. | 80,291 | 2,486,612 |
First BanCorp | 343,400 | 3,791,136 |
First Citizens BancShares Inc., Class A | 8,062 | 3,630,077 |
First Community Corp. | 44,980 | 832,580 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
First Financial Corp. | 50,799 | 2,040,088 |
First of Long Island Corp. (The) | 87,320 | 1,753,386 |
Heritage Financial Corp. | 43,396 | 1,281,918 |
Hilltop Holdings, Inc. | 157,160 | 3,342,793 |
Iberiabank Corp. | 63,970 | 4,852,124 |
Investors Bancorp, Inc. | 306,933 | 3,422,303 |
National Bank Holdings Corp., Class A | 55,985 | 2,032,255 |
Northrim BanCorp, Inc. | 65,680 | 2,342,149 |
OFG Bancorp | 106,960 | 2,542,439 |
Popular, Inc. | 28,466 | 1,543,996 |
Sierra Bancorp | 37,971 | 1,029,773 |
Texas Capital Bancshares, Inc.(a) | 45,970 | 2,821,179 |
Towne Bank | 98,092 | 2,675,950 |
UMB Financial Corp. | 54,510 | 3,587,848 |
Total | 72,459,306 | |
Capital Markets 1.3% | ||
GAIN Capital Holdings, Inc. | 256,352 | 1,058,734 |
INTL FCStone, Inc.(a) | 46,729 | 1,850,001 |
Moelis & Co., ADR, Class A | 31,984 | 1,117,841 |
Total | 4,026,576 | |
Consumer Finance 1.7% | ||
Enova International, Inc.(a) | 41,841 | 964,435 |
Ezcorp, Inc., Class A(a) | 150,350 | 1,423,814 |
FirstCash, Inc. | 30,034 | 3,004,001 |
Total | 5,392,250 | |
Insurance 5.8% | ||
American Equity Investment Life Holding Co. | 95,357 | 2,589,896 |
Crawford & Co., Class A | 109,014 | 1,147,917 |
Employers Holdings, Inc. | 55,425 | 2,342,815 |
FBL Financial Group, Inc., Class A | 35,139 | 2,241,868 |
Global Indemnity Ltd | 54,888 | 1,699,333 |
Heritage Insurance Holdings, Inc. | 102,384 | 1,577,738 |
Horace Mann Educators Corp. | 45,111 | 1,817,522 |
National Western Life Group, Inc., Class A | 7,156 | 1,839,092 |
Protective Insurance Corp., Class B | 79,873 | 1,387,394 |
United Fire Group, Inc. | 36,470 | 1,767,336 |
Total | 18,410,911 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 | 7 |
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Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Thrifts & Mortgage Finance 6.0% | ||
HomeStreet, Inc.(a) | 104,390 | 3,094,120 |
MGIC Investment Corp.(a) | 220,157 | 2,892,863 |
Provident Financial Holdings, Inc. | 96,387 | 2,023,163 |
Radian Group, Inc. | 208,640 | 4,767,424 |
Washington Federal, Inc. | 77,305 | 2,700,264 |
Western New England Bancorp, Inc. | 204,913 | 1,913,887 |
WSFS Financial Corp. | 35,365 | 1,460,574 |
Total | 18,852,295 | |
Total Financials | 119,141,338 | |
Health Care 3.4% | ||
Biotechnology 1.2% | ||
Adamas Pharmaceuticals, Inc.(a) | 127,950 | 793,290 |
Atara Biotherapeutics, Inc.(a) | 32,690 | 657,396 |
Dynavax Technologies Corp.(a) | 265,978 | 1,061,252 |
Immunomedics, Inc.(a) | 86,900 | 1,205,303 |
Total | 3,717,241 | |
Health Care Equipment & Supplies 0.6% | ||
Quotient Ltd.(a) | 116,683 | 1,090,986 |
Sientra, Inc.(a) | 140,811 | 867,396 |
Total | 1,958,382 | |
Life Sciences Tools & Services 0.4% | ||
Quanterix Corp.(a) | 34,550 | 1,167,445 |
Pharmaceuticals 1.2% | ||
Aerie Pharmaceuticals, Inc.(a) | 43,090 | 1,273,309 |
Supernus Pharmaceuticals, Inc.(a) | 55,920 | 1,850,393 |
TherapeuticsMD, Inc.(a) | 323,960 | 842,296 |
Total | 3,965,998 | |
Total Health Care | 10,809,066 | |
Industrials 12.3% | ||
Aerospace & Defense 0.7% | ||
Aerojet Rocketdyne Holdings, Inc.(a) | 46,810 | 2,095,683 |
Airlines 0.4% | ||
Spirit Airlines, Inc.(a) | 24,770 | 1,182,272 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 1.6% | ||
Apogee Enterprises, Inc. | 40,068 | 1,740,554 |
Resideo Technologies, Inc.(a) | 57,445 | 1,259,194 |
Universal Forest Products, Inc. | 58,011 | 2,207,899 |
Total | 5,207,647 | |
Commercial Services & Supplies 0.8% | ||
Herman Miller, Inc. | 58,340 | 2,607,798 |
Electrical Equipment 0.8% | ||
Encore Wire Corp. | 40,929 | 2,397,621 |
Machinery 4.1% | ||
EnPro Industries, Inc. | 7,766 | 495,781 |
FreightCar America, Inc.(a) | 109,140 | 640,652 |
Gorman-Rupp Co. | 48,106 | 1,579,320 |
Kennametal, Inc. | 49,120 | 1,816,949 |
LB Foster Co., Class A(a) | 60,670 | 1,658,718 |
Lydall, Inc.(a) | 52,391 | 1,058,298 |
Manitex International, Inc.(a) | 140,880 | 860,777 |
Mueller Industries, Inc. | 68,189 | 1,995,892 |
Standex International Corp. | 20,890 | 1,527,895 |
Wabash National Corp. | 86,690 | 1,410,446 |
Total | 13,044,728 | |
Marine 0.4% | ||
Seaspan Corp. | 134,170 | 1,316,208 |
Professional Services 0.6% | ||
Korn/Ferry International | 43,576 | 1,746,090 |
Road & Rail 2.0% | ||
Heartland Express, Inc. | 81,500 | 1,472,705 |
Marten Transport Ltd. | 115,170 | 2,090,336 |
Schneider National, Inc., Class B | 69,750 | 1,272,240 |
Werner Enterprises, Inc. | 50,428 | 1,567,302 |
Total | 6,402,583 | |
Trading Companies & Distributors 0.9% | ||
Houston Wire & Cable Co.(a) | 163,325 | 855,823 |
Textainer Group Holdings Ltd.(a) | 187,528 | 1,890,282 |
Total | 2,746,105 | |
Total Industrials | 38,746,735 |
8 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 |
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Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 10.1% | ||
Communications Equipment 2.3% | ||
Acacia Communications, Inc.(a) | 37,999 | 1,792,033 |
Casa Systems, Inc.(a) | 65,839 | 423,345 |
Digi International, Inc.(a) | 82,779 | 1,049,638 |
Lumentum Holdings, Inc.(a) | 34,030 | 1,817,542 |
Netscout Systems, Inc.(a) | 79,465 | 2,017,616 |
Total | 7,100,174 | |
Electronic Equipment, Instruments & Components 1.5% | ||
AVX Corp. | 184,340 | 3,060,044 |
Vishay Intertechnology, Inc. | 98,820 | 1,632,507 |
Total | 4,692,551 | |
IT Services 1.4% | ||
Carbonite, Inc.(a) | 59,340 | 1,545,213 |
Consolidated Water Co., Ltd. | 56,587 | 806,931 |
Mantech International Corp., Class A | 31,935 | 2,102,920 |
Total | 4,455,064 | |
Semiconductors & Semiconductor Equipment 3.3% | ||
Advanced Energy Industries, Inc.(a) | 28,670 | 1,613,261 |
Cirrus Logic, Inc.(a) | 45,820 | 2,002,334 |
Cohu, Inc. | 102,310 | 1,578,643 |
MACOM Technology Solutions Holdings, Inc.(a) | 107,913 | 1,632,724 |
MKS Instruments, Inc. | 32,570 | 2,536,877 |
Photronics, Inc.(a) | 115,951 | 950,798 |
Total | 10,314,637 | |
Software 1.6% | ||
Asure Software, Inc.(a) | 102,140 | 840,612 |
MicroStrategy, Inc., Class A(a) | 14,970 | 2,145,351 |
Monotype Imaging Holdings, Inc. | 92,620 | 1,559,721 |
Park City Group Inc(a) | 120,820 | 647,595 |
Total | 5,193,279 | |
Total Information Technology | 31,755,705 | |
Materials 7.9% | ||
Chemicals 1.4% | ||
Flotek Industries, Inc.(a) | 281,632 | 932,202 |
Livent Corp.(a) | 280,547 | 1,941,385 |
Tronox Holdings PLC, Class A | 112,352 | 1,435,859 |
Total | 4,309,446 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Containers & Packaging 0.4% | ||
Greif, Inc., Class A | 44,085 | 1,434,967 |
Metals & Mining 4.8% | ||
Allegheny Technologies, Inc.(a) | 107,214 | 2,701,793 |
Ampco-Pittsburgh Corp.(a) | 148,880 | 599,986 |
Capstone Mining Corp.(a) | 2,663,059 | 1,199,805 |
Centerra Gold, Inc.(a) | 242,977 | 1,710,701 |
Century Aluminum Co.(a) | 232,711 | 1,608,033 |
Commercial Metals Co. | 127,340 | 2,273,019 |
Ferroglobe PLC | 436,105 | 741,378 |
Olympic Steel, Inc. | 89,842 | 1,226,343 |
Schnitzer Steel Industries, Inc., Class A | 63,540 | 1,662,842 |
Universal Stainless & Alloy Products, Inc.(a) | 82,013 | 1,312,208 |
Total | 15,036,108 | |
Paper & Forest Products 1.3% | ||
Clearwater Paper Corp.(a) | 58,920 | 1,089,431 |
Louisiana-Pacific Corp. | 118,190 | 3,098,942 |
Total | 4,188,373 | |
Total Materials | 24,968,894 | |
Real Estate 7.1% | ||
Equity Real Estate Investment Trusts (REITS) 7.1% | ||
CoreCivic, Inc. | 108,460 | 2,251,629 |
Farmland Partners, Inc. | 265,800 | 1,873,890 |
Highwoods Properties, Inc. | 57,700 | 2,383,010 |
Mack-Cali Realty Corp. | 174,210 | 4,057,351 |
PotlatchDeltic Corp. | 68,004 | 2,650,796 |
RLJ Lodging Trust | 234,150 | 4,153,821 |
SITE Centers Corp. | 115,615 | 1,530,743 |
Sunstone Hotel Investors, Inc. | 247,132 | 3,388,180 |
Total | 22,289,420 | |
Total Real Estate | 22,289,420 | |
Total Common Stocks (Cost $316,981,829) | 313,059,610 | |
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Money Market Funds 0.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(b),(c) | 2,055,673 | 2,055,467 |
Total Money Market Funds (Cost $2,055,519) | 2,055,467 | |
Total Investments in Securities (Cost: $319,037,348) | 315,115,077 | |
Other Assets & Liabilities, Net | (23,140) | |
Net Assets | 315,091,937 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | ||||||||
3,606,415 | 37,970,669 | (39,521,411) | 2,055,673 | 40 | (52) | 32,558 | 2,055,467 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 quoted prices in active markets for identical assets ($) | 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 | 4,115,609 | — | — | — | 4,115,609 |
Consumer Discretionary | 35,467,607 | — | — | — | 35,467,607 |
Consumer Staples | 8,259,955 | — | — | — | 8,259,955 |
Energy | 17,505,281 | — | — | — | 17,505,281 |
Financials | 119,141,338 | — | — | — | 119,141,338 |
Health Care | 10,809,066 | — | — | — | 10,809,066 |
Industrials | 38,746,735 | — | — | — | 38,746,735 |
Information Technology | 31,755,705 | — | — | — | 31,755,705 |
Materials | 24,968,894 | — | — | — | 24,968,894 |
Real Estate | 22,289,420 | — | — | — | 22,289,420 |
Total Common Stocks | 313,059,610 | — | — | — | 313,059,610 |
Money Market Funds | — | — | — | 2,055,467 | 2,055,467 |
Total Investments in Securities | 313,059,610 | — | — | 2,055,467 | 315,115,077 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 | 11 |
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June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $316,981,829) | $313,059,610 |
Affiliated issuers (cost $2,055,519) | 2,055,467 |
Receivable for: | |
Investments sold | 7,070,474 |
Capital shares sold | 28,842 |
Dividends | 450,422 |
Foreign tax reclaims | 211 |
Expense reimbursement due from Investment Manager | 47,965 |
Prepaid expenses | 1 |
Trustees’ deferred compensation plan | 84,652 |
Total assets | 322,797,644 |
Liabilities | |
Payable for: | |
Investments purchased | 7,045,903 |
Capital shares purchased | 128,581 |
Management services fees | 203,450 |
Distribution and/or service fees | 57,405 |
Service fees | 78,906 |
Compensation of board members | 1,025 |
Compensation of chief compliance officer | 34 |
Other expenses | 105,751 |
Trustees’ deferred compensation plan | 84,652 |
Total liabilities | 7,705,707 |
Net assets applicable to outstanding capital stock | $315,091,937 |
Represented by | |
Paid in capital | 279,604,082 |
Total distributable earnings (loss) | 35,487,855 |
Total - representing net assets applicable to outstanding capital stock | $315,091,937 |
Class 1 | |
Net assets | $5,800,478 |
Shares outstanding | 361,769 |
Net asset value per share | $16.03 |
Class 2 | |
Net assets | $309,291,459 |
Shares outstanding | 19,458,236 |
Net asset value per share | $15.90 |
12 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,954,759 |
Dividends — affiliated issuers | 32,558 |
Foreign taxes withheld | (6,725) |
Total income | 2,980,592 |
Expenses: | |
Management services fees | 1,372,040 |
Distribution and/or service fees | |
Class 2 | 386,897 |
Service fees | 248,788 |
Compensation of board members | 9,475 |
Custodian fees | 4,363 |
Printing and postage fees | 33,729 |
Audit fees | 15,520 |
Legal fees | 3,425 |
Interest on interfund lending | 16 |
Compensation of chief compliance officer | 64 |
Other | 7,604 |
Total expenses | 2,081,921 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (244,235) |
Total net expenses | 1,837,686 |
Net investment income | 1,142,906 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 10,207,926 |
Investments — affiliated issuers | 40 |
Foreign currency translations | 68 |
Net realized gain | 10,208,034 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 25,271,600 |
Investments — affiliated issuers | (52) |
Foreign currency translations | 17 |
Net change in unrealized appreciation (depreciation) | 25,271,565 |
Net realized and unrealized gain | 35,479,599 |
Net increase in net assets resulting from operations | $36,622,505 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 | 13 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $1,142,906 | $963,989 |
Net realized gain | 10,208,034 | 27,370,100 |
Net change in unrealized appreciation (depreciation) | 25,271,565 | (92,094,856) |
Net increase (decrease) in net assets resulting from operations | 36,622,505 | (63,760,767) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (980,459) |
Class 2 | — | (53,301,432) |
Total distributions to shareholders | — | (54,281,891) |
Increase (decrease) in net assets from capital stock activity | (11,811,872) | 26,497,488 |
Total increase (decrease) in net assets | 24,810,633 | (91,545,170) |
Net assets at beginning of period | 290,281,304 | 381,826,474 |
Net assets at end of period | $315,091,937 | $290,281,304 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 24,396 | 384,929 | 52,588 | 930,571 |
Distributions reinvested | — | — | 54,561 | 980,459 |
Redemptions | (51,080) | (821,472) | (72,660) | (1,441,668) |
Net increase (decrease) | (26,684) | (436,543) | 34,489 | 469,362 |
Class 2 | ||||
Subscriptions | 641,710 | 10,199,841 | 1,109,990 | 19,648,565 |
Distributions reinvested | — | — | 2,986,074 | 53,301,432 |
Redemptions | (1,354,142) | (21,575,170) | (2,495,991) | (46,921,871) |
Net increase (decrease) | (712,432) | (11,375,329) | 1,600,073 | 26,028,126 |
Total net increase (decrease) | (739,116) | (11,811,872) | 1,634,562 | 26,497,488 |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $14.22 | 0.08 | 1.73 | 1.81 | — | — | — |
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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $14.12 | 0.06 | 1.72 | 1.78 | — | — | — |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $16.03 | 12.73% | 1.07%(c),(d) | 0.92%(c),(d) | 0.96%(c) | 28% | $5,800 |
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%(e) | 0.93%(e) | 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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $15.90 | 12.61% | 1.32%(c),(d) | 1.17%(c),(d) | 0.72%(c) | 28% | $309,291 |
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%(e) | 1.18%(e) | 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% | $368,768 |
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June 30, 2019 (Unaudited)
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.92% |
Class 2 | 1.17 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
319,037,000 | 40,064,000 | (43,986,000) | (3,922,000) |
22 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Days outstanding |
Borrower | 200,000 | 2.92 | 1 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 | 23 |
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24 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2019 |
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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, 2020 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’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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3 | |
5 | |
6 | |
14 | |
15 | |
16 | |
18 | |
20 | |
32 | |
37 |
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | 2.51 | 0.00 | -0.05 | 1.02 | |
Class 2 | 04/30/12 | 2.38 | -0.14 | -0.28 | 0.78 | |
FTSE Three-Month U.S. Treasury Bill Index | 1.21 | 2.30 | 0.84 | 0.61 |
CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2019)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 96.6 | (0.0)(b) | 96.6 |
Commodities Derivative Contracts | 0.5 | (4.8) | (4.3) |
Equity Derivative Contracts | 14.4 | (2.7) | 11.7 |
Foreign Currency Derivative Contracts | 18.5 | (22.5) | (4.0) |
Total Notional Market Value of Derivative Contracts | 130.0 | (30.0) | 100.0 |
Portfolio Holdings (%) (at June 30, 2019) | |
Money Market Funds | 62.8 |
Treasury Bills | 28.6 |
Other Assets | 8.6 |
Total | 100.0 |
4 | CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 |
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(Unaudited)
January 1, 2019 — June 30, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,025.10 | 1,018.83 | 5.76 | 5.74 | 1.16 |
Class 2 | 1,000.00 | 1,000.00 | 1,023.80 | 1,017.61 | 7.00 | 6.98 | 1.41 |
CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Treasury Bills 28.6% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 28.6% | ||||
U.S. Treasury Bills | ||||
07/05/2019 | 2.360% | 6,100,000 | 6,097,235 | |
07/11/2019 | 2.320% | 11,472,000 | 11,462,549 | |
07/18/2019 | 2.290% | 9,740,000 | 9,727,810 | |
07/25/2019 | 2.210% | 20,666,000 | 20,632,323 | |
08/01/2019 | 2.250% | 13,354,000 | 13,326,065 | |
08/22/2019 | 2.040% | 691,000 | 688,887 | |
10/31/2019 | 1.980% | 2,192,000 | 2,177,200 | |
11/29/2019 | 2.050% | 2,375,000 | 2,354,678 | |
12/05/2019 | 2.010% | 964,000 | 955,593 | |
12/12/2019 | 2.040% | 3,796,000 | 3,760,917 | |
12/19/2019 | 2.050% | 3,450,000 | 3,416,670 | |
12/26/2019 | 2.050% | 639,000 | 632,558 | |
Total | 75,232,485 | |||
Total Treasury Bills (Cost $75,215,345) | 75,232,485 |
Money Market Funds 62.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(a),(b) | 95,108,739 | 95,099,228 |
JPMorgan Prime Money Market Fund, Capital Shares, 2.419%(a) | 35,000,000 | 35,014,000 |
JPMorgan U.S. Treasury Plus Money Market Fund, Institutional Shares, 2.200%(a) | 35,000,000 | 35,000,000 |
Total Money Market Funds (Cost $165,099,432) | 165,113,228 | |
Total Investments in Securities (Cost: $240,314,777) | 240,345,713 | |
Other Assets & Liabilities, Net | 22,546,232 | |
Net Assets | 262,891,945 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
5,568,000 AUD | 3,872,213 USD | Citi | 09/18/2019 | — | (46,166) |
21,198,497 BRL | 5,365,730 USD | Citi | 09/18/2019 | — | (112,850) |
4,651,004 CAD | 3,471,619 USD | Citi | 09/18/2019 | — | (85,146) |
293,007 CHF | 296,505 USD | Citi | 09/18/2019 | — | (5,810) |
137,823,500 COP | 42,925 USD | Citi | 09/18/2019 | 242 | — |
1,746,586,444 COP | 526,678 USD | Citi | 09/18/2019 | — | (14,221) |
465,500 EUR | 525,935 USD | Citi | 09/18/2019 | — | (6,718) |
1,121,006 GBP | 1,434,824 USD | Citi | 09/18/2019 | 6,129 | — |
5,658,506 GBP | 7,160,462 USD | Citi | 09/18/2019 | — | (51,167) |
1,329,994 HKD | 169,766 USD | Citi | 09/18/2019 | — | (551) |
457,077,004 HUF | 1,584,931 USD | Citi | 09/18/2019 | — | (31,793) |
2,092,288,000 IDR | 142,594 USD | Citi | 09/18/2019 | — | (4,025) |
576,997 ILS | 160,957 USD | Citi | 09/18/2019 | — | (1,512) |
5,323,000 INR | 75,402 USD | Citi | 09/18/2019 | — | (982) |
72,188,876 JPY | 678,607 USD | Citi | 09/18/2019 | 5,127 | — |
543,132 JPY | 4,998 USD | Citi | 09/18/2019 | — | (69) |
1,504,145,000 KRW | 1,304,651 USD | Citi | 09/18/2019 | 2,090 | — |
24,437,018,972 KRW | 20,718,646 USD | Citi | 09/18/2019 | — | (443,348) |
9,830,000 MXN | 506,216 USD | Citi | 09/18/2019 | 841 | — |
4,015,500 MXN | 206,407 USD | Citi | 09/18/2019 | — | (36) |
17,402,000 NOK | 2,004,663 USD | Citi | 09/18/2019 | — | (39,802) |
3,064,001 NZD | 2,015,202 USD | Citi | 09/18/2019 | — | (46,270) |
7,521,000 PHP | 143,095 USD | Citi | 09/18/2019 | — | (3,123) |
38,385,996 SEK | 4,059,355 USD | Citi | 09/18/2019 | — | (97,789) |
1,803,500 SGD | 1,320,881 USD | Citi | 09/18/2019 | — | (13,690) |
10,324,000 TWD | 335,038 USD | Citi | 09/18/2019 | 438 | — |
6 | CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
86,667,996 TWD | 2,765,898 USD | Citi | 09/18/2019 | — | (43,001) |
3,279,506 USD | 12,795,500 BRL | Citi | 09/18/2019 | 27,388 | — |
836,177 USD | 3,224,500 BRL | Citi | 09/18/2019 | — | (2,831) |
4,460,654 USD | 5,910,500 CAD | Citi | 09/18/2019 | 59,286 | — |
8,112,478 USD | 8,000,001 CHF | Citi | 09/18/2019 | 141,664 | — |
4,090,908 USD | 3,960,000 CHF | Citi | 09/18/2019 | — | (5,109) |
73,655 USD | 242,081,000 COP | Citi | 09/18/2019 | 1,315 | — |
12,062 USD | 38,594,000 COP | Citi | 09/18/2019 | — | (110) |
518,361 USD | 460,000 EUR | Citi | 09/18/2019 | 7,999 | — |
450,600 USD | 354,753 GBP | Citi | 09/18/2019 | 1,524 | — |
452,933 USD | 354,755 GBP | Citi | 09/18/2019 | — | (807) |
169,748 USD | 1,330,001 HKD | Citi | 09/18/2019 | 570 | — |
990,669 USD | 282,273,000 HUF | Citi | 09/18/2019 | 7,756 | — |
180,382 USD | 50,905,500 HUF | Citi | 09/18/2019 | — | (325) |
2,407,275 USD | 34,910,471,066 IDR | Citi | 09/18/2019 | 39,112 | — |
588,504 USD | 8,387,848,000 IDR | Citi | 09/18/2019 | — | (717) |
23,924 USD | 85,500 ILS | Citi | 09/18/2019 | 151 | — |
2,778,611 USD | 195,744,950 INR | Citi | 09/18/2019 | 30,315 | — |
3,154,116 USD | 339,868,820 JPY | Citi | 09/18/2019 | 16,659 | — |
57,748 USD | 6,182,760 JPY | Citi | 09/18/2019 | — | (66) |
2,815,632 USD | 3,321,676,000 KRW | Citi | 09/18/2019 | 60,876 | — |
4,162,583 USD | 82,224,689 MXN | Citi | 09/18/2019 | 64,710 | — |
1,436,345 USD | 27,820,823 MXN | Citi | 09/18/2019 | — | (6,036) |
681,592 USD | 5,870,500 NOK | Citi | 09/18/2019 | 8,101 | — |
1,115,421 USD | 9,458,000 NOK | Citi | 09/18/2019 | — | (4,252) |
468,483 USD | 702,000 NZD | Citi | 09/18/2019 | 3,825 | — |
1,678,169 USD | 88,048,504 PHP | Citi | 09/18/2019 | 33,605 | — |
13,994,678 USD | 53,304,496 PLN | Citi | 09/18/2019 | 307,682 | — |
596,717 USD | 5,619,000 SEK | Citi | 09/18/2019 | 11,812 | — |
449,246 USD | 4,139,500 SEK | Citi | 09/18/2019 | — | (945) |
164,449 USD | 222,996 SGD | Citi | 09/18/2019 | 566 | — |
56,631 USD | 76,500 SGD | Citi | 09/18/2019 | — | (22) |
3,622,465 USD | 52,873,500 ZAR | Citi | 09/18/2019 | 94,167 | — |
71,296,004 ZAR | 4,828,119 USD | Citi | 09/18/2019 | — | (183,484) |
9,539,500 CLP | 14,095 USD | Citi | 09/23/2019 | 11 | — |
938,762,468 CLP | 1,343,404 USD | Citi | 09/23/2019 | — | (42,571) |
137,546 USD | 95,392,500 CLP | Citi | 09/23/2019 | 3,290 | — |
5,568,000 AUD | 3,872,208 USD | JPMorgan | 09/18/2019 | — | (46,171) |
21,198,503 BRL | 5,365,665 USD | JPMorgan | 09/18/2019 | — | (112,917) |
4,650,996 CAD | 3,471,955 USD | JPMorgan | 09/18/2019 | — | (84,805) |
292,993 CHF | 296,491 USD | JPMorgan | 09/18/2019 | — | (5,810) |
137,823,500 COP | 42,925 USD | JPMorgan | 09/18/2019 | 242 | — |
1,746,586,444 COP | 526,727 USD | JPMorgan | 09/18/2019 | — | (14,171) |
465,506 EUR | 525,942 USD | JPMorgan | 09/18/2019 | — | (6,718) |
1,120,994 GBP | 1,434,807 USD | JPMorgan | 09/18/2019 | 6,127 | — |
5,658,494 GBP | 7,160,438 USD | JPMorgan | 09/18/2019 | — | (51,175) |
1,330,006 HKD | 169,767 USD | JPMorgan | 09/18/2019 | — | (551) |
457,077,004 HUF | 1,584,929 USD | JPMorgan | 09/18/2019 | — | (31,795) |
2,092,288,000 IDR | 142,594 USD | JPMorgan | 09/18/2019 | — | (4,025) |
577,003 ILS | 160,976 USD | JPMorgan | 09/18/2019 | — | (1,496) |
5,323,000 INR | 75,402 USD | JPMorgan | 09/18/2019 | — | (982) |
72,188,874 JPY | 678,606 USD | JPMorgan | 09/18/2019 | 5,126 | — |
543,118 JPY | 4,998 USD | JPMorgan | 09/18/2019 | — | (69) |
1,504,145,000 KRW | 1,304,650 USD | JPMorgan | 09/18/2019 | 2,089 | — |
24,437,018,988 KRW | 20,718,620 USD | JPMorgan | 09/18/2019 | — | (443,375) |
9,830,000 MXN | 506,215 USD | JPMorgan | 09/18/2019 | 840 | — |
4,015,500 MXN | 206,407 USD | JPMorgan | 09/18/2019 | — | (36) |
17,402,000 NOK | 2,004,661 USD | JPMorgan | 09/18/2019 | — | (39,805) |
CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 7 |
Table of Contents
June 30, 2019 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
3,063,999 NZD | 2,015,199 USD | JPMorgan | 09/18/2019 | — | (46,272) |
7,521,000 PHP | 143,095 USD | JPMorgan | 09/18/2019 | — | (3,123) |
38,386,004 SEK | 4,059,238 USD | JPMorgan | 09/18/2019 | — | (97,907) |
1,803,500 SGD | 1,320,880 USD | JPMorgan | 09/18/2019 | — | (13,692) |
10,324,000 TWD | 335,037 USD | JPMorgan | 09/18/2019 | 438 | — |
86,668,004 TWD | 2,765,895 USD | JPMorgan | 09/18/2019 | — | (43,005) |
3,279,510 USD | 12,795,500 BRL | JPMorgan | 09/18/2019 | 27,384 | — |
836,178 USD | 3,224,500 BRL | JPMorgan | 09/18/2019 | — | (2,832) |
4,460,660 USD | 5,910,500 CAD | JPMorgan | 09/18/2019 | 59,281 | — |
8,112,526 USD | 7,999,999 CHF | JPMorgan | 09/18/2019 | 141,613 | — |
4,090,913 USD | 3,960,000 CHF | JPMorgan | 09/18/2019 | — | (5,114) |
73,655 USD | 242,081,000 COP | JPMorgan | 09/18/2019 | 1,315 | — |
12,062 USD | 38,594,000 COP | JPMorgan | 09/18/2019 | — | (110) |
518,369 USD | 460,006 EUR | JPMorgan | 09/18/2019 | 7,998 | — |
450,592 USD | 354,746 GBP | JPMorgan | 09/18/2019 | 1,523 | — |
452,875 USD | 354,746 GBP | JPMorgan | 09/18/2019 | — | (760) |
169,748 USD | 1,329,999 HKD | JPMorgan | 09/18/2019 | 570 | — |
990,671 USD | 282,273,000 HUF | JPMorgan | 09/18/2019 | 7,755 | — |
180,383 USD | 50,905,500 HUF | JPMorgan | 09/18/2019 | — | (325) |
2,407,278 USD | 34,910,471,070 IDR | JPMorgan | 09/18/2019 | 39,109 | — |
588,505 USD | 8,387,848,000 IDR | JPMorgan | 09/18/2019 | — | (718) |
23,924 USD | 85,500 ILS | JPMorgan | 09/18/2019 | 151 | — |
2,778,615 USD | 195,744,938 INR | JPMorgan | 09/18/2019 | 30,311 | — |
3,154,120 USD | 339,868,806 JPY | JPMorgan | 09/18/2019 | 16,655 | — |
57,748 USD | 6,182,758 JPY | JPMorgan | 09/18/2019 | — | (66) |
2,815,636 USD | 3,321,676,000 KRW | JPMorgan | 09/18/2019 | 60,873 | — |
4,162,511 USD | 82,224,670 MXN | JPMorgan | 09/18/2019 | 64,781 | — |
1,435,400 USD | 27,820,818 MXN | JPMorgan | 09/18/2019 | — | (5,091) |
681,593 USD | 5,870,500 NOK | JPMorgan | 09/18/2019 | 8,100 | — |
1,115,423 USD | 9,458,000 NOK | JPMorgan | 09/18/2019 | — | (4,254) |
468,484 USD | 702,000 NZD | JPMorgan | 09/18/2019 | 3,825 | — |
1,678,171 USD | 88,048,496 PHP | JPMorgan | 09/18/2019 | 33,603 | — |
13,994,675 USD | 53,304,504 PLN | JPMorgan | 09/18/2019 | 307,687 | — |
596,718 USD | 5,619,000 SEK | JPMorgan | 09/18/2019 | 11,811 | — |
449,247 USD | 4,139,500 SEK | JPMorgan | 09/18/2019 | — | (945) |
164,455 USD | 223,004 SGD | JPMorgan | 09/18/2019 | 566 | — |
56,631 USD | 76,500 SGD | JPMorgan | 09/18/2019 | — | (22) |
3,622,470 USD | 52,873,500 ZAR | JPMorgan | 09/18/2019 | 94,163 | — |
71,295,996 ZAR | 4,828,113 USD | JPMorgan | 09/18/2019 | — | (183,490) |
9,539,502 CLP | 14,097 USD | JPMorgan | 09/23/2019 | 13 | — |
938,762,481 CLP | 1,343,278 USD | JPMorgan | 09/23/2019 | — | (42,696) |
137,547 USD | 95,392,500 CLP | JPMorgan | 09/23/2019 | 3,289 | — |
Total | 1,874,489 | (2,589,667) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
3-Month Euro Euribor | 169 | 12/2019 | EUR | 42,450,688 | 41,244 | — |
3-Month Euro Euribor | 186 | 03/2020 | EUR | 46,727,850 | 58,111 | — |
3-Month Euro Euribor | 221 | 06/2020 | EUR | 55,523,488 | 82,442 | — |
3-Month Euro Euribor | 216 | 09/2020 | EUR | 54,264,600 | 92,072 | — |
3-Month Euro Euribor | 200 | 12/2020 | EUR | 50,237,500 | 94,921 | — |
3-Month Euro Euribor | 191 | 03/2021 | EUR | 47,967,263 | 70,145 | — |
3-Month Euro Euribor | 102 | 06/2021 | EUR | 25,609,650 | 17,250 | — |
3-Month Euro Swiss Franc | 7 | 12/2019 | CHF | 1,765,050 | 1,418 | — |
3-Month Euro Swiss Franc | 13 | 03/2020 | CHF | 3,278,925 | 3,231 | — |
3-Month Euro Swiss Franc | 12 | 06/2020 | CHF | 3,027,000 | 1,167 | — |
8 | CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
90-Day Sterling | 57 | 12/2019 | GBP | 7,066,931 | 5,454 | — |
90-Day Sterling | 50 | 03/2020 | GBP | 6,201,875 | 2,025 | — |
90-Day Sterling | 72 | 06/2020 | GBP | 8,932,500 | 5,109 | — |
90-Day Sterling | 113 | 09/2020 | GBP | 14,019,769 | 14,050 | — |
90-Day Sterling | 150 | 12/2020 | GBP | 18,605,625 | 18,425 | — |
90-Day Sterling | 109 | 03/2021 | GBP | 13,521,450 | 12,771 | — |
90-Day Sterling | 139 | 06/2021 | GBP | 17,240,344 | — | (729) |
Amsterdam Index | 11 | 07/2019 | EUR | 1,234,046 | 4,217 | — |
Australian 10-Year Bond | 166 | 09/2019 | AUD | 23,845,922 | 104,627 | — |
Australian 3-Year Bond | 989 | 09/2019 | AUD | 113,732,646 | 43,929 | — |
Banker’s Acceptance | 1 | 09/2019 | CAD | 245,113 | 60 | — |
Banker’s Acceptance | 29 | 12/2019 | CAD | 7,111,525 | — | (3,089) |
Banker’s Acceptance | 24 | 03/2020 | CAD | 5,891,700 | — | (4,029) |
CAC40 Index | 233 | 07/2019 | EUR | 12,891,890 | 159,395 | — |
Canadian Dollar | 599 | 09/2019 | USD | 45,856,445 | 486,628 | — |
Canadian Government 10-Year Bond | 27 | 09/2019 | CAD | 3,859,110 | 26,461 | — |
Cocoa | 21 | 09/2019 | GBP | 379,050 | — | (7,983) |
Cocoa | 12 | 09/2019 | USD | 291,000 | — | (8,688) |
Corn | 26 | 09/2019 | USD | 552,175 | — | (34,770) |
DAX Index | 3 | 09/2019 | EUR | 929,100 | 10,572 | — |
DJIA Mini E | 131 | 09/2019 | USD | 17,418,415 | 86,197 | — |
EURO STOXX 50 | 263 | 09/2019 | EUR | 9,115,580 | 113,698 | — |
Euro-Bobl | 47 | 09/2019 | EUR | 6,318,680 | 11,516 | — |
Eurodollar 90-Day | 274 | 12/2019 | USD | 67,191,650 | 353,377 | — |
Eurodollar 90-Day | 140 | 03/2020 | USD | 34,401,500 | 217,458 | — |
Eurodollar 90-Day | 108 | 06/2020 | USD | 26,562,600 | 189,855 | — |
Eurodollar 90-Day | 92 | 09/2020 | USD | 22,642,350 | 176,737 | — |
Eurodollar 90-Day | 108 | 12/2020 | USD | 26,580,150 | 209,555 | — |
Eurodollar 90-Day | 130 | 03/2021 | USD | 32,002,750 | 212,567 | — |
Eurodollar 90-Day | 145 | 06/2021 | USD | 35,684,500 | 45,775 | — |
Euro-Schatz | 254 | 09/2019 | EUR | 28,520,390 | 50,731 | — |
FTSE 100 Index | 136 | 09/2019 | GBP | 10,021,840 | 37,994 | — |
FTSE/JSE Top 40 Index | 25 | 09/2019 | ZAR | 13,108,000 | — | (8,543) |
FTSE/MIB Index | 2 | 09/2019 | EUR | 211,560 | — | (757) |
Gold 100 oz. | 23 | 08/2019 | USD | 3,251,510 | 10,161 | — |
IBEX 35 Index | 7 | 07/2019 | EUR | 642,110 | 1,697 | — |
Japanese 10-Year Government Bond | 3 | 09/2019 | JPY | 461,550,000 | 10,668 | — |
Japanese Yen | 212 | 09/2019 | USD | 24,727,150 | — | (5,571) |
Long Gilt | 40 | 09/2019 | GBP | 5,212,000 | 13,747 | — |
MSCI Singapore IX ETS | 13 | 07/2019 | SGD | 491,595 | 3,031 | — |
MSCI Taiwan Index | 31 | 07/2019 | USD | 1,198,150 | 393 | — |
NASDAQ 100 E-mini | 149 | 09/2019 | USD | 22,927,375 | 144,330 | — |
OMXS30 Index | 164 | 07/2019 | SEK | 26,580,300 | 41,376 | — |
S&P 500 E-mini | 125 | 09/2019 | USD | 18,401,250 | 154,675 | — |
S&P/TSX 60 Index | 143 | 09/2019 | CAD | 27,962,220 | — | (18,477) |
SPI 200 Index | 246 | 09/2019 | AUD | 40,337,850 | 182,520 | — |
U.S. Long Bond | 132 | 09/2019 | USD | 20,538,375 | 507,004 | — |
U.S. Treasury 10-Year Note | 210 | 09/2019 | USD | 26,873,438 | 402,653 | — |
U.S. Treasury 2-Year Note | 219 | 09/2019 | USD | 47,124,352 | 246,726 | — |
U.S. Treasury 5-Year Note | 284 | 09/2019 | USD | 33,556,375 | 409,126 | — |
U.S. Ultra Treasury Bond | 91 | 09/2019 | USD | 16,158,188 | 563,853 | — |
Wheat | 3 | 09/2019 | USD | 79,088 | — | (2,732) |
Total | 5,753,144 | (95,368) |
CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 9 |
Table of Contents
June 30, 2019 (Unaudited)
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | (427) | 09/2019 | USD | (30,043,720) | — | (383,699) |
Brent Crude | (66) | 07/2019 | USD | (4,272,840) | — | (83,131) |
British Pound | (179) | 09/2019 | USD | (14,262,944) | — | (546) |
Copper | (16) | 09/2019 | USD | (2,398,400) | — | (28,895) |
Copper | (47) | 09/2019 | USD | (3,188,363) | — | (16,657) |
Cotton | (22) | 12/2019 | USD | (726,880) | — | (568) |
Euro FX | (373) | 09/2019 | USD | (53,369,306) | — | (337,080) |
Gas Oil | (110) | 08/2019 | USD | (6,572,500) | — | (189,385) |
Hang Seng Index | (24) | 07/2019 | HKD | (34,206,000) | — | (45,446) |
H-Shares Index | (65) | 07/2019 | HKD | (35,213,750) | — | (23,066) |
KOSPI 200 Index | (28) | 09/2019 | KRW | (1,948,800,000) | — | (36,707) |
Lean Hogs | (14) | 08/2019 | USD | (425,600) | 23,708 | — |
Natural Gas | (560) | 07/2019 | USD | (12,924,800) | 63,837 | — |
New Zealand Dollar | (139) | 09/2019 | USD | (9,350,530) | — | (221,785) |
Nickel | (11) | 09/2019 | USD | (838,530) | — | (38,275) |
NY Harbor ULSD | (27) | 07/2019 | USD | (2,199,280) | — | (63,493) |
Platinum | (22) | 10/2019 | USD | (925,210) | — | (30,946) |
Primary Aluminum | (14) | 09/2019 | USD | (630,088) | — | (6,490) |
RBOB Gasoline | (4) | 07/2019 | USD | (318,629) | — | (18,638) |
Russell 2000 E-mini | (28) | 09/2019 | USD | (2,193,940) | — | (47,950) |
Silver | (28) | 09/2019 | USD | (2,147,740) | 11,161 | — |
Soybean | (1) | 11/2019 | USD | (46,150) | — | (177) |
Soybean Meal | (22) | 12/2019 | USD | (710,380) | 3,587 | — |
Soybean Oil | (10) | 12/2019 | USD | (172,980) | — | (4,633) |
Sugar #11 | (45) | 09/2019 | USD | (636,048) | 13,403 | — |
TOPIX Index | (110) | 09/2019 | JPY | (1,706,100,000) | 4,913 | — |
Wheat | (19) | 09/2019 | USD | (438,425) | 8,350 | — |
WTI Crude | (176) | 07/2019 | USD | (10,290,720) | — | (427,008) |
Zinc | (16) | 09/2019 | USD | (1,000,400) | — | (420) |
Total | 128,959 | (2,004,995) |
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 Sep 19 | Barclays | 09/2019 | EUR | 36,836,560 | — | — | 172,641 | — |
Euro-Bund Sep 19 | Barclays | 09/2019 | EUR | 15,719,340 | — | — | 214,606 | — |
Euro-Buxl 30-Year Sep 19 | Barclays | 09/2019 | EUR | 1,014,500 | — | — | 37,961 | — |
Euro-Schatz Sep 19 | Barclays | 09/2019 | EUR | 34,583,780 | — | — | 58,571 | — |
Japanese 10-Year Government Bond Sep 19 | Barclays | 09/2019 | JPY | 4,000,100,000 | — | — | 96,318 | — |
Long Gilt Sep 19 | Barclays | 09/2019 | GBP | 10,554,300 | — | — | 117,551 | — |
Cocoa Sep 19 | Citi | 09/2019 | GBP | 36,100 | — | — | — | (339) |
Coffee Sep 19 | Citi | 09/2019 | USD | (2,134,275) | — | — | — | (171,195) |
Corn Sep 19 | Citi | 09/2019 | USD | (21,238) | — | — | 1,120 | — |
Cotton Dec 19 | Citi | 12/2019 | USD | (528,640) | — | — | — | (3,679) |
Primary Aluminum Sep 19 | Citi | 09/2019 | USD | (945,131) | — | — | — | (2,444) |
Soybean Meal Dec 19 | Citi | 12/2019 | USD | (839,540) | — | — | 14,703 | — |
Soybean Meal Dec 19 | Citi | 12/2019 | USD | (1,194,730) | — | — | — | (6,467) |
Soybean Nov 19 | Citi | 11/2019 | USD | (6,876,350) | — | — | — | (305,971) |
Soybean Oil Dec 19 | Citi | 12/2019 | USD | (1,003,284) | — | — | — | (22,185) |
Sugar #11 Oct 19 | Citi | 09/2019 | USD | (42,403) | — | — | 902 | — |
Wheat Sep 19 | Citi | 09/2019 | USD | (105,450) | — | — | 2,647 | — |
Wheat Sep 19 | Citi | 09/2019 | USD | (23,075) | — | — | 1,021 | — |
Swiss Market Index Sep 19 | JPMorgan | 09/2019 | CHF | 3,645,610 | — | — | — | (21,632) |
Total | — | — | 718,041 | (533,912) |
10 | CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
* | If the notional amount of the swap contract is long and the swap contract’s value is positive (negative), the Fund will receive (pay) the total return. If the notional amount of the swap contract is short and the swap contract’s value is positive (negative), the Fund will pay (receive) the total return. Receipts and payments occur upon termination of the contract. |
(a) | The rate shown is the seven-day current annualized yield at June 30, 2019. |
(b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | ||||||||
102,044,857 | 246,322,881 | (253,258,999) | 95,108,739 | (838) | 760 | 1,989,025 | 95,099,228 |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | New Israeli Sheqel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TWD | New Taiwan Dollar |
USD | US Dollar |
ZAR | South African Rand |
CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 11 |
Table of Contents
June 30, 2019 (Unaudited)
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Treasury Bills | 75,232,485 | — | — | — | 75,232,485 |
Money Market Funds | 70,014,000 | — | — | 95,099,228 | 165,113,228 |
Total Investments in Securities | 145,246,485 | — | — | 95,099,228 | 240,345,713 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 1,874,489 | — | — | 1,874,489 |
Futures Contracts | 5,882,103 | — | — | — | 5,882,103 |
Swap Contracts | — | 718,041 | — | — | 718,041 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (2,589,667) | — | — | (2,589,667) |
Futures Contracts | (2,100,363) | — | — | — | (2,100,363) |
Swap Contracts | — | (533,912) | — | — | (533,912) |
Total | 149,028,225 | (531,049) | — | 95,099,228 | 243,596,404 |
12 | CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Derivative instruments are valued at unrealized appreciation (depreciation).
CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 13 |
Table of Contents
June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $145,215,345) | $145,246,485 |
Affiliated issuers (cost $95,099,432) | 95,099,228 |
Cash | 134,283 |
Foreign currency (cost $423,409) | 423,590 |
Cash collateral held at broker for: | |
Forward foreign currency exchange contracts | 1,330,000 |
Swap contracts | 1,780,000 |
Other(a) | 2,210,000 |
Margin deposits on: | |
Futures contracts | 17,251,356 |
Unrealized appreciation on forward foreign currency exchange contracts | 1,874,489 |
Unrealized appreciation on swap contracts | 718,041 |
Receivable for: | |
Investments sold | 827,331 |
Capital shares sold | 31,086 |
Dividends | 312,562 |
Variation margin for futures contracts | 1,133,569 |
Prepaid expenses | 1 |
Trustees’ deferred compensation plan | 41,241 |
Total assets | 268,413,262 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 2,589,667 |
Unrealized depreciation on swap contracts | 533,912 |
Cash collateral due to broker for: | |
Swap contracts | 654,147 |
Payable for: | |
Investments purchased | 1,021,064 |
Capital shares purchased | 2,647 |
Variation margin for futures contracts | 629,852 |
Management services fees | 7,909 |
Distribution and/or service fees | 167 |
Service fees | 3,341 |
Compensation of board members | 1,024 |
Compensation of chief compliance officer | 25 |
Other expenses | 36,321 |
Trustees’ deferred compensation plan | 41,241 |
Total liabilities | 5,521,317 |
Net assets applicable to outstanding capital stock | $262,891,945 |
Represented by | |
Paid in capital | 314,048,453 |
Total distributable earnings (loss) | (51,156,508) |
Total - representing net assets applicable to outstanding capital stock | $262,891,945 |
Class 1 | |
Net assets | $238,361,545 |
Shares outstanding | 32,469,847 |
Net asset value per share | $7.34 |
Class 2 | |
Net assets | $24,530,400 |
Shares outstanding | 3,356,679 |
Net asset value per share | $7.31 |
(a) | Includes collateral related to forward foreign currency exchange contracts and swap contracts. |
14 | CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 |
Table of Contents
Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $42,182 |
Dividends — affiliated issuers | 1,989,025 |
Interest | 998,720 |
Total income | 3,029,927 |
Expenses: | |
Management services fees | 1,393,825 |
Distribution and/or service fees | |
Class 2 | 30,226 |
Service fees | 9,374 |
Compensation of board members | 8,954 |
Custodian fees | 10,272 |
Printing and postage fees | 5,900 |
Audit fees | 19,255 |
Legal fees | 2,713 |
Interest on collateral | 8,862 |
Compensation of chief compliance officer | 51 |
Other | 6,415 |
Total expenses | 1,495,847 |
Net investment income | 1,534,080 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 71 |
Investments — affiliated issuers | (838) |
Foreign currency translations | (97,605) |
Forward foreign currency exchange contracts | (777,296) |
Futures contracts | 2,322,556 |
Swap contracts | 3,336,600 |
Net realized gain | 4,783,488 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 30,870 |
Investments — affiliated issuers | 760 |
Foreign currency translations | 54,462 |
Forward foreign currency exchange contracts | (678,092) |
Futures contracts | 1,078,457 |
Swap contracts | (498,504) |
Net change in unrealized appreciation (depreciation) | (12,047) |
Net realized and unrealized gain | 4,771,441 |
Net increase in net assets resulting from operations | $6,305,521 |
CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 15 |
Table of Contents
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $1,534,080 | $1,699,890 |
Net realized gain (loss) | 4,783,488 | (21,034,666) |
Net change in unrealized appreciation (depreciation) | (12,047) | (1,969,200) |
Net increase (decrease) in net assets resulting from operations | 6,305,521 | (21,303,976) |
Decrease in net assets from capital stock activity | (1,438,324) | (6,496,484) |
Total increase (decrease) in net assets | 4,867,197 | (27,800,460) |
Net assets at beginning of period | 258,024,748 | 285,825,208 |
Net assets at end of period | $262,891,945 | $258,024,748 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 2,152 | 15,736 | — | — |
Redemptions | (1,659) | (12,200) | — | — |
Net increase | 493 | 3,536 | — | — |
Class 2 | ||||
Subscriptions | 286,757 | 2,047,952 | 648,558 | 4,862,551 |
Redemptions | (489,544) | (3,489,812) | (1,526,017) | (11,359,035) |
Net decrease | (202,787) | (1,441,860) | (877,459) | (6,496,484) |
Total net decrease | (202,294) | (1,438,324) | (877,459) | (6,496,484) |
16 | CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 |
Table of Contents
CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 17 |
Table of Contents
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $7.16 | 0.04 | 0.14 | 0.18 | — | — | — |
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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $7.14 | 0.03 | 0.14 | 0.17 | — | — | — |
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) | Annualized. |
(d) | 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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $7.34 | 2.51% | 1.16%(c),(d) | 1.16%(c),(d) | 1.23%(c) | 0% | $238,362 |
Year Ended 12/31/2018 | $7.16 | (7.61%) | 1.15%(d) | 1.15%(d) | 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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $7.31 | 2.38% | 1.41%(c),(d) | 1.41%(c),(d) | 0.99%(c) | 0% | $24,530 |
Year Ended 12/31/2018 | $7.14 | (7.75%) | 1.40%(d) | 1.40%(d) | 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 |
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VPMF Offshore Fund, Ltd. | |
% of consolidated fund net assets | 22.98% |
Net assets | $60,415,759 |
Net investment income (loss) | 374,897 |
Net realized gain (loss) | (5,521,341) |
Net change in unrealized appreciation (depreciation) | (2,770,454) |
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Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 934,436* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,874,489 |
Foreign exchange risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 486,628* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 4,316,260* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 697,648* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 144,779* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 20,393* |
Total | 8,474,633 |
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Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 180,946* |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 21,632* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 2,589,667 |
Foreign exchange risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 948,681* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 7,847* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 962,889* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 512,280* |
Total | 5,223,942 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | (5,876,656) | 318,494 | (5,558,162) |
Equity risk | — | (1,574,818) | 198,961 | (1,375,857) |
Foreign exchange risk | (777,296) | (1,118,772) | — | (1,896,068) |
Interest rate risk | — | 10,892,802 | 2,819,145 | 13,711,947 |
Total | (777,296) | 2,322,556 | 3,336,600 | 4,881,860 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | (2,000,043) | (766,466) | (2,766,509) |
Equity risk | — | (584,206) | (24,458) | (608,664) |
Foreign exchange risk | (678,092) | 306,824 | — | (371,268) |
Interest rate risk | — | 3,355,882 | 292,420 | 3,648,302 |
Total | (678,092) | 1,078,457 | (498,504) | (98,139) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,252,568,787 |
Futures contracts — short | 225,820,245 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 1,673,201 | (2,241,479) |
Total return swap contracts | 1,488,200 | (317,465) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 25 |
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June 30, 2019 (Unaudited)
Barclays ($) | Citi ($)(a) | Citi ($)(a) | JPMorgan ($) | Total ($) | |
Assets | |||||
Forward foreign currency exchange contracts | - | 937,249 | - | 937,237 | 1,874,486 |
OTC total return swap contracts on futures(b) | 697,648 | - | 20,393 | - | 718,041 |
Total assets | 697,648 | 937,249 | 20,393 | 937,237 | 2,592,527 |
Liabilities | |||||
Forward foreign currency exchange contracts | - | 1,295,344 | - | 1,294,323 | 2,589,667 |
OTC total return swap contracts on futures(b) | - | - | 512,280 | 21,632 | 533,912 |
Total liabilities | - | 1,295,344 | 512,280 | 1,315,955 | 3,123,579 |
Total financial and derivative net assets | 697,648 | (358,095) | (491,887) | (378,718) | (531,052) |
Total collateral received (pledged)(c) | 654,147 | (358,095) | (491,887) | (378,718) | (574,553) |
Net amount(d) | 43,501 | - | - | - | 43,501 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
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CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 27 |
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June 30, 2019 (Unaudited)
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 1.56% |
Class 2 | 1.81 |
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June 30, 2019 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
240,315,000 | 8,506,000 | (5,225,000) | 3,281,000 |
2019 ($) | No expiration short-term ($) | No expiration long-term ($) | Total ($) |
— | 12,890,599 | 7,233,991 | 20,124,590 |
CTIVP® – AQR Managed Futures Strategy Fund | Semiannual Report 2019 | 29 |
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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, 2020 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 Agreements; |
• | The subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager and the Subadviser under the Agreements, including portfolio management and portfolio trading practices; |
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• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager and Subadviser, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services, including an assessment of the Investment Manager’s and the Subadviser’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | 19.65 | 9.72 | 9.58 | 13.03 | |
Class 2 | 04/30/12 | 19.46 | 9.45 | 9.30 | 12.75 | |
Russell 1000 Index | 18.84 | 10.02 | 10.45 | 13.22 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Top 10 holdings (%) (at June 30, 2019) | |
Microsoft Corp. | 5.8 |
Amazon.com, Inc. | 3.7 |
Apple, Inc. | 3.7 |
MasterCard, Inc., Class A | 3.4 |
Berkshire Hathaway, Inc., Class B | 3.4 |
JPMorgan Chase & Co. | 2.9 |
Comcast Corp., Class A | 2.7 |
Citigroup, Inc. | 2.7 |
Medtronic PLC | 2.7 |
Chevron Corp. | 2.5 |
Portfolio breakdown (%) (at June 30, 2019) | |
Common Stocks | 98.6 |
Money Market Funds | 1.4 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2019) | |
Communication Services | 12.5 |
Consumer Discretionary | 10.7 |
Consumer Staples | 6.7 |
Energy | 5.1 |
Financials | 13.5 |
Health Care | 14.6 |
Industrials | 6.2 |
Information Technology | 24.0 |
Materials | 4.3 |
Real Estate | 1.4 |
Utilities | 1.0 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 |
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(Unaudited)
January 1, 2019 — June 30, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,196.50 | 1,021.04 | 3.82 | 3.52 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 1,194.60 | 1,019.81 | 5.17 | 4.75 | 0.96 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Common Stocks 99.2% | ||
Issuer | Shares | Value ($) |
Communication Services 12.3% | ||
Diversified Telecommunication Services 2.4% | ||
AT&T, Inc. | 797,316 | 26,718,059 |
Verizon Communications, Inc. | 192,213 | 10,981,129 |
Total | 37,699,188 | |
Entertainment 0.8% | ||
Activision Blizzard, Inc. | 114,404 | 5,399,869 |
Electronic Arts, Inc.(a) | 67,830 | 6,868,466 |
Total | 12,268,335 | |
Interactive Media & Services 5.7% | ||
Alphabet, Inc., Class A(a) | 21,731 | 23,530,327 |
Alphabet, Inc., Class C(a) | 28,639 | 30,956,181 |
Facebook, Inc., Class A(a) | 169,459 | 32,705,587 |
Total | 87,192,095 | |
Media 2.7% | ||
Comcast Corp., Class A | 965,652 | 40,827,766 |
Wireless Telecommunication Services 0.7% | ||
T-Mobile U.S.A., Inc.(a) | 139,566 | 10,347,423 |
Total Communication Services | 188,334,807 | |
Consumer Discretionary 10.6% | ||
Hotels, Restaurants & Leisure 2.7% | ||
Aramark | 284,680 | 10,265,561 |
Las Vegas Sands Corp. | 97,805 | 5,779,297 |
McDonald’s Corp. | 93,195 | 19,352,874 |
Restaurant Brands International, Inc. | 89,972 | 6,256,653 |
Total | 41,654,385 | |
Household Durables 0.5% | ||
D.R. Horton, Inc. | 184,845 | 7,972,365 |
Internet & Direct Marketing Retail 5.1% | ||
Amazon.com, Inc.(a) | 29,562 | 55,979,490 |
eBay, Inc. | 556,480 | 21,980,960 |
Total | 77,960,450 | |
Multiline Retail 0.4% | ||
Dollar General Corp. | 41,628 | 5,626,440 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Specialty Retail 1.7% | ||
Lowe’s Companies, Inc. | 252,192 | 25,448,695 |
Textiles, Apparel & Luxury Goods 0.2% | ||
Tapestry, Inc. | 101,373 | 3,216,565 |
Total Consumer Discretionary | 161,878,900 | |
Consumer Staples 6.7% | ||
Food & Staples Retailing 1.2% | ||
Kroger Co. (The) | 245,580 | 5,331,542 |
Sysco Corp. | 178,819 | 12,646,080 |
Total | 17,977,622 | |
Food Products 2.4% | ||
ConAgra Foods, Inc. | 392,558 | 10,410,638 |
Mondelez International, Inc., Class A | 485,801 | 26,184,674 |
Total | 36,595,312 | |
Household Products 0.8% | ||
Colgate-Palmolive Co. | 171,735 | 12,308,247 |
Tobacco 2.3% | ||
Philip Morris International, Inc. | 445,970 | 35,022,024 |
Total Consumer Staples | 101,903,205 | |
Energy 5.1% | ||
Energy Equipment & Services 0.8% | ||
Schlumberger Ltd. | 309,710 | 12,307,875 |
Oil, Gas & Consumable Fuels 4.3% | ||
Canadian Natural Resources Ltd. | 391,131 | 10,548,803 |
Chevron Corp. | 300,901 | 37,444,121 |
EOG Resources, Inc. | 183,970 | 17,138,645 |
Total | 65,131,569 | |
Total Energy | 77,439,444 | |
Financials 13.4% | ||
Banks 6.5% | ||
Citigroup, Inc. | 578,354 | 40,502,131 |
JPMorgan Chase & Co. | 386,470 | 43,207,346 |
Wells Fargo & Co. | 331,424 | 15,682,984 |
Total | 99,392,461 |
6 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 2.3% | ||
BlackRock, Inc. | 35,750 | 16,777,475 |
Morgan Stanley | 422,715 | 18,519,144 |
Total | 35,296,619 | |
Diversified Financial Services 3.4% | ||
Berkshire Hathaway, Inc., Class B(a) | 240,648 | 51,298,934 |
Insurance 1.2% | ||
Aon PLC | 95,798 | 18,487,098 |
Total Financials | 204,475,112 | |
Health Care 14.5% | ||
Biotechnology 0.5% | ||
Alexion Pharmaceuticals, Inc.(a) | 64,013 | 8,384,423 |
Health Care Equipment & Supplies 6.1% | ||
Abbott Laboratories | 150,257 | 12,636,614 |
Baxter International, Inc. | 123,620 | 10,124,478 |
Becton Dickinson and Co. | 60,735 | 15,305,827 |
Dentsply Sirona, Inc. | 243,880 | 14,232,837 |
Medtronic PLC | 413,638 | 40,284,205 |
Total | 92,583,961 | |
Health Care Providers & Services 2.6% | ||
Anthem, Inc. | 75,635 | 21,344,953 |
Cigna Corp. | 92,481 | 14,570,382 |
Humana, Inc. | 14,435 | 3,829,605 |
Total | 39,744,940 | |
Pharmaceuticals 5.3% | ||
Allergan PLC | 144,779 | 24,240,348 |
Johnson & Johnson | 232,964 | 32,447,226 |
Pfizer, Inc. | 552,464 | 23,932,740 |
Total | 80,620,314 | |
Total Health Care | 221,333,638 | |
Industrials 6.1% | ||
Aerospace & Defense 2.6% | ||
L3 Harris Technologies, Inc. | 62,605 | 11,840,483 |
Northrop Grumman Corp. | 85,070 | 27,486,968 |
Total | 39,327,451 | |
Electrical Equipment 0.8% | ||
Emerson Electric Co. | 180,338 | 12,032,152 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrial Conglomerates 2.1% | ||
Honeywell International, Inc. | 185,302 | 32,351,876 |
Machinery 0.6% | ||
Caterpillar, Inc. | 73,180 | 9,973,702 |
Total Industrials | 93,685,181 | |
Information Technology 23.8% | ||
Communications Equipment 1.5% | ||
Cisco Systems, Inc. | 407,970 | 22,328,198 |
Electronic Equipment, Instruments & Components 0.6% | ||
Corning, Inc. | 276,680 | 9,194,076 |
IT Services 7.6% | ||
Fidelity National Information Services, Inc. | 223,387 | 27,405,117 |
First Data Corp., Class A(a) | 623,976 | 16,891,030 |
International Business Machines Corp. | 83,765 | 11,551,194 |
MasterCard, Inc., Class A | 195,007 | 51,585,202 |
Total System Services, Inc. | 62,259 | 7,985,962 |
Total | 115,418,505 | |
Semiconductors & Semiconductor Equipment 3.3% | ||
Broadcom, Inc. | 23,597 | 6,792,633 |
Intel Corp. | 224,950 | 10,768,357 |
Lam Research Corp. | 52,685 | 9,896,350 |
Marvell Technology Group Ltd. | 272,530 | 6,505,291 |
NVIDIA Corp. | 51,070 | 8,387,226 |
NXP Semiconductors NV | 83,735 | 8,173,373 |
Total | 50,523,230 | |
Software 7.2% | ||
Adobe, Inc.(a) | 56,115 | 16,534,285 |
CDK Global, Inc. | 46,665 | 2,307,118 |
Microsoft Corp. | 659,085 | 88,291,026 |
Palo Alto Networks, Inc.(a) | 15,158 | 3,088,594 |
Total | 110,221,023 | |
Technology Hardware, Storage & Peripherals 3.6% | ||
Apple, Inc. | 280,838 | 55,583,457 |
Total Information Technology | 363,268,489 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 | 7 |
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June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 4.3% | ||
Chemicals 3.3% | ||
Air Products & Chemicals, Inc. | 81,090 | 18,356,343 |
Corteva, Inc.(a) | 252,517 | 7,466,928 |
DuPont de Nemours, Inc. | 203,312 | 15,262,632 |
Mosaic Co. (The) | 69,205 | 1,732,201 |
Sherwin-Williams Co. (The) | 17,284 | 7,921,084 |
Total | 50,739,188 | |
Metals & Mining 1.0% | ||
Newmont Goldcorp Corp. | 376,765 | 14,494,150 |
Total Materials | 65,233,338 | |
Real Estate 1.4% | ||
Equity Real Estate Investment Trusts (REITS) 1.4% | ||
American Tower Corp. | 104,939 | 21,454,778 |
Total Real Estate | 21,454,778 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 1.0% | ||
Electric Utilities 1.0% | ||
American Electric Power Co., Inc. | 169,856 | 14,949,027 |
Total Utilities | 14,949,027 | |
Total Common Stocks (Cost $1,211,987,085) | 1,513,955,919 | |
Money Market Funds 1.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(b),(c) | 20,763,115 | 20,761,039 |
Total Money Market Funds (Cost $20,761,039) | 20,761,039 | |
Total Investments in Securities (Cost: $1,232,748,124) | 1,534,716,958 | |
Other Assets & Liabilities, Net | (9,110,165) | |
Net Assets | 1,525,606,793 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | ||||||||
21,923,464 | 189,817,172 | (190,977,521) | 20,763,115 | 839 | — | 290,378 | 20,761,039 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
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Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 quoted prices in active markets for identical assets ($) | 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 | 188,334,807 | — | — | — | 188,334,807 |
Consumer Discretionary | 161,878,900 | — | — | — | 161,878,900 |
Consumer Staples | 101,903,205 | — | — | — | 101,903,205 |
Energy | 77,439,444 | — | — | — | 77,439,444 |
Financials | 204,475,112 | — | — | — | 204,475,112 |
Health Care | 221,333,638 | — | — | — | 221,333,638 |
Industrials | 93,685,181 | — | — | — | 93,685,181 |
Information Technology | 363,268,489 | — | — | — | 363,268,489 |
Materials | 65,233,338 | — | — | — | 65,233,338 |
Real Estate | 21,454,778 | — | — | — | 21,454,778 |
Utilities | 14,949,027 | — | — | — | 14,949,027 |
Total Common Stocks | 1,513,955,919 | — | — | — | 1,513,955,919 |
Money Market Funds | — | — | — | 20,761,039 | 20,761,039 |
Total Investments in Securities | 1,513,955,919 | — | — | 20,761,039 | 1,534,716,958 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 | 9 |
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June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,211,987,085) | $1,513,955,919 |
Affiliated issuers (cost $20,761,039) | 20,761,039 |
Receivable for: | |
Investments sold | 3,396,194 |
Capital shares sold | 159,232 |
Dividends | 1,356,302 |
Foreign tax reclaims | 13,025 |
Expense reimbursement due from Investment Manager | 49,995 |
Trustees’ deferred compensation plan | 98,364 |
Total assets | 1,539,790,070 |
Liabilities | |
Payable for: | |
Investments purchased | 10,327,306 |
Capital shares purchased | 2,859,253 |
Management services fees | 829,009 |
Distribution and/or service fees | 19,497 |
Service fees | 4,964 |
Compensation of board members | 1,022 |
Compensation of chief compliance officer | 172 |
Other expenses | 43,690 |
Trustees’ deferred compensation plan | 98,364 |
Total liabilities | 14,183,277 |
Net assets applicable to outstanding capital stock | $1,525,606,793 |
Represented by | |
Trust capital | $1,525,606,793 |
Total - representing net assets applicable to outstanding capital stock | $1,525,606,793 |
Class 1 | |
Net assets | $1,421,660,922 |
Shares outstanding | 59,124,578 |
Net asset value per share | $24.05 |
Class 2 | |
Net assets | $103,945,871 |
Shares outstanding | 4,398,942 |
Net asset value per share | $23.63 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $14,148,811 |
Dividends — affiliated issuers | 290,378 |
Foreign taxes withheld | (56,179) |
Total income | 14,383,010 |
Expenses: | |
Management services fees | 5,317,734 |
Distribution and/or service fees | |
Class 2 | 123,471 |
Service fees | 29,885 |
Compensation of board members | 18,387 |
Custodian fees | 12,440 |
Printing and postage fees | 8,253 |
Audit fees | 14,500 |
Legal fees | 15,805 |
Interest on interfund lending | 16 |
Compensation of chief compliance officer | 294 |
Other | 23,668 |
Total expenses | 5,564,453 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (188,126) |
Total net expenses | 5,376,327 |
Net investment income | 9,006,683 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 12,127,042 |
Investments — affiliated issuers | 839 |
Foreign currency translations | (2,254) |
Net realized gain | 12,125,627 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 244,568,214 |
Foreign currency translations | 4,644 |
Net change in unrealized appreciation (depreciation) | 244,572,858 |
Net realized and unrealized gain | 256,698,485 |
Net increase in net assets resulting from operations | $265,705,168 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 | 11 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $9,006,683 | $22,335,135 |
Net realized gain | 12,125,627 | 371,594,352 |
Net change in unrealized appreciation (depreciation) | 244,572,858 | (503,071,484) |
Net increase (decrease) in net assets resulting from operations | 265,705,168 | (109,141,997) |
Decrease in net assets from capital stock activity | (133,776,529) | (991,818,558) |
Total increase (decrease) in net assets | 131,928,639 | (1,100,960,555) |
Net assets at beginning of period | 1,393,678,154 | 2,494,638,709 |
Net assets at end of period | $1,525,606,793 | $1,393,678,154 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 74,003 | 1,684,294 | 573,174 | 12,613,224 |
Redemptions | (5,704,639) | (129,915,281) | (43,845,452) | (994,617,858) |
Net decrease | (5,630,636) | (128,230,987) | (43,272,278) | (982,004,634) |
Class 2 | ||||
Subscriptions | 47,612 | 1,066,269 | 289,669 | 6,351,487 |
Redemptions | (296,052) | (6,611,811) | (735,853) | (16,165,411) |
Net decrease | (248,440) | (5,545,542) | (446,184) | (9,813,924) |
Total net decrease | (5,879,076) | (133,776,529) | (43,718,462) | (991,818,558) |
12 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 |
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Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 | 13 |
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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 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $20.10 | 0.14 | 3.81 | 3.95 |
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(e) | (0.06) | 0.48 |
Year Ended 12/31/2014 | $14.32 | 0.13 | 1.74 | 1.87 |
Class 2 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $19.78 | 0.11 | 3.74 | 3.85 |
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(f) | (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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.40 per share. |
(f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.47 per share. |
14 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $24.05 | 19.65% | 0.74%(c),(d) | 0.71%(c),(d) | 1.23%(c) | 24% | $1,421,661 |
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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $23.63 | 19.46% | 0.99%(c),(d) | 0.96%(c),(d) | 0.98%(c) | 24% | $103,946 |
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% | $28,390 |
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June 30, 2019 (Unaudited)
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.69% | 0.72% |
Class 2 | 0.94 | 0.97 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 | 19 |
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June 30, 2019 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Days outstanding |
Borrower | 200,000 | 2.93 | 1 |
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Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2019 | 21 |
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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 an independent third-party data provider, 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 independent third-party data provider; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2020 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
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• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | 13.75 | 13.87 | 4.65 | 3.75 | |
Class 2 | 04/30/13 | 13.64 | 13.52 | 4.38 | 3.49 | |
Bloomberg Barclays U.S. Long Government/Credit Bond Index | 13.46 | 13.82 | 5.68 | 4.59 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Portfolio breakdown (%) (at June 30, 2019) | |
Asset-Backed Securities — Agency | 1.4 |
Corporate Bonds & Notes | 53.3 |
Foreign Government Obligations | 0.6 |
Money Market Funds | 3.5 |
U.S. Treasury Obligations | 41.2 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2019) | |
AAA rating | 45.7 |
AA rating | 2.8 |
A rating | 14.4 |
BBB rating | 37.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 |
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(Unaudited)
January 1, 2019 — June 30, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,137.50 | 1,022.02 | 2.67 | 2.53 | 0.51 |
Class 2 | 1,000.00 | 1,000.00 | 1,136.40 | 1,020.84 | 3.93 | 3.72 | 0.75 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Asset-Backed Securities — Agency 1.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2016-20L Class 1 | ||||
12/01/2036 | 2.810% | 5,194,189 | 5,322,298 | |
Series 2017-20E Class 1 | ||||
05/01/2037 | 2.880% | 457,783 | 471,155 | |
Series 2017-20F Class 1 | ||||
06/01/2037 | 2.810% | 3,715,468 | 3,808,305 | |
Series 2017-20G Class 1 | ||||
07/01/2037 | 2.980% | 3,352,483 | 3,471,351 | |
Series 2017-20H Class 1 | ||||
08/01/2037 | 2.750% | 2,915,296 | 2,979,317 | |
Series 2017-20I Class 1 | ||||
09/01/2037 | 2.590% | 5,238,117 | 5,275,669 | |
Total Asset-Backed Securities — Agency (Cost $20,873,335) | 21,328,095 | |||
Corporate Bonds & Notes 53.4% | ||||
Aerospace & Defense 0.7% | ||||
Northrop Grumman Corp. | ||||
01/15/2028 | 3.250% | 3,890,000 | 3,994,610 | |
10/15/2047 | 4.030% | 5,805,000 | 6,190,562 | |
Total | 10,185,172 | |||
Automotive 0.3% | ||||
Ford Motor Co. | ||||
01/15/2043 | 4.750% | 5,480,000 | 4,763,068 | |
Banking 5.9% | ||||
Bank of America Corp.(a) | ||||
12/20/2028 | 3.419% | 1,310,000 | 1,347,649 | |
02/07/2030 | 3.974% | 12,170,000 | 13,030,054 | |
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 8,910,000 | 9,204,627 | |
Citigroup, Inc.(a) | ||||
03/20/2030 | 3.980% | 13,430,000 | 14,353,031 | |
Goldman Sachs Group, Inc. (The)(a) | ||||
04/23/2039 | 4.411% | 2,175,000 | 2,345,761 | |
Goldman Sachs Group, Inc. (The) | ||||
07/08/2044 | 4.800% | 10,470,000 | 12,042,196 | |
JPMorgan Chase & Co.(a) | ||||
01/23/2049 | 3.897% | 12,870,000 | 13,513,680 | |
Morgan Stanley(a) | ||||
01/23/2030 | 4.431% | 7,984,000 | 8,829,354 | |
Wells Fargo & Co. | ||||
01/24/2029 | 4.150% | 14,690,000 | 15,984,762 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
11/04/2044 | 4.650% | 3,010,000 | 3,348,779 | |
Total | 93,999,893 | |||
Cable and Satellite 1.9% | ||||
Charter Communications Operating LLC/Capital(b) | ||||
07/01/2049 | 5.125% | 6,705,000 | 6,845,986 | |
Comcast Corp. | ||||
08/15/2047 | 4.000% | 8,380,000 | 8,819,238 | |
11/01/2052 | 4.049% | 8,651,000 | 9,161,357 | |
Time Warner Cable LLC | ||||
09/15/2042 | 4.500% | 5,125,000 | 4,763,687 | |
Total | 29,590,268 | |||
Chemicals 0.9% | ||||
Dow Chemical Co. (The)(c) | ||||
05/15/2049 | 4.800% | 4,916,000 | 5,296,238 | |
DowDuPont, Inc. | ||||
11/15/2048 | 5.419% | 3,205,000 | 3,898,296 | |
LYB International Finance BV | ||||
07/15/2043 | 5.250% | 5,040,000 | 5,624,464 | |
Total | 14,818,998 | |||
Diversified Manufacturing 0.8% | ||||
3M Co. | ||||
10/15/2047 | 3.625% | 1,920,000 | 1,924,742 | |
United Technologies Corp. | ||||
06/01/2042 | 4.500% | 3,000,000 | 3,382,908 | |
11/16/2048 | 4.625% | 6,200,000 | 7,221,698 | |
Total | 12,529,348 | |||
Electric 7.5% | ||||
Alabama Power Co. | ||||
02/15/2033 | 5.700% | 716,000 | 874,126 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 1,960,000 | 2,053,000 | |
02/15/2027 | 2.950% | 6,374,000 | 6,289,404 | |
03/31/2043 | 4.700% | 1,932,000 | 2,147,072 | |
03/01/2044 | 4.875% | 4,615,000 | 5,358,421 | |
Consolidated Edison Co. of New York, Inc. | ||||
06/15/2046 | 3.850% | 5,360,000 | 5,520,886 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 19,123,000 | 18,910,410 | |
06/15/2029 | 3.400% | 3,747,000 | 3,811,490 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 18,165,000 | 17,760,102 | |
06/15/2049 | 4.200% | 415,000 | 435,355 |
6 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 8,080,000 | 8,717,989 | |
FirstEnergy Corp. | ||||
07/15/2047 | 4.850% | 1,250,000 | 1,409,176 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 12,129,000 | 12,251,600 | |
Mississippi Power Co. | ||||
03/30/2028 | 3.950% | 4,620,000 | 4,863,437 | |
Pennsylvania Electric Co.(c) | ||||
06/01/2029 | 3.600% | 1,630,000 | 1,682,788 | |
PPL Capital Funding, Inc. | ||||
05/15/2026 | 3.100% | 4,705,000 | 4,691,821 | |
Southern California Edison Co. | ||||
10/01/2043 | 4.650% | 2,090,000 | 2,240,819 | |
03/01/2048 | 4.125% | 2,200,000 | 2,228,090 | |
1st Refunding Mortgage | ||||
03/15/2043 | 3.900% | 1,252,000 | 1,219,614 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 9,215,000 | 9,727,805 | |
Xcel Energy, Inc. | ||||
09/15/2041 | 4.800% | 5,299,000 | 5,865,829 | |
Total | 118,059,234 | |||
Finance Companies 1.2% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 19,400,000 | 19,201,150 | |
Food and Beverage 4.0% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 19,899,000 | 22,142,970 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/23/2059 | 5.800% | 2,457,000 | 3,079,265 | |
Bacardi Ltd.(c) | ||||
05/15/2038 | 5.150% | 12,311,000 | 12,752,374 | |
Conagra Brands, Inc. | ||||
11/01/2038 | 5.300% | 4,065,000 | 4,405,297 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 13,146,000 | 12,455,520 | |
Mars, Inc.(c) | ||||
04/01/2059 | 4.200% | 3,350,000 | 3,638,385 | |
Molson Coors Brewing Co. | ||||
07/15/2046 | 4.200% | 582,000 | 559,745 | |
PepsiCo, Inc. | ||||
10/06/2046 | 3.450% | 1,410,000 | 1,449,270 | |
Sysco Corp. | ||||
04/01/2046 | 4.500% | 1,865,000 | 2,023,135 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tyson Foods, Inc. | ||||
06/02/2047 | 4.550% | 1,410,000 | 1,473,106 | |
Total | 63,979,067 | |||
Health Care 2.8% | ||||
Abbott Laboratories | ||||
11/30/2046 | 4.900% | 3,360,000 | 4,144,042 | |
Becton Dickinson and Co. | ||||
06/06/2027 | 3.700% | 1,018,000 | 1,062,693 | |
05/15/2044 | 4.875% | 2,063,000 | 2,235,661 | |
12/15/2044 | 4.685% | 872,000 | 966,731 | |
Cardinal Health, Inc. | ||||
06/15/2047 | 4.368% | 6,445,000 | 5,888,294 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 13,961,000 | 14,887,578 | |
Halfmoon Parent, Inc.(c) | ||||
12/15/2048 | 4.900% | 8,040,000 | 8,780,178 | |
McKesson Corp. | ||||
05/30/2029 | 4.750% | 2,620,000 | 2,858,153 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 3,425,000 | 3,456,116 | |
Total | 44,279,446 | |||
Healthcare Insurance 0.9% | ||||
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 1,765,000 | 1,597,049 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 2,795,000 | 3,048,434 | |
UnitedHealth Group, Inc. | ||||
10/15/2047 | 3.750% | 9,265,000 | 9,495,467 | |
Total | 14,140,950 | |||
Independent Energy 1.3% | ||||
Apache Corp. | ||||
04/15/2043 | 4.750% | 2,448,000 | 2,383,255 | |
Canadian Natural Resources Ltd. | ||||
06/01/2047 | 4.950% | 3,840,000 | 4,391,793 | |
ConocoPhillips Co. | ||||
11/15/2044 | 4.300% | 2,890,000 | 3,237,184 | |
Hess Corp. | ||||
02/15/2041 | 5.600% | 3,895,000 | 4,196,345 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 3,510,000 | 3,780,639 | |
Woodside Finance Ltd.(c) | ||||
03/04/2029 | 4.500% | 2,260,000 | 2,390,031 | |
Total | 20,379,247 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 | 7 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Integrated Energy 0.4% | ||||
Shell International Finance BV | ||||
05/11/2045 | 4.375% | 4,880,000 | 5,610,453 | |
Life Insurance 2.9% | ||||
American International Group, Inc. | ||||
07/16/2044 | 4.500% | 2,570,000 | 2,711,982 | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 552,000 | 461,195 | |
Guardian Life Insurance Co. of America (The)(c) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 530,000 | 610,705 | |
01/24/2077 | 4.850% | 4,523,000 | 5,159,210 | |
Massachusetts Mutual Life Insurance Co.(c) | ||||
Subordinated | ||||
04/15/2065 | 4.500% | 5,318,000 | 5,776,688 | |
04/01/2077 | 4.900% | 195,000 | 228,402 | |
MetLife, Inc. | ||||
03/01/2045 | 4.050% | 6,200,000 | 6,648,421 | |
New York Life Insurance Co.(c) | ||||
Subordinated | ||||
05/15/2069 | 4.450% | 2,490,000 | 2,746,674 | |
Prudential Financial, Inc. | ||||
05/15/2044 | 4.600% | 7,320,000 | 8,361,995 | |
Teachers Insurance & Annuity Association of America, Subordinated(c) | ||||
05/15/2047 | 4.270% | 6,596,000 | 7,133,785 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 6,020,000 | 6,695,155 | |
Total | 46,534,212 | |||
Media and Entertainment 1.0% | ||||
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 4,122,000 | 4,427,246 | |
Fox Corp.(c) | ||||
01/25/2039 | 5.476% | 3,350,000 | 3,949,245 | |
Walt Disney Co. (The)(c) | ||||
09/15/2044 | 4.750% | 5,500,000 | 6,700,584 | |
Total | 15,077,075 | |||
Midstream 3.8% | ||||
Enterprise Products Operating LLC(b) | ||||
01/31/2050 | 4.200% | 6,350,000 | 6,526,536 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 1,925,000 | 2,033,424 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 11,960,000 | 13,027,287 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 7,745,000 | 7,883,093 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 9,495,000 | 9,138,045 | |
Southern Natural Gas Co. LLC | ||||
03/01/2032 | 8.000% | 560,000 | 783,019 | |
Sunoco Logistics Partners Operations LP | ||||
10/01/2047 | 5.400% | 5,315,000 | 5,646,635 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 3,270,000 | 3,100,604 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 10,405,000 | 11,279,925 | |
Total | 59,418,568 | |||
Natural Gas 1.3% | ||||
NiSource, Inc. | ||||
02/15/2044 | 4.800% | 3,351,000 | 3,736,710 | |
05/15/2047 | 4.375% | 7,384,000 | 7,907,252 | |
Sempra Energy | ||||
11/15/2025 | 3.750% | 2,550,000 | 2,628,466 | |
06/15/2027 | 3.250% | 374,000 | 372,700 | |
02/01/2028 | 3.400% | 5,650,000 | 5,637,508 | |
Total | 20,282,636 | |||
Oil Field Services 0.1% | ||||
Halliburton Co. | ||||
11/15/2045 | 5.000% | 1,945,000 | 2,119,276 | |
Pharmaceuticals 3.1% | ||||
AbbVie, Inc. | ||||
11/14/2048 | 4.875% | 8,740,000 | 9,186,107 | |
Allergan Funding SCS | ||||
06/15/2044 | 4.850% | 3,290,000 | 3,411,700 | |
Amgen, Inc. | ||||
06/15/2051 | 4.663% | 7,930,000 | 8,664,437 | |
Bristol-Myers Squibb Co.(c) | ||||
10/26/2049 | 4.250% | 1,754,000 | 1,938,238 | |
Celgene Corp. | ||||
02/20/2048 | 4.550% | 3,710,000 | 4,233,221 | |
Gilead Sciences, Inc. | ||||
03/01/2047 | 4.150% | 5,745,000 | 6,030,739 | |
Johnson & Johnson | ||||
12/05/2033 | 4.375% | 10,574,000 | 12,400,035 | |
Pfizer, Inc. | ||||
03/15/2049 | 4.000% | 3,345,000 | 3,639,588 | |
Total | 49,504,065 | |||
Property & Casualty 0.4% | ||||
Liberty Mutual Group, Inc.(c) | ||||
08/01/2044 | 4.850% | 3,880,000 | 4,244,316 |
8 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Travelers Companies, Inc. (The) | ||||
05/30/2047 | 4.000% | 2,405,000 | 2,615,462 | |
Total | 6,859,778 | |||
Railroads 1.2% | ||||
Canadian National Railway Co. | ||||
02/03/2048 | 3.650% | 1,510,000 | 1,593,145 | |
CSX Corp. | ||||
11/15/2048 | 4.750% | 850,000 | 987,847 | |
05/01/2050 | 3.950% | 150,000 | 152,887 | |
11/01/2066 | 4.250% | 6,128,000 | 6,192,534 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 2,000,000 | 2,091,926 | |
Union Pacific Corp. | ||||
10/01/2051 | 3.799% | 5,445,000 | 5,473,891 | |
09/10/2058 | 4.800% | 1,805,000 | 2,097,249 | |
Total | 18,589,479 | |||
Restaurants 0.4% | ||||
McDonald’s Corp. | ||||
09/01/2048 | 4.450% | 5,385,000 | 5,920,441 | |
Retailers 1.1% | ||||
Home Depot, Inc. (The) | ||||
06/15/2047 | 3.900% | 4,500,000 | 4,866,413 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 6,050,000 | 6,022,285 | |
Target Corp. | ||||
04/15/2046 | 3.625% | 4,000,000 | 4,103,108 | |
Walmart, Inc. | ||||
12/15/2047 | 3.625% | 2,630,000 | 2,810,347 | |
Total | 17,802,153 | |||
Supermarkets 0.5% | ||||
Kroger Co. (The) | ||||
04/15/2042 | 5.000% | 1,064,000 | 1,106,489 | |
02/01/2047 | 4.450% | 4,825,000 | 4,719,149 | |
01/15/2048 | 4.650% | 1,915,000 | 1,924,676 | |
Total | 7,750,314 | |||
Technology 3.0% | ||||
Apple, Inc. | ||||
02/09/2045 | 3.450% | 4,925,000 | 4,923,532 | |
09/12/2047 | 3.750% | 3,690,000 | 3,863,212 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 6,955,000 | 6,813,758 | |
Intel Corp. | ||||
05/11/2047 | 4.100% | 3,000,000 | 3,281,628 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
International Business Machines Corp. | ||||
05/15/2049 | 4.250% | 8,336,000 | 8,951,597 | |
Microsoft Corp. | ||||
08/08/2046 | 3.700% | 11,545,000 | 12,485,606 | |
Oracle Corp. | ||||
07/08/2034 | 4.300% | 3,110,000 | 3,536,795 | |
07/15/2046 | 4.000% | 2,500,000 | 2,681,773 | |
QUALCOMM, Inc. | ||||
05/20/2047 | 4.300% | 1,475,000 | 1,550,527 | |
Total | 48,088,428 | |||
Tobacco 0.5% | ||||
Altria Group, Inc. | ||||
02/14/2039 | 5.800% | 4,325,000 | 4,847,720 | |
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 3,390,000 | 3,152,090 | |
Total | 7,999,810 | |||
Transportation Services 1.3% | ||||
ERAC U.S.A. Finance LLC(c) | ||||
11/01/2046 | 4.200% | 5,086,000 | 5,175,529 | |
FedEx Corp. | ||||
11/15/2045 | 4.750% | 3,390,000 | 3,569,053 | |
04/01/2046 | 4.550% | 5,565,000 | 5,702,444 | |
United Parcel Service, Inc. | ||||
03/15/2049 | 4.250% | 5,545,000 | 6,082,222 | |
Total | 20,529,248 | |||
Wireless 0.9% | ||||
American Tower Corp. | ||||
08/15/2029 | 3.800% | 5,263,000 | 5,441,005 | |
Rogers Communications, Inc. | ||||
05/01/2049 | 4.350% | 4,505,000 | 4,865,526 | |
Vodafone Group PLC | ||||
06/19/2049 | 4.875% | 3,180,000 | 3,339,980 | |
Total | 13,646,511 | |||
Wirelines 3.3% | ||||
AT&T, Inc. | ||||
03/01/2039 | 4.850% | 15,154,000 | 16,300,900 | |
12/15/2043 | 5.350% | 2,790,000 | 3,070,928 | |
06/15/2045 | 4.350% | 11,525,000 | 11,516,828 | |
Orange SA | ||||
01/13/2042 | 5.375% | 3,200,000 | 3,878,826 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 3,970,000 | 4,195,512 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 | 9 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verizon Communications, Inc. | ||||
03/15/2055 | 4.672% | 12,072,000 | 13,681,342 | |
Total | 52,644,336 | |||
Total Corporate Bonds & Notes (Cost $796,057,140) | 844,302,624 | |||
Foreign Government Obligations(d) 0.6% | ||||
Mexico 0.6% | ||||
Mexico Government International Bond | ||||
01/15/2047 | 4.350% | 6,000,000 | 5,954,970 | |
Petroleos Mexicanos | ||||
09/21/2047 | 6.750% | 3,400,000 | 3,010,299 | |
Total | 8,965,269 | |||
Total Foreign Government Obligations (Cost $8,974,556) | 8,965,269 | |||
U.S. Treasury Obligations 41.2% | ||||
U.S. Treasury | ||||
10/31/2019 | 1.500% | 1,413,000 | 1,410,130 | |
10/31/2022 | 2.000% | 7,764,000 | 7,832,542 | |
10/31/2024 | 2.250% | 2,376,000 | 2,431,316 | |
02/28/2025 | 2.750% | 17,500,000 | 18,384,570 | |
08/15/2027 | 2.250% | 8,800,000 | 9,013,125 | |
05/15/2028 | 2.875% | 5,000,000 | 5,369,531 | |
05/15/2029 | 2.375% | 3,500,000 | 3,617,031 | |
02/15/2031 | 5.375% | 4,000,000 | 5,371,250 | |
02/15/2036 | 4.500% | 30,000,000 | 39,576,562 | |
05/15/2038 | 4.500% | 30,000,000 | 40,293,750 | |
02/15/2039 | 3.500% | 49,000,000 | 58,187,500 | |
11/15/2039 | 4.375% | 6,300,000 | 8,375,063 | |
08/15/2040 | 3.875% | 10,000,000 | 12,489,063 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2041 | 4.750% | 8,000,000 | 11,193,750 | |
05/15/2041 | 4.375% | 25,383,000 | 33,894,237 | |
05/15/2043 | 2.875% | 17,600,000 | 18,823,750 | |
08/15/2044 | 3.125% | 16,500,000 | 18,407,812 | |
11/15/2044 | 3.000% | 10,000,000 | 10,923,438 | |
11/15/2045 | 3.000% | 12,000,000 | 13,132,500 | |
11/15/2046 | 2.875% | 8,000,000 | 8,561,250 | |
11/15/2047 | 2.750% | 26,500,000 | 27,659,375 | |
02/15/2048 | 3.000% | 101,200,000 | 110,845,625 | |
U.S. Treasury(e) | ||||
05/15/2047 | 3.000% | 122,157,900 | 133,801,075 | |
U.S. Treasury(f) | ||||
STRIPS | ||||
11/15/2019 | 0.000% | 11,055,900 | 10,976,436 | |
02/15/2040 | 0.000% | 38,410,800 | 23,501,108 | |
11/15/2041 | 0.000% | 13,661,000 | 7,833,196 | |
05/15/2043 | 0.000% | 19,069,000 | 10,373,983 | |
Total U.S. Treasury Obligations (Cost $599,834,976) | 652,278,968 |
Money Market Funds 3.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(g),(h) | 55,809,418 | 55,803,838 |
Total Money Market Funds (Cost $55,803,838) | 55,803,838 | |
Total Investments in Securities (Cost: $1,481,543,845) | 1,582,678,794 | |
Other Assets & Liabilities, Net | (323,803) | |
Net Assets | 1,582,354,991 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 1,034 | 09/2019 | USD | 160,883,938 | 6,815,697 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (551) | 09/2019 | USD | (70,510,781) | — | (1,785,940) |
U.S. Treasury 2-Year Note | (14) | 09/2019 | USD | (3,012,516) | — | (22,123) |
U.S. Treasury 5-Year Note | (146) | 09/2019 | USD | (17,250,813) | — | (290,032) |
U.S. Treasury Ultra 10-Year Note | (54) | 09/2019 | USD | (7,458,750) | — | (4,313) |
U.S. Ultra Treasury Bond | (68) | 09/2019 | USD | (12,074,250) | — | (629,153) |
Total | — | (2,731,561) |
10 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
(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 June 30, 2019. |
(b) | Represents a security purchased on a when-issued basis. |
(c) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2019, the total value of these securities amounted to $78,203,370, which represents 4.94% of total net assets. |
(d) | Principal and interest may not be guaranteed by the government. |
(e) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(f) | Zero coupon bond. |
(g) | The rate shown is the seven-day current annualized yield at June 30, 2019. |
(h) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | ||||||||
40,485,237 | 182,152,268 | (166,828,087) | 55,809,418 | (252) | — | 460,967 | 55,803,838 |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 | 11 |
Table of Contents
June 30, 2019 (Unaudited)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 quoted prices in active markets for identical assets ($) | 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 | — | 21,328,095 | — | — | 21,328,095 |
Corporate Bonds & Notes | — | 844,302,624 | — | — | 844,302,624 |
Foreign Government Obligations | — | 8,965,269 | — | — | 8,965,269 |
U.S. Treasury Obligations | 599,594,245 | 52,684,723 | — | — | 652,278,968 |
Money Market Funds | — | — | — | 55,803,838 | 55,803,838 |
Total Investments in Securities | 599,594,245 | 927,280,711 | — | 55,803,838 | 1,582,678,794 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 6,815,697 | — | — | — | 6,815,697 |
Liability | |||||
Futures Contracts | (2,731,561) | — | — | — | (2,731,561) |
Total | 603,678,381 | 927,280,711 | — | 55,803,838 | 1,586,762,930 |
12 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,425,740,007) | $1,526,874,956 |
Affiliated issuers (cost $55,803,838) | 55,803,838 |
Receivable for: | |
Investments sold | 2,603,930 |
Capital shares sold | 4,598 |
Dividends | 85,329 |
Interest | 13,085,374 |
Foreign tax reclaims | 32,541 |
Variation margin for futures contracts | 25,922 |
Trustees’ deferred compensation plan | 72,815 |
Total assets | 1,598,589,303 |
Liabilities | |
Payable for: | |
Investments purchased | 617,887 |
Investments purchased on a delayed delivery basis | 13,105,743 |
Capital shares purchased | 1,650,880 |
Variation margin for futures contracts | 151,127 |
Management services fees | 585,627 |
Distribution and/or service fees | 2,581 |
Service fees | 647 |
Compensation of board members | 753 |
Compensation of chief compliance officer | 132 |
Other expenses | 46,120 |
Trustees’ deferred compensation plan | 72,815 |
Total liabilities | 16,234,312 |
Net assets applicable to outstanding capital stock | $1,582,354,991 |
Represented by | |
Paid in capital | 1,475,191,323 |
Total distributable earnings (loss) | 107,163,668 |
Total - representing net assets applicable to outstanding capital stock | $1,582,354,991 |
Class 1 | |
Net assets | $1,568,573,722 |
Shares outstanding | 150,306,816 |
Net asset value per share | $10.44 |
Class 2 | |
Net assets | $13,781,269 |
Shares outstanding | 1,322,601 |
Net asset value per share | $10.42 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 | 13 |
Table of Contents
Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $460,967 |
Interest | 26,394,382 |
Total income | 26,855,349 |
Expenses: | |
Management services fees | 3,574,441 |
Distribution and/or service fees | |
Class 2 | 15,558 |
Service fees | 3,725 |
Compensation of board members | 17,579 |
Custodian fees | 18,409 |
Printing and postage fees | 4,176 |
Audit fees | 18,462 |
Legal fees | 15,465 |
Compensation of chief compliance officer | 284 |
Other | 18,334 |
Total expenses | 3,686,433 |
Net investment income | 23,168,916 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (1,121,806) |
Investments — affiliated issuers | (252) |
Futures contracts | 5,243,361 |
Net realized gain | 4,121,303 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 166,076,818 |
Futures contracts | 111,856 |
Net change in unrealized appreciation (depreciation) | 166,188,674 |
Net realized and unrealized gain | 170,309,977 |
Net increase in net assets resulting from operations | $193,478,893 |
14 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2019 |
Table of Contents
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $23,168,916 | $44,118,253 |
Net realized gain (loss) | 4,121,303 | (13,814,489) |
Net change in unrealized appreciation (depreciation) | 166,188,674 | (105,808,176) |
Net increase (decrease) in net assets resulting from operations | 193,478,893 | (75,504,412) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (43,558,568) | (86,946,740) |
Class 2 | (352,059) | (911,450) |
Total distributions to shareholders | (43,910,627) | (87,858,190) |
Increase in net assets from capital stock activity | 8,428,966 | 137,538,034 |
Total increase (decrease) in net assets | 157,997,232 | (25,824,568) |
Net assets at beginning of period | 1,424,357,759 | 1,450,182,327 |
Net assets at end of period | $1,582,354,991 | $1,424,357,759 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 863,195 | 8,455,803 | 14,654,575 | 141,863,268 |
Distributions reinvested | 4,180,285 | 43,558,568 | 9,230,015 | 86,946,740 |
Redemptions | (4,384,789) | (43,813,162) | (9,184,771) | (89,190,425) |
Net increase | 658,691 | 8,201,209 | 14,699,819 | 139,619,583 |
Class 2 | ||||
Subscriptions | 137,192 | 1,367,259 | 243,046 | 2,395,904 |
Distributions reinvested | 33,819 | 352,059 | 96,859 | 911,450 |
Redemptions | (151,107) | (1,491,561) | (561,464) | (5,388,903) |
Net increase (decrease) | 19,904 | 227,757 | (221,559) | (2,081,549) |
Total net increase | 678,595 | 8,428,966 | 14,478,260 | 137,538,034 |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $9.44 | 0.16 | 1.14 | 1.30 | (0.30) | — | (0.30) |
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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $9.41 | 0.14 | 1.14 | 1.28 | (0.27) | — | (0.27) |
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(d) | 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) | Annualized. |
(d) | Rounds to zero. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $10.44 | 13.75% | 0.51%(c) | 0.51%(c) | 3.19%(c) | 26% | $1,568,574 |
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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $10.42 | 13.64% | 0.75%(c) | 0.75%(c) | 2.94%(c) | 26% | $13,781 |
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 | 6,815,697* |
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Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,731,561* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 5,243,361 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 111,856 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 157,664,594 |
Futures contracts — short | 113,366,961 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.55% | 0.59% |
Class 2 | 0.80 | 0.84 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,481,544,000 | 112,081,000 | (6,862,000) | 105,219,000 |
2019 ($) | No expiration short-term ($) | No expiration long-term ($) | Total ($) |
— | 7,202,272 | 7,869,282 | 15,071,554 |
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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, 2020 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
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• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | 11.18 | -2.79 | 1.79 | 3.49 | |
Class 2 | 04/30/13 | 11.19 | -2.93 | 1.55 | 3.24 | |
MSCI EAFE Index (Net) | 14.03 | 1.08 | 2.25 | 4.34 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Top 10 holdings (%) (at June 30, 2019) | |
Roche Holding AG, Genusschein Shares (Switzerland) | 3.5 |
Novartis AG, Registered Shares (Switzerland) | 3.3 |
Allianz SE, Registered Shares (Germany) | 2.7 |
Total SA (France) | 2.7 |
Royal Dutch Shell PLC, Class A (Netherlands) | 2.4 |
Enel SpA (Italy) | 2.3 |
Unilever NV-CVA (Netherlands) | 2.3 |
NTT DoCoMo, Inc. (Japan) | 2.1 |
Daiwa House Industry Co., Ltd. (Japan) | 1.8 |
Lloyds Banking Group PLC (United Kingdom) | 1.8 |
Equity sector breakdown (%) (at June 30, 2019) | |
Communication Services | 5.5 |
Consumer Discretionary | 9.6 |
Consumer Staples | 11.6 |
Energy | 7.0 |
Financials | 17.6 |
Health Care | 12.8 |
Industrials | 14.6 |
Information Technology | 5.7 |
Materials | 7.4 |
Real Estate | 4.0 |
Utilities | 4.2 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2019) | |
Australia | 6.9 |
Austria | 0.1 |
Belgium | 0.6 |
Denmark | 2.3 |
Finland | 0.1 |
France | 10.9 |
Germany | 9.2 |
Hong Kong | 4.0 |
Ireland | 0.1 |
Israel | 0.4 |
Italy | 3.4 |
Japan | 23.3 |
Macau | 0.1 |
Netherlands | 8.3 |
Norway | 2.3 |
Singapore | 1.7 |
Spain | 3.4 |
Sweden | 1.9 |
Switzerland | 9.4 |
United Kingdom | 10.8 |
United States(a) | 0.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2019 |
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(Unaudited)
January 1, 2019 — June 30, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,111.80 | 1,020.65 | 4.09 | 3.91 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 1,111.90 | 1,019.42 | 5.39 | 5.15 | 1.04 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Australia 6.9% | ||
AGL Energy Ltd. | 677,115 | 9,522,585 |
Appen Ltd. | 470,211 | 9,288,707 |
Aristocrat Leisure Ltd. | 288,369 | 6,233,437 |
BHP Group Ltd. | 471,264 | 13,698,970 |
BlueScope Steel Ltd. | 936,007 | 7,958,822 |
Brambles Ltd. | 361,487 | 3,273,846 |
Bravura Solutions Ltd. | 958,804 | 3,282,258 |
CIMIC Group Ltd. | 586,083 | 18,429,645 |
Cochlear Ltd. | 67,411 | 9,814,763 |
CSL Ltd. | 196,049 | 29,686,503 |
Fortescue Metals Group Ltd. | 1,863,284 | 11,849,712 |
Iluka Resources Ltd. | 928,977 | 7,053,374 |
Inghams Group Ltd. | 2,396,519 | 6,765,576 |
Jumbo Interactive Ltd. | 247,760 | 3,512,692 |
Qantas Airways Ltd. | 5,265,407 | 19,981,617 |
QBE Insurance Group Ltd. | 914,774 | 7,610,159 |
Regis Resources Ltd. | 1,318,187 | 4,894,780 |
Sandfire Resources NL | 800,025 | 3,772,363 |
Santos Ltd. | 2,047,311 | 10,221,291 |
Saracen Mineral Holdings Ltd.(a) | 6,368,547 | 16,486,994 |
St. Barbara Ltd. | 1,279,041 | 2,641,560 |
Woolworths Group Ltd. | 216,811 | 5,062,797 |
Total | 211,042,451 | |
Austria 0.1% | ||
Raiffeisen Bank International AG | 111,223 | 2,611,591 |
Belgium 0.6% | ||
Proximus SADP | 213,821 | 6,319,434 |
UCB SA | 161,966 | 13,441,499 |
Total | 19,760,933 | |
Denmark 2.3% | ||
Coloplast A/S, Class B | 80,743 | 9,127,094 |
H Lundbeck A/S | 65,549 | 2,596,346 |
Novo Nordisk A/S, Class B | 813,245 | 41,538,283 |
SimCorp AS | 177,358 | 17,168,626 |
Total | 70,430,349 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Finland 0.1% | ||
Fortum OYJ | 88,059 | 1,946,247 |
France 10.8% | ||
Air France-KLM(a) | 278,334 | 2,675,004 |
AXA SA | 375,051 | 9,849,486 |
BNP Paribas SA | 230,717 | 10,937,209 |
Christian Dior SE(a) | 30,761 | 16,131,569 |
Electricite de France SA | 2,090,797 | 26,360,477 |
Engie SA | 366,779 | 5,561,653 |
Faurecia SA | 334,614 | 15,520,018 |
Hermes International | 30,824 | 22,220,994 |
Ipsen SA | 148,893 | 20,308,374 |
Kering SA | 36,862 | 21,756,804 |
L’Oreal SA | 104,607 | 29,742,720 |
Orange SA | 949,535 | 14,977,113 |
Peugeot SA | 1,816,121 | 44,699,221 |
Schneider Electric SE | 71,662 | 6,484,186 |
STMicroelectronics NV | 235,319 | 4,173,637 |
Total SA | 1,440,494 | 80,802,768 |
Total | 332,201,233 | |
Germany 8.9% | ||
Adidas AG | 72,753 | 22,507,607 |
Allianz SE, Registered Shares | 340,735 | 82,177,205 |
Continental AG | 98,655 | 14,366,045 |
Covestro AG | 362,189 | 18,438,892 |
CTS Eventim AG & Co. KGaA | 148,811 | 6,919,208 |
Deutsche Lufthansa AG, Registered Shares | 605,983 | 10,390,077 |
Deutsche Telekom AG, Registered Shares | 579,544 | 10,040,398 |
Infineon Technologies AG | 1,283,673 | 22,810,468 |
MTU Aero Engines AG | 186,553 | 44,494,862 |
Rheinmetall AG | 114,084 | 13,982,260 |
SAP SE | 210,496 | 28,857,287 |
Total | 274,984,309 |
6 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Hong Kong 4.0% | ||
CK Asset Holdings Ltd. | 2,245,500 | 17,591,423 |
CK Hutchison Holdings Ltd. | 1,159,000 | 11,432,086 |
Jardine Matheson Holdings Ltd. | 54,800 | 3,456,402 |
Kerry Properties Ltd. | 1,685,000 | 7,077,873 |
Link REIT (The) | 629,000 | 7,740,105 |
Sands China Ltd. | 5,663,200 | 27,053,490 |
Swire Pacific Ltd., Class A | 2,688,000 | 33,028,152 |
WH Group Ltd. | 15,380,000 | 15,601,365 |
Total | 122,980,896 | |
Ireland 0.1% | ||
Grafton Group PLC | 301,585 | 3,083,904 |
Israel 0.4% | ||
CyberArk Software Ltd.(a) | 22,072 | 2,821,684 |
Israel Discount Bank Ltd. | 2,069,055 | 8,436,364 |
Total | 11,258,048 | |
Italy 3.4% | ||
Enel SpA | 10,204,065 | 71,181,020 |
Fiat Chrysler Automobiles NV | 534,358 | 7,416,053 |
Poste Italiane SpA | 596,832 | 6,289,236 |
UniCredit SpA | 1,624,107 | 19,990,864 |
Total | 104,877,173 | |
Japan 23.2% | ||
Advantest Corp. | 347,500 | 9,566,984 |
AGC, Inc. | 307,100 | 10,638,520 |
Canon, Inc. | 97,100 | 2,843,386 |
Daicel Corp. | 1,547,100 | 13,787,660 |
Dai-ichi Life Holdings, Inc. | 1,361,600 | 20,600,666 |
Daiwa House Industry Co., Ltd. | 1,886,400 | 55,121,964 |
DIP Corp. | 178,500 | 2,997,292 |
DMG Mori Co., Ltd. | 437,700 | 7,051,123 |
East Japan Railway Co. | 396,100 | 37,092,303 |
FUJIFILM Holdings Corp. | 274,900 | 13,956,622 |
Fukuoka Financial Group, Inc. | 684,700 | 12,539,186 |
FULLCAST Holdings Co., Ltd. | 156,300 | 3,334,681 |
Hitachi Capital Corp. | 143,500 | 3,197,397 |
Hitachi Ltd. | 383,000 | 14,091,609 |
Honda Motor Co., Ltd. | 484,500 | 12,528,583 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Hoya Corp. | 134,800 | 10,359,953 |
IHI Corp. | 96,600 | 2,335,317 |
Japan Post Holdings Co., Ltd. | 4,178,100 | 47,317,041 |
Japan Tobacco, Inc. | 829,100 | 18,276,415 |
JFE Holdings, Inc. | 963,600 | 14,188,832 |
Kose Corp. | 33,900 | 5,721,708 |
Maeda Corp. | 233,700 | 1,876,861 |
Mitsubishi Heavy Industries Ltd. | 768,400 | 33,511,513 |
Mitsubishi UFJ Financial Group, Inc. | 4,345,600 | 20,697,983 |
Nikkiso Co., Ltd. | 310,400 | 4,147,643 |
Nitto Denko Corp. | 128,300 | 6,350,401 |
NTT DoCoMo, Inc. | 2,705,200 | 63,117,545 |
ORIX Corp. | 2,229,300 | 33,316,651 |
Raysum Co., Ltd. | 201,200 | 1,864,586 |
Seven & I Holdings Co., Ltd. | 583,100 | 19,756,239 |
Shin-Etsu Chemical Co., Ltd. | 245,400 | 22,960,096 |
Shionogi & Co., Ltd. | 206,800 | 11,949,492 |
Showa Denko KK | 196,500 | 5,815,062 |
SoftBank Group Corp. | 353,800 | 17,040,893 |
Sompo Holdings, Inc. | 525,400 | 20,323,300 |
Sony Corp. | 113,500 | 5,964,422 |
Sumitomo Heavy Industries Ltd. | 494,800 | 17,094,300 |
Sumitomo Mitsui Construction Co., Ltd. | 932,300 | 5,176,468 |
Sumitomo Mitsui Financial Group, Inc. | 729,400 | 25,854,087 |
Sumitomo Mitsui Trust Holdings, Inc. | 427,900 | 15,546,298 |
Suzuken Co., Ltd. | 379,600 | 22,306,626 |
Taisei Corp. | 286,300 | 10,428,919 |
Tokyo Electron Ltd. | 95,500 | 13,423,037 |
Toyo Seikan Group Holdings Ltd. | 346,400 | 6,887,403 |
UT Group Co., Ltd. | 203,100 | 4,969,026 |
West Japan Railway Co. | 57,800 | 4,678,070 |
Total | 712,604,163 | |
Macau 0.1% | ||
Wynn Macau Ltd. | 1,410,000 | 3,156,493 |
Netherlands 8.3% | ||
ArcelorMittal | 161,626 | 2,891,162 |
Euronext NV(b) | 175,370 | 13,268,349 |
EXOR NV | 90,915 | 6,369,366 |
ING Groep NV | 2,515,860 | 29,143,081 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2019 | 7 |
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Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Koninklijke Ahold Delhaize NV | 1,071,970 | 24,065,403 |
Royal Dutch Shell PLC, Class A | 2,241,030 | 72,975,164 |
Unilever NV-CVA | 1,146,289 | 69,646,445 |
Wolters Kluwer NV | 484,223 | 35,227,859 |
Total | 253,586,829 | |
Norway 2.3% | ||
Aker BP ASA | 345,309 | 9,959,131 |
Equinor ASA | 1,896,568 | 37,622,942 |
SalMar ASA | 108,251 | 4,712,463 |
Telenor ASA | 902,287 | 19,170,168 |
Total | 71,464,704 | |
Singapore 1.7% | ||
China Sunsine Chemical Holdings Ltd. | 4,191,600 | 3,537,763 |
DBS Group Holdings Ltd. | 417,200 | 8,014,437 |
Yangzijiang Shipbuilding Holdings Ltd. | 35,486,500 | 40,205,129 |
Total | 51,757,329 | |
Spain 3.4% | ||
Amadeus IT Group SA, Class A | 406,513 | 32,214,330 |
Banco Bilbao Vizcaya Argentaria SA | 3,939,814 | 21,975,030 |
Iberdrola SA | 1,172,234 | 11,670,974 |
Industria de Diseno Textil SA | 693,122 | 20,854,169 |
International Consolidated Airlines Group SA | 2,781,971 | 16,842,545 |
Total | 103,557,048 | |
Sweden 1.9% | ||
Atlas Copco AB, Class A | 771,442 | 24,721,360 |
Evolution Gaming Group AB(b) | 317,825 | 6,293,936 |
Nordic Entertainment Group AB | 145,139 | 3,407,257 |
SKF AB, Class B | 205,734 | 3,787,427 |
Volvo AB, B Shares | 1,333,373 | 21,186,867 |
Total | 59,396,847 | |
Switzerland 9.4% | ||
Alcon, Inc.(a) | 92,516 | 5,712,830 |
Nestlé SA, Registered Shares | 477,798 | 49,462,720 |
Novartis AG, Registered Shares | 1,101,754 | 100,581,081 |
Partners Group Holding AG | 20,273 | 15,943,088 |
Roche Holding AG, Genusschein Shares | 382,227 | 107,477,593 |
Sika AG | 37,396 | 6,388,832 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Swatch Group AG (The), Registered Shares | 54,737 | 2,966,313 |
Total | 288,532,457 | |
United Kingdom 10.8% | ||
Anglo American PLC | 732,852 | 20,936,419 |
Associated British Foods PLC | 818,755 | 25,631,370 |
Auto Trader Group PLC | 1,784,033 | 12,425,378 |
Britvic PLC | 953,494 | 10,757,820 |
Burberry Group PLC | 318,802 | 7,556,305 |
Cineworld Group PLC | 1,265,610 | 4,071,773 |
Compass Group PLC | 255,588 | 6,126,896 |
Dunelm Group PLC | 742,075 | 8,670,058 |
Experian PLC | 195,868 | 5,932,754 |
Galiform PLC | 2,104,563 | 13,544,420 |
Games Workshop Group PLC | 100,685 | 6,344,397 |
Imperial Brands PLC | 1,755,614 | 41,195,747 |
KAZ Minerals PLC | 458,006 | 3,518,156 |
Lloyds Banking Group PLC | 74,243,391 | 53,323,076 |
Prudential PLC | 286,475 | 6,254,027 |
RELX PLC | 247,714 | 6,008,167 |
Rightmove PLC | 850,835 | 5,788,270 |
Rio Tinto PLC | 489,049 | 30,268,746 |
Royal Bank of Scotland Group PLC | 12,005,530 | 33,484,740 |
Tate & Lyle PLC | 2,686,463 | 25,184,259 |
WH Smith PLC | 146,086 | 3,659,258 |
Total | 330,682,036 | |
Total Common Stocks (Cost $2,910,329,765) | 3,029,915,040 |
Preferred Stocks 0.2% | |||
Issuer | Shares | Value ($) | |
Germany 0.2% | |||
Schaeffler AG | 825,485 | 6,131,837 | |
Total Preferred Stocks (Cost $12,424,608) | 6,131,837 |
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Money Market Funds 0.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(c),(d) | 23,529,108 | 23,526,756 |
Total Money Market Funds (Cost $23,526,756) | 23,526,756 | |
Total Investments in Securities (Cost $2,946,281,129) | 3,059,573,633 | |
Other Assets & Liabilities, Net | 10,100,499 | |
Net Assets | $3,069,674,132 |
(a) | Non-income producing investment. |
(b) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2019, the total value of these securities amounted to $19,562,285, which represents 0.64% of total net assets. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2019. |
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | ||||||||
39,708,331 | 251,351,484 | (267,530,707) | 23,529,108 | 373 | — | 306,604 | 23,526,756 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
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Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Common Stocks | |||||
Australia | — | 211,042,451 | — | — | 211,042,451 |
Austria | — | 2,611,591 | — | — | 2,611,591 |
Belgium | — | 19,760,933 | — | — | 19,760,933 |
Denmark | — | 70,430,349 | — | — | 70,430,349 |
Finland | — | 1,946,247 | — | — | 1,946,247 |
France | — | 332,201,233 | — | — | 332,201,233 |
Germany | — | 274,984,309 | — | — | 274,984,309 |
Hong Kong | — | 122,980,896 | — | — | 122,980,896 |
Ireland | — | 3,083,904 | — | — | 3,083,904 |
Israel | 2,821,684 | 8,436,364 | — | — | 11,258,048 |
Italy | — | 104,877,173 | — | — | 104,877,173 |
Japan | — | 712,604,163 | — | — | 712,604,163 |
Macau | — | 3,156,493 | — | — | 3,156,493 |
Netherlands | — | 253,586,829 | — | — | 253,586,829 |
Norway | — | 71,464,704 | — | — | 71,464,704 |
Singapore | — | 51,757,329 | — | — | 51,757,329 |
Spain | — | 103,557,048 | — | — | 103,557,048 |
Sweden | — | 59,396,847 | — | — | 59,396,847 |
Switzerland | — | 288,532,457 | — | — | 288,532,457 |
United Kingdom | — | 330,682,036 | — | — | 330,682,036 |
Total Common Stocks | 2,821,684 | 3,027,093,356 | — | — | 3,029,915,040 |
Preferred Stocks | |||||
Germany | — | 6,131,837 | — | — | 6,131,837 |
Total Preferred Stocks | — | 6,131,837 | — | — | 6,131,837 |
Money Market Funds | — | — | — | 23,526,756 | 23,526,756 |
Total Investments in Securities | 2,821,684 | 3,033,225,193 | — | 23,526,756 | 3,059,573,633 |
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See the Portfolio of Investments for all investment classifications not indicated in the table.
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,922,754,373) | $3,036,046,877 |
Affiliated issuers (cost $23,526,756) | 23,526,756 |
Foreign currency (cost $3) | 4 |
Receivable for: | |
Investments sold | 17,259,240 |
Capital shares sold | 19,158 |
Dividends | 3,741,646 |
Foreign tax reclaims | 10,366,251 |
Trustees’ deferred compensation plan | 79,744 |
Total assets | 3,091,039,676 |
Liabilities | |
Payable for: | |
Investments purchased | 18,235,616 |
Capital shares purchased | 1,108,826 |
Management services fees | 1,775,485 |
Distribution and/or service fees | 4,247 |
Service fees | 979 |
Compensation of board members | 391 |
Compensation of chief compliance officer | 262 |
Other expenses | 159,994 |
Trustees’ deferred compensation plan | 79,744 |
Total liabilities | 21,365,544 |
Net assets applicable to outstanding capital stock | $3,069,674,132 |
Represented by | |
Paid in capital | 2,980,615,941 |
Total distributable earnings (loss) | 89,058,191 |
Total - representing net assets applicable to outstanding capital stock | $3,069,674,132 |
Class 1 | |
Net assets | $3,046,808,401 |
Shares outstanding | 287,084,924 |
Net asset value per share | $10.61 |
Class 2 | |
Net assets | $22,865,731 |
Shares outstanding | 2,153,645 |
Net asset value per share | $10.62 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $72,769,281 |
Dividends — affiliated issuers | 306,604 |
Foreign taxes withheld | (7,583,001) |
Total income | 65,492,884 |
Expenses: | |
Management services fees | 11,382,426 |
Distribution and/or service fees | |
Class 2 | 26,568 |
Service fees | 6,385 |
Compensation of board members | 28,051 |
Custodian fees | 146,086 |
Printing and postage fees | 4,703 |
Audit fees | 26,457 |
Legal fees | 31,279 |
Compensation of chief compliance officer | 562 |
Other | 34,188 |
Total expenses | 11,686,705 |
Net investment income | 53,806,179 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (24,402,236) |
Investments — affiliated issuers | 373 |
Foreign currency translations | 324,546 |
Net realized loss | (24,077,317) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 284,491,152 |
Foreign currency translations | 72,204 |
Net change in unrealized appreciation (depreciation) | 284,563,356 |
Net realized and unrealized gain | 260,486,039 |
Net increase in net assets resulting from operations | $314,292,218 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $53,806,179 | $66,589,627 |
Net realized gain (loss) | (24,077,317) | 14,420,554 |
Net change in unrealized appreciation (depreciation) | 284,563,356 | (555,534,636) |
Net increase (decrease) in net assets resulting from operations | 314,292,218 | (474,524,455) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (79,969,456) | (73,892,446) |
Class 2 | (552,092) | (465,865) |
Total distributions to shareholders | (80,521,548) | (74,358,311) |
Increase in net assets from capital stock activity | 30,767,188 | 326,765,951 |
Total increase (decrease) in net assets | 264,537,858 | (222,116,815) |
Net assets at beginning of period | 2,805,136,274 | 3,027,253,089 |
Net assets at end of period | $3,069,674,132 | $2,805,136,274 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,498,170 | 15,848,863 | 39,461,471 | 396,635,395 |
Distributions reinvested | 7,555,914 | 79,969,456 | 6,516,926 | 73,892,446 |
Redemptions | (6,350,443) | (67,112,165) | (13,062,172) | (148,965,605) |
Net increase | 2,703,641 | 28,706,154 | 32,916,225 | 321,562,236 |
Class 2 | ||||
Subscriptions | 233,664 | 2,471,086 | 560,114 | 6,404,927 |
Distributions reinvested | 52,168 | 552,092 | 41,155 | 465,865 |
Redemptions | (90,914) | (962,144) | (145,945) | (1,667,077) |
Net increase | 194,918 | 2,061,034 | 455,324 | 5,203,715 |
Total net increase | 2,898,559 | 30,767,188 | 33,371,549 | 326,765,951 |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $9.80 | 0.19 | 0.90 | 1.09 | (0.23) | (0.05) | (0.28) |
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(d) | (0.27) | (0.01) | (0.28) |
Class 2 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $9.79 | 0.18 | 0.91 | 1.09 | (0.21) | (0.05) | (0.26) |
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) | Annualized. |
(d) | Rounds to zero. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $10.61 | 11.18% | 0.79%(c) | 0.79%(c) | 3.64%(c) | 29% | $3,046,808 |
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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $10.62 | 11.19% | 1.04%(c) | 1.04%(c) | 3.43%(c) | 29% | $22,866 |
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% | $2,251 |
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May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.88% | 0.92% |
Class 2 | 1.13 | 1.17 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2019 | 21 |
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June 30, 2019 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
2,946,281,000 | 267,359,000 | (154,066,000) | 113,293,000 |
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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, 2020 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 Agreements; |
• | The subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager and the Subadviser under the Agreements, including portfolio management and portfolio trading practices; |
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• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager and Subadviser, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services, including an assessment of the Investment Manager’s and the Subadviser’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
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5 | |
6 | |
10 | |
11 | |
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | 13.33 | 7.41 | 6.81 | 9.86 | |
Class 2 | 06/01/00 | 13.27 | 7.16 | 6.54 | 9.60 | |
Blended Benchmark | 13.64 | 9.87 | 7.75 | 10.50 | ||
S&P 500 Index | 18.54 | 10.42 | 10.71 | 14.70 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11 | 7.87 | 2.95 | 3.90 |
Columbia Variable Portfolio – Asset Allocation Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Portfolio breakdown (%) (at June 30, 2019) | |
Alternative Strategies Funds | 4.1 |
Equity Funds | 50.4 |
Exchange-Traded Funds | 6.5 |
Fixed-Income Funds | 31.2 |
Money Market Funds | 7.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Asset Allocation Fund | Semiannual Report 2019 |
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(Unaudited)
January 1, 2019 — June 30, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,133.30 | 1,023.25 | 1.36 | 1.29 | 0.26 | 3.82 | 3.62 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 1,132.70 | 1,022.02 | 2.67 | 2.53 | 0.51 | 5.12 | 4.86 | 0.98 |
Columbia Variable Portfolio – Asset Allocation Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Alternative Strategies Funds 4.1% | ||
Shares | Value ($) | |
Columbia Commodity Strategy Fund, Institutional 3 Class(a) | 183,842 | 810,742 |
Columbia Multi-Asset Income Fund, Institutional 3 Class(a) | 192,923 | 1,817,336 |
Total Alternative Strategies Funds (Cost $2,842,478) | 2,628,078 | |
Equity Funds 49.9% | ||
U.S. Large Cap 49.9% | ||
Columbia Contrarian Core Fund, Institutional 3 Class(a) | 565,778 | 14,795,086 |
Columbia Disciplined Core Fund, Institutional 3 Class(a) | 702,505 | 8,605,689 |
Columbia Select Large Cap Equity Fund, Institutional 3 Class(a) | 613,987 | 8,583,536 |
Total | 31,984,311 | |
Total Equity Funds (Cost $22,240,106) | 31,984,311 | |
Exchange-Traded Funds 6.5% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 17,071 | 2,123,120 |
Vanguard Intermediate-Term Corporate Bond ETF | 22,370 | 2,009,945 |
Total Exchange-Traded Funds (Cost $3,847,104) | 4,133,065 | |
Fixed-Income Funds 30.9% | ||
High Yield 6.0% | ||
Columbia High Yield Bond Fund, Institutional 3 Class(a) | 1,330,611 | 3,885,386 |
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
Investment Grade 24.9% | ||
Columbia Corporate Income Fund, Institutional 3 Class(a) | 278,766 | 2,915,887 |
Columbia Quality Income Fund, Institutional 3 Class(a) | 469,734 | 2,592,934 |
Columbia Total Return Bond Fund, Institutional 3 Class(a) | 486,567 | 4,520,209 |
Columbia U.S. Treasury Index Fund, Institutional 3 Class(a) | 519,435 | 5,916,362 |
Total | 15,945,392 | |
Total Fixed-Income Funds (Cost $19,210,166) | 19,830,778 | |
Money Market Funds 7.7% | ||
Columbia Government Money Market Fund, Institutional 3 Class, 2.428%(a) | 855,912 | 855,912 |
Columbia Short-Term Cash Fund, 2.433%(a),(b) | 4,094,532 | 4,094,123 |
Total Money Market Funds (Cost $4,950,268) | 4,950,035 | |
Total Investments in Securities (Cost: $53,090,122) | 63,526,267 | |
Other Assets & Liabilities, Net | 563,697 | |
Net Assets | 64,089,964 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 E-mini | 48 | 09/2019 | USD | 7,066,080 | 118,321 | — |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 32 | Morgan Stanley | 06/20/2024 | 5.000 | Quarterly | USD | 1,707,000 | (37,888) | — | — | — | (37,888) |
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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 ($) |
Markit CDX Emerging Markets Index, Series 31 | Morgan Stanley | 06/20/2024 | 1.000 | Quarterly | 1.684 | USD | 1,959,000 | (2,444) | — | — | — | (2,444) |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Commodity Strategy Fund, Institutional 3 Class | |||||||||
183,842 | — | — | 183,842 | — | — | 38,607 | — | 810,742 | |
Columbia Contrarian Core Fund, Institutional 3 Class | |||||||||
644,610 | 18,281 | (97,113) | 565,778 | — | 141,478 | 2,434,415 | — | 14,795,086 | |
Columbia Corporate Income Fund, Institutional 3 Class | |||||||||
312,876 | 13,889 | (47,999) | 278,766 | — | 4,133 | 235,862 | 51,103 | 2,915,887 | |
Columbia Disciplined Core Fund, Institutional 3 Class | |||||||||
1,544,644 | 72,073 | (914,212) | 702,505 | — | 3,976,486 | (1,574,417) | — | 8,605,689 | |
Columbia Government Money Market Fund, Institutional 3 Class, 2.428% | |||||||||
847,026 | 8,886 | — | 855,912 | — | — | — | 8,886 | 855,912 | |
Columbia High Yield Bond Fund, Institutional 3 Class | |||||||||
1,296,147 | 34,464 | — | 1,330,611 | — | — | 299,928 | 98,824 | 3,885,386 | |
Columbia Multi-Asset Income Fund, Institutional 3 Class | |||||||||
187,026 | 5,897 | — | 192,923 | — | — | 139,514 | 54,433 | 1,817,336 | |
Columbia Quality Income Fund, Institutional 3 Class | |||||||||
526,919 | 22,093 | (79,278) | 469,734 | — | 3,011 | 77,027 | 42,867 | 2,592,934 | |
Columbia Select Large Cap Equity Fund, Institutional 3 Class | |||||||||
— | 613,987 | — | 613,987 | 261,627 | — | (221,933) | 18,843 | 8,583,536 | |
Columbia Short-Term Cash Fund, 2.433% | |||||||||
6,164,470 | 887,341 | (2,957,279) | 4,094,532 | — | (222) | 223 | 69,586 | 4,094,123 | |
Columbia Total Return Bond Fund, Institutional 3 Class | |||||||||
402,915 | 224,393 | (140,741) | 486,567 | — | 251 | 185,201 | 58,466 | 4,520,209 | |
Columbia U.S. Treasury Index Fund, Institutional 3 Class | |||||||||
629,209 | 16,624 | (126,398) | 519,435 | — | (4,596) | 234,610 | 66,972 | 5,916,362 | |
Total | 261,627 | 4,120,541 | 1,849,037 | 469,980 | 59,393,202 |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2019. |
USD | US Dollar |
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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 ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | 2,628,078 | — | — | — | 2,628,078 |
Equity Funds | 31,984,311 | — | — | — | 31,984,311 |
Exchange-Traded Funds | 4,133,065 | — | — | — | 4,133,065 |
Fixed-Income Funds | 19,830,778 | — | — | — | 19,830,778 |
Money Market Funds | 855,912 | — | — | 4,094,123 | 4,950,035 |
Total Investments in Securities | 59,432,144 | — | — | 4,094,123 | 63,526,267 |
Investments in Derivatives |
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Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Asset | |||||
Futures Contracts | 118,321 | — | — | — | 118,321 |
Liability | |||||
Swap Contracts | — | (40,332) | — | — | (40,332) |
Total | 59,550,465 | (40,332) | — | 4,094,123 | 63,604,256 |
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June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,847,104) | $4,133,065 |
Affiliated issuers (cost $49,243,018) | 59,393,202 |
Margin deposits on: | |
Futures contracts | 302,400 |
Swap contracts | 317,871 |
Receivable for: | |
Investments sold | 6,282 |
Capital shares sold | 392 |
Dividends | 64,006 |
Variation margin for futures contracts | 31,920 |
Variation margin for swap contracts | 1,182 |
Expense reimbursement due from Investment Manager | 201 |
Trustees’ deferred compensation plan | 69,555 |
Total assets | 64,320,076 |
Liabilities | |
Payable for: | |
Investments purchased | 65,856 |
Capital shares purchased | 27,932 |
Variation margin for swap contracts | 959 |
Management services fees | 168 |
Distribution and/or service fees | 71 |
Service fees | 8,865 |
Compensation of board members | 27,871 |
Compensation of chief compliance officer | 6 |
Audit fees | 13,086 |
Other expenses | 15,743 |
Trustees’ deferred compensation plan | 69,555 |
Total liabilities | 230,112 |
Net assets applicable to outstanding capital stock | $64,089,964 |
Represented by | |
Paid in capital | 43,824,281 |
Total distributable earnings (loss) | 20,265,683 |
Total - representing net assets applicable to outstanding capital stock | $64,089,964 |
Class 1 | |
Net assets | $53,655,723 |
Shares outstanding | 3,357,568 |
Net asset value per share | $15.98 |
Class 2 | |
Net assets | $10,434,241 |
Shares outstanding | 660,842 |
Net asset value per share | $15.79 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $66,791 |
Dividends — affiliated issuers | 469,980 |
Total income | 536,771 |
Expenses: | |
Management services fees | 32,781 |
Distribution and/or service fees | |
Class 2 | 12,837 |
Service fees | 53,932 |
Compensation of board members | 7,586 |
Custodian fees | 9,292 |
Printing and postage fees | 7,078 |
Audit fees | 10,686 |
Legal fees | 671 |
Compensation of chief compliance officer | 12 |
Other | 2,947 |
Total expenses | 137,822 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (44,572) |
Total net expenses | 93,250 |
Net investment income | 443,521 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 3,704 |
Investments — affiliated issuers | 4,120,541 |
Capital gain distributions from underlying affiliated funds | 261,627 |
Foreign currency translations | 639 |
Futures contracts | 781,509 |
Swap contracts | 7,605 |
Net realized gain | 5,175,625 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 325,725 |
Investments — affiliated issuers | 1,849,037 |
Foreign currency translations | (1,533) |
Futures contracts | 296,245 |
Swap contracts | (198,728) |
Net change in unrealized appreciation (depreciation) | 2,270,746 |
Net realized and unrealized gain | 7,446,371 |
Net increase in net assets resulting from operations | $7,889,892 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $443,521 | $1,237,380 |
Net realized gain | 5,175,625 | 3,165,092 |
Net change in unrealized appreciation (depreciation) | 2,270,746 | (7,201,792) |
Net increase (decrease) in net assets resulting from operations | 7,889,892 | (2,799,320) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (4,992,077) |
Class 2 | — | (1,001,449) |
Total distributions to shareholders | — | (5,993,526) |
Decrease in net assets from capital stock activity | (4,558,362) | (2,887,472) |
Total increase (decrease) in net assets | 3,331,530 | (11,680,318) |
Net assets at beginning of period | 60,758,434 | 72,438,752 |
Net assets at end of period | $64,089,964 | $60,758,434 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 30,792 | 473,893 | 32,541 | 515,760 |
Distributions reinvested | — | — | 329,076 | 4,992,077 |
Redemptions | (273,076) | (4,158,892) | (515,790) | (8,143,595) |
Net decrease | (242,284) | (3,684,999) | (154,173) | (2,635,758) |
Class 2 | ||||
Subscriptions | 12,740 | 189,615 | 58,160 | 912,315 |
Distributions reinvested | — | — | 66,674 | 1,001,449 |
Redemptions | (70,246) | (1,062,978) | (139,811) | (2,165,478) |
Net decrease | (57,506) | (873,363) | (14,977) | (251,714) |
Total net decrease | (299,790) | (4,558,362) | (169,150) | (2,887,472) |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $14.10 | 0.11 | 1.77 | 1.88 | — | — | — |
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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $13.94 | 0.09 | 1.76 | 1.85 | — | — | — |
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. |
(c) | Annualized. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $15.98 | 13.33% | 0.40%(c) | 0.26%(c) | 1.47%(c) | 28% | $53,656 |
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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $15.79 | 13.27% | 0.65%(c) | 0.51%(c) | 1.23%(c) | 28% | $10,434 |
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% | $16,557 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 118,321* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 40,332* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
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June 30, 2019 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | 7,605 | 7,605 |
Equity risk | 764,456 | — | 764,456 |
Interest rate risk | 17,053 | — | 17,053 |
Total | 781,509 | 7,605 | 789,114 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | (198,728) | (198,728) |
Equity risk | 296,245 | — | 296,245 |
Total | 296,245 | (198,728) | 97,517 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 7,726,180 |
Credit default swap contracts — buy protection | 1,707,000 |
Credit default swap contracts — sell protection | 1,959,000 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
Morgan Stanley ($) | |
Assets | |
Centrally cleared credit default swap contracts(a) | 1,182 |
Liabilities | |
Centrally cleared credit default swap contracts(a) | 959 |
Total financial and derivative net assets | 223 |
Total collateral received (pledged)(b) | - |
Net amount(c) | 223 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
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June 30, 2019 (Unaudited)
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.18% | 0.14% |
Class 2 | 0.43 | 0.39 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
53,090,000 | 11,046,000 | (532,000) | 10,514,000 |
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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, 2020 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’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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6 | |
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 07/05/94 | 7.21 | 7.31 | 3.66 | 6.33 | |
Class 2 | 06/01/00 | 7.04 | 7.13 | 3.40 | 6.06 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11 | 7.87 | 2.95 | 3.90 | ||
ICE BofAML US Cash Pay High Yield Constrained Index | 10.16 | 7.60 | 4.71 | 9.14 | ||
FTSE Non-U.S. World Government Bond (All Maturities) Index - Unhedged | 5.50 | 4.54 | 0.19 | 1.88 | ||
JPMorgan Emerging Markets Bond Index - Global | 10.60 | 11.32 | 4.47 | 7.41 |
| Semiannual Report 2019 | 3 |
Table of Contents
(Unaudited)
Portfolio breakdown (%) (at June 30, 2019) | |
Asset-Backed Securities — Non-Agency | 10.6 |
Commercial Mortgage-Backed Securities - Non-Agency | 3.9 |
Common Stocks | 0.1 |
Corporate Bonds & Notes | 35.6 |
Foreign Government Obligations | 7.6 |
Inflation-Indexed Bonds | 0.4 |
Money Market Funds | 1.5 |
Options Purchased Calls | 0.5 |
Residential Mortgage-Backed Securities - Agency | 16.1 |
Residential Mortgage-Backed Securities - Non-Agency | 17.9 |
Senior Loans | 5.3 |
Treasury Bills | 0.3 |
U.S. Treasury Obligations | 0.2 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2019) | |
AAA rating | 17.9 |
AA rating | 6.6 |
A rating | 7.6 |
BBB rating | 20.8 |
BB rating | 13.6 |
B rating | 14.9 |
CCC rating | 2.5 |
Not rated | 16.1 |
Total | 100.0 |
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2019)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 28.5 | (127.9) | (99.4) |
Foreign Currency Derivative Contracts | (0.6) | (0.6) | |
Total Notional Market Value of Derivative Contracts | 28.5 | (128.5) | (100.0) |
4 | | Semiannual Report 2019 |
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(Unaudited)
January 1, 2019 — June 30, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,072.10 | 1,021.19 | 3.46 | 3.37 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 1,070.40 | 1,019.96 | 4.72 | 4.61 | 0.93 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Asset-Backed Securities — Non-Agency 12.1% | ||||
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 | 3.742% | 750,000 | 728,290 | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class D | ||||
3-month USD LIBOR + 6.550% 10/15/2029 | 9.147% | 500,000 | 488,723 | |
Atrium XIII(a),(b) | ||||
Series 2013A Class B | ||||
3-month USD LIBOR + 1.500% 11/21/2030 | 4.092% | 1,300,000 | 1,286,988 | |
Avant Loans Funding Trust(a) | ||||
Series 2019-A Class B | ||||
12/15/2022 | 3.800% | 400,000 | 404,944 | |
Babson CLO Ltd.(a),(b) | ||||
Series 2015-2A Class B2R | ||||
3-month USD LIBOR + 1.590% 10/20/2030 | 4.182% | 500,000 | 495,496 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.600% 04/20/2031 | 4.192% | 500,000 | 493,614 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class A2R | ||||
3-month USD LIBOR + 1.400% 10/15/2030 | 3.997% | 2,500,000 | 2,461,695 | |
Series 2015-4A Class A2R | ||||
3-month USD LIBOR + 1.800% 07/20/2032 | 4.303% | 600,000 | 599,995 | |
CLUB Credit Trust(a) | ||||
Series 2018-P3 Class A | ||||
01/15/2026 | 3.820% | 722,749 | 729,923 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2019-A Class A | ||||
10/16/2023 | 3.400% | 575,231 | 577,322 | |
Series 2019-A Class B | ||||
10/16/2023 | 4.360% | 300,000 | 301,702 | |
Subordinated Series 2018-A Class B | ||||
01/15/2023 | 4.650% | 580,715 | 582,664 | |
Consumer Lending Receivables Trust(a) | ||||
Series 2019-A Class A | ||||
04/15/2026 | 3.520% | 867,353 | 872,168 | |
Consumer Underlying Bond Securitization(a) | ||||
Series 2018-1 Class A | ||||
02/17/2026 | 4.790% | 1,000,000 | 1,017,325 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit Suisse ABS Trust(a) | ||||
Series 2018-LD1 Class B | ||||
07/25/2024 | 4.280% | 440,000 | 441,975 | |
Dryden XXVIII Senior Loan Fund(a),(b) | ||||
Series 2013-28A Class A2LR | ||||
3-month USD LIBOR + 1.650% 08/15/2030 | 4.168% | 500,000 | 496,040 | |
Madison Park Funding XXXII Ltd.(a),(b) | ||||
Series 2018-32A Class D | ||||
3-month USD LIBOR + 4.100% Floor 4.100% 01/22/2031 | 6.692% | 500,000 | 500,803 | |
Morgan Stanley Resecuritization Pass-Through Trust(a),(c) | ||||
Series 2018-SC1 Class B | ||||
09/18/2023 | 1.000% | 400,000 | 388,000 | |
OHA Credit Partners XIV Ltd.(a),(b) | ||||
Series 2017-14A Class B | ||||
3-month USD LIBOR + 1.500% 01/21/2030 | 4.092% | 1,000,000 | 987,585 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2018-1A Class A | ||||
03/14/2029 | 3.300% | 855,000 | 866,537 | |
OZLM XXI(a),(b) | ||||
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 4.042% | 800,000 | 790,137 | |
Pagaya AI Debt Selection Trust(a),(c) | ||||
Series 2019-1 Class A | ||||
06/15/2026 | 3.690% | 1,200,000 | 1,206,750 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2019-2A Class A2 | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 04/20/2027 | 4.123% | 1,000,000 | 999,945 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2018-1A Class B | ||||
06/17/2024 | 3.900% | 600,000 | 603,247 | |
Series 2018-1A Class C | ||||
06/17/2024 | 4.870% | 600,000 | 610,421 | |
Series 2019-3A Class A | ||||
07/15/2025 | 3.190% | 500,000 | 501,849 | |
Subordinated Series 2019-3A Class C | ||||
07/15/2025 | 4.940% | 1,000,000 | 1,015,964 | |
Subordinated, Series 2017-2A Class C | ||||
09/15/2023 | 5.370% | 500,000 | 502,724 |
6 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RR 1 LLC(a),(b) | ||||
Series 2017-1A Class A2R | ||||
3-month USD LIBOR + 1.700% 07/15/2029 | 4.297% | 800,000 | 796,002 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2016-3 Class A | ||||
12/26/2025 | 3.050% | 122,055 | 122,599 | |
SoFi Professional Loan Program LLC(a),(c),(d),(e),(f) | ||||
Series 2016-A Class RIO | ||||
01/25/2038 | 0.000% | 1 | 236,655 | |
Series 2016-A Class RPO | ||||
01/25/2038 | 0.000% | 1 | 383,498 | |
Voya CLO Ltd.(a),(b) | ||||
Series 2017-4A Class B | ||||
3-month USD LIBOR + 1.450% 10/15/2030 | 4.047% | 600,000 | 587,482 | |
Total Asset-Backed Securities — Non-Agency (Cost $23,420,982) | 23,079,062 | |||
Commercial Mortgage-Backed Securities - Non-Agency 4.5% | ||||
BBCMS Trust(a),(b) | ||||
Subordinated, Series 2018-BXH Class F | ||||
1-month USD LIBOR + 2.950% Floor 2.950% 10/15/2037 | 5.344% | 400,000 | 400,514 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class F | ||||
1-month USD LIBOR + 2.900% Floor 2.900% 06/15/2035 | 5.294% | 700,000 | 699,969 | |
CALI Mortgage Trust(a),(g) | ||||
Series 2019-101C Class F | ||||
03/10/2039 | 4.469% | 400,000 | 406,829 | |
CHT 2017-COSMO Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class B | ||||
1-month USD LIBOR + 1.400% Floor 1.200% 11/15/2036 | 3.794% | 500,000 | 500,325 | |
Series 2017-CSMO Class E | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 11/15/2036 | 5.394% | 400,000 | 401,009 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated, Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 300,000 | 295,830 | |
Subordinated, Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 500,000 | 469,797 | |
Hilton U.S.A. Trust(a),(g) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.333% | 1,000,000 | 980,974 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hilton U.S.A. Trust(a) | ||||
Subordinated, Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 500,000 | 506,568 | |
Invitation Homes Trust(a),(b) | ||||
Series 2017-SFR2 Class E | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 12/17/2036 | 4.645% | 421,712 | 422,762 | |
Progress Residential Trust(a) | ||||
Series 2019-SFR1 Class E | ||||
08/17/2035 | 4.466% | 500,000 | 517,268 | |
Subordinated Series 2019-SFR2 Class F | ||||
05/17/2036 | 4.837% | 500,000 | 512,609 | |
RETL(a),(b) | ||||
Subordinated Series 2019-RVP Class C | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 03/15/2036 | 4.584% | 600,000 | 602,244 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 02/15/2032 | 3.894% | 400,000 | 400,037 | |
Series 2018-NYCH Class E | ||||
1-month USD LIBOR + 2.900% Floor 3.200% 02/15/2032 | 5.294% | 600,000 | 603,333 | |
Series 2018-NYCH Class F | ||||
1-month USD LIBOR + 3.821% Floor 3.821% 02/15/2032 | 6.215% | 400,000 | 401,705 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-SMP Class D | ||||
1-month USD LIBOR + 1.650% Floor 1.650% 12/15/2034 | 4.045% | 400,000 | 398,613 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $8,196,407) | 8,520,386 |
Common Stocks 0.1% | ||
Issuer | Shares | Value ($) |
Energy 0.1% | ||
Energy Equipment & Services 0.1% | ||
Fieldwood Energy LLC(h) | 8,596 | 271,311 |
Total Energy | 271,311 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 7 |
Table of Contents
June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials —% | ||
Diversified Financial Services —% | ||
Fairlane Management Corp.(c),(e),(h),(i) | 2,000 | — |
Total Financials | — | |
Utilities 0.0% | ||
Independent Power and Renewable Electricity Producers 0.0% | ||
Vistra Energy Corp.(h) | 10,180 | 8,063 |
Total Utilities | 8,063 | |
Total Common Stocks (Cost $200,545) | 279,374 |
Corporate Bonds & Notes(j) 40.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.4% | ||||
Bombardier, Inc.(a) | ||||
12/01/2024 | 7.500% | 68,000 | 69,535 | |
03/15/2025 | 7.500% | 69,000 | 69,270 | |
TransDigm, Inc. | ||||
07/15/2024 | 6.500% | 48,000 | 48,589 | |
05/15/2025 | 6.500% | 59,000 | 59,623 | |
06/15/2026 | 6.375% | 38,000 | 38,295 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 407,000 | 426,446 | |
03/15/2027 | 7.500% | 96,000 | 100,249 | |
Total | 812,007 | |||
Automotive 0.1% | ||||
Ford Motor Co. | ||||
01/15/2043 | 4.750% | 150,000 | 130,376 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 19,000 | 19,762 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 55,000 | 57,155 | |
05/15/2027 | 8.500% | 54,000 | 55,493 | |
Total | 262,786 | |||
Banking 3.4% | ||||
Ally Financial, Inc. | ||||
11/01/2031 | 8.000% | 146,000 | 192,820 | |
Bank of America Corp.(k) | ||||
01/20/2028 | 3.824% | 1,020,000 | 1,077,734 | |
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 465,000 | 480,376 | |
Citigroup, Inc.(k) | ||||
03/20/2030 | 3.980% | 265,000 | 283,213 |
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goldman Sachs Group, Inc. (The)(k) | ||||
05/01/2029 | 4.223% | 1,460,000 | 1,562,631 | |
JPMorgan Chase & Co.(k) | ||||
05/06/2030 | 3.702% | 1,170,000 | 1,233,728 | |
Morgan Stanley(k) | ||||
01/23/2030 | 4.431% | 335,000 | 370,470 | |
Wells Fargo & Co. | ||||
10/23/2026 | 3.000% | 710,000 | 717,341 | |
01/24/2029 | 4.150% | 485,000 | 527,747 | |
Total | 6,446,060 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
NFP Corp.(a) | ||||
07/15/2025 | 6.875% | 122,000 | 120,676 | |
VFH Parent LLC/Orchestra Co-Issuer, Inc.(a) | ||||
06/15/2022 | 6.750% | 17,000 | 17,600 | |
Total | 138,276 | |||
Building Materials 0.4% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
12/15/2023 | 5.750% | 112,000 | 116,225 | |
05/15/2026 | 5.875% | 105,000 | 109,577 | |
Beacon Roofing Supply, Inc. | ||||
10/01/2023 | 6.375% | 91,000 | 94,652 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 186,000 | 184,129 | |
Cemex SAB de CV(a) | ||||
05/05/2025 | 6.125% | 250,000 | 261,853 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 86,000 | 87,059 | |
Total | 853,495 | |||
Cable and Satellite 2.7% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
04/01/2024 | 5.875% | 55,000 | 57,471 | |
05/01/2025 | 5.375% | 142,000 | 146,985 | |
02/15/2026 | 5.750% | 140,000 | 147,257 | |
05/01/2026 | 5.500% | 5,000 | 5,239 | |
05/01/2027 | 5.125% | 164,000 | 169,846 | |
02/01/2028 | 5.000% | 23,000 | 23,476 | |
Charter Communications Operating LLC/Capital(l) | ||||
07/01/2049 | 5.125% | 255,000 | 260,362 | |
Comcast Corp. | ||||
08/15/2047 | 4.000% | 287,000 | 302,043 | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 6.625% | 16,000 | 17,116 | |
10/15/2025 | 10.875% | 214,000 | 245,184 | |
02/01/2028 | 5.375% | 292,000 | 303,193 | |
04/01/2028 | 7.500% | 217,000 | 238,761 |
8 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/01/2029 | 6.500% | 58,000 | 63,206 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 165,000 | 155,569 | |
07/01/2026 | 7.750% | 232,000 | 226,767 | |
Intelsat Jackson Holdings SA(a) | ||||
10/15/2024 | 8.500% | 104,000 | 102,985 | |
Quebecor Media, Inc. | ||||
01/15/2023 | 5.750% | 199,000 | 212,862 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 25,000 | 25,050 | |
02/15/2025 | 6.625% | 107,000 | 103,910 | |
Sirius XM Radio, Inc.(a),(l) | ||||
07/15/2024 | 4.625% | 40,000 | 40,915 | |
Sirius XM Radio, Inc.(a) | ||||
04/15/2025 | 5.375% | 88,000 | 90,863 | |
07/15/2026 | 5.375% | 22,000 | 22,827 | |
07/01/2029 | 5.500% | 79,000 | 81,000 | |
Sky PLC(a) | ||||
09/16/2024 | 3.750% | 750,000 | 796,985 | |
Unitymedia Hessen GmbH & Co. KG NRW(a) | ||||
01/15/2025 | 5.000% | 331,000 | 341,851 | |
Viasat, Inc.(a) | ||||
04/15/2027 | 5.625% | 32,000 | 33,285 | |
Virgin Media Secured Finance PLC(a) | ||||
01/15/2026 | 5.250% | 338,000 | 345,956 | |
08/15/2026 | 5.500% | 89,000 | 92,238 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 172,000 | 172,704 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 286,000 | 290,716 | |
Total | 5,116,622 | |||
Chemicals 1.0% | ||||
Alpha 2 BV(a) | ||||
06/01/2023 | 8.750% | 85,000 | 83,616 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 109,000 | 109,414 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 114,000 | 113,453 | |
Axalta Coating Systems LLC(a) | ||||
08/15/2024 | 4.875% | 85,000 | 87,849 | |
Chemours Co. (The) | ||||
05/15/2023 | 6.625% | 39,000 | 40,348 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 86,000 | 87,735 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 189,000 | 196,633 |
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 249,000 | 257,967 | |
12/15/2025 | 5.750% | 117,000 | 118,688 | |
Sasol Financing International Ltd. | ||||
11/14/2022 | 4.500% | 218,000 | 224,673 | |
Sasol Financing USA LLC | ||||
03/27/2024 | 5.875% | 205,000 | 221,817 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 67,000 | 67,531 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 209,000 | 215,056 | |
Total | 1,824,780 | |||
Construction Machinery 0.3% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 121,000 | 124,313 | |
Herc Holdings, Inc.(a),(l) | ||||
07/15/2027 | 5.500% | 78,000 | 78,479 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 28,000 | 29,014 | |
United Rentals North America, Inc. | ||||
07/15/2025 | 5.500% | 76,000 | 79,154 | |
09/15/2026 | 5.875% | 145,000 | 154,475 | |
12/15/2026 | 6.500% | 95,000 | 102,753 | |
Total | 568,188 | |||
Consumer Cyclical Services 0.2% | ||||
APX Group, Inc. | ||||
12/01/2020 | 8.750% | 77,000 | 73,089 | |
12/01/2022 | 7.875% | 164,000 | 157,436 | |
09/01/2023 | 7.625% | 45,000 | 36,833 | |
APX Group, Inc.(a) | ||||
11/01/2024 | 8.500% | 60,000 | 57,455 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 32,000 | 34,275 | |
GrubHub Holdings, Inc.(a) | ||||
07/01/2027 | 5.500% | 26,000 | 26,709 | |
Total | 385,797 | |||
Consumer Products 0.4% | ||||
Energizer Holdings, Inc.(a) | ||||
07/15/2026 | 6.375% | 36,000 | 37,115 | |
01/15/2027 | 7.750% | 64,000 | 69,182 | |
Mattel, Inc.(a) | ||||
12/31/2025 | 6.750% | 70,000 | 72,005 | |
Prestige Brands, Inc.(a) | ||||
12/15/2021 | 5.375% | 69,000 | 69,523 | |
03/01/2024 | 6.375% | 153,000 | 160,151 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 9 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 16,000 | 16,617 | |
Scotts Miracle-Gro Co. (The) | ||||
10/15/2023 | 6.000% | 91,000 | 94,686 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 115,000 | 119,492 | |
Valvoline, Inc. | ||||
08/15/2025 | 4.375% | 74,000 | 73,904 | |
Total | 712,675 | |||
Diversified Manufacturing 0.5% | ||||
BWX Technologies, Inc.(a) | ||||
07/15/2026 | 5.375% | 25,000 | 25,857 | |
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 23,000 | 24,332 | |
02/15/2026 | 6.375% | 27,000 | 28,993 | |
Gates Global LLC/Co.(a) | ||||
07/15/2022 | 6.000% | 66,000 | 65,953 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 20,000 | 21,068 | |
TriMas Corp.(a) | ||||
10/15/2025 | 4.875% | 12,000 | 12,147 | |
United Technologies Corp. | ||||
11/16/2028 | 4.125% | 550,000 | 603,913 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 84,000 | 86,346 | |
Zekelman Industries, Inc.(a) | ||||
06/15/2023 | 9.875% | 82,000 | 86,447 | |
Total | 955,056 | |||
Electric 5.1% | ||||
AES Corp. (The) | ||||
03/15/2023 | 4.500% | 46,000 | 47,228 | |
05/15/2026 | 6.000% | 126,000 | 133,804 | |
09/01/2027 | 5.125% | 65,000 | 68,581 | |
Calpine Corp. | ||||
01/15/2025 | 5.750% | 76,000 | 75,511 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 51,000 | 51,924 | |
Clearway Energy Operating LLC | ||||
08/15/2024 | 5.375% | 231,000 | 234,993 | |
09/15/2026 | 5.000% | 59,000 | 57,992 | |
Clearway Energy Operating LLC(a) | ||||
10/15/2025 | 5.750% | 29,000 | 29,576 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 600,000 | 628,469 | |
02/15/2027 | 2.950% | 165,000 | 162,810 | |
03/31/2043 | 4.700% | 80,000 | 88,906 |
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DTE Energy Co. | ||||
06/01/2024 | 3.500% | 340,000 | 352,459 | |
10/01/2026 | 2.850% | 1,220,000 | 1,206,437 | |
Duke Energy Corp. | ||||
09/01/2026 | 2.650% | 575,000 | 568,176 | |
08/15/2027 | 3.150% | 243,000 | 246,423 | |
09/01/2046 | 3.750% | 248,000 | 242,472 | |
06/15/2049 | 4.200% | 445,000 | 466,827 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 675,000 | 728,297 | |
Energuate Trust(a) | ||||
05/03/2027 | 5.875% | 200,000 | 204,472 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 321,000 | 324,245 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 50,000 | 50,307 | |
09/15/2027 | 4.500% | 303,000 | 301,124 | |
NRG Energy, Inc. | ||||
05/15/2026 | 7.250% | 53,000 | 58,358 | |
01/15/2027 | 6.625% | 140,000 | 152,039 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 56,000 | 59,778 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 139,000 | 141,809 | |
PPL Capital Funding, Inc. | ||||
05/15/2026 | 3.100% | 300,000 | 299,160 | |
Progress Energy, Inc. | ||||
04/01/2022 | 3.150% | 382,000 | 389,109 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 762,000 | 804,404 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 137,000 | 137,650 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 35,000 | 36,980 | |
02/15/2027 | 5.625% | 122,000 | 129,149 | |
07/31/2027 | 5.000% | 46,000 | 47,648 | |
WEC Energy Group, Inc. | ||||
06/15/2025 | 3.550% | 190,000 | 199,514 | |
Xcel Energy, Inc. | ||||
12/01/2026 | 3.350% | 955,000 | 983,655 | |
Total | 9,710,286 | |||
Environmental 0.1% | ||||
Clean Harbors, Inc.(a),(l) | ||||
07/15/2027 | 4.875% | 26,000 | 26,421 | |
07/15/2029 | 5.125% | 18,000 | 18,389 | |
GFL Environmental, Inc.(a) | ||||
03/01/2023 | 5.375% | 24,000 | 23,782 | |
05/01/2027 | 8.500% | 54,000 | 58,064 |
10 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hulk Finance Corp.(a) | ||||
06/01/2026 | 7.000% | 17,000 | 17,375 | |
Total | 144,031 | |||
Finance Companies 1.1% | ||||
Avolon Holdings Funding Ltd.(a) | ||||
10/01/2023 | 5.125% | 152,000 | 160,583 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 1,100,000 | 1,088,725 | |
iStar, Inc. | ||||
04/01/2022 | 6.000% | 67,000 | 68,824 | |
Navient Corp. | ||||
03/25/2020 | 8.000% | 18,000 | 18,623 | |
03/25/2021 | 5.875% | 14,000 | 14,579 | |
07/26/2021 | 6.625% | 43,000 | 45,746 | |
06/15/2022 | 6.500% | 166,000 | 176,466 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 124,000 | 116,744 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 224,000 | 231,068 | |
Springleaf Finance Corp. | ||||
05/15/2022 | 6.125% | 46,000 | 49,384 | |
03/15/2023 | 5.625% | 48,000 | 50,996 | |
03/15/2024 | 6.125% | 133,000 | 142,975 | |
01/15/2028 | 6.625% | 25,000 | 26,250 | |
Total | 2,190,963 | |||
Food and Beverage 2.8% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 1,072,000 | 1,192,887 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/23/2059 | 5.800% | 180,000 | 225,587 | |
B&G Foods, Inc. | ||||
06/01/2021 | 4.625% | 75,000 | 75,191 | |
04/01/2025 | 5.250% | 127,000 | 128,310 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 1,020,000 | 1,072,539 | |
Conagra Brands, Inc. | ||||
11/01/2048 | 5.400% | 330,000 | 362,159 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 13,000 | 13,578 | |
FAGE International SA/U.S.A. Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 59,000 | 52,169 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 1,281,000 | 1,213,717 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 33,000 | 34,187 | |
11/01/2026 | 4.875% | 76,000 | 79,081 |
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MHP SA(a) | ||||
04/03/2026 | 6.950% | 250,000 | 253,379 | |
Molson Coors Brewing Co. | ||||
07/15/2046 | 4.200% | 218,000 | 209,664 | |
Post Holdings, Inc.(a) | ||||
08/15/2026 | 5.000% | 169,000 | 171,619 | |
03/01/2027 | 5.750% | 238,000 | 245,391 | |
01/15/2028 | 5.625% | 33,000 | 33,905 | |
Post Holdings, Inc.(a),(l) | ||||
12/15/2029 | 5.500% | 39,000 | 39,131 | |
Total | 5,402,494 | |||
Gaming 1.0% | ||||
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 42,000 | 44,388 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 50,000 | 49,993 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 178,000 | 187,095 | |
09/15/2026 | 6.000% | 52,000 | 56,766 | |
International Game Technology PLC(a) | ||||
02/15/2022 | 6.250% | 36,000 | 38,024 | |
02/15/2025 | 6.500% | 161,000 | 176,133 | |
01/15/2027 | 6.250% | 50,000 | 54,674 | |
Jack Ohio Finance LLC/1 Corp.(a) | ||||
11/15/2021 | 6.750% | 100,000 | 102,748 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 1,000 | 1,077 | |
09/01/2026 | 4.500% | 151,000 | 154,515 | |
01/15/2028 | 4.500% | 161,000 | 159,941 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
02/01/2027 | 5.750% | 62,000 | 66,777 | |
Rivers Pittsburgh Borrower LP/Finance Corp.(a) | ||||
08/15/2021 | 6.125% | 127,000 | 129,144 | |
Scientific Games International, Inc. | ||||
12/01/2022 | 10.000% | 98,000 | 103,053 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 208,000 | 210,029 | |
03/15/2026 | 8.250% | 142,000 | 148,825 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 73,000 | 77,198 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 73,000 | 75,449 | |
Total | 1,835,829 | |||
Health Care 2.8% | ||||
Acadia Healthcare Co., Inc. | ||||
07/01/2022 | 5.125% | 18,000 | 18,175 | |
03/01/2024 | 6.500% | 125,000 | 130,228 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 11 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Avantor, Inc.(a) | ||||
10/01/2025 | 9.000% | 162,000 | 180,419 | |
Becton Dickinson and Co. | ||||
06/06/2027 | 3.700% | 672,000 | 701,503 | |
Cardinal Health, Inc. | ||||
06/15/2047 | 4.368% | 570,000 | 520,765 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 118,000 | 119,724 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 74,000 | 77,956 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 82,000 | 78,929 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 970,000 | 1,034,378 | |
DaVita, Inc. | ||||
08/15/2022 | 5.750% | 72,000 | 72,904 | |
Halfmoon Parent, Inc.(a) | ||||
12/15/2048 | 4.900% | 635,000 | 693,459 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 92,000 | 99,289 | |
09/01/2028 | 5.625% | 186,000 | 201,038 | |
02/01/2029 | 5.875% | 56,000 | 61,260 | |
Hologic, Inc.(a) | ||||
10/15/2025 | 4.375% | 117,000 | 118,577 | |
02/01/2028 | 4.625% | 75,000 | 76,126 | |
IQVIA, Inc.(a) | ||||
05/15/2023 | 4.875% | 56,000 | 57,445 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 118,000 | 110,574 | |
Sotera Health Holdings LLC(a) | ||||
05/15/2023 | 6.500% | 152,000 | 153,609 | |
Surgery Center Holdings, Inc.(a) | ||||
04/15/2027 | 10.000% | 35,000 | 34,909 | |
Teleflex, Inc. | ||||
06/01/2026 | 4.875% | 57,000 | 59,671 | |
11/15/2027 | 4.625% | 53,000 | 54,488 | |
Tenet Healthcare Corp. | ||||
04/01/2022 | 8.125% | 33,000 | 34,598 | |
06/15/2023 | 6.750% | 90,000 | 90,487 | |
07/15/2024 | 4.625% | 113,000 | 114,744 | |
05/01/2025 | 5.125% | 93,000 | 93,932 | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 103,000 | 106,533 | |
Universal Health Services, Inc.(a) | ||||
06/01/2026 | 5.000% | 160,000 | 166,156 | |
Total | 5,261,876 |
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Healthcare Insurance 0.3% | ||||
Centene Corp. | ||||
01/15/2025 | 4.750% | 91,000 | 93,909 | |
Centene Corp.(a) | ||||
06/01/2026 | 5.375% | 188,000 | 197,888 | |
WellCare Health Plans, Inc. | ||||
04/01/2025 | 5.250% | 165,000 | 172,267 | |
WellCare Health Plans, Inc.(a) | ||||
08/15/2026 | 5.375% | 130,000 | 137,983 | |
Total | 602,047 | |||
Home Construction 0.2% | ||||
Lennar Corp. | ||||
06/01/2026 | 5.250% | 80,000 | 84,747 | |
06/15/2027 | 5.000% | 69,000 | 72,767 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 44,000 | 47,790 | |
06/06/2027 | 5.125% | 87,000 | 88,481 | |
Shea Homes LP/Funding Corp.(a) | ||||
04/01/2023 | 5.875% | 12,000 | 12,258 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 35,000 | 36,103 | |
Total | 342,146 | |||
Independent Energy 1.4% | ||||
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 14,000 | 14,136 | |
07/01/2026 | 6.375% | 205,000 | 206,958 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 198,000 | 191,803 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 84,000 | 79,304 | |
04/01/2027 | 6.875% | 71,000 | 71,686 | |
Chesapeake Energy Corp. | ||||
10/01/2026 | 7.500% | 97,000 | 86,507 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 235,000 | 235,618 | |
Extraction Oil & Gas, Inc.(a) | ||||
05/15/2024 | 7.375% | 58,000 | 50,228 | |
02/01/2026 | 5.625% | 5,000 | 4,035 | |
Indigo Natural Resources LLC(a) | ||||
02/15/2026 | 6.875% | 55,000 | 49,501 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 131,000 | 129,191 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 149,000 | 151,039 |
12 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MEG Energy Corp.(a) | ||||
01/15/2025 | 6.500% | 22,000 | 22,111 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 125,000 | 134,638 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
08/15/2025 | 5.250% | 98,000 | 99,601 | |
10/15/2027 | 5.625% | 279,000 | 291,871 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 36,000 | 33,822 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 32,000 | 29,070 | |
09/15/2026 | 6.750% | 85,000 | 79,723 | |
01/15/2027 | 6.625% | 111,000 | 102,732 | |
Tullow Oil PLC(a) | ||||
03/01/2025 | 7.000% | 200,000 | 201,479 | |
WPX Energy, Inc. | ||||
01/15/2022 | 6.000% | 50,000 | 52,276 | |
09/15/2024 | 5.250% | 115,000 | 117,944 | |
06/01/2026 | 5.750% | 161,000 | 167,268 | |
Total | 2,602,541 | |||
Leisure 0.1% | ||||
Cedar Fair LP(a) | ||||
07/15/2029 | 5.250% | 37,000 | 37,757 | |
Live Nation Entertainment, Inc.(a) | ||||
11/01/2024 | 4.875% | 54,000 | 55,550 | |
03/15/2026 | 5.625% | 29,000 | 30,454 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 72,000 | 72,883 | |
Total | 196,644 | |||
Life Insurance 2.2% | ||||
Assicurazioni Generali SpA(a),(k) | ||||
Subordinated | ||||
06/08/2048 | 5.000% | EUR | 350,000 | 440,592 |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 5,000 | 4,178 | |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 1,089,000 | 1,168,326 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 389,000 | 448,234 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
04/01/2077 | 4.900% | 300,000 | 351,388 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 1,230,000 | 1,283,848 | |
Teachers Insurance & Annuity Association of America, Subordinated(a) | ||||
09/15/2044 | 4.900% | 340,000 | 398,092 |
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 170,000 | 189,066 | |
Total | 4,283,724 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc. | ||||
05/01/2026 | 5.125% | 46,000 | 47,966 | |
Marriott Ownership Resorts, Inc./ILG LLC | ||||
09/15/2026 | 6.500% | 16,000 | 17,160 | |
Total | 65,126 | |||
Media and Entertainment 0.7% | ||||
Clear Channel Worldwide Holdings, Inc.(a) | ||||
02/15/2024 | 9.250% | 202,000 | 219,170 | |
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 62,000 | 66,591 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 47,791 | 50,707 | |
05/01/2027 | 8.375% | 171,130 | 179,126 | |
Match Group, Inc. | ||||
06/01/2024 | 6.375% | 74,000 | 77,726 | |
Netflix, Inc. | ||||
02/15/2025 | 5.875% | 24,000 | 26,446 | |
04/15/2028 | 4.875% | 194,000 | 200,427 | |
11/15/2028 | 5.875% | 91,000 | 100,832 | |
Netflix, Inc.(a) | ||||
05/15/2029 | 6.375% | 92,000 | 104,461 | |
11/15/2029 | 5.375% | 105,000 | 111,677 | |
Nexstar Escrow, Inc.(a),(l) | ||||
07/15/2027 | 5.625% | 17,000 | 17,412 | |
Outfront Media Capital LLC/Corp. | ||||
03/15/2025 | 5.875% | 220,000 | 227,622 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 53,000 | 54,198 | |
Total | 1,436,395 | |||
Metals and Mining 0.6% | ||||
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 138,000 | 144,797 | |
Constellium NV(a) | ||||
03/01/2025 | 6.625% | 61,000 | 63,560 | |
02/15/2026 | 5.875% | 211,000 | 216,885 | |
Freeport-McMoRan, Inc. | ||||
11/14/2024 | 4.550% | 34,000 | 34,771 | |
03/15/2043 | 5.450% | 219,000 | 200,691 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 21,000 | 21,665 | |
01/15/2025 | 7.625% | 160,000 | 165,200 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 13 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Novelis Corp.(a) | ||||
08/15/2024 | 6.250% | 7,000 | 7,332 | |
09/30/2026 | 5.875% | 210,000 | 213,163 | |
Total | 1,068,064 | |||
Midstream 3.1% | ||||
Antero Midstream Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 5.750% | 84,000 | 83,994 | |
Cheniere Corpus Christi Holdings LLC | ||||
06/30/2027 | 5.125% | 83,000 | 90,198 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2026 | 5.625% | 91,000 | 96,014 | |
DCP Midstream Operating LP | ||||
05/15/2029 | 5.125% | 66,000 | 68,188 | |
04/01/2044 | 5.600% | 312,000 | 293,464 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 71,000 | 70,533 | |
Enterprise Products Operating LLC(l) | ||||
01/31/2050 | 4.200% | 405,000 | 416,259 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
08/01/2024 | 6.000% | 164,000 | 170,985 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 835,000 | 882,031 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 330,000 | 359,449 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 230,000 | 234,101 | |
NGPL PipeCo LLC(a) | ||||
12/15/2037 | 7.768% | 106,000 | 134,970 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 40,000 | 41,448 | |
04/28/2027 | 5.625% | 92,000 | 92,683 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 821,000 | 790,135 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 94,000 | 95,195 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 30,000 | 30,698 | |
02/15/2026 | 5.500% | 84,000 | 87,408 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
01/15/2028 | 5.500% | 90,000 | 90,960 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 332,000 | 343,961 | |
01/15/2028 | 5.000% | 158,000 | 159,444 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
07/15/2027 | 6.500% | 20,000 | 21,822 | |
01/15/2029 | 6.875% | 52,000 | 57,650 |
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 94,000 | 90,543 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 140,000 | 132,748 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 846,000 | 917,138 | |
Total | 5,852,019 | |||
Natural Gas 0.8% | ||||
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 55,000 | 63,971 | |
05/15/2047 | 4.375% | 500,000 | 535,432 | |
Sempra Energy | ||||
06/15/2024 | 3.550% | 425,000 | 438,540 | |
06/15/2027 | 3.250% | 450,000 | 448,435 | |
Total | 1,486,378 | |||
Oil Field Services 0.2% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 100,000 | 100,890 | |
Calfrac Holdings LP(a) | ||||
06/15/2026 | 8.500% | 46,000 | 32,261 | |
Nabors Industries, Inc. | ||||
02/01/2025 | 5.750% | 126,000 | 111,754 | |
Rowan Companies, Inc. | ||||
01/15/2024 | 4.750% | 46,000 | 34,936 | |
SESI LLC | ||||
09/15/2024 | 7.750% | 33,000 | 21,274 | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 44,415 | 45,234 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 31,000 | 32,788 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 44,000 | 44,055 | |
Total | 423,192 | |||
Other Industry 0.1% | ||||
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 100,000 | 101,954 | |
Other REIT 0.1% | ||||
CyrusOne LP/Finance Corp. | ||||
03/15/2024 | 5.000% | 51,000 | 52,464 | |
03/15/2027 | 5.375% | 186,000 | 195,940 | |
Total | 248,404 |
14 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Packaging 0.7% | ||||
Ardagh Packaging Finance PLC/Holdings U.S.A., Inc.(a) | ||||
05/15/2023 | 4.625% | 96,000 | 97,740 | |
05/15/2024 | 7.250% | 202,000 | 213,377 | |
02/15/2025 | 6.000% | 107,000 | 110,977 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 50,000 | 51,055 | |
07/15/2027 | 5.625% | 46,000 | 47,822 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 120,000 | 122,693 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 117,000 | 117,017 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 54,000 | 49,884 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 29,000 | 26,254 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
08/15/2023 | 5.875% | 27,000 | 28,972 | |
Reynolds Group Issuer, Inc./LLC | ||||
10/15/2020 | 5.750% | 244,215 | 244,816 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2023 | 5.125% | 120,000 | 122,267 | |
07/15/2024 | 7.000% | 160,000 | 165,332 | |
Total | 1,398,206 | |||
Pharmaceuticals 1.2% | ||||
AbbVie, Inc. | ||||
11/14/2048 | 4.875% | 510,000 | 536,031 | |
Allergan Funding SCS | ||||
06/15/2044 | 4.850% | 170,000 | 176,289 | |
Amgen, Inc. | ||||
06/15/2051 | 4.663% | 280,000 | 305,932 | |
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 27,000 | 28,692 | |
04/15/2025 | 6.125% | 399,000 | 407,727 | |
11/01/2025 | 5.500% | 58,000 | 60,451 | |
04/01/2026 | 9.250% | 145,000 | 162,377 | |
01/31/2027 | 8.500% | 103,000 | 113,397 | |
Bristol-Myers Squibb Co.(a) | ||||
10/26/2049 | 4.250% | 71,000 | 78,458 | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 95,000 | 96,627 | |
07/15/2027 | 5.000% | 14,000 | 14,236 | |
Eagle Holding Co. II LLC PIK(a) | ||||
05/15/2022 | 7.750% | 69,000 | 69,518 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) | ||||
08/01/2023 | 6.375% | 161,000 | 166,511 |
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 68,000 | 66,773 | |
Total | 2,283,019 | |||
Property & Casualty 0.1% | ||||
Acrisure LLC/Finance, Inc.(a) | ||||
02/15/2024 | 8.125% | 25,000 | 25,804 | |
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
08/01/2023 | 8.250% | 54,000 | 55,302 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 133,000 | 134,844 | |
Total | 215,950 | |||
Railroads 0.4% | ||||
CSX Corp. | ||||
03/01/2048 | 4.300% | 280,000 | 303,406 | |
11/15/2048 | 4.750% | 165,000 | 191,759 | |
Union Pacific Corp. | ||||
09/10/2058 | 4.800% | 280,000 | 325,335 | |
Total | 820,500 | |||
Restaurants 0.1% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
10/15/2025 | 5.000% | 178,000 | 179,556 | |
IRB Holding Corp.(a) | ||||
02/15/2026 | 6.750% | 105,000 | 105,269 | |
Total | 284,825 | |||
Retailers 0.2% | ||||
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 55,000 | 54,980 | |
11/01/2035 | 6.875% | 34,000 | 30,238 | |
Lowe’s Companies, Inc. | ||||
04/05/2049 | 4.550% | 166,000 | 178,968 | |
Party City Holdings, Inc.(a) | ||||
08/01/2026 | 6.625% | 24,000 | 23,255 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 55,000 | 51,584 | |
06/01/2025 | 5.875% | 93,000 | 90,202 | |
Total | 429,227 | |||
Supermarkets 0.6% | ||||
Albertsons Companies LLC/Safeway, Inc.(a) | ||||
03/15/2026 | 7.500% | 44,000 | 46,990 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 62,000 | 62,566 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 15 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Kroger Co. (The) | ||||
02/01/2047 | 4.450% | 753,000 | 736,481 | |
01/15/2048 | 4.650% | 312,000 | 313,577 | |
Total | 1,159,614 | |||
Technology 2.3% | ||||
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 63,000 | 64,073 | |
08/01/2025 | 6.875% | 58,000 | 59,018 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 650,000 | 636,800 | |
Camelot Finance SA(a) | ||||
10/15/2024 | 7.875% | 270,000 | 283,671 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 126,000 | 130,430 | |
CommScope Finance LLC(a) | ||||
03/01/2026 | 6.000% | 81,000 | 83,050 | |
03/01/2027 | 8.250% | 32,000 | 32,671 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 107,000 | 100,230 | |
03/15/2027 | 5.000% | 39,000 | 34,014 | |
Dun & Bradstreet Corp. (The)(a) | ||||
08/15/2026 | 6.875% | 92,000 | 97,189 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 26,000 | 26,876 | |
Equinix, Inc. | ||||
01/15/2026 | 5.875% | 276,000 | 293,796 | |
05/15/2027 | 5.375% | 93,000 | 99,798 | |
First Data Corp.(a) | ||||
01/15/2024 | 5.750% | 114,000 | 117,292 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 156,000 | 160,377 | |
Informatica LLC(a) | ||||
07/15/2023 | 7.125% | 96,000 | 97,624 | |
International Business Machines Corp. | ||||
05/15/2049 | 4.250% | 330,000 | 354,370 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 95,000 | 95,943 | |
Lenovo Perpetual Securities Ltd.(a),(k) | ||||
12/31/2049 | 5.375% | 200,000 | 194,569 | |
MSCI, Inc.(a) | ||||
08/01/2026 | 4.750% | 36,000 | 37,361 | |
NCR Corp. | ||||
07/15/2022 | 5.000% | 100,000 | 100,786 | |
12/15/2023 | 6.375% | 112,000 | 115,540 | |
PTC, Inc. | ||||
05/15/2024 | 6.000% | 128,000 | 134,405 |
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 150,000 | 148,539 | |
Refinitiv US Holdings, Inc.(a) | ||||
05/15/2026 | 6.250% | 239,000 | 245,992 | |
11/15/2026 | 8.250% | 133,000 | 136,906 | |
Symantec Corp.(a) | ||||
04/15/2025 | 5.000% | 133,000 | 136,344 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 6.750% | 67,000 | 69,019 | |
Tencent Holdings Ltd.(a) | ||||
01/19/2028 | 3.595% | 300,000 | 306,629 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 85,000 | 88,409 | |
Total | 4,481,721 | |||
Transportation Services 0.7% | ||||
Avis Budget Car Rental LLC/Finance, Inc. | ||||
04/01/2023 | 5.500% | 46,000 | 46,977 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 113,000 | 113,645 | |
ERAC U.S.A. Finance LLC(a) | ||||
11/01/2046 | 4.200% | 260,000 | 264,577 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 650,000 | 666,054 | |
Hertz Corp. (The)(a) | ||||
06/01/2022 | 7.625% | 129,000 | 133,983 | |
10/15/2024 | 5.500% | 60,000 | 57,356 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 50,000 | 51,000 | |
Total | 1,333,592 | |||
Wireless 1.0% | ||||
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 348,000 | 356,708 | |
02/01/2027 | 8.125% | 68,000 | 71,415 | |
Altice Luxembourg SA(a) | ||||
05/15/2027 | 10.500% | 84,000 | 86,250 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 305,000 | 313,831 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 194,000 | 199,349 | |
Sprint Corp. | ||||
02/15/2025 | 7.625% | 27,000 | 28,836 | |
03/01/2026 | 7.625% | 128,000 | 136,323 | |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 291,000 | 313,840 | |
02/01/2026 | 4.500% | 50,000 | 51,245 | |
02/01/2028 | 4.750% | 147,000 | 151,450 |
16 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Corporate Bonds & Notes(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wind Tre SpA(a) | ||||
01/20/2026 | 5.000% | 186,000 | 181,446 | |
Total | 1,890,693 | |||
Wirelines 1.1% | ||||
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 80,000 | 86,096 | |
06/15/2045 | 4.350% | 900,000 | 899,362 | |
CenturyLink, Inc. | ||||
03/15/2022 | 5.800% | 225,000 | 235,135 | |
12/01/2023 | 6.750% | 52,000 | 56,190 | |
04/01/2024 | 7.500% | 67,000 | 74,035 | |
04/01/2025 | 5.625% | 55,000 | 55,997 | |
Frontier Communications Corp. | ||||
01/15/2023 | 7.125% | 116,000 | 69,514 | |
09/15/2025 | 11.000% | 14,000 | 8,725 | |
Frontier Communications Corp.(a) | ||||
04/01/2026 | 8.500% | 38,000 | 36,895 | |
Liquid Telecommunications Financing PLC(a) | ||||
07/13/2022 | 8.500% | 200,000 | 200,456 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 57,000 | 57,881 | |
Zayo Group LLC/Capital, Inc.(a) | ||||
01/15/2027 | 5.750% | 235,000 | 239,619 | |
Total | 2,019,905 | |||
Total Corporate Bonds & Notes (Cost $73,753,935) | 77,647,107 | |||
Foreign Government Obligations(j),(m) 8.7% | ||||
Argentina 1.2% | ||||
Argentine Republic Government International Bond | ||||
01/11/2023 | 4.625% | 670,000 | 538,665 | |
04/22/2026 | 7.500% | 500,000 | 418,900 | |
01/26/2027 | 6.875% | 200,000 | 159,636 | |
01/11/2028 | 5.875% | 450,000 | 341,283 | |
07/06/2028 | 6.625% | 550,000 | 425,893 | |
07/06/2036 | 7.125% | 250,000 | 192,428 | |
Argentine Republic Government International Bond(k) | ||||
12/31/2033 | 8.280% | 91,132 | 74,679 | |
Provincia de Buenos Aires(a) | ||||
06/09/2021 | 9.950% | 200,000 | 180,320 | |
Total | 2,331,804 | |||
Belarus 0.2% | ||||
Republic of Belarus International Bond(a) | ||||
06/29/2027 | 7.625% | 250,000 | 285,027 |
Foreign Government Obligations(j),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brazil 0.8% | ||||
Brazil Notas do Tesouro Nacional, Series F | ||||
01/01/2029 | 10.000% | BRL | 1,550,000 | 471,198 |
Brazilian Government International Bond | ||||
01/07/2041 | 5.625% | 410,000 | 439,103 | |
Petrobras Global Finance BV | ||||
01/17/2027 | 7.375% | 100,000 | 115,037 | |
01/27/2028 | 5.999% | 459,000 | 487,510 | |
Total | 1,512,848 | |||
China 0.4% | ||||
Sinopec Group Overseas Development 2018 Ltd.(a) | ||||
09/12/2025 | 4.125% | 200,000 | 213,850 | |
Syngenta Finance NV(a) | ||||
04/24/2028 | 5.182% | 600,000 | 623,375 | |
Total | 837,225 | |||
Croatia 0.2% | ||||
Croatia Government International Bond(a) | ||||
01/26/2024 | 6.000% | 400,000 | 459,223 | |
Dominican Republic 0.9% | ||||
Dominican Republic Bond(a) | ||||
02/05/2027 | 11.250% | DOP | 10,000,000 | 215,629 |
Dominican Republic International Bond(a) | ||||
01/08/2021 | 14.000% | DOP | 3,012,000 | 63,120 |
03/04/2022 | 10.375% | DOP | 17,800,000 | 363,767 |
02/10/2023 | 14.500% | DOP | 3,600,000 | 80,660 |
01/25/2027 | 5.950% | 218,000 | 235,144 | |
04/30/2044 | 7.450% | 486,000 | 564,381 | |
01/27/2045 | 6.850% | 200,000 | 219,050 | |
Total | 1,741,751 | |||
Egypt 0.5% | ||||
Egypt Government International Bond(a) | ||||
02/21/2028 | 6.588% | 200,000 | 201,983 | |
03/01/2029 | 7.600% | 200,000 | 211,215 | |
01/31/2047 | 8.500% | 250,000 | 265,271 | |
02/21/2048 | 7.903% | 200,000 | 202,618 | |
Total | 881,087 | |||
El Salvador 0.1% | ||||
El Salvador Government International Bond(a) | ||||
12/01/2019 | 7.375% | 218,000 | 220,367 | |
Honduras 0.4% | ||||
Honduras Government International Bond(a) | ||||
03/15/2024 | 7.500% | 200,000 | 220,259 | |
01/19/2027 | 6.250% | 450,000 | 485,275 | |
Total | 705,534 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 17 |
Table of Contents
June 30, 2019 (Unaudited)
Foreign Government Obligations(j),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Indonesia 0.5% | ||||
Indonesia Government International Bond(a) | ||||
01/17/2038 | 7.750% | 100,000 | 144,571 | |
PT Pertamina Persero(a) | ||||
05/30/2044 | 6.450% | 400,000 | 489,265 | |
PT Perusahaan Listrik Negara(a) | ||||
05/21/2028 | 5.450% | 300,000 | 332,151 | |
Total | 965,987 | |||
Ivory Coast 0.2% | ||||
Ivory Coast Government International Bond(a),(k) | ||||
12/31/2032 | 5.750% | 279,645 | 271,730 | |
Ivory Coast Government International Bond(a) | ||||
06/15/2033 | 6.125% | 200,000 | 186,487 | |
Total | 458,217 | |||
Kazakhstan 0.4% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 600,000 | 663,868 | |
Malaysia 0.0% | ||||
Petronas Capital Ltd.(a) | ||||
08/12/2019 | 5.250% | 75,000 | 75,243 | |
Mexico 0.6% | ||||
Mexican Bonos | ||||
06/10/2021 | 6.500% | MXN | 50,000 | 2,560 |
Petroleos Mexicanos(a) | ||||
09/12/2024 | 7.190% | MXN | 260,000 | 11,291 |
Petroleos Mexicanos | ||||
01/23/2026 | 4.500% | 102,000 | 93,543 | |
08/04/2026 | 6.875% | 350,000 | 353,478 | |
11/12/2026 | 7.470% | MXN | 4,700,000 | 193,990 |
03/13/2027 | 6.500% | 228,000 | 224,817 | |
01/23/2045 | 6.375% | 200,000 | 171,042 | |
09/21/2047 | 6.750% | 180,000 | 159,369 | |
Total | 1,210,090 | |||
Morocco 0.1% | ||||
OCP SA(a) | ||||
04/25/2024 | 5.625% | 200,000 | 215,760 | |
Netherlands 0.2% | ||||
Kazakhstan Temir Zholy Finance BV(a) | ||||
07/10/2042 | 6.950% | 200,000 | 248,792 | |
Petrobras Global Finance BV | ||||
02/01/2029 | 5.750% | 25,000 | 26,099 | |
Total | 274,891 |
Foreign Government Obligations(j),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nigeria 0.2% | ||||
Nigeria Government International Bond(a) | ||||
02/16/2032 | 7.875% | 300,000 | 313,553 | |
Oman 0.2% | ||||
Oman Government International Bond(a) | ||||
06/15/2021 | 3.625% | 218,000 | 214,745 | |
01/17/2028 | 5.625% | 200,000 | 189,607 | |
Total | 404,352 | |||
Paraguay 0.2% | ||||
Paraguay Government International Bond(a) | ||||
03/27/2027 | 4.700% | 200,000 | 216,726 | |
08/11/2044 | 6.100% | 200,000 | 238,074 | |
Total | 454,800 | |||
Qatar 0.2% | ||||
Qatar Government International Bond(a) | ||||
03/14/2049 | 4.817% | 400,000 | 462,074 | |
Russian Federation 0.2% | ||||
Gazprom OAO Via Gaz Capital SA(a) | ||||
02/06/2028 | 4.950% | 425,000 | 450,177 | |
Saudi Arabia 0.3% | ||||
Saudi Arabian Oil Co.(a) | ||||
04/16/2049 | 4.375% | 474,000 | 478,941 | |
Senegal 0.1% | ||||
Senegal Government International Bond(a) | ||||
05/23/2033 | 6.250% | 230,000 | 222,754 | |
Serbia 0.2% | ||||
Serbia International Bond(a) | ||||
09/28/2021 | 7.250% | 250,000 | 274,035 | |
South Africa 0.3% | ||||
Republic of South Africa Government Bond | ||||
01/31/2030 | 8.000% | ZAR | 7,000,000 | 469,293 |
Ukraine 0.1% | ||||
Ukraine Government International Bond(a) | ||||
09/25/2032 | 7.375% | 220,000 | 216,428 | |
Total Foreign Government Obligations (Cost $16,232,791) | 16,585,329 | |||
18 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Inflation-Indexed Bonds 0.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 0.5% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
02/15/2049 | 1.000% | 913,671 | 966,748 | |
Total Inflation-Indexed Bonds (Cost $965,017) | 966,748 | |||
Residential Mortgage-Backed Securities - Agency 18.3% | ||||
Federal Home Loan Mortgage Corp. | ||||
10/01/2026 | 8.000% | 29,388 | 30,292 | |
Federal Home Loan Mortgage Corp.(b),(n) | ||||
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 3.556% | 3,197,045 | 697,782 | |
CMO Series 326 Class S2 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 03/15/2044 | 3.556% | 526,807 | 93,113 | |
Federal Home Loan Mortgage Corp.(n) | ||||
CMO Series 4120 Class AI | ||||
11/15/2039 | 3.500% | 2,138,928 | 177,170 | |
Federal Home Loan Mortgage Corp.(g),(n) | ||||
CMO Series 4620 Class AS | ||||
11/15/2042 | 1.728% | 1,541,809 | 78,464 | |
Federal National Mortgage Association(l) | ||||
08/19/2034 | 3.000% | 1,000,000 | 1,019,346 | |
08/13/2049 | 3.500% | 10,000,000 | 10,221,736 | |
08/13/2049 | 4.000% | 5,000,000 | 5,166,113 | |
08/13/2049 | 5.000% | 5,000,000 | 5,283,691 | |
Federal National Mortgage Association | ||||
05/01/2041 | 4.000% | 107,518 | 110,963 | |
Federal National Mortgage Association(g),(i),(n) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 2,993,107 | 0 | |
Federal National Mortgage Association(n) | ||||
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 1,269,712 | 111,551 | |
CMO Series 2012-139 Class IL | ||||
04/25/2040 | 3.500% | 2,005,543 | 209,276 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 1,729,095 | 338,705 | |
Federal National Mortgage Association(b),(n) | ||||
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 3.746% | 553,568 | 88,861 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2016-31 Class H5 | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 3.596% | 923,507 | 162,259 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 3.596% | 1,261,447 | 247,138 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 07/25/2046 | 3.596% | 2,025,226 | 423,267 | |
CMO Series 2017-47 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 06/25/2047 | 3.696% | 793,055 | 164,466 | |
CMO Series 2017-56 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 3.746% | 1,622,968 | 330,244 | |
CMO Series 2018-76 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 3.746% | 766,934 | 154,761 | |
CMO Series 2019-33 Class SB | ||||
1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 3.638% | 2,500,000 | 486,924 | |
CMO Series 2019-8 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 03/25/2049 | 3.596% | 2,376,433 | 474,768 | |
Government National Mortgage Association(l) | ||||
07/22/2049 | 3.000% | 2,000,000 | 2,043,828 | |
07/22/2049 | 4.500% | 2,000,000 | 2,084,668 | |
Government National Mortgage Association(n) | ||||
CMO Series 2014-190 Class AI | ||||
12/20/2038 | 3.500% | 1,698,914 | 190,205 | |
Government National Mortgage Association(b),(n) | ||||
CMO Series 2016-108 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 08/20/2046 | 3.697% | 771,880 | 171,229 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 19 |
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June 30, 2019 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2016-20 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 02/20/2046 | 3.717% | 968,246 | 168,524 | |
CMO Series 2017-129 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 3.817% | 917,623 | 186,557 | |
CMO Series 2017-130 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 3.817% | 795,766 | 128,449 | |
CMO Series 2017-133 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2047 | 3.867% | 1,065,767 | 181,772 | |
CMO Series 2018-124 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2048 | 3.817% | 2,429,886 | 396,628 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 3.717% | 1,545,774 | 284,227 | |
CMO Series 2018-168 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/20/2048 | 3.717% | 1,227,195 | 217,533 | |
CMO Series 2018-67 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 3.817% | 1,874,478 | 382,127 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 3.667% | 736,440 | 142,854 | |
CMO Series 2019-23 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 3.667% | 2,538,487 | 448,365 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-29 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 3.667% | 2,024,342 | 352,636 | |
CMO Series 2019-30 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 3.667% | 2,125,373 | 332,463 | |
CMO Series 2019-36 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 3.667% | 1,538,501 | 245,273 | |
CMO Series 2019-4 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 01/20/2049 | 3.667% | 1,963,496 | 332,007 | |
CMO Series 2019-41 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 3.667% | 1,490,348 | 292,969 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 3.767% | 1,180,256 | 224,899 | |
CMO Series 2019-59 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 3.767% | 1,098,649 | 195,967 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $34,567,032) | 35,074,070 | |||
Residential Mortgage-Backed Securities - Non-Agency 20.4% | ||||
Arroyo Mortgage Trust(a) | ||||
CMO Series 2018-1 Class A3 | ||||
04/25/2048 | 4.218% | 624,528 | 638,356 | |
Arroyo Mortgage Trust(a),(g) | ||||
CMO Series 2019-2 Class A3 | ||||
04/25/2049 | 3.800% | 588,240 | 594,578 | |
Banc of America Funding Trust(a),(c),(g) | ||||
CMO Series 2016-R1 Class M2 | ||||
03/25/2040 | 3.500% | 507,334 | 498,101 | |
Bayview Opportunity Master Fund IVa Trust(a) | ||||
CMO Series 2018-RN6 Class A1 | ||||
07/25/2033 | 4.090% | 270,306 | 271,849 |
20 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bayview Opportunity Master Fund IVa Trust(a),(g) | ||||
CMO Series 2019-RN2 Class A1 | ||||
03/28/2034 | 3.967% | 657,966 | 663,376 | |
Bayview Opportunity Master Fund Trust(a) | ||||
CMO Series 2018-RN8 Class A1 | ||||
09/28/2033 | 4.066% | 164,197 | 165,606 | |
Bayview Opportunity Master Fund Trust IVb(a) | ||||
CMO Series 2019-RN1 Class A1 | ||||
02/28/2034 | 4.090% | 603,434 | 614,188 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2018-2A Class M1C | ||||
1-month USD LIBOR + 1.600% 08/25/2028 | 4.004% | 400,000 | 401,616 | |
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 03/25/2029 | 3.784% | 450,295 | 450,295 | |
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 03/25/2029 | 4.154% | 700,000 | 701,040 | |
CMO Series 2019-2A Class M1B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 04/25/2029 | 3.854% | 800,000 | 800,508 | |
CAM Mortgage Trust(a) | ||||
CMO Series 2018-1 Class A1 | ||||
12/01/2065 | 3.960% | 127,055 | 127,115 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 5.154% | 500,000 | 500,601 | |
CIM Trust(a) | ||||
CMO Series 2017-6 Class A1 | ||||
06/25/2057 | 3.015% | 696,252 | 695,034 | |
CMO Series 2017-8 Class A1 | ||||
12/25/2065 | 3.000% | 421,734 | 423,929 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.080% 09/25/2058 | 3.478% | 876,759 | 869,969 | |
COLT Mortgage Loan Trust(a),(g) | ||||
CMO Series 2019-1 Class M1 | ||||
03/25/2049 | 4.518% | 500,000 | 504,286 | |
Credit Suisse Mortgage Capital Certificates(a),(g) | ||||
CMO Series 2008-4R Class 3A4 | ||||
01/26/2038 | 4.164% | 496,844 | 496,598 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit Suisse Mortgage Trust(a) | ||||
CMO Series 2018-RPL2 Class A1 | ||||
08/25/2062 | 4.030% | 177,591 | 178,010 | |
CSMC Trust(a) | ||||
CMO Series 2018-RPL8 Class A1 | ||||
07/25/2058 | 4.125% | 735,442 | 745,138 | |
CTS Corp.(a) | ||||
CMO Series 2015-6R Class 3A2 | ||||
02/27/2036 | 3.750% | 541,320 | 526,056 | |
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust | ||||
CMO Series 2003-1 Class 1A7 | ||||
04/25/2033 | 5.500% | 238,069 | 240,444 | |
Eagle RE Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 4.202% | 800,000 | 800,633 | |
Ellington Financial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2019-1 Class A3 | ||||
06/25/2059 | 3.241% | 642,000 | 644,247 | |
FMC GMSR Issuer Trust(a),(g) | ||||
CMO Series 2019-GT1 Class A | ||||
05/25/2024 | 5.070% | 1,200,000 | 1,232,914 | |
GCAT LLC(a) | ||||
CMO Series 2017-2 Class A1 | ||||
04/25/2047 | 3.500% | 173,989 | 173,810 | |
CMO Series 2018-1 Class A1 | ||||
06/25/2048 | 3.844% | 494,249 | 497,048 | |
GCAT LLC(a),(c),(e),(g) | ||||
CMO Series 2019-2 Class A1 | ||||
06/25/2024 | 3.475% | 1,000,000 | 1,000,000 | |
Grand Avenue Mortgage Loan Trust(a) | ||||
CMO Series 2017-RPL1 Class A1 | ||||
08/25/2064 | 3.250% | 696,444 | 696,044 | |
Homeward Opportunities Fund I Trust(a) | ||||
CMO Series 2018-1 Class M1 | ||||
06/25/2048 | 4.548% | 300,000 | 308,977 | |
Legacy Mortgage Asset Trust(a) | ||||
CMO Series 2017-GS1 Class A1 | ||||
01/25/2057 | 3.500% | 786,977 | 786,632 | |
New Residential Mortgage LLC(a) | ||||
Subordinated, CMO Series 2018-FNT1 Class D | ||||
05/25/2023 | 4.690% | 514,423 | 514,101 | |
New Residential Mortgage Loan Trust(a),(g) | ||||
CMO Series 2019-RPL1 Class A1 | ||||
02/26/2024 | 4.335% | 1,069,864 | 1,091,762 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2018-PLS1 Class C | ||||
01/25/2023 | 3.981% | 342,742 | 344,281 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 21 |
Table of Contents
June 30, 2019 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2018-PLS1 Class D | ||||
01/25/2023 | 4.374% | 342,742 | 344,441 | |
Subordinated, CMO Series 2018-PLS2 Class C | ||||
02/25/2023 | 4.102% | 354,521 | 357,549 | |
Subordinated, CMO Series 2018-PLS2 Class D | ||||
02/25/2023 | 4.593% | 602,686 | 607,800 | |
Oak Hill Advisors Residential Loan Trust(a) | ||||
CMO Series 2017-NPL1 Class A1 | ||||
06/25/2057 | 3.000% | 144,257 | 142,080 | |
CMO Series 2017-NPL2 Class A1 | ||||
07/25/2057 | 3.000% | 455,503 | 454,348 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 4.429% | 884,807 | 881,735 | |
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 5.162% | 996,704 | 998,345 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 5.254% | 1,500,000 | 1,502,399 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 5.054% | 1,000,000 | 1,003,529 | |
Preston Ridge Partners Mortgage LLC(a) | ||||
CMO Series 2017-2A Class A1 | ||||
09/25/2022 | 3.470% | 482,705 | 483,156 | |
CMO Series 2019-2A Class A1 | ||||
04/25/2024 | 3.967% | 687,981 | 697,980 | |
Preston Ridge Partners Mortgage LLC(a),(g) | ||||
CMO Series 2017-3A Class A1 | ||||
11/25/2022 | 3.470% | 771,101 | 772,812 | |
CMO Series 2018-3A Class A1 | ||||
10/25/2023 | 4.483% | 797,447 | 809,436 | |
CMO Series 2019-1A Class A1 | ||||
01/25/2024 | 4.500% | 1,127,550 | 1,136,278 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 02/25/2029 | 4.354% | 750,000 | 752,325 | |
Radnor RE Ltd.(a),(b) | ||||
CMO Series 2019-2 Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 06/25/2029 | 4.187% | 1,000,000 | 1,001,604 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RCO V Mortgage LLC(a) | ||||
CMO Series 2018-1 Class A1 | ||||
05/25/2023 | 4.000% | 289,211 | 290,403 | |
CMO Series 2019-1 Class A1 | ||||
05/24/2024 | 3.721% | 990,874 | 990,873 | |
RCO V Mortgage LLC(a),(g) | ||||
CMO Series 2018-2 Class A1 | ||||
10/25/2023 | 4.458% | 410,915 | 409,661 | |
Toorak Mortgage Corp., Ltd.(a),(g) | ||||
CMO Series 2019-1 Class A1 | ||||
03/25/2022 | 4.458% | 500,000 | 507,535 | |
VCAT LLC(a) | ||||
CMO Series 2019-NPL1 Class A1 | ||||
02/25/2049 | 4.360% | 479,216 | 485,419 | |
Vericrest Opportunity Loan Transferee LXII LLC(a) | ||||
CMO Series 2017-NPL9 Class A1 | ||||
09/25/2047 | 3.125% | 177,613 | 177,088 | |
Vericrest Opportunity Loan Transferee LXX LLC(a),(g) | ||||
CMO Series 2018-NPL6 Class A1A | ||||
09/25/2048 | 4.115% | 593,947 | 596,228 | |
Vericrest Opportunity Loan Transferee LXXI LLC(a) | ||||
CMO Series 2018-NPL7 Class A1A | ||||
09/25/2048 | 3.967% | 373,943 | 376,816 | |
Vericrest Opportunity Loan Transferee LXXII LLC(a) | ||||
CMO Series 2018-NPL8 Class A1B | ||||
10/26/2048 | 4.655% | 300,000 | 304,348 | |
Vericrest Opportunity Loan Transferee LXXV LLC(a) | ||||
CMO Series 2019-NPL1 Class A1A | ||||
01/25/2049 | 4.336% | 911,338 | 919,032 | |
Verus Securitization Trust(a) | ||||
CMO Series 2018-1 Class A3 | ||||
02/25/2048 | 3.205% | 303,226 | 303,652 | |
Verus Securitization Trust(a),(g) | ||||
CMO Series 2019-1 Class A1 | ||||
02/25/2059 | 3.836% | 212,212 | 215,510 | |
CMO Series 2019-1 Class A3 | ||||
02/25/2059 | 4.040% | 235,280 | 238,922 | |
CMO Series 2019-2 Class A2 | ||||
04/25/2059 | 3.345% | 385,385 | 388,321 | |
CMO Series 2019-2 Class A3 | ||||
04/25/2059 | 3.448% | 385,385 | 388,320 | |
CMO Series 2019-2 Class M1 | ||||
04/25/2059 | 3.781% | 400,000 | 402,424 | |
CMO Series 2019-INV1 Class A3 | ||||
12/25/2059 | 3.658% | 481,255 | 491,586 | |
Visio Trust(a),(g) | ||||
CMO Series 2019-1 Class A2 | ||||
06/25/2054 | 3.673% | 198,400 | 198,905 |
22 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-1 Class A3 | ||||
06/25/2054 | 3.825% | 198,400 | 198,907 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $38,741,729) | 39,026,909 | |||
Senior Loans 6.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.3% | ||||
American Airlines, Inc.(b),(o),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.000% 10/10/2021 | 500,000 | 497,985 | ||
Brokerage/Asset Managers/Exchanges 0.2% | ||||
Victory Capital Holdings, Inc.(b),(o),(p) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.250% 06/07/2026 | 400,000 | 400,168 | ||
Cable and Satellite 0.5% | ||||
Cogeco Communications (U.S.A.) II LP(b),(p) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.250% 01/03/2025 | 4.652% | 49,500 | 48,978 | |
MCC Iowa LLC(b),(o),(p) | ||||
Tranche M Term Loan | ||||
3-month USD LIBOR + 2.000% 01/15/2025 | 498,731 | 496,861 | ||
Virgin Media Bristol LLC(b),(o),(p) | ||||
Tranche K Term Loan | ||||
3-month USD LIBOR + 2.500% 01/15/2026 | 500,000 | 497,835 | ||
Total | 1,043,674 | |||
Chemicals 0.5% | ||||
ColourOz Investment 1 GmbH(b),(p) | ||||
Tranche C 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 09/07/2021 | 5.581% | 68,940 | 57,048 | |
ColourOz Investment 2 LLC(b),(p) | ||||
Tranche B2 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 09/07/2021 | 5.581% | 417,030 | 345,092 | |
Kraton Polymers LLC(b),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 1.000% 03/08/2025 | 4.902% | 108,944 | 108,508 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Starfruit Finco BV/US Holdco LLC/AzkoNobel(b),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 10/01/2025 | 5.669% | 500,000 | 491,460 | |
Total | 1,002,108 | |||
Consumer Cyclical Services 0.4% | ||||
Uber Technologies, Inc.(b),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% 07/13/2023 | 5.904% | 720,040 | 718,988 | |
Electric 0.2% | ||||
Astoria Energy LLC(b),(p) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 12/24/2021 | 6.410% | 468,250 | 467,197 | |
Food and Beverage 0.0% | ||||
8th Avenue Food & Provisions, Inc.(b),(p) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 10/01/2025 | 6.169% | 34,433 | 34,401 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.750% 10/01/2026 | 10.169% | 63,566 | 63,248 | |
Total | 97,649 | |||
Gaming 0.2% | ||||
Affinity Gaming(b),(p) | ||||
2nd Lien Term Loan | ||||
3-month USD LIBOR + 8.250% Floor 1.000% 01/31/2025 | 10.652% | 500,000 | 475,625 | |
Media and Entertainment 0.5% | ||||
Gray Television, Inc.(b),(o),(p) | ||||
Tranche C Term Loan | ||||
3-month USD LIBOR + 2.500% 01/02/2026 | 498,747 | 497,999 | ||
Meredith Corp.(b),(o),(p) | ||||
Tranche B1 Term Loan | ||||
3-month USD LIBOR + 2.750% 01/31/2025 | 467,033 | 466,374 | ||
Total | 964,373 | |||
Metals and Mining 0.0% | ||||
Big River Steel LLC(b),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 7.330% | 17,250 | 17,293 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 23 |
Table of Contents
June 30, 2019 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Oil Field Services 0.3% | ||||
Fieldwood Energy LLC(b),(p) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 5.250% Floor 1.000% 04/11/2022 | 7.652% | 275,952 | 254,996 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.250% Floor 1.000% 04/11/2023 | 9.652% | 372,536 | 309,205 | |
Total | 564,201 | |||
Packaging 0.2% | ||||
ProAmpac PG Borrower LLC(b),(p) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 11/20/2023 | 5.992% | 475,000 | 455,112 | |
Pharmaceuticals 0.3% | ||||
Grifols Worldwide Operations Ltd.(b),(o),(p) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.250% 01/31/2025 | 498,724 | 497,079 | ||
Property & Casualty 0.3% | ||||
Asurion LLC(b),(o),(p) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 3.000% 08/04/2022 | 498,565 | 497,139 | ||
Restaurants 0.3% | ||||
New Red Finance, Inc./Burger King/Tim Hortons(b),(p) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 2.250% Floor 1.000% 02/16/2024 | 4.652% | 498,724 | 494,570 | |
Retailers 0.5% | ||||
Academy Ltd.(b),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 07/01/2022 | 6.440% | 552,739 | 392,998 | |
Party City Holdings, Inc.(b),(o),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 0.750% 08/19/2022 | 498,074 | 494,248 | ||
Total | 887,246 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Supermarkets 0.3% | ||||
Albertsons LLC(b),(p) | ||||
Tranche B7 Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 0.750% 11/17/2025 | 5.402% | 498,747 | 495,909 | |
Technology 1.0% | ||||
Ascend Learning LLC(b),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 5.402% | 56,306 | 55,408 | |
Greeneden US Holdings I LLC/Genesys Telecommunications Laboratories, Inc.(b),(p) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 3.250% 12/01/2023 | 5.652% | 74,246 | 73,318 | |
Hyland Software, Inc.(b),(p) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 0.750% 07/01/2024 | 5.652% | 481,319 | 477,709 | |
ION Trading Technologies SARL(b),(p) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 11/21/2024 | 6.651% | 487,956 | 472,010 | |
Plantronics, Inc.(b),(p) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.500% 07/02/2025 | 4.902% | 500,000 | 496,460 | |
Project Alpha Intermediate Holding, Inc.(b),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 04/26/2024 | 6.370% | 19,458 | 18,826 | |
3-month USD LIBOR + 4.250% 04/26/2024 | 6.780% | 59,182 | 58,738 | |
SCS Holdings I, Inc./Sirius Computer Solutions, Inc.(b),(o),(p) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.500% 05/22/2026 | 300,000 | 299,124 | ||
Total | 1,951,593 | |||
Total Senior Loans (Cost $11,909,112) | 11,527,909 | |||
24 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Treasury Bills(j) 0.4% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
Argentina 0.2% | ||||
Argentina Treasury Bill | ||||
09/27/2019 | 3.690% | 450,748 | 446,639 | |
Nigeria 0.2% | ||||
Nigeria OMO Bill | ||||
02/20/2020 | 12.720% | NGN | 75,000,000 | 192,181 |
Nigeria Treasury Bill | ||||
01/16/2020 | 12.460% | NGN | 33,000,000 | 85,641 |
Total | 277,822 | |||
Total Treasury Bills (Cost $718,627) | 724,461 | |||
U.S. Treasury Obligations 0.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2048 | 3.000% | 340,000 | 372,884 | |
Total U.S. Treasury Obligations (Cost $337,237) | 372,884 |
Options Purchased Calls 0.5% | ||||
Value ($) | ||||
(Cost $228,000) | 1,043,052 |
Money Market Funds 1.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(q),(r) | 3,347,635 | 3,347,300 |
Total Money Market Funds (Cost $3,347,300) | 3,347,300 | |
Total Investments in Securities (Cost: $212,618,714) | 218,194,591 | |
Other Assets & Liabilities, Net | (27,027,651) | |
Net Assets | 191,166,940 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
538,852 MXN | 27,983 USD | Morgan Stanley | 08/02/2019 | 55 | — |
604,077 EUR | 690,155 USD | UBS | 08/02/2019 | 1,440 | — |
Total | 1,495 | — |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 5-Year Note | 47 | 09/2019 | USD | 5,553,344 | 93,723 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
90-Day Euro$ | (120) | 06/2020 | USD | (29,514,000) | — | (39,265) |
Euro-Bobl | (158) | 09/2019 | EUR | (21,241,520) | — | (111,811) |
U.S. Treasury 10-Year Note | (255) | 09/2019 | USD | (32,632,031) | — | (527,547) |
U.S. Ultra Treasury Bond | (17) | 09/2019 | USD | (3,018,563) | — | (157,288) |
Total | — | (835,911) |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 | 25 |
Table of Contents
June 30, 2019 (Unaudited)
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 20,000,000 | 20,000,000 | 2.50 | 03/04/2020 | 228,000 | 1,043,052 |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
3-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (20,000,000) | (20,000,000) | 2.25 | 7/24/2019 | (45,500) | (313,192) |
3-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | (18,000,000) | (18,000,000) | 1.50 | 12/20/2019 | (94,050) | (76,657) |
Total | (139,550) | (389,849) |
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 | (51,394) | — | — | — | — | (51,394) |
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 | (19,415) | — | — | — | — | (19,415) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.953% | Receives at Maturity, Pays at Maturity | JPMorgan | 01/08/2029 | USD | 1,700,000 | (8,271) | — | — | — | — | (8,271) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.900% | Receives at Maturity, Pays at Maturity | JPMorgan | 06/27/2029 | USD | 1,900,000 | 5,905 | — | — | — | 5,905 | — |
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 | (54,600) | — | — | — | — | (54,600) |
Total | (127,775) | — | — | — | 5,905 | (133,680) |
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 ($) |
28-Day MXN TIIE-Banxico | Fixed rate of 8.100% | Receives at Maturity, Pays at Maturity | Morgan Stanley | 05/31/2021 | MXN | 61,000,000 | (32,105) | — | — | — | (32,105) |
28-Day MXN TIIE-Banxico | Fixed rate of 8.130% | Receives at Maturity, Pays at Maturity | Morgan Stanley | 06/01/2021 | MXN | 62,901,087 | (35,081) | — | — | — | (35,081) |
Fixed rate of 6.361% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 10/24/2025 | MXN | 17,000,000 | (45,773) | — | — | — | (45,773) |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/21/2026 | MXN | 8,000,000 | (30,771) | — | — | — | (30,771) |
Fixed rate of 5.960% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 02/02/2026 | MXN | 20,000,000 | (79,947) | — | — | — | (79,947) |
Total | (223,677) | — | — | — | (223,677) |
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Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 500,000 | 15,520 | (167) | 21,391 | — | — | (6,038) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 1,000,000 | 31,041 | (333) | 58,428 | — | — | (27,720) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 1,000,000 | 31,041 | (333) | 60,186 | — | — | (29,478) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 1,000,000 | 44,600 | (333) | 56,660 | — | — | (12,393) |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 500,000 | 22,300 | (167) | 25,916 | — | — | (3,783) |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 1,000,000 | 44,600 | (333) | 52,676 | — | — | (8,409) |
Total | 189,102 | (1,666) | 275,257 | — | — | (87,821) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 32 | Morgan Stanley | 06/20/2024 | 5.000 | Quarterly | USD | 12,870,000 | (239,929) | — | — | — | (239,929) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 8.489% |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 1.649% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2019, the total value of these securities amounted to $111,791,896, which represents 58.48% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2019. |
(c) | Valuation based on significant unobservable inputs. |
(d) | Represents shares owned in the residual interest of an asset-backed securitization. |
(e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2019, the total value of these securities amounted to $1,620,153, which represents 0.85% of total net assets. |
(f) | Zero coupon bond. |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2019. |
(h) | Non-income producing investment. |
(i) | Negligible market value. |
(j) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(k) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2019. |
(l) | Represents a security purchased on a when-issued basis. |
(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) | Represents a security purchased on a forward commitment basis. |
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(p) | The stated interest rate represents the weighted average interest rate at June 30, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. |
(q) | The rate shown is the seven-day current annualized yield at June 30, 2019. |
(r) | 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 period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | ||||||||
11,194,472 | 32,363,375 | (40,210,212) | 3,347,635 | (72) | — | 119,787 | 3,347,300 |
CMO | Collateralized Mortgage Obligation |
PIK | Payment In Kind |
BRL | Brazilian Real |
DOP | Dominican Republic Peso |
EUR | Euro |
MXN | Mexican Peso |
NGN | Nigerian Naira |
USD | US Dollar |
ZAR | South African Rand |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
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Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Securities | |||||
Asset-Backed Securities — Non-Agency | — | 20,864,159 | 2,214,903 | — | 23,079,062 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 8,520,386 | — | — | 8,520,386 |
Common Stocks | |||||
Energy | — | 271,311 | — | — | 271,311 |
Financials | — | — | — | — | — |
Utilities | — | 8,063 | — | — | 8,063 |
Total Common Stocks | — | 279,374 | — | — | 279,374 |
Corporate Bonds & Notes | — | 77,647,107 | — | — | 77,647,107 |
Foreign Government Obligations | — | 16,585,329 | — | — | 16,585,329 |
Inflation-Indexed Bonds | — | 966,748 | — | — | 966,748 |
Residential Mortgage-Backed Securities - Agency | — | 35,074,070 | — | — | 35,074,070 |
Residential Mortgage-Backed Securities - Non-Agency | — | 36,884,561 | 2,142,348 | — | 39,026,909 |
Senior Loans | — | 11,527,909 | — | — | 11,527,909 |
Treasury Bills | — | 724,461 | — | — | 724,461 |
U.S. Treasury Obligations | 372,884 | — | — | — | 372,884 |
Options Purchased Calls | — | 1,043,052 | — | — | 1,043,052 |
Money Market Funds | — | — | — | 3,347,300 | 3,347,300 |
Total Investments in Securities | 372,884 | 210,117,156 | 4,357,251 | 3,347,300 | 218,194,591 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 1,495 | — | — | 1,495 |
Futures Contracts | 93,723 | — | — | — | 93,723 |
Swap Contracts | — | 5,905 | — | — | 5,905 |
Liability | |||||
Futures Contracts | (835,911) | — | — | — | (835,911) |
Options Contracts Written | — | (389,849) | — | — | (389,849) |
Swap Contracts | — | (685,107) | — | — | (685,107) |
Total | (369,304) | 209,049,600 | 4,357,251 | 3,347,300 | 216,384,847 |
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See the Portfolio of Investments for all investment classifications not indicated in the table.
Balance as of 12/31/2018 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 06/30/2019 ($) | |
Asset-Backed Securities — Non-Agency | 1,038,591 | 1,988 | — | (25,676) | 1,200,000 | — | — | — | 2,214,903 |
Residential Mortgage-Backed Securities — Non-Agency | 790,316 | 340 | — | 5,665 | 1,641,996 | — | — | (295,969) | 2,142,348 |
Total | 1,828,907 | 2,328 | — | (20,011) | 2,841,996 | — | — | (295,969) | 4,357,251 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $209,043,414) | $213,804,239 |
Affiliated issuers (cost $3,347,300) | 3,347,300 |
Options purchased (cost $228,000) | 1,043,052 |
Cash | 341,480 |
Foreign currency (cost $86) | 85 |
Margin deposits on: | |
Futures contracts | 552,541 |
Swap contracts | 427,705 |
Unrealized appreciation on forward foreign currency exchange contracts | 1,495 |
Unrealized appreciation on swap contracts | 5,905 |
Upfront payments on swap contracts | 275,257 |
Receivable for: | |
Investments sold | 1,012,904 |
Investments sold on a delayed delivery basis | 23,254,461 |
Capital shares sold | 42,480 |
Dividends | 13,369 |
Interest | 1,628,244 |
Foreign tax reclaims | 4,305 |
Variation margin for futures contracts | 10,687 |
Variation margin for swap contracts | 7,942 |
Expense reimbursement due from Investment Manager | 8,708 |
Trustees’ deferred compensation plan | 85,992 |
Total assets | 245,868,151 |
Liabilities | |
Option contracts written, at value (premiums received $139,550) | 389,849 |
Unrealized depreciation on swap contracts | 221,501 |
Payable for: | |
Investments purchased | 430,875 |
Investments purchased on a delayed delivery basis | 53,129,128 |
Capital shares purchased | 84,002 |
Variation margin for futures contracts | 20,545 |
Variation margin for swap contracts | 153,384 |
Management services fees | 87,388 |
Distribution and/or service fees | 16,098 |
Service fees | 10,217 |
Compensation of board members | 1,016 |
Compensation of chief compliance officer | 16 |
Other expenses | 71,200 |
Trustees’ deferred compensation plan | 85,992 |
Total liabilities | 54,701,211 |
Net assets applicable to outstanding capital stock | $191,166,940 |
Represented by | |
Paid in capital | 179,585,257 |
Total distributable earnings (loss) | 11,581,683 |
Total - representing net assets applicable to outstanding capital stock | $191,166,940 |
Class 1 | |
Net assets | $106,616,099 |
Shares outstanding | 24,717,006 |
Net asset value per share | $4.31 |
Class 2 | |
Net assets | $84,550,841 |
Shares outstanding | 19,826,584 |
Net asset value per share | $4.26 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $130,651 |
Dividends — affiliated issuers | 119,787 |
Interest | 4,309,022 |
Total income | 4,559,460 |
Expenses: | |
Management services fees | 529,334 |
Distribution and/or service fees | |
Class 2 | 93,308 |
Service fees | 48,597 |
Compensation of board members | 8,323 |
Custodian fees | 35,142 |
Printing and postage fees | 9,694 |
Audit fees | 26,640 |
Legal fees | 1,865 |
Interest on collateral | 2,295 |
Compensation of chief compliance officer | 34 |
Other | 5,845 |
Total expenses | 761,077 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (68,386) |
Total net expenses | 692,691 |
Net investment income | 3,866,769 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (40,307) |
Investments — affiliated issuers | (72) |
Foreign currency translations | 8,063 |
Forward foreign currency exchange contracts | 58,152 |
Futures contracts | (1,527,537) |
Options purchased | 221,000 |
Options contracts written | (570,077) |
Swap contracts | 255,209 |
Net realized loss | (1,595,569) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 11,026,301 |
Foreign currency translations | 966 |
Forward foreign currency exchange contracts | (35,180) |
Futures contracts | (794,783) |
Options purchased | 782,281 |
Options contracts written | (285,586) |
Swap contracts | (497,259) |
Net change in unrealized appreciation (depreciation) | 10,196,740 |
Net realized and unrealized gain | 8,601,171 |
Net increase in net assets resulting from operations | $12,467,940 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $3,866,769 | $7,364,544 |
Net realized loss | (1,595,569) | (171,406) |
Net change in unrealized appreciation (depreciation) | 10,196,740 | (7,936,940) |
Net increase (decrease) in net assets resulting from operations | 12,467,940 | (743,802) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (3,438,395) |
Class 2 | — | (2,217,129) |
Total distributions to shareholders | — | (5,655,524) |
Increase in net assets from capital stock activity | 10,407,275 | 11,002,638 |
Total increase in net assets | 22,875,215 | 4,603,312 |
Net assets at beginning of period | 168,291,725 | 163,688,413 |
Net assets at end of period | $191,166,940 | $168,291,725 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 222,014 | 941,700 | 677,059 | 2,758,715 |
Distributions reinvested | — | — | 848,986 | 3,438,395 |
Redemptions | (321,710) | (1,355,186) | (605,434) | (2,483,158) |
Net increase (decrease) | (99,696) | (413,486) | 920,611 | 3,713,952 |
Class 2 | ||||
Subscriptions | 3,572,462 | 14,913,732 | 5,051,153 | 20,665,730 |
Distributions reinvested | — | — | 552,900 | 2,217,129 |
Redemptions | (978,537) | (4,092,971) | (3,819,211) | (15,594,173) |
Net increase | 2,593,925 | 10,820,761 | 1,784,842 | 7,288,686 |
Total net increase | 2,494,229 | 10,407,275 | 2,705,453 | 11,002,638 |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $4.02 | 0.09 | 0.20 | 0.29 | — | — | — |
Year Ended 12/31/2018 | $4.18 | 0.19 | (0.21) | (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)(e) | 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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $3.98 | 0.09 | 0.19 | 0.28 | — | — | — |
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)(e) | 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) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $4.31 | 7.21% | 0.76%(c),(d) | 0.68%(c),(d) | 4.49%(c) | 109% | $106,616 |
Year Ended 12/31/2018 | $4.02 | (0.39%) | 0.77%(d) | 0.69%(d) | 4.49% | 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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $4.26 | 7.04% | 1.01%(c),(d) | 0.93%(c),(d) | 4.24%(c) | 109% | $84,551 |
Year Ended 12/31/2018 | $3.98 | (0.64%) | 1.02%(d) | 0.94%(d) | 4.24% | 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 | Upfront payments on swap contracts | 275,257 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,495 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 93,723* |
Interest rate risk | Investments, at value — Options purchased | 1,043,052 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 5,905* |
Total | 1,419,432 |
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Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 327,750* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 835,911* |
Interest rate risk | Options contracts written, at value | 389,849 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 357,357* |
Total | 1,910,867 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Equity risk | — | — | — | — | (42,825) | (42,825) |
Foreign exchange risk | 58,152 | — | — | — | — | 58,152 |
Interest rate risk | — | (1,527,537) | (570,077) | 221,000 | 298,034 | (1,578,580) |
Total | 58,152 | (1,527,537) | (570,077) | 221,000 | 255,209 | (1,563,253) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (328,789) | (328,789) |
Foreign exchange risk | (35,180) | — | — | — | — | (35,180) |
Interest rate risk | — | (794,783) | (285,586) | 782,281 | (168,470) | (466,558) |
Total | (35,180) | (794,783) | (285,586) | 782,281 | (497,259) | (830,527) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,776,672 |
Futures contracts — short | 93,467,586 |
Credit default swap contracts — buy protection | 18,120,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 844,186 |
Options contracts — written | (255,066) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 16,361 | (9,820) |
Interest rate swap contracts | 141,593 | (313,895) |
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* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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Citi ($)(a) | Citi ($)(a) | Goldman Sachs ($) | JPMorgan ($)(a) | JPMorgan ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | |||||||||
Centrally cleared interest rate swap contracts(b) | - | - | - | - | - | - | 7,942 | - | 7,942 |
Forward foreign currency exchange contracts | - | - | - | - | - | 55 | - | 1,440 | 1,495 |
Options purchased calls | 1,043,052 | - | - | - | - | - | - | - | 1,043,052 |
OTC credit default swap contracts(c) | - | 121,036 | - | - | 66,400 | - | - | - | 187,436 |
OTC interest rate swap contracts(c) | - | - | - | 5,905 | - | - | - | - | 5,905 |
Total assets | 1,043,052 | 121,036 | - | 5,905 | 66,400 | 55 | 7,942 | 1,440 | 1,245,830 |
Liabilities | |||||||||
Centrally cleared credit default swap contracts(b) | - | - | - | - | - | - | 141,164 | - | 141,164 |
Centrally cleared interest rate swap contracts(b) | - | - | - | - | - | - | 12,220 | - | 12,220 |
Options contracts written | 313,192 | - | - | - | - | 76,657 | - | - | 389,849 |
OTC interest rate swap contracts(c) | - | - | 51,394 | 27,686 | - | 54,600 | - | - | 133,680 |
Total liabilities | 313,192 | - | 51,394 | 27,686 | - | 131,257 | 153,384 | - | 676,913 |
Total financial and derivative net assets | 729,860 | 121,036 | (51,394) | (21,781) | 66,400 | (131,202) | (145,442) | 1,440 | 568,917 |
Total collateral received (pledged)(d) | 504,000 | - | - | - | - | - | (145,442) | - | 358,558 |
Net amount(e) | 225,860 | 121,036 | (51,394) | (21,781) | 66,400 | (131,202) | - | 1,440 | 210,359 |
(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, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.69% | 0.67% |
Class 2 | 0.94 | 0.92 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
212,894,000 | 7,615,000 | (3,710,000) | 3,905,000 |
48 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
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2019 ($) | No expiration short-term ($) | No expiration long-term ($) | Total ($) |
— | — | 1,346,728 | 1,346,728 |
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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, 2020 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
52 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
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• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
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54 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
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56 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2019 |
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Average annual total returns (%) (for the period ended June 30, 2019) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | 12.82 | 6.92 | 11.30 | |
Class 2 | 11/02/16 | 12.73 | 6.84 | 11.26 | |
Blended Benchmark | 14.25 | 9.97 | 11.34 | ||
S&P 500 Index | 18.54 | 10.42 | 15.89 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11 | 7.87 | 2.70 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Portfolio Allocation (%) (at June 30, 2019) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 53.8 |
U.S. Large Cap | 53.8 |
Underlying Funds: Fixed-Income Funds | 11.8 |
High Yield | 0.7 |
Investment Grade | 11.1 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 6.6 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 18.8 |
Options Purchased Puts | 0.7 |
Residential Mortgage-Backed Securities - Agency | 8.3 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $485.3 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2019 |
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January 1, 2019 — June 30, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,052.30(a) | 1,023.05 | 1.07(a) | 1.49 | 0.30(a) | 2.57(a) | 3.57 | 0.72(a) |
Class 2 | 1,000.00 | 1,000.00 | 1,127.30 | 1,021.87 | 2.82 | 2.68 | 0.54 | 5.01 | 4.76 | 0.96 |
(a) | Based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2019 | 5 |
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Equity Funds 58.3% | ||
Shares | Value ($) | |
U.S. Large Cap 58.3% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,870,669 | 154,642,974 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 13,228,822 | 309,289,854 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 6,228,404 | 156,083,817 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 4,456,684 | 154,869,770 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 4,346,812 | 154,703,031 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 6,445,152 | 154,748,098 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 14,106,178 | 308,925,291 |
Total | 1,393,262,835 | |
Total Equity Funds (Cost $1,197,588,477) | 1,393,262,835 | |
Exchange-Traded Funds 7.2% | ||
iShares Core U.S. Aggregate Bond ETF | 481,000 | 53,559,350 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 817,600 | 101,684,912 |
SPDR S&P 500 ETF Trust | 14,500 | 4,248,500 |
Vanguard Total Bond Market ETF | 144,000 | 11,962,080 |
Total Exchange-Traded Funds (Cost $159,303,596) | 171,454,842 | |
Fixed-Income Funds 12.7% | ||
High Yield 0.7% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 2,452,476 | 17,854,023 |
Investment Grade 12.0% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 5,802,807 | 60,581,308 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 1,852,647 | 17,692,777 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 1,395,545 | 14,569,489 |
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 1,701,225 | 17,709,758 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 5,506,400 | 59,303,929 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 5,262,517 | 56,519,432 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 798,919 | 8,125,007 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 4,810,135 | 52,430,470 |
Total | 286,932,170 | |
Total Fixed-Income Funds (Cost $301,339,848) | 304,786,193 |
Residential Mortgage-Backed Securities - Agency 9.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
08/13/2049 | 3.500% | 35,000,000 | 35,776,078 | |
08/13/2049 | 4.000% | 174,030,000 | 179,811,738 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $215,605,460) | 215,587,816 |
Options Purchased Puts 0.7% | ||||
Value ($) | ||||
(Cost $29,639,047) | 16,844,325 |
Money Market Funds 20.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(a),(d) | 485,398,332 | 485,349,792 |
Total Money Market Funds (Cost $485,350,569) | 485,349,792 | |
Total Investments in Securities (Cost: $2,388,826,997) | 2,587,285,803 | |
Other Assets & Liabilities, Net | (196,739,746) | |
Net Assets | 2,390,546,057 |
6 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 E-mini | 2,353 | 09/2019 | USD | 346,385,130 | 5,527,452 | — |
S&P 500 Index | 21 | 09/2019 | USD | 15,457,050 | 258,485 | — |
U.S. Long Bond | 172 | 09/2019 | USD | 26,762,125 | 1,053,391 | — |
U.S. Treasury 10-Year Note | 330 | 09/2019 | USD | 42,229,688 | 1,001,637 | — |
U.S. Treasury 2-Year Note | 189 | 09/2019 | USD | 40,668,961 | 282,387 | — |
U.S. Treasury 5-Year Note | 513 | 09/2019 | USD | 60,614,156 | 962,892 | — |
U.S. Ultra Treasury Bond | 114 | 09/2019 | USD | 20,242,125 | 1,008,542 | — |
Total | 10,094,786 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 183,860,000 | 625 | 2,150.00 | 06/19/2020 | 4,524,324 | 1,575,000 |
S&P 500 Index | Deutsche Bank | USD | 305,943,040 | 1,040 | 2,100.00 | 12/18/2020 | 9,572,006 | 4,056,000 |
S&P 500 Index | Deutsche Bank | USD | 167,680,320 | 570 | 2,350.00 | 12/18/2020 | 3,971,932 | 3,913,050 |
S&P 500 Index | Deutsche Bank | USD | 186,801,760 | 635 | 2,300.00 | 12/18/2020 | 4,910,825 | 3,895,725 |
S&P 500 Index | Deutsche Bank | USD | 105,903,360 | 360 | 2,200.00 | 12/18/2020 | 2,896,044 | 1,765,800 |
S&P 500 Index | Deutsche Bank | USD | 139,733,600 | 475 | 2,050.00 | 12/18/2020 | 3,763,916 | 1,638,750 |
Total | 29,639,047 | 16,844,325 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | |||||||||
341,988,289 | 235,013,475 | (91,603,432) | 485,398,332 | — | (4,973) | 3,593 | 5,117,635 | 485,349,792 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
2,287,205 | 583,464 | — | 2,870,669 | — | — | 17,051,647 | — | 154,642,974 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
1,789,814 | 662,672 | (10) | 2,452,476 | — | (4) | 605,465 | 884,025 | 17,854,023 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
4,362,365 | 1,440,571 | (129) | 5,802,807 | — | (17) | 1,668,341 | 1,919,971 | 60,581,308 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
10,801,333 | 2,427,489 | — | 13,228,822 | — | — | 42,305,024 | — | 309,289,854 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
1,376,415 | 476,262 | (30) | 1,852,647 | — | 1 | 392,759 | 410,785 | 17,692,777 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
1,135,170 | 260,413 | (38) | 1,395,545 | — | (20) | 1,281,222 | 401,672 | 14,569,489 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
4,898,888 | 1,329,516 | — | 6,228,404 | — | — | 16,910,320 | — | 156,083,817 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
1,262,633 | 438,628 | (36) | 1,701,225 | — | (2) | 225,675 | 480,932 | 17,709,758 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2019 | 7 |
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June 30, 2019 (Unaudited)
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® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
3,987,227 | 1,519,276 | (103) | 5,506,400 | — | (19) | 242,019 | 3,360,286 | 59,303,929 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
3,741,592 | 715,092 | — | 4,456,684 | — | — | 25,176,242 | — | 154,869,770 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
3,827,882 | 518,965 | (35) | 4,346,812 | — | (3) | 30,770,085 | — | 154,703,031 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
5,136,458 | 1,308,694 | — | 6,445,152 | — | — | 18,580,480 | — | 154,748,098 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
3,968,147 | 1,294,477 | (107) | 5,262,517 | — | 2 | 1,557,018 | 1,511,537 | 56,519,432 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
588,142 | 210,790 | (13) | 798,919 | — | — | 91,646 | 84,456 | 8,125,007 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
3,634,359 | 1,175,875 | (99) | 4,810,135 | — | (23) | 1,546,499 | 1,253,489 | 52,430,470 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
11,295,566 | 2,810,612 | — | 14,106,178 | — | — | 37,016,189 | — | 308,925,291 | |
Total | — | (5,058) | 195,424,224 | 15,424,788 | 2,183,398,820 |
(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 June 30, 2019. |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
8 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2019 |
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Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction. 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 | |||||
Equity Funds | — | — | — | 1,393,262,835 | 1,393,262,835 |
Exchange-Traded Funds | 171,454,842 | — | — | — | 171,454,842 |
Fixed-Income Funds | — | — | — | 304,786,193 | 304,786,193 |
Residential Mortgage-Backed Securities - Agency | — | 215,587,816 | — | — | 215,587,816 |
Options Purchased Puts | 16,844,325 | — | — | — | 16,844,325 |
Money Market Funds | — | — | — | 485,349,792 | 485,349,792 |
Total Investments in Securities | 188,299,167 | 215,587,816 | — | 2,183,398,820 | 2,587,285,803 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 10,094,786 | — | — | — | 10,094,786 |
Total | 198,393,953 | 215,587,816 | — | 2,183,398,820 | 2,597,380,589 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2019 | 9 |
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June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $374,909,056) | $387,042,658 |
Affiliated issuers (cost $1,984,278,894) | 2,183,398,820 |
Options purchased (cost $29,639,047) | 16,844,325 |
Margin deposits on: | |
Futures contracts | 15,747,393 |
Receivable for: | |
Investments sold on a delayed delivery basis | 215,926,585 |
Capital shares sold | 1,976,051 |
Dividends | 896,475 |
Interest | 272,873 |
Variation margin for futures contracts | 1,644,882 |
Prepaid expenses | 1 |
Trustees’ deferred compensation plan | 25,426 |
Other assets | 1,643 |
Total assets | 2,823,777,132 |
Liabilities | |
Due to custodian | 118 |
Payable for: | |
Investments purchased | 1,306,754 |
Investments purchased on a delayed delivery basis | 431,545,191 |
Capital shares purchased | 109,259 |
Variation margin for futures contracts | 50,258 |
Management services fees | 14,436 |
Distribution and/or service fees | 16,262 |
Service fees | 106,331 |
Compensation of board members | 128 |
Compensation of chief compliance officer | 132 |
Other expenses | 56,780 |
Trustees’ deferred compensation plan | 25,426 |
Total liabilities | 433,231,075 |
Net assets applicable to outstanding capital stock | $2,390,546,057 |
Represented by | |
Trust capital | $2,390,546,057 |
Total - representing net assets applicable to outstanding capital stock | $2,390,546,057 |
Class 1 | |
Net assets | $8,658 |
Shares outstanding | 652 |
Net asset value per share | $13.28 |
Class 2 | |
Net assets | $2,390,537,399 |
Shares outstanding | 180,073,303 |
Net asset value per share | $13.28 |
10 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2019 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,066,959 |
Dividends — affiliated issuers | 15,424,788 |
Interest | 118,584 |
Total income | 17,610,331 |
Expenses: | |
Management services fees | 2,245,030 |
Distribution and/or service fees | |
Class 2 | 2,529,829 |
Service fees | 609,514 |
Compensation of board members | 20,146 |
Custodian fees | 28,751 |
Printing and postage fees | 15,442 |
Audit fees | 14,500 |
Legal fees | 20,635 |
Compensation of chief compliance officer | 359 |
Other | 18,382 |
Total expenses | 5,502,588 |
Net investment income | 12,107,743 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 4,326,429 |
Investments — affiliated issuers | (5,058) |
Futures contracts | 15,534,569 |
Options purchased | 3,727,725 |
Net realized gain | 23,583,665 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 10,445,249 |
Investments — affiliated issuers | 195,424,224 |
Futures contracts | 17,841,716 |
Options purchased | (23,170,642) |
Net change in unrealized appreciation (depreciation) | 200,540,547 |
Net realized and unrealized gain | 224,124,212 |
Net increase in net assets resulting from operations | $236,231,955 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2019 | 11 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $12,107,743 | $4,969,167 |
Net realized gain (loss) | 23,583,665 | (16,317,518) |
Net change in unrealized appreciation (depreciation) | 200,540,547 | (76,841,372) |
Net increase (decrease) in net assets resulting from operations | 236,231,955 | (88,189,723) |
Increase in net assets from capital stock activity | 448,787,331 | 795,420,956 |
Total increase in net assets | 685,019,286 | 707,231,233 |
Net assets at beginning of period | 1,705,526,771 | 998,295,538 |
Net assets at end of period | $2,390,546,057 | $1,705,526,771 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited)(a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 653 | 8,413 | — | — |
Redemptions | (1) | (14) | — | — |
Net increase | 652 | 8,399 | — | — |
Class 2 | ||||
Subscriptions | 35,328,627 | 449,786,676 | 63,716,875 | 799,021,512 |
Redemptions | (78,536) | (1,007,744) | (287,934) | (3,600,556) |
Net increase | 35,250,091 | 448,778,932 | 63,428,941 | 795,420,956 |
Total net increase | 35,250,743 | 448,787,331 | 63,428,941 | 795,420,956 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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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 | ||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $12.62 | 0.16 | 0.50 | 0.66 |
Class 2 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $11.78 | 0.07 | 1.43 | 1.50 |
Year Ended 12/31/2018 | $12.26 | 0.05 | (0.53) | (0.48) |
Year Ended 12/31/2017 | $10.35 | 0.02 | 1.89 | 1.91 |
Year Ended 12/31/2016(e) | $10.00 | (0.01) | 0.36 | 0.35 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
(e) | The Fund commenced operations on November 2, 2016. Per share data and total return reflect activity from that date. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $13.28 | 5.23% | 0.30%(d) | 0.30%(d) | 3.73%(d) | 58% | $9 |
Class 2 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $13.28 | 12.73% | 0.54%(d) | 0.54%(d) | 1.20%(d) | 58% | $2,390,537 |
Year Ended 12/31/2018 | $11.78 | (3.92%) | 0.55% | 0.55% | 0.38% | 44% | $1,705,527 |
Year Ended 12/31/2017 | $12.26 | 18.45% | 0.55% | 0.55% | 0.17% | 9% | $998,296 |
Year Ended 12/31/2016(e) | $10.35 | 3.50% | 0.63%(d) | 0.63%(d) | (0.26%)(d) | 12% | $166,632 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 5,785,937* |
Equity risk | Investments, at value — Options Purchased | 16,844,325 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 4,308,849* |
Total | 26,939,111 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
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Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 9,910,446 | 3,727,725 | 13,638,171 |
Interest rate risk | 5,624,123 | — | 5,624,123 |
Total | 15,534,569 | 3,727,725 | 19,262,294 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 17,099,521 | (23,170,642) | (6,071,121) |
Interest rate risk | 742,195 | — | 742,195 |
Total | 17,841,716 | (23,170,642) | (5,328,926) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 492,397,149 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 15,609,413 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 16,844,325 |
Total assets | 16,844,325 |
Total financial and derivative net assets | 16,844,325 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 16,844,325 |
(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 1 | 0.85%* |
Class 2 | 1.10 |
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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 voluntarily limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’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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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | 11.34 | 7.01 | 9.31 | |
Class 2 | 11/02/16 | 11.25 | 6.93 | 9.28 | |
Blended Benchmark | 12.39 | 9.63 | 9.36 | ||
S&P 500 Index | 18.54 | 10.42 | 15.89 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11 | 7.87 | 2.70 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Portfolio Allocation (%) (at June 30, 2019) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 41.2 |
U.S. Large Cap | 41.2 |
Underlying Funds: Fixed-Income Funds | 24.0 |
High Yield | 1.4 |
Investment Grade | 22.6 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 7.9 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 17.8 |
Options Purchased Puts | 0.5 |
Residential Mortgage-Backed Securities - Agency | 8.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $293.6 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2019 |
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(Unaudited)
January 1, 2019 — June 30, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,051.50(a) | 1,023.05 | 1.07(a) | 1.49 | 0.30(a) | 2.53(a) | 3.52 | 0.71(a) |
Class 2 | 1,000.00 | 1,000.00 | 1,112.50 | 1,021.82 | 2.85 | 2.73 | 0.55 | 4.97 | 4.76 | 0.96 |
(a) | Based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Equity Funds 44.8% | ||
Shares | Value ($) | |
U.S. Large Cap 44.8% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,401,976 | 75,524,459 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 6,469,839 | 151,264,830 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 3,040,667 | 76,199,113 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 2,180,270 | 75,764,386 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 2,122,979 | 75,556,803 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 3,148,082 | 75,585,452 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 6,897,360 | 151,052,183 |
Total | 680,947,226 | |
Total Equity Funds (Cost $578,288,590) | 680,947,226 | |
Exchange-Traded Funds 8.6% | ||
iShares Core U.S. Aggregate Bond ETF | 456,400 | 50,820,140 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 490,013 | 60,942,917 |
SPDR S&P 500 ETF Trust | 7,600 | 2,226,800 |
Vanguard Total Bond Market ETF | 207,310 | 17,221,241 |
Total Exchange-Traded Funds (Cost $123,576,765) | 131,211,098 | |
Fixed-Income Funds 26.1% | ||
High Yield 1.5% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 3,157,343 | 22,985,456 |
Investment Grade 24.6% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 7,538,818 | 78,705,261 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,419,752 | 23,108,631 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 1,833,718 | 19,144,020 |
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,218,895 | 23,098,698 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,089,960 | 76,358,871 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 6,853,269 | 73,604,105 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,033,696 | 10,512,683 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 6,265,072 | 68,289,290 |
Total | 372,821,559 | |
Total Fixed-Income Funds (Cost $392,018,904) | 395,807,015 |
Residential Mortgage-Backed Securities - Agency 9.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
08/13/2049 | 3.500% | 25,500,000 | 26,065,428 | |
08/13/2049 | 4.000% | 111,999,000 | 115,719,904 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $141,796,588) | 141,785,332 |
Options Purchased Puts 0.6% | ||||
Value ($) | ||||
(Cost $14,816,842) | 8,214,500 |
Money Market Funds 19.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(a),(d) | 293,600,125 | 293,570,765 |
Total Money Market Funds (Cost $293,574,394) | 293,570,765 | |
Total Investments in Securities (Cost: $1,544,072,083) | 1,651,535,936 | |
Other Assets & Liabilities, Net | (132,114,719) | |
Net Assets | 1,519,421,217 |
6 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 E-mini | 1,219 | 09/2019 | USD | 179,448,990 | 2,881,008 | — |
S&P 500 Index | 10 | 09/2019 | USD | 7,360,500 | 123,088 | — |
U.S. Long Bond | 161 | 09/2019 | USD | 25,050,594 | 983,899 | — |
U.S. Treasury 10-Year Note | 199 | 09/2019 | USD | 25,465,781 | 583,055 | — |
U.S. Treasury 2-Year Note | 137 | 09/2019 | USD | 29,479,617 | 199,664 | — |
U.S. Treasury 5-Year Note | 266 | 09/2019 | USD | 31,429,563 | 476,002 | — |
U.S. Ultra Treasury Bond | 70 | 09/2019 | USD | 12,429,375 | 618,602 | — |
Total | 5,865,318 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 92,665,440 | 315 | 2,150.00 | 06/19/2020 | 2,306,168 | 793,800 |
S&P 500 Index | Deutsche Bank | USD | 207,394,080 | 705 | 2,100.00 | 12/18/2020 | 6,491,979 | 2,749,500 |
S&P 500 Index | Deutsche Bank | USD | 76,485,760 | 260 | 2,350.00 | 12/18/2020 | 1,811,490 | 1,784,900 |
S&P 500 Index | Deutsche Bank | USD | 85,311,040 | 290 | 2,300.00 | 12/18/2020 | 2,244,121 | 1,779,150 |
S&P 500 Index | Deutsche Bank | USD | 52,951,680 | 180 | 2,200.00 | 12/18/2020 | 1,448,022 | 882,900 |
S&P 500 Index | Deutsche Bank | USD | 19,121,440 | 65 | 2,050.00 | 12/18/2020 | 515,062 | 224,250 |
Total | 14,816,842 | 8,214,500 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | |||||||||
217,862,489 | 127,398,206 | (51,660,570) | 293,600,125 | — | (3,316) | 2,594 | 3,175,281 | 293,570,765 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
1,177,069 | 224,907 | — | 1,401,976 | — | — | 8,671,506 | — | 75,524,459 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
2,424,671 | 732,675 | (3) | 3,157,343 | — | (2) | 847,681 | 1,155,757 | 22,985,456 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
5,893,841 | 1,645,117 | (140) | 7,538,818 | — | (17) | 2,263,644 | 2,515,048 | 78,705,261 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
5,564,074 | 905,765 | — | 6,469,839 | — | — | 21,455,019 | — | 151,264,830 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
1,862,786 | 556,997 | (31) | 2,419,752 | — | 1 | 536,581 | 539,611 | 23,108,631 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
1,542,080 | 291,682 | (44) | 1,833,718 | — | (22) | 1,717,649 | 530,599 | 19,144,020 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
2,519,935 | 520,732 | — | 3,040,667 | — | — | 8,624,015 | — | 76,199,113 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
1,709,888 | 509,046 | (39) | 2,218,895 | — | (3) | 311,671 | 631,455 | 23,098,698 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2019 | 7 |
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June 30, 2019 (Unaudited)
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® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
5,385,180 | 1,704,892 | (112) | 7,089,960 | — | (18) | 396,056 | 4,403,910 | 76,358,871 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
1,924,261 | 256,009 | — | 2,180,270 | — | — | 12,730,131 | — | 75,764,386 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
1,973,425 | 149,564 | (10) | 2,122,979 | — | (1) | 15,521,901 | — | 75,556,803 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
2,639,987 | 508,095 | — | 3,148,082 | — | — | 9,414,852 | — | 75,585,452 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
5,364,393 | 1,488,991 | (115) | 6,853,269 | — | 3 | 2,103,822 | 1,981,534 | 73,604,105 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
786,191 | 247,517 | (12) | 1,033,696 | — | — | 122,320 | 109,522 | 10,512,683 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
4,908,810 | 1,356,369 | (107) | 6,265,072 | — | (24) | 2,079,341 | 1,642,274 | 68,289,290 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
5,816,558 | 1,080,802 | — | 6,897,360 | — | — | 18,820,317 | — | 151,052,183 | |
Total | — | (3,399) | 105,619,100 | 16,684,991 | 1,370,325,006 |
(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 June 30, 2019. |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
8 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction. 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 | |||||
Equity Funds | — | — | — | 680,947,226 | 680,947,226 |
Exchange-Traded Funds | 131,211,098 | — | — | — | 131,211,098 |
Fixed-Income Funds | — | — | — | 395,807,015 | 395,807,015 |
Residential Mortgage-Backed Securities - Agency | — | 141,785,332 | — | — | 141,785,332 |
Options Purchased Puts | 8,214,500 | — | — | — | 8,214,500 |
Money Market Funds | — | — | — | 293,570,765 | 293,570,765 |
Total Investments in Securities | 139,425,598 | 141,785,332 | — | 1,370,325,006 | 1,651,535,936 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 5,865,318 | — | — | — | 5,865,318 |
Total | 145,290,916 | 141,785,332 | — | 1,370,325,006 | 1,657,401,254 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2019 | 9 |
Table of Contents
June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $265,373,353) | $272,996,430 |
Affiliated issuers (cost $1,263,881,888) | 1,370,325,006 |
Options purchased (cost $14,816,842) | 8,214,500 |
Margin deposits on: | |
Futures contracts | 8,160,062 |
Receivable for: | |
Investments sold on a delayed delivery basis | 142,008,114 |
Capital shares sold | 467,546 |
Dividends | 542,284 |
Interest | 179,082 |
Variation margin for futures contracts | 850,104 |
Prepaid expenses | 1 |
Trustees’ deferred compensation plan | 21,063 |
Other assets | 1,643 |
Total assets | 1,803,765,835 |
Liabilities | |
Due to custodian | 74 |
Payable for: | |
Investments purchased | 324,963 |
Investments purchased on a delayed delivery basis | 283,812,260 |
Capital shares purchased | 3,313 |
Variation margin for futures contracts | 38,602 |
Management services fees | 9,552 |
Distribution and/or service fees | 10,364 |
Service fees | 67,778 |
Compensation of board members | 515 |
Compensation of chief compliance officer | 92 |
Other expenses | 56,042 |
Trustees’ deferred compensation plan | 21,063 |
Total liabilities | 284,344,618 |
Net assets applicable to outstanding capital stock | $1,519,421,217 |
Represented by | |
Trust capital | $1,519,421,217 |
Total - representing net assets applicable to outstanding capital stock | $1,519,421,217 |
Class 1 | |
Net assets | $142,491 |
Shares outstanding | 11,249 |
Net asset value per share | $12.67 |
Class 2 | |
Net assets | $1,519,278,726 |
Shares outstanding | 119,995,590 |
Net asset value per share | $12.66 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,566,966 |
Dividends — affiliated issuers | 16,684,991 |
Interest | 61,724 |
Total income | 18,313,681 |
Expenses: | |
Management services fees | 1,485,108 |
Distribution and/or service fees | |
Class 2 | 1,647,692 |
Service fees | 396,705 |
Compensation of board members | 15,760 |
Custodian fees | 28,381 |
Printing and postage fees | 14,261 |
Audit fees | 14,500 |
Legal fees | 13,571 |
Compensation of chief compliance officer | 237 |
Other | 13,414 |
Total expenses | 3,629,629 |
Net investment income | 14,684,052 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 2,491,899 |
Investments — affiliated issuers | (3,399) |
Futures contracts | 9,365,252 |
Options purchased | 1,889,748 |
Net realized gain | 13,743,500 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 7,508,931 |
Investments — affiliated issuers | 105,619,100 |
Futures contracts | 9,184,869 |
Options purchased | (11,951,132) |
Net change in unrealized appreciation (depreciation) | 110,361,768 |
Net realized and unrealized gain | 124,105,268 |
Net increase in net assets resulting from operations | $138,789,320 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $14,684,052 | $6,833,840 |
Net realized gain (loss) | 13,743,500 | (7,449,691) |
Net change in unrealized appreciation (depreciation) | 110,361,768 | (41,358,267) |
Net increase (decrease) in net assets resulting from operations | 138,789,320 | (41,974,118) |
Increase in net assets from capital stock activity | 238,604,204 | 468,188,202 |
Total increase in net assets | 377,393,524 | 426,214,084 |
Net assets at beginning of period | 1,142,027,693 | 715,813,609 |
Net assets at end of period | $1,519,421,217 | $1,142,027,693 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited)(a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 11,249 | 141,679 | — | — |
Net increase | 11,249 | 141,679 | — | — |
Class 2 | ||||
Subscriptions | 19,782,275 | 239,861,451 | 39,678,622 | 471,040,166 |
Redemptions | (115,007) | (1,398,926) | (240,863) | (2,851,964) |
Net increase | 19,667,268 | 238,462,525 | 39,437,759 | 468,188,202 |
Total net increase | 19,678,517 | 238,604,204 | 39,437,759 | 468,188,202 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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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 | ||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $12.05 | 2.69 | (2.07)(d) | 0.62 |
Class 2 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $11.38 | 0.13 | 1.15 | 1.28 |
Year Ended 12/31/2018 | $11.76 | 0.09 | (0.47) | (0.38) |
Year Ended 12/31/2017 | $10.21 | 0.06 | 1.49 | 1.55 |
Year Ended 12/31/2016(f) | $10.00 | (0.01) | 0.22 | 0.21 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
(e) | Annualized. |
(f) | The Fund commenced operations on November 2, 2016. Per share data and total return reflect activity from that date. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $12.67 | 5.15% | 0.30%(e) | 0.30%(e) | 75.60%(e) | 54% | $142 |
Class 2 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $12.66 | 11.25% | 0.55%(e) | 0.55%(e) | 2.23%(e) | 54% | $1,519,279 |
Year Ended 12/31/2018 | $11.38 | (3.23%) | 0.56% | 0.56% | 0.74% | 42% | $1,142,028 |
Year Ended 12/31/2017 | $11.76 | 15.18% | 0.56% | 0.56% | 0.56% | 9% | $715,814 |
Year Ended 12/31/2016(f) | $10.21 | 2.10% | 0.75%(e) | 0.64%(e) | (0.16%)(e) | 16% | $89,784 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 3,004,096* |
Equity risk | Investments, at value — Options Purchased | 8,214,500 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 2,861,222* |
Total | 14,079,818 |
* | 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 | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 5,684,839 | 1,889,748 | 7,574,587 |
Interest rate risk | 3,680,413 | — | 3,680,413 |
Total | 9,365,252 | 1,889,748 | 11,255,000 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 8,563,794 | (11,951,132) | (3,387,338) |
Interest rate risk | 621,075 | — | 621,075 |
Total | 9,184,869 | (11,951,132) | (2,766,263) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 278,482,488 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 7,768,463 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 8,214,500 |
Total financial and derivative net assets | 8,214,500 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 8,214,500 |
(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 1 | 0.85%* |
Class 2 | 1.10 |
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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 voluntarily limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’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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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | 9.85 | 7.11 | 7.27 | |
Class 2 | 11/02/16 | 9.75 | 7.02 | 7.24 | |
Blended Benchmark | 10.52 | 9.20 | 7.37 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11 | 7.87 | 2.70 | ||
S&P 500 Index | 18.54 | 10.42 | 15.89 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Portfolio Allocation (%) (at June 30, 2019) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 27.7 |
U.S. Large Cap | 27.7 |
Underlying Funds: Fixed-Income Funds | 34.8 |
High Yield | 2.0 |
Investment Grade | 32.8 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 7.0 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 18.1 |
Options Purchased Puts | 0.3 |
Residential Mortgage-Backed Securities - Agency | 12.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $41.9 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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(Unaudited)
January 1, 2019 — June 30, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,050.60(a) | 1,022.61 | 1.39(a) | 1.93 | 0.39(a) | 2.78(a) | 3.87 | 0.78(a) |
Class 2 | 1,000.00 | 1,000.00 | 1,097.50 | 1,021.53 | 3.14 | 3.02 | 0.61 | 5.14 | 4.96 | 1.00 |
(a) | Based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Equity Funds 31.3% | ||
Shares | Value ($) | |
U.S. Large Cap 31.3% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 131,926 | 7,106,874 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 607,674 | 14,207,423 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 285,958 | 7,166,116 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 204,402 | 7,102,963 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 199,546 | 7,101,847 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 296,280 | 7,113,670 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 648,142 | 14,194,307 |
Total | 63,993,200 | |
Total Equity Funds (Cost $54,447,113) | 63,993,200 | |
Exchange-Traded Funds 8.0% | ||
iShares Core U.S. Aggregate Bond ETF | 42,610 | 4,744,624 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 71,777 | 8,926,905 |
SPDR S&P 500 ETF Trust | 1,950 | 571,350 |
Vanguard Total Bond Market ETF | 24,060 | 1,998,664 |
Total Exchange-Traded Funds (Cost $15,280,264) | 16,241,543 | |
Fixed-Income Funds 39.4% | ||
High Yield 2.3% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 643,364 | 4,683,689 |
Investment Grade 37.1% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 1,532,233 | 15,996,514 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 491,395 | 4,692,823 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 369,210 | 3,854,546 |
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 451,065 | 4,695,584 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 1,444,544 | 15,557,739 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 1,393,674 | 14,968,060 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 210,374 | 2,139,506 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 1,271,864 | 13,863,318 |
Total | 75,768,090 | |
Total Fixed-Income Funds (Cost $79,622,266) | 80,451,779 |
Residential Mortgage-Backed Securities - Agency 13.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
08/13/2049 | 3.500% | 2,950,000 | 3,015,412 | |
08/13/2049 | 4.000% | 24,029,000 | 24,827,307 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $27,847,882) | 27,842,719 |
Options Purchased Puts 0.4% | ||||
Value ($) | ||||
(Cost $1,361,765) | 766,260 |
Money Market Funds 20.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(a),(d) | 41,898,889 | 41,894,699 |
Total Money Market Funds (Cost $41,895,539) | 41,894,699 | |
Total Investments in Securities (Cost: $220,454,829) | 231,190,200 | |
Other Assets & Liabilities, Net | (26,951,782) | |
Net Assets | 204,238,418 |
6 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 E-mini | 111 | 09/2019 | USD | 16,340,310 | 266,697 | — |
S&P 500 Index | 1 | 09/2019 | USD | 736,050 | 12,309 | — |
U.S. Long Bond | 21 | 09/2019 | USD | 3,267,469 | 117,631 | — |
U.S. Treasury 10-Year Note | 35 | 09/2019 | USD | 4,478,906 | 95,867 | — |
U.S. Treasury 2-Year Note | 30 | 09/2019 | USD | 6,455,391 | 41,785 | — |
U.S. Treasury 5-Year Note | 64 | 09/2019 | USD | 7,562,000 | 110,175 | — |
U.S. Ultra Treasury Bond | 11 | 09/2019 | USD | 1,953,188 | 98,977 | — |
Total | 743,441 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 7,354,400 | 25 | 2,150.00 | 06/19/2020 | 181,644 | 63,000 |
S&P 500 Index | Deutsche Bank | USD | 18,827,264 | 64 | 2,100.00 | 12/18/2020 | 590,013 | 249,600 |
S&P 500 Index | Deutsche Bank | USD | 11,472,864 | 39 | 2,300.00 | 12/18/2020 | 303,797 | 239,265 |
S&P 500 Index | Deutsche Bank | USD | 5,295,168 | 18 | 2,350.00 | 12/18/2020 | 126,235 | 123,570 |
S&P 500 Index | Deutsche Bank | USD | 4,412,640 | 15 | 2,200.00 | 12/18/2020 | 120,456 | 73,575 |
S&P 500 Index | Deutsche Bank | USD | 1,470,880 | 5 | 2,050.00 | 12/18/2020 | 39,620 | 17,250 |
Total | 1,361,765 | 766,260 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | |||||||||
28,156,859 | 20,191,053 | (6,449,023) | 41,898,889 | — | (301) | 203 | 425,676 | 41,894,699 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
102,567 | 35,354 | (5,995) | 131,926 | — | (6,933) | 782,990 | — | 7,106,874 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
452,973 | 202,090 | (11,699) | 643,364 | — | (3,140) | 150,730 | 234,372 | 4,683,689 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
1,062,139 | 491,440 | (21,346) | 1,532,233 | — | (1,215) | 407,965 | 510,153 | 15,996,514 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
484,160 | 152,418 | (28,904) | 607,674 | — | (5,975) | 1,922,497 | — | 14,207,423 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
338,765 | 159,738 | (7,108) | 491,395 | — | (81) | 97,557 | 109,438 | 4,692,823 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
271,887 | 106,638 | (9,315) | 369,210 | — | (3,027) | 327,887 | 106,724 | 3,854,546 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
218,693 | 81,427 | (14,162) | 285,958 | — | (12,713) | 787,599 | — | 7,166,116 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
307,681 | 149,225 | (5,841) | 451,065 | — | (159) | 52,407 | 128,177 | 4,695,584 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2019 | 7 |
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June 30, 2019 (Unaudited)
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® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
971,939 | 491,996 | (19,391) | 1,444,544 | — | (1,592) | 29,861 | 891,467 | 15,557,739 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
168,271 | 48,852 | (12,721) | 204,402 | — | (1,484) | 1,138,601 | — | 7,102,963 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
173,780 | 40,756 | (14,990) | 199,546 | — | 891 | 1,387,131 | — | 7,101,847 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
230,301 | 76,174 | (10,195) | 296,280 | — | (1,748) | 837,900 | — | 7,113,670 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
965,201 | 447,101 | (18,628) | 1,393,674 | — | (95) | 384,431 | 402,425 | 14,968,060 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
143,171 | 69,753 | (2,550) | 210,374 | — | (18) | 22,439 | 22,289 | 2,139,506 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
881,763 | 407,428 | (17,327) | 1,271,864 | — | (2,026) | 386,605 | 333,036 | 13,863,318 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
506,991 | 168,458 | (27,307) | 648,142 | — | (14,147) | 1,701,495 | — | 14,194,307 | |
Total | — | (53,763) | 10,418,298 | 3,163,757 | 186,339,678 |
(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 June 30, 2019. |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
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Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction. 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 | |||||
Equity Funds | — | — | — | 63,993,200 | 63,993,200 |
Exchange-Traded Funds | 16,241,543 | — | — | — | 16,241,543 |
Fixed-Income Funds | — | — | — | 80,451,779 | 80,451,779 |
Residential Mortgage-Backed Securities - Agency | — | 27,842,719 | — | — | 27,842,719 |
Options Purchased Puts | 766,260 | — | — | — | 766,260 |
Money Market Funds | — | — | — | 41,894,699 | 41,894,699 |
Total Investments in Securities | 17,007,803 | 27,842,719 | — | 186,339,678 | 231,190,200 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 743,441 | — | — | — | 743,441 |
Total | 17,751,244 | 27,842,719 | — | 186,339,678 | 231,933,641 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2019 | 9 |
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June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $43,128,146) | $44,084,262 |
Affiliated issuers (cost $175,964,918) | 186,339,678 |
Options purchased (cost $1,361,765) | 766,260 |
Margin deposits on: | |
Futures contracts | 760,435 |
Receivable for: | |
Investments sold on a delayed delivery basis | 27,889,144 |
Capital shares sold | 103,015 |
Dividends | 78,768 |
Interest | 35,480 |
Variation margin for futures contracts | 78,234 |
Trustees’ deferred compensation plan | 12,816 |
Other assets | 1,643 |
Total assets | 260,149,735 |
Liabilities | |
Payable for: | |
Investments purchased | 31,597 |
Investments purchased on a delayed delivery basis | 55,740,174 |
Capital shares purchased | 57,877 |
Variation margin for futures contracts | 5,859 |
Management services fees | 1,306 |
Distribution and/or service fees | 1,392 |
Service fees | 9,063 |
Compensation of board members | 978 |
Compensation of chief compliance officer | 10 |
Other expenses | 50,245 |
Trustees’ deferred compensation plan | 12,816 |
Total liabilities | 55,911,317 |
Net assets applicable to outstanding capital stock | $204,238,418 |
Represented by | |
Trust capital | $204,238,418 |
Total - representing net assets applicable to outstanding capital stock | $204,238,418 |
Class 1 | |
Net assets | $2,668 |
Shares outstanding | 221 |
Net asset value per share(a) | $12.05 |
Class 2 | |
Net assets | $204,235,750 |
Shares outstanding | 16,962,659 |
Net asset value per share | $12.04 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $180,790 |
Dividends — affiliated issuers | 3,163,757 |
Interest | 5,623 |
Total income | 3,350,170 |
Expenses: | |
Management services fees | 187,367 |
Distribution and/or service fees | |
Class 2 | 207,653 |
Service fees | 50,071 |
Compensation of board members | 8,095 |
Custodian fees | 27,649 |
Printing and postage fees | 8,182 |
Audit fees | 14,500 |
Legal fees | 1,656 |
Compensation of chief compliance officer | 28 |
Other | 4,370 |
Total expenses | 509,571 |
Net investment income | 2,840,599 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 283,604 |
Investments — affiliated issuers | (53,763) |
Futures contracts | 1,136,739 |
Options purchased | 152,731 |
Net realized gain | 1,519,311 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 978,007 |
Investments — affiliated issuers | 10,418,298 |
Futures contracts | 738,581 |
Options purchased | (1,032,131) |
Net change in unrealized appreciation (depreciation) | 11,102,755 |
Net realized and unrealized gain | 12,622,066 |
Net increase in net assets resulting from operations | $15,462,665 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $2,840,599 | $1,063,636 |
Net realized gain (loss) | 1,519,311 | (931,542) |
Net change in unrealized appreciation (depreciation) | 11,102,755 | (3,573,550) |
Net increase (decrease) in net assets resulting from operations | 15,462,665 | (3,441,456) |
Increase in net assets from capital stock activity | 49,714,280 | 59,866,788 |
Total increase in net assets | 65,176,945 | 56,425,332 |
Net assets at beginning of period | 139,061,473 | 82,636,141 |
Net assets at end of period | $204,238,418 | $139,061,473 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited)(a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 221 | 2,540 | — | — |
Net increase | 221 | 2,540 | — | — |
Class 2 | ||||
Subscriptions | 4,836,154 | 56,127,594 | 6,135,783 | 68,960,793 |
Redemptions | (545,978) | (6,415,854) | (805,631) | (9,094,005) |
Net increase | 4,290,176 | 49,711,740 | 5,330,152 | 59,866,788 |
Total net increase | 4,290,397 | 49,714,280 | 5,330,152 | 59,866,788 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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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 | ||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $11.47 | 0.18 | 0.40 | 0.58 |
Class 2 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $10.97 | 0.19 | 0.88 | 1.07 |
Year Ended 12/31/2018 | $11.25 | 0.11 | (0.39) | (0.28) |
Year Ended 12/31/2017 | $10.07 | 0.09 | 1.09 | 1.18 |
Year Ended 12/31/2016(e) | $10.00 | (0.02) | 0.09 | 0.07 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
(e) | The Fund commenced operations on November 2, 2016. Per share data and total return reflect activity from that date. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $12.05 | 5.06% | 0.39%(d) | 0.39%(d) | 4.39%(d) | 69% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $12.04 | 9.75% | 0.61%(d) | 0.61%(d) | 3.42%(d) | 69% | $204,236 |
Year Ended 12/31/2018 | $10.97 | (2.49%) | 0.65% | 0.65% | 0.99% | 51% | $139,061 |
Year Ended 12/31/2017 | $11.25 | 11.72% | 0.74% | 0.67% | 0.80% | 49% | $82,636 |
Year Ended 12/31/2016(e) | $10.07 | 0.70% | 1.08%(d) | 0.66%(d) | (0.28%)(d) | 10% | $18,272 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2019 | 15 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 279,006* |
Equity risk | Investments, at value — Options Purchased | 766,260 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 464,435* |
Total | 1,509,701 |
* | 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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June 30, 2019 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 580,486 | 152,731 | 733,217 |
Interest rate risk | 556,253 | — | 556,253 |
Total | 1,136,739 | 152,731 | 1,289,470 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 602,668 | (1,032,131) | (429,463) |
Interest rate risk | 135,913 | — | 135,913 |
Total | 738,581 | (1,032,131) | (293,550) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 35,712,911 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 707,350 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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June 30, 2019 (Unaudited)
Deutsche Bank ($) | |
Assets | |
Options purchased puts | 766,260 |
Total financial and derivative net assets | 766,260 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 766,260 |
(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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June 30, 2019 (Unaudited)
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.85%* |
Class 2 | 1.10 |
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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 voluntarily limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2019 | 27 |
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• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | 2.16 | -3.74 | -0.78 | -1.46 | |
Class 2 | 04/30/12 | 2.08 | -3.91 | -1.03 | -1.69 | |
FTSE One-Month U.S. Treasury Bill Index | 1.22 | 2.28 | 0.81 | 0.58 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Portfolio breakdown — long positions (%) (at June 30, 2019) | |
Common Stocks | 41.5 |
Exchange-Traded Funds | 8.2 |
Foreign Government Obligations | 4.3 |
Inflation-Indexed Bonds | 9.5 |
Residential Mortgage-Backed Securities - Agency | 2.9 |
U.S. Treasury Obligations | 5.9 |
Short-Term Investments Segregated in Connection with Open Derivatives Contracts(a) | 69.4 |
Total | 141.7 |
(a) | Includes investments in Money Market Funds (amounting to $154.3 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives which provide exposure to multiple markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and Note 2 to the Notes to Consolidated Financial Statements. |
Portfolio breakdown — short positions (%) (at June 30, 2019) | |
Common Stocks | (41.7) |
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2019)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 72.6 | (13.5) | 59.1 |
Commodities Derivative Contracts | 11.3 | (0.2) | 11.1 |
Equity Derivative Contracts | 36.4 | (10.9) | 25.5 |
Foreign Currency Derivative Contracts | 36.2 | (31.9) | 4.3 |
Total Notional Market Value of Derivative Contracts | 156.5 | (56.5) | 100.0 |
4 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 |
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(Unaudited)
January 1, 2019 — June 30, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,021.60 | 1,015.45 | 9.17 | 9.14 | 1.85 |
Class 2 | 1,000.00 | 1,000.00 | 1,020.80 | 1,014.17 | 10.46 | 10.42 | 2.11 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Common Stocks 35.6% | ||
Issuer | Shares | Value ($) |
Communication Services 1.1% | ||
Diversified Telecommunication Services 0.2% | ||
CenturyLink, Inc.(a) | 43,266 | 508,808 |
Verizon Communications, Inc.(a) | 1,836 | 104,891 |
Total | 613,699 | |
Interactive Media & Services 0.6% | ||
Facebook, Inc., Class A(a),(b) | 7,644 | 1,475,292 |
Media 0.3% | ||
AMC Networks, Inc., Class A(a),(b) | 12,507 | 681,506 |
Total Communication Services | 2,770,497 | |
Consumer Discretionary 5.1% | ||
Auto Components 0.6% | ||
Gentex Corp.(a) | 59,989 | 1,476,329 |
Diversified Consumer Services 0.6% | ||
H&R Block, Inc.(a) | 52,021 | 1,524,215 |
Hotels, Restaurants & Leisure 0.8% | ||
Extended Stay America, Inc.(a) | 29,574 | 499,505 |
Starbucks Corp.(a) | 17,725 | 1,485,887 |
Total | 1,985,392 | |
Multiline Retail 0.3% | ||
Kohl’s Corp.(a) | 19,907 | 946,578 |
Specialty Retail 1.8% | ||
Advance Auto Parts, Inc.(a) | 8,399 | 1,294,622 |
AutoZone, Inc.(a),(b) | 1,084 | 1,191,825 |
Foot Locker, Inc.(a) | 26,131 | 1,095,412 |
Urban Outfitters, Inc.(a),(b) | 41,609 | 946,605 |
Williams-Sonoma, Inc.(a) | 1,029 | 66,885 |
Total | 4,595,349 | |
Textiles, Apparel & Luxury Goods 1.0% | ||
Nike, Inc., Class B(a) | 14,422 | 1,210,727 |
Ralph Lauren Corp.(a) | 3,521 | 399,950 |
Under Armour, Inc., Class A(b) | 45,165 | 1,144,933 |
Total | 2,755,610 | |
Total Consumer Discretionary | 13,283,473 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 2.1% | ||
Food & Staples Retailing 0.4% | ||
Walgreens Boots Alliance, Inc.(a) | 18,562 | 1,014,785 |
Food Products 1.0% | ||
Ingredion, Inc.(a) | 9,288 | 766,167 |
Kraft Heinz Co. (The)(a) | 36,941 | 1,146,649 |
Tyson Foods, Inc., Class A(a) | 8,329 | 672,483 |
Total | 2,585,299 | |
Personal Products 0.4% | ||
Herbalife Nutrition Ltd.(a),(b) | 24,126 | 1,031,628 |
Tobacco 0.3% | ||
Philip Morris International, Inc.(a) | 8,483 | 666,170 |
Total Consumer Staples | 5,297,882 | |
Energy 2.3% | ||
Energy Equipment & Services 0.0% | ||
National Oilwell Varco, Inc.(a) | 4,921 | 109,394 |
Oil, Gas & Consumable Fuels 2.3% | ||
ConocoPhillips Co.(a) | 20,880 | 1,273,680 |
HollyFrontier Corp.(a) | 22,068 | 1,021,307 |
Marathon Oil Corp.(a) | 18,785 | 266,935 |
Murphy Oil Corp.(a) | 859 | 21,174 |
PBF Energy, Inc., Class A(a) | 43,161 | 1,350,939 |
Range Resources Corp.(a) | 138,637 | 967,686 |
Valero Energy Corp.(a) | 2,506 | 214,539 |
Whiting Petroleum Corp.(a),(b) | 40,876 | 763,564 |
Total | 5,879,824 | |
Total Energy | 5,989,218 | |
Financials 4.6% | ||
Banks 1.2% | ||
CIT Group, Inc.(a) | 28,979 | 1,522,557 |
Comerica, Inc.(a) | 3,135 | 227,726 |
Popular, Inc.(a) | 26,855 | 1,456,615 |
Total | 3,206,898 |
6 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 0.5% | ||
LPL Financial Holdings, Inc.(a) | 7,830 | 638,693 |
MSCI, Inc.(a) | 3,197 | 763,412 |
Total | 1,402,105 | |
Consumer Finance 0.6% | ||
Navient Corp.(a) | 105,523 | 1,440,389 |
Diversified Financial Services 0.6% | ||
Voya Financial, Inc.(a) | 27,262 | 1,507,589 |
Insurance 1.7% | ||
Allstate Corp. (The)(a) | 7,709 | 783,928 |
Brown & Brown, Inc.(a) | 2,763 | 92,560 |
Mercury General Corp.(a) | 17,132 | 1,070,750 |
Prudential Financial, Inc.(a) | 11,042 | 1,115,242 |
Unum Group(a) | 41,823 | 1,403,162 |
Total | 4,465,642 | |
Total Financials | 12,022,623 | |
Health Care 4.1% | ||
Health Care Equipment & Supplies 0.7% | ||
Dentsply Sirona, Inc.(a) | 24,338 | 1,420,366 |
STERIS PLC(a) | 2,720 | 404,953 |
Total | 1,825,319 | |
Health Care Providers & Services 1.5% | ||
Cardinal Health, Inc.(a) | 26,292 | 1,238,353 |
McKesson Corp.(a) | 10,345 | 1,390,264 |
Premier, Inc.(a),(b) | 32,851 | 1,284,803 |
Total | 3,913,420 | |
Life Sciences Tools & Services 0.7% | ||
Agilent Technologies, Inc.(a) | 5,396 | 402,919 |
Bruker Corp.(a) | 25,530 | 1,275,224 |
Total | 1,678,143 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 1.2% | ||
Allergan PLC(a) | 707 | 118,373 |
Bristol-Myers Squibb Co.(a) | 14,992 | 679,887 |
Eli Lilly & Co.(a) | 11,345 | 1,256,913 |
Merck & Co., Inc.(a) | 1,132 | 94,918 |
Perrigo Co. PLC(a) | 21,840 | 1,040,021 |
Total | 3,190,112 | |
Total Health Care | 10,606,994 | |
Industrials 5.8% | ||
Aerospace & Defense 1.0% | ||
Boeing Co. (The)(a) | 3,788 | 1,378,870 |
Spirit AeroSystems Holdings, Inc., Class A(a) | 14,193 | 1,154,884 |
Total | 2,533,754 | |
Air Freight & Logistics 0.5% | ||
CH Robinson Worldwide, Inc.(a) | 14,878 | 1,254,959 |
Expeditors International of Washington, Inc.(a) | 1,851 | 140,417 |
Total | 1,395,376 | |
Airlines 0.9% | ||
Delta Air Lines, Inc.(a) | 21,180 | 1,201,965 |
Southwest Airlines Co.(a) | 23,171 | 1,176,623 |
United Airlines Holdings, Inc.(b) | 908 | 79,496 |
Total | 2,458,084 | |
Commercial Services & Supplies 0.4% | ||
ADT, Inc.(a) | 166,699 | 1,020,198 |
Electrical Equipment 0.9% | ||
Hubbell, Inc.(a) | 9,749 | 1,271,269 |
Regal Beloit Corp.(a) | 2,607 | 213,018 |
Rockwell Automation, Inc.(a) | 4,620 | 756,895 |
Total | 2,241,182 | |
Industrial Conglomerates 0.0% | ||
Honeywell International, Inc.(a) | 732 | 127,800 |
Machinery 1.1% | ||
Allison Transmission Holdings, Inc.(a) | 29,089 | 1,348,275 |
Snap-On, Inc.(a) | 8,737 | 1,447,197 |
Total | 2,795,472 | |
Professional Services 0.5% | ||
Robert Half International, Inc.(a) | 20,939 | 1,193,732 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 | 7 |
Table of Contents
June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Road & Rail 0.5% | ||
Landstar System, Inc.(a) | 11,605 | 1,253,224 |
Total Industrials | 15,018,822 | |
Information Technology 5.8% | ||
Communications Equipment 0.7% | ||
Cisco Systems, Inc.(a) | 11,079 | 606,354 |
F5 Networks, Inc.(a),(b) | 8,369 | 1,218,777 |
Total | 1,825,131 | |
Electronic Equipment, Instruments & Components 0.3% | ||
Zebra Technologies Corp., Class A(a),(b) | 3,806 | 797,319 |
IT Services 1.5% | ||
MasterCard, Inc., Class A(a) | 5,636 | 1,490,891 |
Paychex, Inc.(a) | 6,597 | 542,867 |
PayPal Holdings, Inc.(b) | 1,219 | 139,527 |
VeriSign, Inc.(a),(b) | 7,150 | 1,495,494 |
Visa, Inc., Class A(a) | 1,666 | 289,134 |
Total | 3,957,913 | |
Semiconductors & Semiconductor Equipment 1.1% | ||
Broadcom, Inc.(a) | 961 | 276,634 |
Lam Research Corp. | 5,385 | 1,011,518 |
Qorvo, Inc.(a),(b) | 20,903 | 1,392,349 |
QUALCOMM, Inc.(a) | 599 | 45,566 |
Total | 2,726,067 | |
Software 1.7% | ||
Adobe, Inc.(a),(b) | 5,078 | 1,496,233 |
Aspen Technology, Inc.(a),(b) | 341 | 42,379 |
Fortinet, Inc.(a),(b) | 17,468 | 1,342,066 |
LogMeIn, Inc.(a) | 4,267 | 314,393 |
VMware, Inc., Class A(a) | 7,953 | 1,329,821 |
Total | 4,524,892 | |
Technology Hardware, Storage & Peripherals 0.5% | ||
HP, Inc.(a) | 11,423 | 237,484 |
NetApp, Inc.(a) | 16,577 | 1,022,801 |
Total | 1,260,285 | |
Total Information Technology | 15,091,607 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 2.7% | ||
Chemicals 1.3% | ||
Cabot Corp.(a) | 12,479 | 595,373 |
CF Industries Holdings, Inc.(a) | 12,688 | 592,657 |
LyondellBasell Industries NV, Class A | 10,583 | 911,514 |
Mosaic Co. (The)(a) | 45,876 | 1,148,276 |
Total | 3,247,820 | |
Containers & Packaging 0.2% | ||
Packaging Corp. of America(a) | 3,922 | 373,845 |
Sonoco Products Co.(a) | 2,868 | 187,395 |
Total | 561,240 | |
Metals & Mining 0.7% | ||
Nucor Corp.(a) | 19,615 | 1,080,786 |
Steel Dynamics, Inc.(a) | 25,545 | 771,459 |
Total | 1,852,245 | |
Paper & Forest Products 0.5% | ||
Domtar Corp.(a) | 29,152 | 1,298,139 |
Total Materials | 6,959,444 | |
Real Estate 2.0% | ||
Equity Real Estate Investment Trusts (REITS) 2.0% | ||
Colony Capital, Inc.(a) | 98,499 | 492,495 |
Hospitality Properties Trust(a) | 31,139 | 778,475 |
Host Hotels & Resorts, Inc.(a) | 52,412 | 954,947 |
Park Hotels & Resorts, Inc.(a) | 45,210 | 1,245,988 |
Spirit Realty Capital, Inc.(a) | 33,272 | 1,419,383 |
Uniti Group, Inc.(a) | 34,098 | 323,931 |
Total | 5,215,219 | |
Total Real Estate | 5,215,219 | |
Total Common Stocks (Cost $94,438,488) | 92,255,779 | |
Exchange-Traded Funds 7.0% | ||
Shares | Value ($) | |
iPath Bloomberg Commodity Index Total Return ETN(b) | 460,836 | 10,248,993 |
Vanguard REIT ETF | 91,679 | 8,012,744 |
Total Exchange-Traded Funds (Cost $18,194,210) | 18,261,737 |
8 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Foreign Government Obligations(c),(d) 3.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Austria 0.2% | ||||
Republic of Austria Government Bond(e) | ||||
10/20/2026 | 0.750% | EUR | 248,000 | 303,669 |
03/15/2037 | 4.150% | EUR | 90,000 | 168,219 |
Total | 471,888 | |||
Belgium 0.1% | ||||
Kingdom of Belgium Government Bond(e) | ||||
06/22/2027 | 0.800% | EUR | 230,000 | 281,177 |
Canada 0.1% | ||||
Canadian Government Bond | ||||
06/01/2028 | 2.000% | CAD | 384,000 | 306,527 |
France 0.8% | ||||
French Republic Government Bond OAT(e) | ||||
10/25/2027 | 2.750% | EUR | 471,000 | 669,054 |
11/25/2028 | 0.750% | EUR | 598,000 | 732,018 |
05/25/2045 | 3.250% | EUR | 206,000 | 370,593 |
05/25/2048 | 2.000% | EUR | 179,000 | 262,037 |
Total | 2,033,702 | |||
Italy 0.6% | ||||
Italy Buoni Poliennali Del Tesoro(e) | ||||
09/01/2028 | 4.750% | EUR | 617,000 | 871,995 |
09/01/2046 | 3.250% | EUR | 309,000 | 375,981 |
03/01/2047 | 2.700% | EUR | 343,000 | 380,203 |
Total | 1,628,179 | |||
Japan 0.6% | ||||
Japan Government 30-Year Bond | ||||
06/20/2048 | 0.700% | JPY | 82,450,000 | 838,446 |
09/20/2048 | 0.900% | JPY | 7,150,000 | 76,244 |
03/20/2049 | 0.500% | JPY | 39,350,000 | 379,042 |
Japan Government Thirty-Year Bond | ||||
12/20/2048 | 0.700% | JPY | 11,950,000 | 121,299 |
Total | 1,415,031 | |||
Netherlands 0.2% | ||||
Netherlands Government Bond(e) | ||||
07/15/2026 | 0.500% | EUR | 521,000 | 631,332 |
New Zealand 0.3% | ||||
New Zealand Government Bond | ||||
04/15/2025 | 2.750% | NZD | 645,000 | 469,199 |
New Zealand Government Bond(e) | ||||
04/15/2027 | 4.500% | NZD | 457,000 | 376,491 |
Total | 845,690 |
Foreign Government Obligations(c),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
South Africa 0.5% | ||||
Republic of South Africa Government Bond | ||||
12/21/2026 | 10.500% | ZAR | 15,820,000 | 1,272,674 |
United Kingdom 0.3% | ||||
United Kingdom Gilt(e) | ||||
06/07/2032 | 4.250% | GBP | 204,000 | 358,455 |
01/22/2045 | 3.500% | GBP | 227,000 | 412,738 |
Total | 771,193 | |||
Total Foreign Government Obligations (Cost $8,939,456) | 9,657,393 | |||
Inflation-Indexed Bonds(c) 8.1% | ||||
Australia 0.3% | ||||
Australia Government Bond(e) | ||||
11/21/2027 | 0.750% | AUD | 188,082 | 140,851 |
08/21/2035 | 2.000% | AUD | 124,835 | 113,253 |
08/21/2040 | 1.250% | AUD | 104,817 | 87,476 |
Australia Government Index-Linked Bond(e) | ||||
09/20/2025 | 3.000% | AUD | 466,844 | 391,792 |
Total | 733,372 | |||
Canada 0.1% | ||||
Canadian Government Real Return Bond | ||||
12/01/2026 | 4.250% | CAD | 212,086 | 211,890 |
12/01/2031 | 4.000% | CAD | 78,854 | 88,545 |
12/01/2036 | 3.000% | CAD | 89,767 | 100,204 |
Total | 400,639 | |||
France 0.6% | ||||
France Government Bond OAT(e) | ||||
07/25/2030 | 0.700% | EUR | 262,222 | 352,294 |
07/25/2032 | 3.150% | EUR | 191,395 | 336,362 |
French Republic Government Bond OAT(e) | ||||
07/25/2024 | 0.250% | EUR | 587,585 | 721,640 |
07/25/2040 | 1.800% | EUR | 123,386 | 212,996 |
Total | 1,623,292 | |||
Germany 0.2% | ||||
Bundesrepublik Deutschland Bundesobligation Inflation-Linked Bond(e) | ||||
04/15/2030 | 0.500% | EUR | 109,919 | 149,328 |
Deutsche Bundesrepublik Inflation-Linked Bond(e) | ||||
04/15/2026 | 0.100% | EUR | 346,805 | 433,447 |
Total | 582,775 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 | 9 |
Table of Contents
June 30, 2019 (Unaudited)
Inflation-Indexed Bonds(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Italy 0.5% | ||||
Italy Buoni Poliennali Del Tesoro(e) | ||||
09/15/2026 | 3.100% | EUR | 369,384 | 479,417 |
05/15/2028 | 1.300% | EUR | 282,037 | 320,880 |
09/15/2035 | 2.350% | EUR | 206,316 | 264,125 |
09/15/2041 | 2.550% | EUR | 114,780 | 145,473 |
Total | 1,209,895 | |||
Japan 0.5% | ||||
Japanese Government CPI-Linked Bond | ||||
03/10/2025 | 0.100% | JPY | 35,188,200 | 336,983 |
03/10/2026 | 0.100% | JPY | 34,133,568 | 328,782 |
03/10/2027 | 0.100% | JPY | 68,058,512 | 658,395 |
Total | 1,324,160 | |||
United Kingdom 2.4% | ||||
United Kingdom Gilt Inflation-Linked Bond(e) | ||||
03/22/2024 | 0.125% | GBP | 304,128 | 438,280 |
03/22/2029 | 0.125% | GBP | 462,157 | 748,242 |
03/22/2034 | 0.750% | GBP | 305,072 | 588,361 |
11/22/2037 | 1.125% | GBP | 341,760 | 754,468 |
03/22/2044 | 0.125% | GBP | 364,710 | 759,271 |
03/22/2052 | 0.250% | GBP | 701,988 | 1,718,341 |
11/22/2056 | 0.125% | GBP | 338,134 | 866,034 |
11/22/2065 | 0.125% | GBP | 105,053 | 314,798 |
Total | 6,187,795 | |||
United States 3.5% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
01/15/2022 | 0.125% | 875,848 | 870,409 | |
01/15/2024 | 0.625% | 1,776,909 | 1,808,121 | |
01/15/2025 | 0.250% | 1,611,354 | 1,613,555 | |
07/15/2027 | 0.375% | 1,329,407 | 1,341,663 | |
01/15/2028 | 0.500% | 1,251,065 | 1,271,776 | |
07/15/2028 | 0.750% | 483,403 | 503,786 | |
01/15/2029 | 0.875% | 455,269 | 479,383 | |
02/15/2042 | 0.750% | 296,201 | 297,456 | |
02/15/2043 | 0.625% | 330,003 | 320,096 | |
02/15/2045 | 0.750% | 289,649 | 286,708 | |
02/15/2048 | 1.000% | 242,410 | 255,161 | |
Total | 9,048,114 | |||
Total Inflation-Indexed Bonds (Cost $20,308,442) | 21,110,042 | |||
Residential Mortgage-Backed Securities - Agency 2.5% | ||||
Federal National Mortgage Association(f) | ||||
08/19/2034 | 2.500% | 630,000 | 634,196 | |
08/13/2049 | 3.000% | 830,000 | 836,403 | |
08/13/2049 | 3.500% | 1,225,000 | 1,252,163 | |
08/13/2049 | 4.000% | 1,210,000 | 1,250,199 | |
08/13/2049 | 4.500% | 550,000 | 574,551 | |
08/13/2049 | 5.000% | 150,000 | 158,511 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(f) | ||||
07/22/2049 | 3.500% | 1,620,000 | 1,673,828 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $6,373,717) | 6,379,851 | |||
U.S. Treasury Obligations 5.0% | ||||
U.S. Treasury | ||||
11/30/2024 | 2.125% | 200 | 203 | |
08/15/2027 | 2.250% | 500,000 | 512,109 | |
11/15/2027 | 2.250% | 2,082,900 | 2,132,369 | |
02/15/2028 | 2.750% | 2,010,400 | 2,137,621 | |
05/15/2028 | 2.875% | 2,067,900 | 2,220,731 | |
11/15/2028 | 3.125% | 2,387,000 | 2,618,241 | |
02/15/2029 | 2.625% | 2,386,000 | 2,516,111 | |
05/15/2029 | 2.375% | 834,000 | 861,887 | |
Total U.S. Treasury Obligations (Cost $12,452,506) | 12,999,272 |
Money Market Funds 59.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(g),(h) | 154,320,465 | 154,305,033 |
Total Money Market Funds (Cost $154,306,941) | 154,305,033 | |
Total Investments in Securities (Cost $315,013,760) | 314,969,107 | |
Investments in securities sold short | ||
Common Stocks (35.7)% | ||
Issuer | Shares | Value ($) |
Communication Services (1.0)% | ||
Entertainment (0.7)% | ||
Lions Gate Entertainment Corp. | (68,334) | (837,091) |
Madison Square Garden Co. (The), Class A(b) | (3,314) | (927,721) |
Netflix, Inc.(b) | (280) | (102,850) |
Total | (1,867,662) | |
Media (0.3)% | ||
CBS Corp. | (2,210) | (110,279) |
Charter Communications, Inc., Class A(b) | (1,511) | (597,117) |
Total | (707,396) | |
Total Communication Services | (2,575,058) | |
Consumer Discretionary (5.2)% | ||
Auto Components (0.0)% | ||
Visteon Corp.(b) | (2,082) | (121,963) |
10 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Distributors (0.4)% | ||
Pool Corp. | (5,518) | (1,053,938) |
Diversified Consumer Services (0.4)% | ||
Grand Canyon Education, Inc.(b) | (8,293) | (970,447) |
Hotels, Restaurants & Leisure (1.0)% | ||
Choice Hotels International, Inc. | (911) | (79,266) |
Hilton Grand Vacations, Inc.(b) | (32,699) | (1,040,482) |
McDonald’s Corp. | (2,818) | (585,186) |
Wynn Resorts Ltd. | (7,427) | (920,874) |
Total | (2,625,808) | |
Household Durables (0.3)% | ||
D.R. Horton, Inc. | (6,103) | (263,222) |
Leggett & Platt, Inc. | (8,985) | (344,755) |
Mohawk Industries, Inc.(b) | (920) | (135,672) |
Total | (743,649) | |
Internet & Direct Marketing Retail (0.4)% | ||
GrubHub, Inc.(b) | (10,126) | (789,727) |
Wayfair, Inc., Class A(b) | (958) | (139,868) |
Total | (929,595) | |
Leisure Products (0.2)% | ||
Mattel, Inc.(b) | (41,804) | (468,623) |
Multiline Retail (0.2)% | ||
Dollar Tree, Inc.(b) | (3,997) | (429,238) |
Specialty Retail (1.7)% | ||
AutoNation, Inc.(b) | (24,405) | (1,023,546) |
Burlington Stores, Inc.(b) | (2,770) | (471,315) |
CarMax, Inc.(b) | (11,959) | (1,038,400) |
Gap, Inc. (The) | (45,104) | (810,519) |
Penske Automotive Group, Inc. | (7,879) | (372,677) |
Tiffany & Co. | (8,725) | (817,009) |
Total | (4,533,466) | |
Textiles, Apparel & Luxury Goods (0.6)% | ||
Carter’s, Inc. | (10,297) | (1,004,369) |
PVH Corp. | (6,523) | (617,337) |
Total | (1,621,706) | |
Total Consumer Discretionary | (13,498,433) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples (2.1)% | ||
Beverages (0.8)% | ||
Brown-Forman Corp., Class B | (18,574) | (1,029,557) |
Constellation Brands, Inc., Class A | (4,503) | (886,821) |
Total | (1,916,378) | |
Food & Staples Retailing (0.3)% | ||
Casey’s General Stores, Inc. | (4,600) | (717,554) |
Food Products (0.8)% | ||
Hain Celestial Group, Inc. (The)(b) | (47,811) | (1,047,061) |
McCormick & Co., Inc. | (6,441) | (998,419) |
Seaboard Corp. | (17) | (70,325) |
Total | (2,115,805) | |
Personal Products (0.2)% | ||
Coty, Inc., Class A | (27,246) | (365,096) |
Estee Lauder Companies, Inc. (The), Class A | (1,063) | (194,646) |
Total | (559,742) | |
Total Consumer Staples | (5,309,479) | |
Energy (2.3)% | ||
Oil, Gas & Consumable Fuels (2.3)% | ||
Antero Resources Corp.(b) | (84,098) | (465,062) |
Cheniere Energy, Inc.(b) | (14,884) | (1,018,810) |
Concho Resources, Inc. | (1,297) | (133,824) |
Diamondback Energy, Inc. | (9,257) | (1,008,735) |
ONEOK, Inc. | (5,718) | (393,456) |
Parsley Energy, Inc.(b) | (50,781) | (965,347) |
Williams Companies, Inc. (The) | (36,630) | (1,027,105) |
WPX Energy, Inc.(b) | (76,871) | (884,785) |
Total | (5,897,124) | |
Total Energy | (5,897,124) | |
Financials (4.6)% | ||
Banks (1.6)% | ||
Bank of Hawaii Corp. | (12,395) | (1,027,669) |
Cullen/Frost Bankers, Inc. | (2,850) | (266,931) |
First Republic Bank | (10,357) | (1,011,361) |
Prosperity Bancshares, Inc. | (13,814) | (912,415) |
U.S. Bancorp | (17,499) | (916,948) |
Total | (4,135,324) |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 | 11 |
Table of Contents
June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets (0.5)% | ||
Interactive Brokers Group, Inc., Class A | (18,349) | (994,516) |
Virtu Financial, Inc., Class A | (19,588) | (426,626) |
Total | (1,421,142) | |
Consumer Finance (0.2)% | ||
American Express Co. | (3,794) | (468,331) |
Insurance (1.7)% | ||
American International Group, Inc. | (7,622) | (406,100) |
Chubb Ltd. | (6,846) | (1,008,347) |
Markel Corp.(b) | (885) | (964,296) |
RenaissanceRe Holdings Ltd. | (5,665) | (1,008,427) |
White Mountains Insurance Group Ltd. | (997) | (1,018,396) |
Total | (4,405,566) | |
Thrifts & Mortgage Finance (0.6)% | ||
New York Community Bancorp, Inc. | (56,440) | (563,271) |
TFS Financial Corp. | (57,583) | (1,040,525) |
Total | (1,603,796) | |
Total Financials | (12,034,159) | |
Health Care (4.1)% | ||
Health Care Equipment & Supplies (1.1)% | ||
Boston Scientific Corp.(b) | (21,853) | (939,242) |
Insulet Corp.(b) | (7,545) | (900,722) |
Intuitive Surgical, Inc.(b) | (1,866) | (978,810) |
Total | (2,818,774) | |
Health Care Providers & Services (1.1)% | ||
Acadia Healthcare Co., Inc.(b) | (22,935) | (801,578) |
Anthem, Inc. | (1,504) | (424,444) |
Chemed Corp. | (2,905) | (1,048,240) |
DaVita, Inc.(b) | (713) | (40,114) |
Mednax, Inc.(b) | (27,792) | (701,192) |
Total | (3,015,568) | |
Health Care Technology (0.3)% | ||
Cerner Corp. | (9,656) | (707,785) |
Life Sciences Tools & Services (0.8)% | ||
Bio-Rad Laboratories, Inc., Class A(b) | (3,329) | (1,040,612) |
Bio-Techne Corp. | (4,967) | (1,035,570) |
Total | (2,076,182) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals (0.8)% | ||
Catalent, Inc.(b) | (19,078) | (1,034,218) |
Zoetis, Inc. | (9,052) | (1,027,312) |
Total | (2,061,530) | |
Total Health Care | (10,679,839) | |
Industrials (5.9)% | ||
Aerospace & Defense (0.6)% | ||
BWX Technologies, Inc. | (20,046) | (1,044,397) |
Lockheed Martin Corp. | (1,641) | (596,569) |
Total | (1,640,966) | |
Air Freight & Logistics (0.3)% | ||
Fedex Corp. | (4,857) | (797,471) |
Airlines (0.6)% | ||
Alaska Air Group, Inc. | (9,569) | (611,555) |
American Airlines Group, Inc. | (27,646) | (901,536) |
Total | (1,513,091) | |
Building Products (0.4)% | ||
Owens Corning | (16,931) | (985,384) |
Commercial Services & Supplies (0.5)% | ||
Copart, Inc.(b) | (4,981) | (372,280) |
Stericycle, Inc.(b) | (19,266) | (919,951) |
Total | (1,292,231) | |
Construction & Engineering (0.2)% | ||
Fluor Corp. | (16,532) | (556,963) |
Machinery (1.5)% | ||
Colfax Corp.(b) | (3,337) | (93,536) |
Deere & Co. | (6,209) | (1,028,893) |
Terex Corp. | (2,395) | (75,203) |
Trinity Industries, Inc. | (39,768) | (825,186) |
Wabtec Corp. | (10,317) | (740,348) |
Welbilt, Inc.(b) | (63,065) | (1,053,186) |
Total | (3,816,352) | |
Marine (0.3)% | ||
Kirby Corp.(b) | (10,956) | (865,524) |
Professional Services (0.3)% | ||
Equifax, Inc. | (6,530) | (883,117) |
12 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Road & Rail (0.8)% | ||
AMERCO | (2,676) | (1,013,000) |
Ryder System, Inc. | (16,314) | (951,106) |
Total | (1,964,106) | |
Trading Companies & Distributors (0.4)% | ||
Air Lease Corp. | (25,136) | (1,039,122) |
Total Industrials | (15,354,327) | |
Information Technology (5.8)% | ||
Communications Equipment (0.4)% | ||
EchoStar Corp., Class A(b) | (23,281) | (1,031,814) |
Electronic Equipment, Instruments & Components (0.7)% | ||
Arrow Electronics, Inc.(b) | (12,692) | (904,559) |
Jabil, Inc. | (29,056) | (918,170) |
Total | (1,822,729) | |
IT Services (1.9)% | ||
Amdocs Ltd. | (16,403) | (1,018,462) |
Gartner, Inc.(b) | (6,222) | (1,001,369) |
Square, Inc., Class A(b) | (12,483) | (905,392) |
Twilio, Inc.(b) | (7,559) | (1,030,670) |
Western Union Co. | (44,576) | (886,616) |
Total | (4,842,509) | |
Semiconductors & Semiconductor Equipment (1.1)% | ||
Advanced Micro Devices, Inc.(b) | (30,548) | (927,743) |
First Solar, Inc.(b) | (15,868) | (1,042,210) |
Monolithic Power Systems, Inc. | (5,570) | (756,295) |
NVIDIA Corp. | (1,554) | (255,213) |
Total | (2,981,461) | |
Software (1.3)% | ||
2U, Inc.(b) | (15,283) | (575,252) |
FireEye, Inc.(b) | (38,353) | (568,008) |
Nuance Communications, Inc.(b) | (37,327) | (596,112) |
Pegasystems, Inc. | (6,146) | (437,657) |
PTC, Inc.(b) | (5,510) | (494,578) |
Teradata Corp.(b) | (22,637) | (811,536) |
Total | (3,483,143) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Technology Hardware, Storage & Peripherals (0.4)% | ||
Hewlett Packard Enterprise Co. | (63,773) | (953,406) |
Total Information Technology | (15,115,062) | |
Materials (2.7)% | ||
Chemicals (1.7)% | ||
Ashland Global Holdings, Inc. | (11,322) | (905,421) |
Ecolab, Inc. | (3,821) | (754,418) |
FMC Corp. | (9,498) | (787,859) |
International Flavors & Fragrances, Inc. | (2,721) | (394,790) |
Platform Specialty Products Corp.(b) | (55,677) | (575,700) |
Scotts Miracle-Gro Co. (The), Class A | (9,301) | (916,149) |
Total | (4,334,337) | |
Construction Materials (0.4)% | ||
Martin Marietta Materials, Inc. | (519) | (119,427) |
Vulcan Materials Co. | (7,542) | (1,035,592) |
Total | (1,155,019) | |
Containers & Packaging (0.2)% | ||
Graphic Packaging Holding Co. | (40,602) | (567,616) |
Metals & Mining (0.4)% | ||
Royal Gold, Inc. | (10,076) | (1,032,689) |
Total Materials | (7,089,661) | |
Real Estate (2.0)% | ||
Equity Real Estate Investment Trusts (REITS) (2.0)% | ||
Crown Castle International Corp. | (7,676) | (1,000,567) |
Equinix, Inc. | (480) | (242,059) |
Federal Realty Investment Trust | (7,342) | (945,356) |
Invitation Homes, Inc. | (13,847) | (370,130) |
Macerich Co. (The) | (20,268) | (678,775) |
Prologis, Inc. | (1,274) | (102,048) |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 | 13 |
Table of Contents
June 30, 2019 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Welltower, Inc. | (12,339) | (1,005,999) |
Weyerhaeuser Co. | (27,251) | (717,791) |
Total | (5,062,725) | |
Total Real Estate | (5,062,725) | |
Total Common Stocks (Proceeds $89,844,977) | (92,615,867) | |
Total Investments in Securities Sold Short (Proceeds $89,844,977) | (92,615,867) | |
Total Investments in Securities, Net of Securities Sold Short | 222,353,240 | |
Other Assets & Liabilities, Net | 37,142,771 | |
Net Assets | 259,496,011 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
394,000 AUD | 274,040 USD | Citi | 07/24/2019 | — | (2,790) |
15,167,000 CHF | 15,250,263 USD | Citi | 07/24/2019 | — | (319,990) |
22,816,571 USD | 33,199,000 AUD | Citi | 07/24/2019 | 509,539 | — |
359,001 USD | 349,000 CHF | Citi | 07/24/2019 | — | (722) |
794,000 CAD | 602,039 USD | Credit Suisse | 07/24/2019 | — | (4,603) |
38,036,125 USD | 50,943,000 CAD | Credit Suisse | 07/24/2019 | 885,952 | — |
15,214,427 USD | 11,943,000 GBP | Credit Suisse | 07/24/2019 | — | (30,078) |
2,475,624,000 JPY | 22,868,048 USD | HSBC | 07/24/2019 | — | (134,150) |
257,532 USD | 27,588,000 JPY | HSBC | 07/24/2019 | — | (1,199) |
8,327,000 GBP | 10,577,130 USD | HSBC | 07/30/2019 | — | (13,129) |
801,923,000 JPY | 7,475,862 USD | HSBC | 07/30/2019 | 21,243 | — |
47,354,201 MXN | 2,476,842 USD | HSBC | 07/30/2019 | 21,271 | — |
1,132,000 NOK | 132,410 USD | HSBC | 07/30/2019 | — | (421) |
1,278,000 NZD | 842,838 USD | HSBC | 07/30/2019 | — | (16,295) |
2,852,000 SEK | 304,059 USD | HSBC | 07/30/2019 | — | (3,743) |
206,000 SGD | 152,050 USD | HSBC | 07/30/2019 | — | (287) |
611,137 USD | 65,597,000 JPY | HSBC | 07/30/2019 | — | (1,352) |
4,080 USD | 78,000 MXN | HSBC | 07/30/2019 | — | (35) |
1,141,586 USD | 9,698,000 NOK | HSBC | 07/30/2019 | — | (3,608) |
1,687,178 USD | 2,558,000 NZD | HSBC | 07/30/2019 | 32,433 | — |
17,551 USD | 66,000 PLN | HSBC | 07/30/2019 | 140 | — |
24,414 USD | 229,000 SEK | HSBC | 07/30/2019 | 301 | — |
18,598,000 ZAR | 1,298,837 USD | HSBC | 07/30/2019 | — | (16,869) |
3,900,000 AUD | 2,681,706 USD | HSBC | 08/08/2019 | — | (59,838) |
5,000,000 CAD | 3,732,095 USD | HSBC | 08/08/2019 | — | (89,227) |
3,300,000 GBP | 4,163,696 USD | HSBC | 08/08/2019 | — | (34,958) |
28,600,000 NOK | 3,287,109 USD | HSBC | 08/08/2019 | — | (69,693) |
3,700,000 NZD | 2,404,105 USD | HSBC | 08/08/2019 | — | (83,634) |
9,200,000 SGD | 6,714,809 USD | HSBC | 08/08/2019 | — | (89,502) |
3,397,843 USD | 367,300,000 JPY | HSBC | 08/08/2019 | 18,833 | — |
23,364,000 NZD | 15,446,438 USD | Morgan Stanley | 07/24/2019 | — | (257,726) |
15,209,964 USD | 23,364,000 NZD | Morgan Stanley | 07/24/2019 | 494,200 | — |
2,225,000 AUD | 1,543,839 USD | Morgan Stanley | 07/30/2019 | — | (19,822) |
14 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
935,000 CAD | 710,152 USD | Morgan Stanley | 07/30/2019 | — | (4,323) |
2,778,000 CHF | 2,832,931 USD | Morgan Stanley | 07/30/2019 | — | (20,602) |
1,323,000 DKK | 200,782 USD | Morgan Stanley | 07/30/2019 | — | (1,284) |
11,620,000 EUR | 13,171,057 USD | Morgan Stanley | 07/30/2019 | — | (73,708) |
1,379,000 GBP | 1,752,378 USD | Morgan Stanley | 07/30/2019 | — | (1,431) |
1,948,359 USD | 2,808,000 AUD | Morgan Stanley | 07/30/2019 | 25,015 | — |
2,280,609 USD | 3,001,000 CAD | Morgan Stanley | 07/30/2019 | 12,587 | — |
4,354,432 USD | 4,270,000 CHF | Morgan Stanley | 07/30/2019 | 31,667 | — |
45,214 USD | 44,000 CHF | Morgan Stanley | 07/30/2019 | — | (17) |
1,057,848 USD | 934,000 EUR | Morgan Stanley | 07/30/2019 | 6,748 | — |
836,160 USD | 658,000 GBP | Morgan Stanley | 07/30/2019 | 683 | — |
326,000 ZAR | 22,771 USD | Morgan Stanley | 07/30/2019 | — | (291) |
33,812,000 EUR | 38,107,477 USD | UBS | 07/24/2019 | — | (412,540) |
506,603 USD | 444,000 EUR | UBS | 07/24/2019 | — | (780) |
Total | 2,060,612 | (1,768,647) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
10-Year Mini JGB | 67 | 09/2019 | JPY | 1,031,130,000 | 22,804 | — |
3-Month Euro Euribor | 61 | 12/2019 | EUR | 15,322,438 | 22,897 | — |
3-Month Euro Swiss Franc | 67 | 12/2019 | CHF | 16,894,050 | 15,874 | — |
3-Month Euroyen | 74 | 12/2019 | JPY | 1,850,462,500 | 1,477 | — |
Australian 10-Year Bond | 64 | 09/2019 | AUD | 9,193,608 | 71,824 | — |
Banker’s Acceptance | 94 | 12/2019 | CAD | 23,051,150 | 2,440 | — |
Canadian Government 10-Year Bond | 62 | 09/2019 | CAD | 8,861,660 | — | (29,023) |
EURO STOXX 50 | 351 | 09/2019 | EUR | 12,165,660 | 363,436 | — |
Euro-BTP | 6 | 09/2019 | EUR | 805,800 | 34,376 | — |
Euro-Bund | 45 | 09/2019 | EUR | 7,773,300 | 68,505 | — |
Eurodollar 90-Day | 69 | 12/2019 | USD | 16,920,525 | 6,713 | — |
Euro-OAT | 5 | 09/2019 | EUR | 824,350 | 15,640 | — |
Long Gilt | 53 | 09/2019 | GBP | 6,905,900 | 56,112 | — |
MSCI EAFE Index Future | 124 | 09/2019 | USD | 11,924,460 | 328,413 | — |
MSCI Emerging Markets Index | 69 | 09/2019 | USD | 3,634,230 | 162,663 | — |
S&P 500 E-mini | 307 | 09/2019 | USD | 45,193,470 | 756,761 | — |
S&P/TSX 60 Index | 71 | 09/2019 | CAD | 13,883,340 | 42,343 | — |
SPI 200 Index | 13 | 09/2019 | AUD | 2,131,675 | 19,064 | — |
U.S. Long Bond | 32 | 09/2019 | USD | 4,979,000 | 68,746 | — |
U.S. Treasury 10-Year Note | 51 | 09/2019 | USD | 6,526,406 | 148,679 | — |
U.S. Treasury 5-Year Note | 7 | 09/2019 | USD | 827,094 | 13,932 | — |
U.S. Treasury Ultra 10-Year Note | 33 | 09/2019 | USD | 4,558,125 | 146,110 | — |
Total | 2,368,809 | (29,023) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
CAC40 Index | (19) | 07/2019 | EUR | (1,051,270) | — | (32,102) |
DAX Index | (3) | 09/2019 | EUR | (929,100) | — | (25,948) |
EURO STOXX 50 | (30) | 09/2019 | EUR | (1,039,800) | — | (31,452) |
Euro-BTP | (15) | 09/2019 | EUR | (2,014,500) | — | (87,507) |
FTSE 100 Index | (35) | 09/2019 | GBP | (2,579,150) | — | (33,782) |
FTSE/MIB Index | (8) | 09/2019 | EUR | (846,240) | — | (29,189) |
Hang Seng Index | (19) | 07/2019 | HKD | (27,079,750) | — | (23,113) |
IBEX 35 Index | (11) | 07/2019 | EUR | (1,009,030) | — | (14,415) |
MSCI Emerging Markets Index | (369) | 09/2019 | USD | (19,435,230) | — | (869,952) |
MSCI Singapore IX ETS | (42) | 07/2019 | SGD | (1,588,230) | — | (16,295) |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 | 15 |
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June 30, 2019 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
SPI 200 Index | (65) | 09/2019 | AUD | (10,658,375) | — | (89,980) |
TOPIX Index | (97) | 09/2019 | JPY | (1,504,470,000) | 12,363 | — |
TOPIX Index | (7) | 09/2019 | JPY | (108,570,000) | — | (19,257) |
Total | 12,363 | (1,272,992) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 0.210% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 09/08/2027 | JPY | 259,538,000 | 51,733 | — | — | 51,733 | — |
Fixed rate of 0.285% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 12/06/2027 | JPY | 227,882,000 | 57,674 | — | — | 57,674 | — |
Fixed rate of 0.293% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 04/05/2028 | JPY | 3,535,770,528 | 942,982 | — | — | 942,982 | — |
6-Month EURIBOR | Fixed rate of 1.006% | Receives SemiAnnually, Pays Annually | Morgan Stanley | 05/04/2028 | EUR | 6,119,789 | (588,167) | — | — | — | (588,167) |
Fixed rate of 1.506% | 6-Month GBP LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 07/02/2028 | GBP | 12,220,000 | 692,479 | — | — | 692,479 | — |
Fixed rate of 0.403% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 08/03/2028 | JPY | 1,539,121,000 | 569,613 | — | — | 569,613 | — |
6-Month GBP LIBOR | Fixed rate of 1.610% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 11/01/2028 | GBP | 6,933,000 | (468,048) | — | — | — | (468,048) |
Fixed rate of 0.325% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 11/05/2028 | JPY | 2,918,942,000 | 855,900 | — | — | 855,900 | — |
Fixed rate of 2.773% | 6-Month AUD BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 12/04/2028 | AUD | 23,802,000 | 1,873,566 | — | — | 1,873,566 | — |
Fixed rate of 0.245% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 12/05/2028 | JPY | 1,413,918,000 | 309,530 | — | — | 309,530 | — |
6-Month AUD BBA LIBOR | Fixed rate of 2.479% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 01/03/2029 | AUD | 50,284,000 | (3,073,598) | — | — | — | (3,073,598) |
Fixed rate of 2.504% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 04/03/2029 | USD | 8,386,000 | 406,295 | — | — | 406,295 | — |
3-Month USD LIBOR | Fixed rate of 2.513% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 05/03/2029 | USD | 14,096,000 | (696,647) | — | — | — | (696,647) |
Total | 933,312 | — | — | 5,759,772 | (4,826,460) |
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 ($) |
Markit CDX Emerging Markets Index, Series 31 | Morgan Stanley | 06/20/2024 | 1.000 | Quarterly | 1.684 | USD | 9,245,000 | 14,258 | — | — | 14,258 | — |
Markit CDX North America High Yield Index, Series 32 | Morgan Stanley | 06/20/2024 | 5.000 | Quarterly | 3.260 | USD | 15,581,000 | 288,073 | — | — | 288,073 | — |
Markit CDX North America High Yield Index, Series 32 | Morgan Stanley | 06/20/2024 | 5.000 | Quarterly | 3.260 | USD | 200,000 | (230) | — | — | — | (230) |
Markit CDX North America Investment Grade Index, Series 32 | Morgan Stanley | 06/20/2024 | 1.000 | Quarterly | 0.547 | USD | 8,644,000 | 44,854 | — | — | 44,854 | — |
Total | 346,955 | — | — | 347,185 | (230) |
16 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Total return swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments | Upfront receipts | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on Barclays TrendStar+ Alt Roll 2 Index (BXIITSP2)† | Fixed rate of 0.600% | Monthly | Barclays | 11/30/2019 | USD | 7,653,946 | 68,288†† | (3,572) | — | — | 64,716 | — |
Total return on Barclays Backwardation Alpha Bloomberg CI Index ER (BCCFBA3P)† | Fixed rate of 0.350% | Monthly | Barclays | 11/30/2019 | USD | 6,693,539 | 31,258†† | (1,822) | — | — | 29,436 | — |
Total return on Barclays Backwardation Alpha Bloomberg CI Index ER (BCCFBA3P)† | Fixed rate of 0.350% | Monthly | Barclays | 11/30/2019 | USD | 1,008,110 | 4,706†† | (274) | — | — | 4,432 | — |
Total return on Barclays TrendStar+ Alt Roll 2 Index (BXIITSP2)† | Fixed rate of 0.600% | Monthly | Barclays | 11/30/2019 | USD | 347,109 | 3,097†† | (162) | 70 | — | 2,865 | — |
Total return on Barclays Backwardation Alpha Bloomberg CI Index ER (BCCFBA3P)† | Fixed rate of 0.350% | Monthly | Barclays | 11/30/2019 | USD | 101,976 | 476†† | (28) | — | — | 448 | — |
Total return on Barclays Dualis Volatility Weighted Index (BCCFDUVP)† | Fixed rate of 0.540% | Monthly | Barclays | 11/30/2019 | USD | 45,050 | (262)†† | (19) | — | — | — | (281) |
Total return on Barclays Dualis Volatility Weighted Index (BCCFDUVP)† | Fixed rate of 0.540% | Monthly | Barclays | 11/30/2019 | USD | 4,526,412 | (26,308)†† | (1,901) | — | — | — | (28,209) |
Total return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)† | Fixed rate of 0.300% | Monthly | Citi | 11/30/2019 | USD | 11,134,831 | 21,583†† | (2,598) | — | — | 18,985 | — |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 | 17 |
Table of Contents
June 30, 2019 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments | Upfront receipts | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)† | Fixed rate of 0.300% | Monthly | Citi | 11/30/2019 | USD | 1,889,744 | 3,663†† | (441) | — | — | 3,222 | — |
Total return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)† | Fixed rate of 0.300% | Monthly | Citi | 11/30/2019 | USD | 1,244,489 | 2,412†† | (290) | — | — | 2,122 | — |
Total return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)† | Fixed rate of 0.300% | Monthly | Citi | 11/30/2019 | USD | 91,729 | 177†† | (21) | — | — | 156 | — |
Total return on Citi Commodities Congestion Pre-Post Roll Alpha (B) Index (CVICRTB1)† | Fixed rate of 0.270% | Monthly | Citi | 11/30/2019 | USD | 68,498 | (5)†† | (14) | — | — | — | (19) |
Total return on Citi Commodities Congestion Pre-Post Roll Alpha (B) Index (CVICRTB1)† | Fixed rate of 0.270% | Monthly | Citi | 11/30/2019 | USD | 10,783,885 | (686)†† | (2,265) | — | — | — | (2,951) |
Total return on Deutsche Bank Currency Valuation - USD Excess Return (DBPPPUSF)† | Fixed rate of 0.000% | Monthly | Deutsche Bank | 11/30/2019 | USD | 51,136 | (572)†† | — | — | — | — | (572) |
Total return on Deutsche Bank Currency Valuation - USD Excess Return (DBPPPUSF)† | Fixed rate of 0.000% | Monthly | Deutsche Bank | 11/30/2019 | USD | 715,491 | (8,956)†† | — | — | — | — | (8,956) |
Total return on Deutsche Bank Currency Valuation - USD Excess Return (DBPPPUSF)† | Fixed rate of 0.000% | Monthly | Deutsche Bank | 11/30/2019 | USD | 936,952 | (10,475)†† | — | — | — | — | (10,475) |
Total return on Deutsche Bank Currency Valuation - USD Excess Return (DBPPPUSF)† | Fixed rate of 0.000% | Monthly | Deutsche Bank | 11/30/2019 | USD | 15,881,636 | (177,552)†† | — | — | — | — | (177,552) |
18 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
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 MF03 (GSIRMF03)† | Fixed rate of 0.100% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 27,785,159 | 419,631†† | (2,161) | — | — | 417,470 | — |
Total return on Goldman Sachs Macro Index VA08 (GSFXVA08)† | Fixed rate of 0.180% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 12,459,965 | 102,227†† | (1,743) | — | — | 100,484 | — |
Total return on Goldman Sachs Macro Index CA09 (GSFXCA09)† | Fixed rate of 0.260% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 11,526,820 | 35,899†† | (2,331) | — | — | 33,568 | — |
Total return on Goldman Sachs Macro Index C0210 (GSCC0210)† | Fixed rate of -0.020% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 13,506,498 | 26,334†† | 210 | — | — | 26,544 | — |
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 | 849,717 | 15,411†† | (66) | — | — | 15,345 | — |
Total return on Goldman Sachs Macro Index VA08 (GSFXVA08)† | Fixed rate of 0.180% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 1,601,344 | 9,903†† | (80) | — | — | 9,823 | — |
Total return on Goldman Sachs Macro Index CA09 (GSFXCA09)† | Fixed rate of 0.260% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 2,934,461 | 9,139†† | (593) | — | — | 8,546 | — |
Total return on Goldman Sachs Series 19 10-year Volatility Carry Index (GSVLTY19)† | Fixed rate of 0.100% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 819,447 | 6,271†† | (64) | — | — | 6,207 | — |
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 | 2,782,798 | 6,163†† | (216) | — | — | 5,947 | — |
Total return on Goldman Sachs Macro Index CA09 (GSFXCA09)† | Fixed rate of 0.260% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 1,723,020 | 5,366†† | (348) | — | — | 5,018 | — |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 | 19 |
Table of Contents
June 30, 2019 (Unaudited)
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 | 1,497,027 | 4,664†† | (304) | — | — | 4,360 | — |
Total return on Goldman Sachs Risk Premia Equity World Long Short Series 61 Excess Return (GSISM61E)† | Fixed rate of 0.000% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 11,458,528 | 3,927†† | — | — | — | 3,927 | — |
Total return on Goldman Sachs Risk Premia Equity World Long Short Series 61 Excess Return (GSISM61E)† | Fixed rate of 0.000% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 11,293,139 | 3,870†† | — | — | — | 3,870 | — |
Total return on Goldman Sachs Risk Premia Equity World Long Short Series 61 Excess Return (GSISM61E)† | Fixed rate of 0.000% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 9,680,605 | 3,318†† | — | — | — | 3,318 | — |
Total return on Goldman Sachs Macro Index MF03 (GSIRMF03)† | Fixed rate of 0.100% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 95,728 | 1,446†† | (8) | — | — | 1,438 | — |
Total return on Goldman Sachs Macro Index CA09 (GSFXCA09)† | Fixed rate of 0.260% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 309,482 | 964†† | (63) | — | — | 901 | — |
Total return on Goldman Sachs Macro Index VA08 (GSFXVA08)† | Fixed rate of 0.180% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 18,788 | 155†† | (3) | — | — | 152 | — |
Total return on Goldman Sachs Commodity Curve Index (ABGSRP09)† | Fixed rate of 0.110% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 319,156 | (1,048)†† | (27) | — | — | — | (1,075) |
Total return on Goldman Sachs Macro Index CA09 (GSFXCA09)† | Fixed rate of 0.260% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 622,846 | (3,110)†† | (45) | — | — | — | (3,155) |
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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 ($) |
Total return on Goldman Sachs FX Time Series Momentum Index C0038 (GSCC0038)† | Fixed rate of 0.220% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 399,548 | (7,515)†† | (24) | — | — | — | (7,539) |
Total return on Goldman Sachs Volatility Carry U.S. Series 71 Excess Return Strategy (GSVIUS71)† | Fixed rate of 0.100% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 5,908,910 | (13,921)†† | (460) | — | — | — | (14,381) |
Total return on Goldman Sachs FX Time Series Momentum Index C0038 (GSCC0038)† | Fixed rate of 0.220% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 1,277,017 | (31,182)†† | (219) | — | — | — | (31,401) |
Total return on Goldman Sachs Commodity Curve Index (ABGSRP09)† | Fixed rate of 0.110% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 12,851,986 | (42,184)†† | (1,100) | — | — | — | (43,284) |
Total return on Goldman Sachs FX Time Series Momentum Index C0038 (GSCC0038)† | Fixed rate of 0.220% | Monthly | Goldman Sachs International | 11/30/2019 | USD | 12,727,904 | (310,795)†† | (2,178) | — | — | — | (312,973) |
Total return on JPMorgan Equity Risk Premium - Global Balanced Multi-Factor (Long/Short) US Index (JPQFMFWA)† | Fixed rate of -0.150% | Monthly | JPMorgan | 11/30/2019 | USD | 18,306,823 | 102,651†† | 2,136 | — | — | 104,787 | — |
Total return on JPMorgan Equity Risk Premium - Global Pure Value L/S USD Index 1 (JPQFVLW1)† | Fixed rate of 0.000% | Monthly | JPMorgan | 11/30/2019 | USD | 2,893,600 | 14,810†† | — | — | — | 14,810 | — |
Total return on J.P. Morgan Commodity Carry Pairs Capped (JMABCCPC)† | Fixed rate of 0.000% | Monthly | JPMorgan | 11/30/2019 | USD | 4,846,990 | 5,082†† | — | — | — | 5,082 | — |
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Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments | Upfront receipts | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on JPMorgan Equity Risk Premium - Global Balanced Multi-Factor (Long/Short) US Index (JPQFMFWA)† | Fixed rate of -0.150% | Monthly | JPMorgan | 11/30/2019 | USD | 495,285 | 2,777†† | 58 | — | — | 2,835 | — |
Total return on JPMorgan Equity Risk Premium - Global Balanced Multi-Factor (Long/Short) US Index (JPQFMFWA)† | Fixed rate of -0.150% | Monthly | JPMorgan | 11/30/2019 | USD | 89,132 | 500†† | 10 | — | — | 510 | — |
Total return on JPMorgan Equity Risk Premium - Global Pure Value L/S USD Index 1 (JPQFVLW1)† | Fixed rate of 0.000% | Monthly | JPMorgan | 11/30/2019 | USD | 73,526 | 376†† | — | — | — | 376 | — |
Total return on JPMorgan L/S Russell 1000 (JPQICTLS)† | Fixed rate of 0.400% | Monthly | JPMorgan | 11/30/2019 | USD | 5,550,847 | (28,593)†† | (119) | — | — | — | (28,712) |
Total return on MSEF Global Value (MSCBSVAG)† | Fixed rate of -0.200% | Monthly | Morgan Stanley | 11/30/2019 | USD | 2,897,336 | 1,898†† | 451 | — | — | 2,349 | — |
Total return on MSEF Global Value (MSCBSVAG)† | Fixed rate of -0.200% | Monthly | Morgan Stanley | 11/30/2019 | USD | 89,218 | 58†† | 14 | — | — | 72 | — |
Total return on MSEF Global CRP (MSCBSMRG)† | Fixed rate of -0.150% | Monthly | Morgan Stanley | 11/30/2019 | USD | 40,072 | (123)†† | 5 | — | — | — | (118) |
Total return on MSEF Global CRP (MSCBSMRG)† | Fixed rate of -0.150% | Monthly | Morgan Stanley | 11/30/2019 | USD | 355,377 | (1,086)†† | 41 | — | — | — | (1,045) |
Total return on MSEF Global CRP (MSCBSMRG)† | Fixed rate of -0.150% | Monthly | Morgan Stanley | 11/30/2019 | USD | 28,584,604 | (87,384)†† | 3,335 | — | — | — | (84,049) |
Total | 166,743 | (19,299) | 70 | — | 904,121 | (756,747) |
† | 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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Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
3-Month USD LIBOR | London Interbank Offered Rate | 2.320% |
6-Month AUD BBA LIBOR | London Interbank Offered Rate | 1.610% |
6-Month EURIBOR | Euro Interbank Offered Rate | (0.311%) |
6-Month GBP LIBOR | London Interbank Offered Rate | 0.851% |
6-Month JPY BBA LIBOR | London Interbank Offered Rate | (0.022%) |
(a) | This security or a portion of this security has been pledged as collateral in connection with investments sold short. |
(b) | Non-income producing investment. |
(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 Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2019, the total value of these securities amounted to $16,531,091, which represents 6.37% of total net assets. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | The rate shown is the seven-day current annualized yield at June 30, 2019. |
(h) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | ||||||||
132,548,866 | 120,941,662 | (99,170,063) | 154,320,465 | (911) | 356 | 1,777,753 | 154,305,033 |
AUD | Australian Dollar |
CAD | Canada Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
ZAR | South African Rand |
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■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 quoted prices in active markets for identical assets ($) | 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 | 2,770,497 | — | — | — | 2,770,497 |
Consumer Discretionary | 13,283,473 | — | — | — | 13,283,473 |
Consumer Staples | 5,297,882 | — | — | — | 5,297,882 |
Energy | 5,989,218 | — | — | — | 5,989,218 |
Financials | 12,022,623 | — | — | — | 12,022,623 |
Health Care | 10,606,994 | — | — | — | 10,606,994 |
Industrials | 15,018,822 | — | — | — | 15,018,822 |
Information Technology | 15,091,607 | — | — | — | 15,091,607 |
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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 ($) | |
Materials | 6,959,444 | — | — | — | 6,959,444 |
Real Estate | 5,215,219 | — | — | — | 5,215,219 |
Total Common Stocks | 92,255,779 | — | — | — | 92,255,779 |
Exchange-Traded Funds | 18,261,737 | — | — | — | 18,261,737 |
Foreign Government Obligations | — | 9,657,393 | — | — | 9,657,393 |
Inflation-Indexed Bonds | — | 21,110,042 | — | — | 21,110,042 |
Residential Mortgage-Backed Securities - Agency | — | 6,379,851 | — | — | 6,379,851 |
U.S. Treasury Obligations | 12,999,272 | — | — | — | 12,999,272 |
Money Market Funds | — | — | — | 154,305,033 | 154,305,033 |
Total Investments in Securities | 123,516,788 | 37,147,286 | — | 154,305,033 | 314,969,107 |
Investments in Securities Sold Short | |||||
Common Stocks | |||||
Communication Services | (2,575,058) | — | — | — | (2,575,058) |
Consumer Discretionary | (13,498,433) | — | — | — | (13,498,433) |
Consumer Staples | (5,309,479) | — | — | — | (5,309,479) |
Energy | (5,897,124) | — | — | — | (5,897,124) |
Financials | (12,034,159) | — | — | — | (12,034,159) |
Health Care | (10,679,839) | — | — | — | (10,679,839) |
Industrials | (15,354,327) | — | — | — | (15,354,327) |
Information Technology | (15,115,062) | — | — | — | (15,115,062) |
Materials | (7,089,661) | — | — | — | (7,089,661) |
Real Estate | (5,062,725) | — | — | — | (5,062,725) |
Total Common Stocks | (92,615,867) | — | — | — | (92,615,867) |
Total Investments in Securities Sold Short | (92,615,867) | — | — | — | (92,615,867) |
Total Investments in Securities, Net of Securities Sold Short | 30,900,921 | 37,147,286 | — | 154,305,033 | 222,353,240 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 2,060,612 | — | — | 2,060,612 |
Futures Contracts | 2,381,172 | — | — | — | 2,381,172 |
Swap Contracts | — | 6,106,957 | 904,121 | — | 7,011,078 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (1,768,647) | — | — | (1,768,647) |
Futures Contracts | (1,302,015) | — | — | — | (1,302,015) |
Swap Contracts | — | (4,826,690) | (756,747) | — | (5,583,437) |
Total | 31,980,078 | 38,719,518 | 147,374 | 154,305,033 | 225,152,003 |
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June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $160,706,819) | $160,664,074 |
Affiliated issuers (cost $154,306,941) | 154,305,033 |
Cash | 11,819 |
Foreign currency (cost $136,661) | 138,861 |
Cash collateral held at broker for: | |
Swap contracts | 960,000 |
Securities sold short | 29,672,067 |
Margin deposits on: | |
Futures contracts | 7,569,200 |
Swap contracts | 3,490,828 |
Unrealized appreciation on forward foreign currency exchange contracts | 2,060,612 |
Unrealized appreciation on swap contracts | 904,121 |
Upfront payments on swap contracts | 70 |
Receivable for: | |
Investments sold | 4,402,009 |
Investments sold on a delayed delivery basis | 9,427,009 |
Dividends | 527,835 |
Interest | 237,859 |
Foreign tax reclaims | 9,870 |
Variation margin for futures contracts | 605,944 |
Variation margin for swap contracts | 208,592 |
Expense reimbursement due from Investment Manager | 105 |
Trustees’ deferred compensation plan | 39,913 |
Total assets | 375,235,821 |
Liabilities | |
Securities sold short, at value (proceeds $89,844,977) | 92,615,867 |
Unrealized depreciation on forward foreign currency exchange contracts | 1,768,647 |
Unrealized depreciation on swap contracts | 756,747 |
Payable for: | |
Investments purchased | 9,024,722 |
Investments purchased on a delayed delivery basis | 11,086,409 |
Capital shares purchased | 2,967 |
Dividends and interest on securities sold short | 128,760 |
Variation margin for futures contracts | 134,683 |
Variation margin for swap contracts | 90,152 |
Management services fees | 7,805 |
Distribution and/or service fees | 25 |
Service fees | 130 |
Compensation of board members | 1,017 |
Compensation of chief compliance officer | 25 |
Other expenses | 81,941 |
Trustees’ deferred compensation plan | 39,913 |
Total liabilities | 115,739,810 |
Net assets applicable to outstanding capital stock | $259,496,011 |
Represented by | |
Trust capital | $259,496,011 |
Total - representing net assets applicable to outstanding capital stock | $259,496,011 |
Class 1 | |
Net assets | $255,829,003 |
Shares outstanding | 28,414,536 |
Net asset value per share | $9.00 |
Class 2 | |
Net assets | $3,667,008 |
Shares outstanding | 414,388 |
Net asset value per share | $8.85 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,252,456 |
Dividends — affiliated issuers | 1,777,753 |
Interest | 413,375 |
Foreign taxes withheld | (3,234) |
Total income | 3,440,350 |
Expenses: | |
Management services fees | 1,401,867 |
Distribution and/or service fees | |
Class 2 | 4,247 |
Service fees | 984 |
Compensation of board members | 8,978 |
Custodian fees | 49,211 |
Printing and postage fees | 3,924 |
Audit fees | 27,953 |
Legal fees | 2,767 |
Interest on collateral | 3,219 |
Dividends and interest on securities sold short | 860,452 |
Compensation of chief compliance officer | 52 |
Other | 7,216 |
Total expenses | 2,370,870 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (7,456) |
Total net expenses | 2,363,414 |
Net investment income | 1,076,936 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (842,116) |
Investments — affiliated issuers | (911) |
Foreign currency translations | 44,610 |
Forward foreign currency exchange contracts | (160,651) |
Futures contracts | 5,067,845 |
Options purchased | (35,013) |
Securities sold short | (618,940) |
Swap contracts | (144,785) |
Net realized gain | 3,310,039 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 16,795,010 |
Investments — affiliated issuers | 356 |
Foreign currency translations | 115,724 |
Forward foreign currency exchange contracts | 1,830,699 |
Futures contracts | 1,534,183 |
Securities sold short | (19,257,176) |
Swap contracts | 287,571 |
Net change in unrealized appreciation (depreciation) | 1,306,367 |
Net realized and unrealized gain | 4,616,406 |
Net increase in net assets resulting from operations | $5,693,342 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $1,076,936 | $442,369 |
Net realized gain (loss) | 3,310,039 | (20,904,175) |
Net change in unrealized appreciation (depreciation) | 1,306,367 | (3,104,412) |
Net increase (decrease) in net assets resulting from operations | 5,693,342 | (23,566,218) |
Increase in net assets from capital stock activity | 594,959 | 1,831,458 |
Total increase (decrease) in net assets | 6,288,301 | (21,734,760) |
Net assets at beginning of period | 253,207,710 | 274,942,470 |
Net assets at end of period | $259,496,011 | $253,207,710 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 20,932 | 190,402 | 218,333 | 2,044,031 |
Redemptions | (263) | (2,381) | — | — |
Net increase | 20,669 | 188,021 | 218,333 | 2,044,031 |
Class 2 | ||||
Subscriptions | 59,499 | 526,613 | 69,549 | 643,468 |
Redemptions | (13,510) | (119,675) | (92,560) | (856,041) |
Net increase (decrease) | 45,989 | 406,938 | (23,011) | (212,573) |
Total net increase | 66,658 | 594,959 | 195,322 | 1,831,458 |
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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 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $8.81 | 0.04 | 0.15 | 0.19 |
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)(f) | 0.00(g) | (0.05) |
Year Ended 12/31/2014 | $9.82 | (0.03) | (0.14) | (0.17) |
Class 2 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $8.67 | 0.03 | 0.15 | 0.18 |
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)(h) | 0.00(g) | (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) | Annualized. |
(d) | Ratios include dividends and interest on securities sold short. If dividends and interest on securities sold short had been excluded, annualized expenses would have been lower by: |
Class | 6/30/2019 | 12/31/2018 | 12/31/2017 | 12/31/2016 | 12/31/2015 | 12/31/2014 |
Class 1 | 0.68% | 1.02% | 0.86% | 0.62% | 0.24% | —% |
Class 2 | 0.68% | 1.03% | 0.84% | 0.62% | 0.28% | —% |
(e) | Ratios include interest on collateral expense which is less than 0.01%. |
(f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.01 per share. |
(g) | Rounds to zero. |
(h) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.02 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 (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $9.00 | 2.16% | 1.86%(c),(d),(e) | 1.85%(c),(d),(e) | 0.85%(c) | 52% | $255,829 |
Year Ended 12/31/2018 | $8.81 | (8.52%) | 2.20%(d),(e) | 2.20%(d),(e) | 0.17% | 178% | $250,015 |
Year Ended 12/31/2017 | $9.63 | 2.88% | 2.06%(d) | 2.06%(d) | (0.30%) | 186% | $271,225 |
Year Ended 12/31/2016 | $9.36 | (2.50%) | 1.86%(d) | 1.86%(d) | (0.49%) | 165% | $263,020 |
Year Ended 12/31/2015 | $9.60 | (0.52%) | 1.45%(d) | 1.45%(d) | (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 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $8.85 | 2.08% | 2.11%(c),(d),(e) | 2.11%(c),(d),(e) | 0.62%(c) | 52% | $3,667 |
Year Ended 12/31/2018 | $8.67 | (8.74%) | 2.46%(d),(e) | 2.46%(d),(e) | (0.10%) | 178% | $3,192 |
Year Ended 12/31/2017 | $9.50 | 2.59% | 2.30%(d) | 2.30%(d) | (0.56%) | 186% | $3,717 |
Year Ended 12/31/2016 | $9.26 | (2.63%) | 2.11%(d) | 2.10%(d) | (0.75%) | 165% | $4,296 |
Year Ended 12/31/2015 | $9.51 | (0.83%) | 1.75%(d) | 1.74%(d) | (0.81%) | 221% | $5,227 |
Year Ended 12/31/2014 | $9.59 | (1.94%) | 1.44% | 1.41% | (0.62%) | 100% | $4,155 |
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June 30, 2019 (Unaudited)
CVPDAR1 Offshore Fund, Ltd. | CVPDAR2 Offshore Fund, Ltd. | CVPDAR3 Offshore Fund, Ltd. | |
% of consolidated fund net assets | 0.00% | 5.17% | 2.91% |
Net assets | $2,344 | $13,428,051 | $7,546,918 |
Net investment income (loss) | (2,284) | (45,173) | 39,123 |
Net realized gain (loss) | — | (167,324) | 212,334 |
Net change in unrealized appreciation (depreciation) | — | 563,418 | (511,144) |
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Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 347,185* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,685,043* |
Equity risk | Component of trust capital — unrealized appreciation on swap contracts | 142,801* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 2,060,612 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on swap contracts | 162,852* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 696,129* |
Interest rate risk | Component of trust capital — unrealized appreciation on swap contracts | 6,279,012* |
Interest rate risk | Upfront payments on swap contracts | 70 |
Commodity-related investment risk | Component of trust capital — unrealized appreciation on swap contracts | 79,228* |
Total | 11,452,932 |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 230* |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,159,537* |
Equity risk | Component of trust capital - unrealized depreciation on swap contracts | 113,924* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 1,768,647 |
Foreign exchange risk | Component of trust capital - unrealized depreciation on swap contracts | 567,004* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 116,530* |
Interest rate risk | Component of trust capital - unrealized depreciation on swap contracts | 4,826,460* |
Commodity-related investment risk | Component of trust capital - unrealized depreciation on futures contracts | 25,948* |
Commodity-related investment risk | Component of trust capital - unrealized depreciation on swap contracts | 75,819* |
Total | 8,654,099 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | — | — | 212,309 | 212,309 |
Credit risk | — | — | — | 480,291 | 480,291 |
Equity risk | — | 4,034,882 | — | (3,659,263) | 375,619 |
Foreign exchange risk | (160,651) | — | (35,013) | 1,157,840 | 962,176 |
Interest rate risk | — | 1,032,963 | — | 1,664,038 | 2,697,001 |
Total | (160,651) | 5,067,845 | (35,013) | (144,785) | 4,727,396 |
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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 | — | (25,948) | (511,147) | (537,095) |
Credit risk | — | — | 774,508 | 774,508 |
Equity risk | — | 1,356,409 | 634,299 | 1,990,708 |
Foreign exchange risk | 1,830,699 | — | (332,006) | 1,498,693 |
Interest rate risk | — | 203,722 | (278,083) | (74,361) |
Total | 1,830,699 | 1,534,183 | 287,571 | 3,652,453 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 199,587,397 |
Futures contracts — short | 59,874,569 |
Credit default swap contracts — sell protection | 40,063,490 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 17,500 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 1,869,270 | (1,203,949) |
Interest rate swap contracts | 6,801,484 | (5,474,943) |
Total return swap contracts | 645,468 | (1,022,028) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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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 ($)(a) | JPMorgan ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | ||||||||||||||||
Centrally cleared credit default swap contracts(b) | - | - | - | - | - | - | - | - | - | - | - | - | - | 18,599 | - | 18,599 |
Centrally cleared interest rate swap contracts(b) | - | - | - | - | - | - | - | - | - | - | - | - | - | 189,993 | - | 189,993 |
Forward foreign currency exchange contracts | - | - | 509,539 | - | 885,952 | - | - | - | 94,221 | - | - | - | 570,900 | - | - | 2,060,612 |
OTC total return swap contracts(c) | 67,651 | 34,316 | - | 24,485 | - | - | 631,573 | 15,345 | - | 123,318 | 5,082 | - | 2,421 | - | - | 904,191 |
Total assets | 67,651 | 34,316 | 509,539 | 24,485 | 885,952 | - | 631,573 | 15,345 | 94,221 | 123,318 | 5,082 | - | 573,321 | 208,592 | - | 3,173,395 |
Liabilities | ||||||||||||||||
Centrally cleared interest rate swap contracts(b) | - | - | - | - | - | - | - | - | - | - | - | - | - | 90,152 | - | 90,152 |
Forward foreign currency exchange contracts | - | - | 323,502 | - | 34,681 | - | - | - | 617,940 | - | - | - | 379,204 | - | 413,320 | 1,768,647 |
OTC total return swap contracts(c) | - | 28,490 | - | 2,970 | - | 197,555 | 369,449 | 44,359 | - | 28,712 | - | - | 85,212 | - | - | 756,747 |
Securities borrowed | - | - | - | - | - | - | - | - | - | - | - | 92,615,867 | - | - | - | 92,615,867 |
Total liabilities | - | 28,490 | 323,502 | 2,970 | 34,681 | 197,555 | 369,449 | 44,359 | 617,940 | 28,712 | - | 92,615,867 | 464,416 | 90,152 | 413,320 | 95,231,413 |
Total financial and derivative net assets | 67,651 | 5,826 | 186,037 | 21,515 | 851,271 | (197,555) | 262,124 | (29,014) | (523,719) | 94,606 | 5,082 | (92,615,867) | 108,905 | 118,440 | (413,320) | (92,058,018) |
Total collateral received (pledged)(d) | - | - | - | - | - | - | 262,124 | (29,014) | - | - | - | (92,615,867) | 75,000 | - | - | (92,307,757) |
Net amount(e) | 67,651 | 5,826 | 186,037 | 21,515 | 851,271 | (197,555) | - | - | (523,719) | 94,606 | 5,082 | - | 33,905 | 118,440 | (413,320) | 249,739 |
(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, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 1.16% | 1.28% |
Class 2 | 1.41 | 1.53 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Semiannual Report 2019 | 45 |
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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, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
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• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 9.76 | 5.98 | 3.53 | 4.23 | |
Class 2 | 04/12/13 | 9.58 | 5.81 | 3.50 | 4.21 | |
Blended Benchmark | 10.08 | 7.78 | 4.77 | 5.27 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11 | 7.87 | 2.95 | 2.56 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2019 | 3 |
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Portfolio Allocation (%) (at June 30, 2019) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 29.4 |
International | 7.9 |
U.S. Large Cap | 17.2 |
U.S. Mid Cap | 2.0 |
U.S. Small Cap | 2.3 |
Underlying Funds: Fixed-Income Funds | 37.2 |
Investment Grade | 37.2 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 7.2 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 17.7 |
Options Purchased Puts | 0.4 |
Residential Mortgage-Backed Securities - Agency | 8.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $270.6 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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January 1, 2019 — June 30, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,046.10(a) | 1,023.10 | 1.03(a) | 1.44 | 0.29(a) | 2.63(a) | 3.67 | 0.74(a) |
Class 2 | 1,000.00 | 1,000.00 | 1,095.80 | 1,021.87 | 2.78 | 2.68 | 0.54 | 5.09 | 4.91 | 0.99 |
(a) | Based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Equity Funds 31.9% | ||
Shares | Value ($) | |
International 8.5% | ||
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 4,128,035 | 43,633,324 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 1,792,029 | 16,827,153 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 4,080,555 | 43,294,690 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 1,631,445 | 17,146,491 |
Total | 120,901,658 | |
U.S. Large Cap 18.7% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 978,415 | 23,530,892 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,277,602 | 68,824,437 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 589,061 | 16,222,729 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,095,758 | 21,553,555 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,028,715 | 11,274,713 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 499,715 | 12,522,846 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 561,926 | 19,526,936 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 615,287 | 19,443,072 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 492,886 | 13,115,702 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 552,997 | 19,681,179 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 508,618 | 12,211,913 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,206,531 | 26,423,027 |
Total | 264,331,001 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 2.2% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 199,808 | 6,196,032 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 258,010 | 6,138,059 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 325,366 | 9,133,037 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 322,441 | 9,328,229 |
Total | 30,795,357 | |
U.S. Small Cap 2.5% | ||
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 540,694 | 12,376,476 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 451,923 | 11,126,342 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 421,053 | 11,722,130 |
Total | 35,224,948 | |
Total Equity Funds (Cost $331,076,024) | 451,252,964 | |
Exchange-Traded Funds 7.9% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 175,600 | 21,839,372 |
iShares MSCI EAFE ETF | 491,987 | 32,338,306 |
SPDR S&P 500 ETF Trust | 193,625 | 56,732,125 |
Total Exchange-Traded Funds (Cost $88,506,549) | 110,909,803 | |
Fixed-Income Funds 40.3% | ||
Investment Grade 40.3% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 10,676,752 | 111,465,288 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,497,184 | 33,398,112 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,846,435 | 61,036,776 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 3,136,575 | 32,651,749 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,099,648 | 76,463,212 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 10,461,575 | 112,357,314 |
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Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,073,259 | 10,915,048 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 12,044,668 | 131,286,876 |
Total | 569,574,375 | |
Total Fixed-Income Funds (Cost $562,680,904) | 569,574,375 |
Residential Mortgage-Backed Securities - Agency 8.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
08/19/2034- 08/13/2049 | 3.500% | 46,675,000 | 47,883,970 | |
08/13/2049 | 4.000% | 73,121,000 | 75,550,273 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $123,431,988) | 123,434,243 |
Options Purchased Puts 0.4% | ||||
Value ($) | ||||
(Cost $10,888,058) | 6,110,035 |
Money Market Funds 19.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(a),(d) | 270,674,121 | 270,647,053 |
Total Money Market Funds (Cost $270,658,850) | 270,647,053 | |
Total Investments in Securities (Cost: $1,387,242,373) | 1,531,928,473 | |
Other Assets & Liabilities, Net | (116,768,622) | |
Net Assets | 1,415,159,851 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 40 | 09/2019 | USD | 2,814,400 | 6,052 | — |
British Pound | 100 | 09/2019 | USD | 7,968,125 | — | (30,908) |
Canadian Dollar | 55 | 09/2019 | USD | 4,210,525 | 30,272 | — |
Euro FX | 19 | 09/2019 | USD | 2,718,544 | 4,152 | — |
EURO STOXX 50 | 173 | 09/2019 | EUR | 5,996,180 | 179,129 | — |
FTSE 100 Index | 46 | 09/2019 | GBP | 3,389,740 | 43,242 | — |
Japanese Yen | 37 | 09/2019 | USD | 4,315,588 | 7,732 | — |
MSCI Singapore IX ETS | 17 | 07/2019 | SGD | 642,855 | 7,655 | — |
New Zealand Dollar | 20 | 09/2019 | USD | 1,345,400 | 10,226 | — |
S&P 500 E-mini | 586 | 09/2019 | USD | 86,265,060 | 1,441,572 | — |
S&P 500 Index | 8 | 09/2019 | USD | 5,888,400 | 98,470 | — |
SPI 200 Index | 29 | 09/2019 | AUD | 4,755,275 | 42,527 | — |
TOPIX Index | 34 | 09/2019 | JPY | 527,340,000 | 77,155 | — |
U.S. Long Bond | 153 | 09/2019 | USD | 23,805,844 | 937,398 | — |
U.S. Treasury 10-Year Note | 279 | 09/2019 | USD | 35,703,281 | 853,754 | — |
U.S. Treasury 2-Year Note | 43 | 09/2019 | USD | 9,252,727 | 54,574 | — |
U.S. Treasury 5-Year Note | 430 | 09/2019 | USD | 50,807,188 | 815,066 | — |
U.S. Ultra Treasury Bond | 27 | 09/2019 | USD | 4,794,188 | 231,381 | — |
Total | 4,840,357 | (30,908) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Hang Seng Index | (2) | 07/2019 | HKD | (2,850,500) | — | (4,615) |
OMXS30 Index | (36) | 07/2019 | SEK | (5,834,700) | — | (15,132) |
Russell 2000 E-mini | (59) | 09/2019 | USD | (4,622,945) | — | (112,736) |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2019 | 7 |
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June 30, 2019 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P/TSX 60 Index | (30) | 09/2019 | CAD | (5,866,200) | — | (17,884) |
Swiss Franc | (12) | 09/2019 | USD | (1,548,300) | — | (14,744) |
Total | — | (165,111) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 135,320,960 | 460 | 2,200.00 | 12/18/2020 | 3,755,857 | 2,256,300 |
S&P 500 Index | Deutsche Bank | USD | 88,252,800 | 300 | 2,100.00 | 12/18/2020 | 2,819,560 | 1,170,000 |
S&P 500 Index | Deutsche Bank | USD | 95,607,200 | 325 | 2,050.00 | 12/18/2020 | 2,563,836 | 1,121,250 |
S&P 500 Index | Deutsche Bank | USD | 33,830,240 | 115 | 2,350.00 | 12/18/2020 | 826,050 | 789,475 |
S&P 500 Index | Deutsche Bank | USD | 37,066,176 | 126 | 2,300.00 | 12/18/2020 | 922,755 | 773,010 |
Total | 10,888,058 | 6,110,035 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | |||||||||
273,989,299 | 64,521,529 | (67,836,707) | 270,674,121 | — | (3,469) | 3,308 | 3,290,545 | 270,647,053 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
977,563 | 12,664 | (11,812) | 978,415 | — | 19,412 | 3,861,162 | — | 23,530,892 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
1,265,818 | 20,959 | (9,175) | 1,277,602 | — | 39,320 | 8,840,448 | — | 68,824,437 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
591,833 | 6,656 | (9,428) | 589,061 | — | 53,775 | 2,128,346 | — | 16,222,729 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
10,580,087 | 369,263 | (272,598) | 10,676,752 | — | (61,738) | 3,843,259 | 3,567,851 | 111,465,288 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
1,107,388 | 15,465 | (27,095) | 1,095,758 | — | 58,623 | 3,914,994 | — | 21,553,555 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
3,414,409 | 114,711 | (31,936) | 3,497,184 | — | (30,036) | 945,694 | 780,748 | 33,398,112 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
6,113,945 | 163,416 | (430,926) | 5,846,435 | — | (214,973) | 6,164,257 | 1,702,800 | 61,036,776 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
210,211 | 883 | (11,286) | 199,808 | — | 93,121 | 1,255,070 | — | 6,196,032 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
1,047,037 | 8,022 | (26,344) | 1,028,715 | — | 20,420 | 1,732,140 | — | 11,274,713 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
531,067 | 8,847 | (40,199) | 499,715 | — | 236,077 | 1,491,120 | — | 12,522,846 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
261,728 | 2,681 | (6,399) | 258,010 | — | 25,595 | 1,046,119 | — | 6,138,059 |
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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 – U.S. Equities Fund, Class 1 Shares | |||||||||
442,793 | 97,901 | — | 540,694 | — | — | 1,397,082 | — | 12,376,476 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
3,146,856 | 85,868 | (96,149) | 3,136,575 | — | (24,382) | 591,331 | 893,888 | 32,651,749 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
6,618,804 | 504,944 | (24,100) | 7,099,648 | — | 795 | 786,988 | 4,419,499 | 76,463,212 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
3,883,259 | 247,686 | (2,910) | 4,128,035 | 645,178 | (2,960) | 3,393,321 | 909,497 | 43,633,324 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
1,497,278 | 294,751 | — | 1,792,029 | 494,709 | — | 251,896 | 497,535 | 16,827,153 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
3,842,618 | 238,491 | (554) | 4,080,555 | 209,838 | (613) | 3,127,640 | 908,964 | 43,294,690 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
590,756 | 2,494 | (31,324) | 561,926 | — | 354,102 | 3,302,493 | — | 19,526,936 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
620,470 | 7,412 | (12,595) | 615,287 | — | 40,078 | 3,274,823 | — | 19,443,072 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
530,354 | 20,909 | (58,377) | 492,886 | — | 353,832 | 1,797,835 | — | 13,115,702 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
593,240 | 888 | (41,131) | 552,997 | — | 442,481 | 4,010,441 | — | 19,681,179 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
573,909 | 9,505 | (74,796) | 508,618 | — | 362,608 | 1,491,134 | — | 12,211,913 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
10,396,658 | 308,771 | (243,854) | 10,461,575 | — | (28,942) | 3,740,837 | 3,029,241 | 112,357,314 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
312,835 | 12,721 | (190) | 325,366 | — | 12 | 1,397,920 | — | 9,133,037 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
1,022,064 | 57,305 | (6,110) | 1,073,259 | — | (1,213) | 142,734 | 113,853 | 10,915,048 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
346,782 | 1,225 | (25,566) | 322,441 | — | 217,103 | 1,940,693 | — | 9,328,229 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
1,390,118 | 241,327 | — | 1,631,445 | 562,378 | — | 1,478,484 | 179,392 | 17,146,491 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
12,455,695 | 290,974 | (702,001) | 12,044,668 | — | (222,708) | 4,899,594 | 3,168,709 | 131,286,876 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
1,181,601 | 26,704 | (1,774) | 1,206,531 | — | 357 | 3,641,708 | — | 26,423,027 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
416,329 | 35,594 | — | 451,923 | — | — | 1,561,191 | — | 11,126,342 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
368,988 | 52,169 | (104) | 421,053 | — | (95) | 1,350,741 | — | 11,722,130 | |
Total | 1,912,103 | 1,726,582 | 78,804,803 | 23,462,522 | 1,291,474,392 |
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(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 June 30, 2019. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
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For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
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 | — | — | — | 451,252,964 | 451,252,964 |
Exchange-Traded Funds | 110,909,803 | — | — | — | 110,909,803 |
Fixed-Income Funds | — | — | — | 569,574,375 | 569,574,375 |
Residential Mortgage-Backed Securities - Agency | — | 123,434,243 | — | — | 123,434,243 |
Options Purchased Puts | 6,110,035 | — | — | — | 6,110,035 |
Money Market Funds | — | — | — | 270,647,053 | 270,647,053 |
Total Investments in Securities | 117,019,838 | 123,434,243 | — | 1,291,474,392 | 1,531,928,473 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 4,840,357 | — | — | — | 4,840,357 |
Liability | |||||
Futures Contracts | (196,019) | — | — | — | (196,019) |
Total | 121,664,176 | 123,434,243 | — | 1,291,474,392 | 1,536,572,811 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $211,938,537) | $234,344,046 |
Affiliated issuers (cost $1,164,415,778) | 1,291,474,392 |
Options purchased (cost $10,888,058) | 6,110,035 |
Margin deposits on: | |
Futures contracts | 5,766,170 |
Receivable for: | |
Investments sold | 866,344 |
Investments sold on a delayed delivery basis | 131,346,573 |
Capital shares sold | 94,483 |
Dividends | 772,208 |
Interest | 162,449 |
Variation margin for futures contracts | 554,453 |
Trustees’ deferred compensation plan | 56,073 |
Other assets | 1,643 |
Total assets | 1,671,548,869 |
Liabilities | |
Due to custodian | 63 |
Payable for: | |
Investments purchased on a delayed delivery basis | 254,726,868 |
Capital shares purchased | 1,332,117 |
Variation margin for futures contracts | 131,225 |
Management services fees | 8,725 |
Distribution and/or service fees | 9,675 |
Service fees | 63,651 |
Compensation of board members | 836 |
Compensation of chief compliance officer | 129 |
Other expenses | 59,656 |
Trustees’ deferred compensation plan | 56,073 |
Total liabilities | 256,389,018 |
Net assets applicable to outstanding capital stock | $1,415,159,851 |
Represented by | |
Trust capital | $1,415,159,851 |
Total - representing net assets applicable to outstanding capital stock | $1,415,159,851 |
Class 1 | |
Net assets | $33,444 |
Shares outstanding | 2,587 |
Net asset value per share | $12.93 |
Class 2 | |
Net assets | $1,415,126,407 |
Shares outstanding | 109,508,024 |
Net asset value per share | $12.92 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,409,565 |
Dividends — affiliated issuers | 23,462,522 |
Interest | 48,338 |
Total income | 24,920,425 |
Expenses: | |
Management services fees | 1,447,186 |
Distribution and/or service fees | |
Class 2 | 1,675,227 |
Service fees | 401,920 |
Compensation of board members | 16,951 |
Custodian fees | 19,191 |
Printing and postage fees | 17,913 |
Audit fees | 20,235 |
Legal fees | 14,336 |
Compensation of chief compliance officer | 266 |
Other | 17,431 |
Total expenses | 3,630,656 |
Net investment income | 21,289,769 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 2,807,136 |
Investments — affiliated issuers | 1,726,582 |
Capital gain distributions from underlying affiliated funds | 1,912,103 |
Foreign currency translations | (22,827) |
Futures contracts | 8,582,372 |
Options purchased | 684,088 |
Net realized gain | 15,689,454 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 11,694,355 |
Investments — affiliated issuers | 78,804,803 |
Foreign currency translations | 20,037 |
Futures contracts | 5,376,622 |
Options purchased | (8,762,140) |
Net change in unrealized appreciation (depreciation) | 87,133,677 |
Net realized and unrealized gain | 102,823,131 |
Net increase in net assets resulting from operations | $124,112,900 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $21,289,769 | $16,927,453 |
Net realized gain | 15,689,454 | 4,882,272 |
Net change in unrealized appreciation (depreciation) | 87,133,677 | (79,693,157) |
Net increase (decrease) in net assets resulting from operations | 124,112,900 | (57,883,432) |
Decrease in net assets from capital stock activity | (9,934,333) | (66,633,641) |
Total increase (decrease) in net assets | 114,178,567 | (124,517,073) |
Net assets at beginning of period | 1,300,981,284 | 1,425,498,357 |
Net assets at end of period | $1,415,159,851 | $1,300,981,284 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited)(a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 2,664 | 33,381 | — | — |
Redemptions | (77) | (970) | — | — |
Net increase | 2,587 | 32,411 | — | — |
Class 2 | ||||
Subscriptions | 2,305,613 | 28,838,831 | 4,464,595 | 54,571,049 |
Redemptions | (3,109,808) | (38,805,575) | (9,904,606) | (121,204,690) |
Net decrease | (804,195) | (9,966,744) | (5,440,011) | (66,633,641) |
Total net decrease | (801,608) | (9,934,333) | (5,440,011) | (66,633,641) |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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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(c) | ||||
Six Months Ended 6/30/2019 (Unaudited) | $12.36 | 0.59 | (0.02)(d) | 0.57 |
Class 2 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $11.79 | 0.19 | 0.94 | 1.13 |
Year Ended 12/31/2018 | $12.32 | 0.15 | (0.68) | (0.53) |
Year Ended 12/31/2017 | $11.08 | 0.11 | 1.13 | 1.24 |
Year Ended 12/31/2016 | $10.74 | 0.07 | 0.27 | 0.34 |
Year Ended 12/31/2015 | $10.94 | 0.09 | (0.29) | (0.20) |
Year Ended 12/31/2014 | $10.45 | 0.05 | 0.44 | 0.49 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
(e) | Annualized. |
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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(c) | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $12.93 | 4.61% | 0.29%(e) | 0.29%(e) | 13.59%(e) | 56% | $33 |
Class 2 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $12.92 | 9.58% | 0.54%(e) | 0.54%(e) | 3.18%(e) | 56% | $1,415,126 |
Year Ended 12/31/2018 | $11.79 | (4.30%) | 0.54% | 0.54% | 1.21% | 101% | $1,300,981 |
Year Ended 12/31/2017 | $12.32 | 11.19% | 0.53% | 0.53% | 0.95% | 100% | $1,425,498 |
Year Ended 12/31/2016 | $11.08 | 3.17% | 0.51% | 0.51% | 0.64% | 108% | $1,358,964 |
Year Ended 12/31/2015 | $10.74 | (1.83%) | 0.52% | 0.52% | 0.83% | 118% | $936,541 |
Year Ended 12/31/2014 | $10.94 | 4.69% | 0.52% | 0.52% | 0.51% | 122% | $703,842 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,889,750* |
Equity risk | Investments, at value — Options Purchased | 6,110,035 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 58,434* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 2,892,173* |
Total | 10,950,392 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 150,367* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 45,652* |
Total | 196,019 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 4,611,615 | 684,088 | 5,295,703 |
Foreign exchange risk | (121,250) | — | (121,250) |
Interest rate risk | 4,092,007 | — | 4,092,007 |
Total | 8,582,372 | 684,088 | 9,266,460 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 5,145,040 | (8,762,140) | (3,617,100) |
Foreign exchange risk | (93,251) | — | (93,251) |
Interest rate risk | 324,833 | — | 324,833 |
Total | 5,376,622 | (8,762,140) | (3,385,518) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 237,950,580 |
Futures contracts — short | 10,680,484 |
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Derivative instrument | Average value ($)* |
Options contracts — purchased | 6,168,380 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 6,110,035 |
Total financial and derivative net assets | 6,110,035 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 6,110,035 |
(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 1 | 0.85%* |
Class 2 | 1.10 |
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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 voluntarily limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
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• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 12.50 | 4.18 | 4.10 | 5.84 | |
Class 2 | 04/12/13 | 12.41 | 4.10 | 4.09 | 5.83 | |
Blended Benchmark | 13.48 | 7.49 | 6.31 | 7.62 | ||
Russell 3000 Index | 18.71 | 8.98 | 10.19 | 12.40 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
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Portfolio Allocation (%) (at June 30, 2019) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 58.6 |
International | 15.7 |
U.S. Large Cap | 35.7 |
U.S. Mid Cap | 4.0 |
U.S. Small Cap | 3.2 |
Underlying Funds: Fixed-Income Funds | 11.1 |
Investment Grade | 11.1 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 8.8 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 14.5 |
Options Purchased Puts | 0.8 |
Residential Mortgage-Backed Securities - Agency | 6.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $1.7 billion) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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January 1, 2019 — June 30, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,042.60(a) | 1,023.29 | 0.89(a) | 1.24 | 0.25(a) | 2.77(a) | 3.87 | 0.78(a) |
Class 2 | 1,000.00 | 1,000.00 | 1,124.10 | 1,022.12 | 2.55 | 2.43 | 0.49 | 5.31 | 5.06 | 1.02 |
(a) | Based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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Equity Funds 62.0% | ||
Shares | Value ($) | |
International 16.7% | ||
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 63,889,390 | 675,310,847 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 25,767,847 | 241,960,084 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 62,581,992 | 663,994,932 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 23,336,742 | 245,269,161 |
Total | 1,826,535,024 | |
U.S. Large Cap 37.8% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 14,950,662 | 359,563,427 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 19,618,919 | 1,056,871,191 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 9,083,553 | 250,161,057 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 17,222,551 | 338,767,584 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 16,263,272 | 178,245,455 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 9,215,994 | 230,952,800 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 9,045,176 | 314,319,859 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 9,895,348 | 312,692,985 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 6,992,517 | 186,070,874 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 9,291,122 | 330,671,017 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 7,384,624 | 177,304,830 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 18,645,090 | 408,327,471 |
Total | 4,143,948,550 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 4.2% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 3,093,615 | 95,933,015 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 3,794,590 | 90,273,300 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 4,713,130 | 132,297,550 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 4,971,879 | 143,836,460 |
Total | 462,340,325 | |
U.S. Small Cap 3.3% | ||
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 5,200,343 | 119,035,857 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 5,215,014 | 128,393,638 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 4,256,687 | 118,506,157 |
Total | 365,935,652 | |
Total Equity Funds (Cost $5,108,520,241) | 6,798,759,551 | |
Exchange-Traded Funds 9.3% | ||
iShares Core U.S. Aggregate Bond ETF | 725,000 | 80,728,750 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,981,800 | 246,476,466 |
iShares MSCI EAFE ETF | 2,831,000 | 186,081,630 |
SPDR S&P 500 ETF Trust | 1,738,300 | 509,321,900 |
Total Exchange-Traded Funds (Cost $832,991,300) | 1,022,608,746 | |
Fixed-Income Funds 11.8% | ||
Investment Grade 11.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 21,406,500 | 223,483,856 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 6,810,538 | 65,040,641 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 12,197,338 | 127,340,209 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 6,278,198 | 65,356,044 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 14,659,524 | 157,883,073 |
6 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 22,530,282 | 241,975,222 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 2,133,933 | 21,702,101 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 35,852,602 | 390,793,356 |
Total | 1,293,574,502 | |
Total Fixed-Income Funds (Cost $1,277,033,309) | 1,293,574,502 |
Residential Mortgage-Backed Securities - Agency 6.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
08/13/2049 | 3.500% | 119,845,000 | 122,502,401 | |
08/13/2049 | 4.000% | 575,473,000 | 594,591,738 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $717,089,836) | 717,094,139 |
Options Purchased Puts 0.8% | ||||
Value ($) | ||||
(Cost $159,880,075) | 88,327,750 |
Money Market Funds 15.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(a),(d) | 1,679,905,633 | 1,679,737,643 |
Total Money Market Funds (Cost $1,679,764,550) | 1,679,737,643 | |
Total Investments in Securities (Cost: $9,775,279,311) | 11,600,102,331 | |
Other Assets & Liabilities, Net | (628,850,213) | |
Net Assets | 10,971,252,118 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 724 | 09/2019 | USD | 50,940,640 | 109,541 | — |
British Pound | 1,757 | 09/2019 | USD | 139,999,956 | — | (543,045) |
CAC40 Index | 40 | 07/2019 | EUR | 2,213,200 | 67,439 | — |
Canadian Dollar | 310 | 09/2019 | USD | 23,732,050 | 238,413 | — |
DAX Index | 35 | 09/2019 | EUR | 10,839,500 | 302,907 | — |
Euro FX | 705 | 09/2019 | USD | 100,872,281 | 90,028 | — |
EURO STOXX 50 | 2,469 | 09/2019 | EUR | 85,575,540 | 2,556,478 | — |
FTSE 100 Index | 722 | 09/2019 | GBP | 53,204,180 | 678,716 | — |
FTSE/MIB Index | 88 | 09/2019 | EUR | 9,308,640 | 318,200 | — |
Japanese Yen | 1,148 | 09/2019 | USD | 133,899,850 | — | (66,056) |
MSCI Singapore IX ETS | 314 | 07/2019 | SGD | 11,873,910 | 141,398 | — |
New Zealand Dollar | 300 | 09/2019 | USD | 20,181,000 | 153,390 | — |
Russell 2000 E-mini | 302 | 09/2019 | USD | 23,663,210 | 554,651 | — |
S&P 500 E-mini | 6,184 | 09/2019 | USD | 910,346,640 | 14,385,538 | — |
S&P 500 Index | 190 | 09/2019 | USD | 139,849,500 | 2,338,672 | — |
SPI 200 Index | 436 | 09/2019 | AUD | 71,493,100 | 639,365 | — |
Swiss Franc | 140 | 09/2019 | USD | 18,063,500 | — | (60,840) |
TOPIX Index | 590 | 09/2019 | JPY | 9,150,900,000 | 1,338,874 | — |
U.S. Long Bond | 365 | 09/2019 | USD | 56,791,719 | 2,374,295 | — |
U.S. Treasury 10-Year Note | 648 | 09/2019 | USD | 82,923,750 | 2,084,454 | — |
U.S. Treasury 2-Year Note | 427 | 09/2019 | USD | 91,881,727 | 694,040 | — |
U.S. Treasury 5-Year Note | 1,536 | 09/2019 | USD | 181,488,000 | 3,057,081 | — |
U.S. Ultra Treasury Bond | 414 | 09/2019 | USD | 73,510,875 | 3,725,131 | — |
Total | 35,848,611 | (669,941) |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2019 | 7 |
Table of Contents
June 30, 2019 (Unaudited)
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Hang Seng Index | (164) | 07/2019 | HKD | (233,741,000) | — | (378,465) |
OMXS30 Index | (645) | 07/2019 | SEK | (104,538,375) | — | (271,114) |
S&P/TSX 60 Index | (450) | 09/2019 | CAD | (87,993,000) | — | (268,259) |
Total | — | (917,838) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 1,742,992,800 | 5,925 | 2,200.00 | 12/18/2020 | 48,283,684 | 29,062,125 |
S&P 500 Index | Deutsche Bank | USD | 1,765,056,000 | 6,000 | 2,100.00 | 12/18/2020 | 56,391,206 | 23,400,000 |
S&P 500 Index | Deutsche Bank | USD | 1,088,451,200 | 3,700 | 2,050.00 | 12/18/2020 | 29,216,927 | 12,765,000 |
S&P 500 Index | Deutsche Bank | USD | 580,997,600 | 1,975 | 2,300.00 | 12/18/2020 | 14,495,396 | 12,116,625 |
S&P 500 Index | Deutsche Bank | USD | 470,681,600 | 1,600 | 2,350.00 | 12/18/2020 | 11,492,862 | 10,984,000 |
Total | 159,880,075 | 88,327,750 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | |||||||||
1,451,148,492 | 974,680,925 | (745,923,784) | 1,679,905,633 | — | (18,618) | 15,617 | 19,359,740 | 1,679,737,643 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
15,037,545 | 5,419 | (92,302) | 14,950,662 | — | 134,163 | 59,225,820 | — | 359,563,427 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
19,812,501 | — | (193,582) | 19,618,919 | — | 2,989,906 | 135,071,995 | — | 1,056,871,191 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
9,168,073 | 625 | (85,145) | 9,083,553 | — | 546,749 | 33,158,450 | — | 250,161,057 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
20,974,801 | 687,538 | (255,839) | 21,406,500 | — | (59,167) | 7,579,484 | 7,154,922 | 223,483,856 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
17,586,547 | — | (363,996) | 17,222,551 | — | 2,094,456 | 60,360,064 | — | 338,767,584 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
6,703,991 | 162,131 | (55,584) | 6,810,538 | — | (56,146) | 1,860,754 | 1,520,600 | 65,040,641 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
12,012,944 | 344,987 | (160,593) | 12,197,338 | — | (108,119) | 12,047,180 | 3,534,539 | 127,340,209 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
3,152,590 | 285 | (59,260) | 3,093,615 | — | 207,484 | 20,046,080 | — | 95,933,015 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
16,399,672 | 4,634 | (141,034) | 16,263,272 | — | 84,104 | 27,278,360 | — | 178,245,455 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
9,502,815 | 23,657 | (310,478) | 9,215,994 | — | 255,482 | 30,372,573 | — | 230,952,800 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
3,804,210 | 2,331 | (11,951) | 3,794,590 | — | (220) | 15,559,986 | — | 90,273,300 |
8 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2019 |
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June 30, 2019 (Unaudited)
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 – U.S. Equities Fund, Class 1 Shares | |||||||||
5,178,769 | 164,311 | (142,737) | 5,200,343 | — | 643,354 | 15,398,570 | — | 119,035,857 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
6,179,295 | 172,723 | (73,820) | 6,278,198 | — | (22,687) | 1,132,244 | 1,789,563 | 65,356,044 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
13,954,928 | 852,914 | (148,318) | 14,659,524 | — | (19,603) | 1,727,172 | 9,130,410 | 157,883,073 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
61,099,416 | 2,789,974 | — | 63,889,390 | 9,985,385 | — | 53,223,357 | 14,177,579 | 675,310,847 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
23,706,038 | 2,061,809 | — | 25,767,847 | 7,113,493 | — | 4,946,361 | 7,328,285 | 241,960,084 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
60,462,299 | 2,119,693 | — | 62,581,992 | 3,218,216 | — | 49,022,779 | 14,102,081 | 663,994,932 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
9,295,444 | — | (250,268) | 9,045,176 | — | 3,212,640 | 54,367,528 | — | 314,319,859 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
10,171,566 | — | (276,218) | 9,895,348 | — | 1,690,398 | 51,922,320 | — | 312,692,985 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
9,479,488 | 37,890 | (2,524,861) | 6,992,517 | — | 5,397,495 | 30,972,130 | — | 186,070,874 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
9,741,509 | — | (450,387) | 9,291,122 | — | 4,742,753 | 68,177,089 | — | 330,671,017 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
10,227,818 | 49,725 | (2,892,919) | 7,384,624 | — | 5,748,521 | 25,789,442 | — | 177,304,830 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
22,207,112 | 611,841 | (288,671) | 22,530,282 | — | (22,932) | 7,981,996 | 6,528,477 | 241,975,222 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
4,716,537 | 9,304 | (12,711) | 4,713,130 | — | (587) | 20,857,952 | — | 132,297,550 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
2,101,166 | 44,164 | (11,397) | 2,133,933 | — | (2,191) | 294,631 | 226,372 | 21,702,101 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
5,112,269 | 325 | (140,715) | 4,971,879 | — | 624,704 | 31,340,715 | — | 143,836,460 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
21,812,039 | 1,524,703 | — | 23,336,742 | 8,044,447 | — | 22,996,446 | 2,619,448 | 245,269,161 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
35,423,070 | 870,381 | (440,849) | 35,852,602 | — | (160,294) | 13,555,256 | 9,413,604 | 390,793,356 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
18,667,771 | 10,236 | (32,917) | 18,645,090 | — | 23,223 | 57,104,017 | — | 408,327,471 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
5,274,572 | 189,856 | (249,414) | 5,215,014 | — | 1,454,833 | 17,841,246 | — | 128,393,638 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
4,223,170 | 136,737 | (103,220) | 4,256,687 | — | 574,818 | 14,610,972 | — | 118,506,157 | |
Total | 28,361,541 | 29,954,519 | 945,838,586 | 96,885,620 | 9,772,071,696 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2019 | 9 |
Table of Contents
June 30, 2019 (Unaudited)
(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 June 30, 2019. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2019 |
Table of Contents
June 30, 2019 (Unaudited)
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
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 | — | — | — | 6,798,759,551 | 6,798,759,551 |
Exchange-Traded Funds | 1,022,608,746 | — | — | — | 1,022,608,746 |
Fixed-Income Funds | — | — | — | 1,293,574,502 | 1,293,574,502 |
Residential Mortgage-Backed Securities - Agency | — | 717,094,139 | — | — | 717,094,139 |
Options Purchased Puts | 88,327,750 | — | — | — | 88,327,750 |
Money Market Funds | — | — | — | 1,679,737,643 | 1,679,737,643 |
Total Investments in Securities | 1,110,936,496 | 717,094,139 | — | 9,772,071,696 | 11,600,102,331 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 35,848,611 | — | — | — | 35,848,611 |
Liability | |||||
Futures Contracts | (1,587,779) | — | — | — | (1,587,779) |
Total | 1,145,197,328 | 717,094,139 | — | 9,772,071,696 | 11,634,363,163 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2019 | 11 |
Table of Contents
June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,550,081,136) | $1,739,702,885 |
Affiliated issuers (cost $8,065,318,100) | 9,772,071,696 |
Options purchased (cost $159,880,075) | 88,327,750 |
Cash collateral held at broker for: | |
TBA | 123,000 |
Margin deposits on: | |
Futures contracts | 78,380,707 |
Receivable for: | |
Investments sold | 5,269,190 |
Investments sold on a delayed delivery basis | 782,529,364 |
Dividends | 5,526,742 |
Interest | 907,116 |
Variation margin for futures contracts | 7,284,933 |
Trustees’ deferred compensation plan | 250,759 |
Other assets | 1,643 |
Total assets | 12,480,375,785 |
Liabilities | |
Due to custodian | 299 |
Payable for: | |
Investments purchased on a delayed delivery basis | 1,499,621,676 |
Capital shares purchased | 7,527,414 |
Variation margin for futures contracts | 977,259 |
Management services fees | 54,697 |
Distribution and/or service fees | 74,867 |
Service fees | 491,748 |
Compensation of chief compliance officer | 991 |
Other expenses | 123,957 |
Trustees’ deferred compensation plan | 250,759 |
Total liabilities | 1,509,123,667 |
Net assets applicable to outstanding capital stock | $10,971,252,118 |
Represented by | |
Trust capital | $10,971,252,118 |
Total - representing net assets applicable to outstanding capital stock | $10,971,252,118 |
Class 1 | |
Net assets | $326,585 |
Shares outstanding | 22,992 |
Net asset value per share | $14.20 |
Class 2 | |
Net assets | $10,970,925,533 |
Shares outstanding | 771,435,380 |
Net asset value per share | $14.22 |
12 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2019 |
Table of Contents
Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $12,998,334 |
Dividends — affiliated issuers | 96,885,620 |
Interest | 611,909 |
Total income | 110,495,863 |
Expenses: | |
Management services fees | 9,195,109 |
Distribution and/or service fees | |
Class 2 | 12,965,840 |
Service fees | 3,111,199 |
Compensation of board members | 83,429 |
Custodian fees | 25,620 |
Printing and postage fees | 46,496 |
Audit fees | 20,236 |
Legal fees | 110,635 |
Compensation of chief compliance officer | 2,057 |
Other | 109,722 |
Total expenses | 25,670,343 |
Net investment income | 84,825,520 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 26,243,342 |
Investments — affiliated issuers | 29,954,519 |
Capital gain distributions from underlying affiliated funds | 28,361,541 |
Foreign currency translations | (719,442) |
Futures contracts | 44,986,589 |
Options purchased | 13,540,759 |
Net realized gain | 142,367,308 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 101,478,800 |
Investments — affiliated issuers | 945,838,586 |
Foreign currency translations | 646,107 |
Futures contracts | 67,802,688 |
Options purchased | (129,030,692) |
Net change in unrealized appreciation (depreciation) | 986,735,489 |
Net realized and unrealized gain | 1,129,102,797 |
Net increase in net assets resulting from operations | $1,213,928,317 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2019 | 13 |
Table of Contents
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $84,825,520 | $68,646,084 |
Net realized gain (loss) | 142,367,308 | (152,521,564) |
Net change in unrealized appreciation (depreciation) | 986,735,489 | (747,026,868) |
Net increase (decrease) in net assets resulting from operations | 1,213,928,317 | (830,902,348) |
Increase (decrease) in net assets from capital stock activity | (62,984,455) | 529,542,967 |
Total increase (decrease) in net assets | 1,150,943,862 | (301,359,381) |
Net assets at beginning of period | 9,820,308,256 | 10,121,667,637 |
Net assets at end of period | $10,971,252,118 | $9,820,308,256 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited)(a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 27,468 | 382,510 | — | — |
Redemptions | (4,476) | (61,617) | — | — |
Net increase | 22,992 | 320,893 | — | — |
Class 2 | ||||
Subscriptions | 4,637,760 | 63,870,771 | 48,595,835 | 671,619,689 |
Redemptions | (9,307,826) | (127,176,119) | (10,519,887) | (142,076,722) |
Net increase (decrease) | (4,670,066) | (63,305,348) | 38,075,948 | 529,542,967 |
Total net increase (decrease) | (4,647,074) | (62,984,455) | 38,075,948 | 529,542,967 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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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 | ||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $13.62 | 0.21 | 0.37 | 0.58 |
Class 2 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $12.65 | 0.11 | 1.46 | 1.57 |
Year Ended 12/31/2018 | $13.71 | 0.09 | (1.15) | (1.06) |
Year Ended 12/31/2017 | $11.67 | 0.05 | 1.99 | 2.04 |
Year Ended 12/31/2016 | $11.29 | 0.04 | 0.34 | 0.38 |
Year Ended 12/31/2015 | $11.68 | 0.03 | (0.42) | (0.39) |
Year Ended 12/31/2014 | $11.14 | 0.03 | 0.51 | 0.54 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $14.20 | 4.26% | 0.25%(d) | 0.25%(d) | 4.54%(d) | 53% | $327 |
Class 2 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $14.22 | 12.41% | 0.49%(d) | 0.49%(d) | 1.64%(d) | 53% | $10,970,926 |
Year Ended 12/31/2018 | $12.65 | (7.73%) | 0.49% | 0.49% | 0.65% | 74% | $9,820,308 |
Year Ended 12/31/2017 | $13.71 | 17.48% | 0.48% | 0.48% | 0.42% | 83% | $10,121,668 |
Year Ended 12/31/2016 | $11.67 | 3.37% | 0.47% | 0.47% | 0.37% | 91% | $8,232,846 |
Year Ended 12/31/2015 | $11.29 | (3.34%) | 0.48% | 0.48% | 0.29% | 74% | $7,441,534 |
Year Ended 12/31/2014 | $11.68 | 4.85% | 0.49% | 0.49% | 0.26% | 47% | $6,005,482 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 23,322,238* |
Equity risk | Investments, at value — Options Purchased | 88,327,750 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 591,372* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 11,935,001* |
Total | 124,176,361 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 917,838* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 669,941* |
Total | 1,587,779 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 23,558,348 | 13,540,759 | 37,099,107 |
Foreign exchange risk | (1,928,491) | — | (1,928,491) |
Interest rate risk | 23,356,732 | — | 23,356,732 |
Total | 44,986,589 | 13,540,759 | 58,527,348 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 74,764,219 | (129,030,692) | (54,266,473) |
Foreign exchange risk | (2,334,508) | — | (2,334,508) |
Interest rate risk | (4,627,023) | — | (4,627,023) |
Total | 67,802,688 | (129,030,692) | (61,228,004) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,172,482,728 |
Futures contracts — short | 111,184,429 |
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Derivative instrument | Average value ($)* |
Options contracts — purchased | 88,826,375 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 88,327,750 |
Total financial and derivative net assets | 88,327,750 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 88,327,750 |
(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 1 | 0.85%* |
Class 2 | 1.10 |
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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 voluntarily limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’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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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 8.21 | 6.70 | 3.13 | 3.33 | |
Class 2 | 04/12/13 | 8.12 | 6.61 | 3.11 | 3.32 | |
Blended Benchmark | 8.40 | 7.89 | 4.03 | 4.14 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11 | 7.87 | 2.95 | 2.56 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
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(Unaudited)
Portfolio Allocation (%) (at June 30, 2019) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 14.2 |
International | 3.6 |
U.S. Large Cap | 8.3 |
U.S. Mid Cap | 0.9 |
U.S. Small Cap | 1.4 |
Underlying Funds: Fixed-Income Funds | 49.9 |
Investment Grade | 49.9 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 7.2 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 18.9 |
Options Purchased Puts | 0.2 |
Residential Mortgage-Backed Securities - Agency | 9.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $100.8 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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January 1, 2019 — June 30, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,047.00(a) | 1,023.00 | 1.10(a) | 1.54 | 0.31(a) | 2.53(a) | 3.52 | 0.71(a) |
Class 2 | 1,000.00 | 1,000.00 | 1,081.20 | 1,021.73 | 2.91 | 2.83 | 0.57 | 4.95 | 4.81 | 0.97 |
(a) | Based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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Equity Funds 15.7% | ||
Shares | Value ($) | |
International 4.0% | ||
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 682,148 | 7,210,301 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 256,141 | 2,405,169 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 679,127 | 7,205,539 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 228,857 | 2,405,285 |
Total | 19,226,294 | |
U.S. Large Cap 9.2% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 170,885 | 4,109,780 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 222,644 | 11,993,819 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 99,343 | 2,735,898 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 191,867 | 3,774,019 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 187,551 | 2,055,561 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 82,219 | 2,060,407 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 88,524 | 3,076,218 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 97,599 | 3,084,131 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 77,360 | 2,058,558 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 86,753 | 3,087,524 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 85,673 | 2,057,019 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 203,154 | 4,449,070 |
Total | 44,542,004 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 1.0% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 33,270 | 1,031,707 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 43,331 | 1,030,849 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 48,951 | 1,374,048 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 47,509 | 1,374,429 |
Total | 4,811,033 | |
U.S. Small Cap 1.5% | ||
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 135,421 | 3,099,779 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 84,054 | 2,069,405 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 86,571 | 2,410,153 |
Total | 7,579,337 | |
Total Equity Funds (Cost $55,817,454) | 76,158,668 | |
Exchange-Traded Funds 7.9% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 47,600 | 5,920,012 |
iShares MSCI EAFE ETF | 164,532 | 10,814,688 |
SPDR S&P 500 ETF Trust | 73,425 | 21,513,525 |
Total Exchange-Traded Funds (Cost $30,575,975) | 38,248,225 | |
Fixed-Income Funds 55.0% | ||
Investment Grade 55.0% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 5,093,526 | 53,176,414 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 1,686,231 | 16,103,508 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 2,599,382 | 27,137,545 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 1,515,111 | 15,772,301 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 3,599,081 | 38,762,101 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 4,950,116 | 53,164,248 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 636,955 | 6,477,836 |
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June 30, 2019 (Unaudited)
Fixed-Income Funds (continued) | ||
Shares | Value ($) | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 5,161,119 | 56,256,194 |
Total | 266,850,147 | |
Total Fixed-Income Funds (Cost $261,882,832) | 266,850,147 |
Residential Mortgage-Backed Securities - Agency 10.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
08/19/2034- 08/13/2049 | 3.500% | 20,140,000 | 20,630,081 | |
08/13/2049 | 4.000% | 29,511,000 | 30,491,434 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $51,118,860) | 51,121,515 |
Options Purchased Puts 0.2% | ||||
Value ($) | ||||
(Cost $2,126,198) | 1,170,260 |
Money Market Funds 20.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(a),(d) | 100,784,970 | 100,774,892 |
Total Money Market Funds (Cost $100,779,987) | 100,774,892 | |
Total Investments in Securities (Cost: $502,301,306) | 534,323,707 | |
Other Assets & Liabilities, Net | (49,433,953) | |
Net Assets | 484,889,754 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 7 | 09/2019 | USD | 492,520 | 1,059 | — |
British Pound | 15 | 09/2019 | USD | 1,195,219 | — | (4,636) |
Canadian Dollar | 22 | 09/2019 | USD | 1,684,210 | 10,995 | — |
Euro FX | 3 | 09/2019 | USD | 429,244 | 656 | — |
EURO STOXX 50 | 53 | 09/2019 | EUR | 1,836,980 | 54,878 | — |
FTSE 100 Index | 11 | 09/2019 | GBP | 810,590 | 10,340 | — |
Japanese Yen | 4 | 09/2019 | USD | 466,550 | 836 | — |
MSCI Singapore IX ETS | 6 | 07/2019 | SGD | 226,890 | 2,702 | — |
New Zealand Dollar | 4 | 09/2019 | USD | 269,080 | 2,045 | — |
OMXS30 Index | 16 | 07/2019 | SEK | 2,593,200 | 6,376 | — |
S&P 500 E-mini | 142 | 09/2019 | USD | 20,903,820 | 322,852 | — |
S&P 500 Index | 1 | 09/2019 | USD | 736,050 | 12,309 | — |
SPI 200 Index | 7 | 09/2019 | AUD | 1,147,825 | 10,265 | — |
TOPIX Index | 7 | 09/2019 | JPY | 108,570,000 | 15,885 | — |
U.S. Long Bond | 59 | 09/2019 | USD | 9,180,031 | 349,790 | — |
U.S. Treasury 10-Year Note | 127 | 09/2019 | USD | 16,252,031 | 381,480 | — |
U.S. Treasury 2-Year Note | 86 | 09/2019 | USD | 18,505,453 | 128,756 | — |
U.S. Treasury 5-Year Note | 153 | 09/2019 | USD | 18,077,906 | 278,170 | — |
U.S. Ultra Treasury Bond | 6 | 09/2019 | USD | 1,065,375 | 42,425 | — |
Total | 1,631,819 | (4,636) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 E-mini | (13) | 09/2019 | USD | (1,018,615) | — | (25,122) |
S&P/TSX 60 Index | (4) | 09/2019 | CAD | (782,160) | — | (2,385) |
Swiss Franc | (6) | 09/2019 | USD | (774,150) | — | (7,372) |
Total | — | (34,879) |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2019 | 7 |
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June 30, 2019 (Unaudited)
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 23,534,080 | 80 | 2,200.00 | 12/18/2020 | 651,895 | 392,400 |
S&P 500 Index | Deutsche Bank | USD | 23,534,080 | 80 | 2,100.00 | 12/18/2020 | 751,883 | 312,000 |
S&P 500 Index | Deutsche Bank | USD | 14,414,624 | 49 | 2,050.00 | 12/18/2020 | 386,492 | 169,050 |
S&P 500 Index | Deutsche Bank | USD | 7,648,576 | 26 | 2,300.00 | 12/18/2020 | 192,267 | 159,510 |
S&P 500 Index | Deutsche Bank | USD | 5,883,520 | 20 | 2,350.00 | 12/18/2020 | 143,661 | 137,300 |
Total | 2,126,198 | 1,170,260 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | |||||||||
96,425,130 | 24,673,038 | (20,313,198) | 100,784,970 | — | (1,160) | 1,078 | 1,198,970 | 100,774,892 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
174,509 | 18,873 | (22,497) | 170,885 | — | 14,368 | 672,255 | — | 4,109,780 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
223,329 | 26,768 | (27,453) | 222,644 | — | 39,696 | 1,530,835 | — | 11,993,819 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
103,102 | 9,177 | (12,936) | 99,343 | — | 16,200 | 364,543 | — | 2,735,898 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
4,553,032 | 611,234 | (70,740) | 5,093,526 | — | (238) | 1,700,441 | 1,702,485 | 53,176,414 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
200,408 | 25,171 | (33,712) | 191,867 | — | 22,893 | 684,254 | — | 3,774,019 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
1,484,566 | 220,042 | (18,377) | 1,686,231 | — | (1,029) | 417,124 | 376,640 | 16,103,508 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
2,490,541 | 266,089 | (157,248) | 2,599,382 | — | (13,697) | 2,612,445 | 756,176 | 27,137,545 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
40,539 | 2,309 | (9,578) | 33,270 | — | 35,788 | 214,136 | — | 1,031,707 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
185,789 | 24,046 | (22,284) | 187,551 | — | 3,790 | 307,471 | — | 2,055,561 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
88,055 | 9,302 | (15,138) | 82,219 | — | 17,059 | 272,038 | — | 2,060,407 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
50,184 | 3,839 | (10,692) | 43,331 | — | 21,997 | 180,440 | — | 1,030,849 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
110,713 | 42,125 | (17,417) | 135,421 | — | 5,036 | 343,326 | — | 3,099,779 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
1,346,121 | 181,591 | (12,601) | 1,515,111 | — | (494) | 247,778 | 431,789 | 15,772,301 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
3,051,980 | 593,417 | (46,316) | 3,599,081 | — | (167) | 313,296 | 2,240,751 | 38,762,101 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
646,410 | 89,791 | (54,053) | 682,148 | 106,973 | 100,519 | 583,695 | 149,144 | 7,210,301 |
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June 30, 2019 (Unaudited)
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 | |||||||||
238,546 | 44,765 | (27,170) | 256,141 | 71,052 | 81,836 | 49,493 | 73,216 | 2,405,169 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
641,386 | 93,338 | (55,597) | 679,127 | 35,097 | 31,712 | 539,661 | 149,974 | 7,205,539 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
99,230 | 8,989 | (19,695) | 88,524 | — | 58,153 | 549,359 | — | 3,076,218 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
108,031 | 9,812 | (20,244) | 97,599 | — | 38,874 | 526,937 | — | 3,084,131 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
85,227 | 7,658 | (15,525) | 77,360 | — | 24,674 | 324,605 | — | 2,058,558 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
102,062 | 5,845 | (21,154) | 86,753 | — | 85,424 | 652,059 | — | 3,087,524 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
92,497 | 8,357 | (15,181) | 85,673 | — | 17,691 | 288,391 | — | 2,057,019 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
4,412,528 | 595,847 | (58,259) | 4,950,116 | — | 740 | 1,663,511 | 1,433,200 | 53,164,248 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
56,901 | 3,748 | (11,698) | 48,951 | — | 26,506 | 220,558 | — | 1,374,048 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
569,048 | 78,138 | (10,231) | 636,955 | — | (403) | 84,404 | 67,855 | 6,477,836 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
60,152 | 3,100 | (15,743) | 47,509 | — | 69,901 | 288,670 | — | 1,374,429 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
231,852 | 36,381 | (39,376) | 228,857 | 79,282 | 70,057 | 263,608 | 26,313 | 2,405,285 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
4,781,923 | 458,308 | (79,112) | 5,161,119 | — | (11,960) | 1,870,892 | 1,355,381 | 56,256,194 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
211,916 | 20,883 | (29,645) | 203,154 | — | 19,805 | 630,314 | — | 4,449,070 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
105,623 | 7,390 | (28,959) | 84,054 | — | 53,661 | 332,724 | — | 2,069,405 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
90,060 | 12,140 | (15,629) | 86,571 | — | 13,984 | 318,353 | — | 2,410,153 | |
Total | 292,404 | 841,216 | 19,048,694 | 9,961,894 | 443,783,707 |
(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 June 30, 2019. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
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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). |
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The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2019:
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 | — | — | — | 76,158,668 | 76,158,668 |
Exchange-Traded Funds | 38,248,225 | — | — | — | 38,248,225 |
Fixed-Income Funds | — | — | — | 266,850,147 | 266,850,147 |
Residential Mortgage-Backed Securities - Agency | — | 51,121,515 | — | — | 51,121,515 |
Options Purchased Puts | 1,170,260 | — | — | — | 1,170,260 |
Money Market Funds | — | — | — | 100,774,892 | 100,774,892 |
Total Investments in Securities | 39,418,485 | 51,121,515 | — | 443,783,707 | 534,323,707 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,631,819 | — | — | — | 1,631,819 |
Liability | |||||
Futures Contracts | (39,515) | — | — | — | (39,515) |
Total | 41,010,789 | 51,121,515 | — | 443,783,707 | 535,916,011 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $81,694,835) | $89,369,740 |
Affiliated issuers (cost $418,480,273) | 443,783,707 |
Options purchased (cost $2,126,198) | 1,170,260 |
Margin deposits on: | |
Futures contracts | 1,433,012 |
Receivable for: | |
Investments sold | 336,069 |
Investments sold on a delayed delivery basis | 53,880,057 |
Dividends | 291,270 |
Interest | 65,470 |
Variation margin for futures contracts | 135,519 |
Trustees’ deferred compensation plan | 34,648 |
Other assets | 1,643 |
Total assets | 590,501,395 |
Liabilities | |
Due to custodian | 37 |
Payable for: | |
Investments purchased on a delayed delivery basis | 104,983,837 |
Capital shares purchased | 480,100 |
Variation margin for futures contracts | 32,564 |
Management services fees | 3,157 |
Distribution and/or service fees | 3,324 |
Service fees | 21,961 |
Compensation of board members | 942 |
Compensation of chief compliance officer | 39 |
Other expenses | 51,032 |
Trustees’ deferred compensation plan | 34,648 |
Total liabilities | 105,611,641 |
Net assets applicable to outstanding capital stock | $484,889,754 |
Represented by | |
Trust capital | $484,889,754 |
Total - representing net assets applicable to outstanding capital stock | $484,889,754 |
Class 1 | |
Net assets | $16,160 |
Shares outstanding | 1,319 |
Net asset value per share | $12.25 |
Class 2 | |
Net assets | $484,873,594 |
Shares outstanding | 39,582,657 |
Net asset value per share | $12.25 |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $473,129 |
Dividends — affiliated issuers | 9,961,894 |
Interest | 11,131 |
Total income | 10,446,154 |
Expenses: | |
Management services fees | 508,995 |
Distribution and/or service fees | |
Class 2 | 562,453 |
Service fees | 135,084 |
Compensation of board members | 10,239 |
Custodian fees | 18,498 |
Printing and postage fees | 11,729 |
Audit fees | 20,235 |
Legal fees | 4,738 |
Compensation of chief compliance officer | 86 |
Other | 7,444 |
Total expenses | 1,279,501 |
Net investment income | 9,166,653 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 747,904 |
Investments — affiliated issuers | 841,216 |
Capital gain distributions from underlying affiliated funds | 292,404 |
Foreign currency translations | (2,825) |
Futures contracts | 2,279,384 |
Options contracts written | 198,739 |
Net realized gain | 4,356,822 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 4,064,649 |
Investments — affiliated issuers | 19,048,694 |
Foreign currency translations | 3,146 |
Futures contracts | 1,053,022 |
Options purchased | (1,735,158) |
Net change in unrealized appreciation (depreciation) | 22,434,353 |
Net realized and unrealized gain | 26,791,175 |
Net increase in net assets resulting from operations | $35,957,828 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $9,166,653 | $6,344,509 |
Net realized gain | 4,356,822 | 10,140 |
Net change in unrealized appreciation (depreciation) | 22,434,353 | (17,737,826) |
Net increase (decrease) in net assets resulting from operations | 35,957,828 | (11,383,177) |
Increase (decrease) in net assets from capital stock activity | 22,638,226 | (25,229,922) |
Total increase (decrease) in net assets | 58,596,054 | (36,613,099) |
Net assets at beginning of period | 426,293,700 | 462,906,799 |
Net assets at end of period | $484,889,754 | $426,293,700 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited)(a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,327 | 15,584 | — | — |
Redemptions | (8) | (95) | — | — |
Net increase | 1,319 | 15,489 | — | — |
Class 2 | ||||
Subscriptions | 4,193,545 | 49,335,024 | 6,084,084 | 69,537,596 |
Redemptions | (2,250,413) | (26,712,287) | (8,235,967) | (94,767,518) |
Net increase (decrease) | 1,943,132 | 22,622,737 | (2,151,883) | (25,229,922) |
Total net increase (decrease) | 1,944,451 | 22,638,226 | (2,151,883) | (25,229,922) |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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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 | ||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $11.70 | 0.27 | 0.28 | 0.55 |
Class 2 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $11.33 | 0.24 | 0.68 | 0.92 |
Year Ended 12/31/2018 | $11.63 | 0.17 | (0.47) | (0.30) |
Year Ended 12/31/2017 | $10.78 | 0.13 | 0.72 | 0.85 |
Year Ended 12/31/2016 | $10.46 | 0.09 | 0.23 | 0.32 |
Year Ended 12/31/2015 | $10.58 | 0.10 | (0.22) | (0.12) |
Year Ended 12/31/2014 | $10.13 | 0.06 | 0.39 | 0.45 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $12.25 | 4.70% | 0.31%(d) | 0.31%(d) | 6.43%(d) | 64% | $16 |
Class 2 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $12.25 | 8.12% | 0.57%(d) | 0.57%(d) | 4.07%(d) | 64% | $484,874 |
Year Ended 12/31/2018 | $11.33 | (2.58%) | 0.57% | 0.57% | 1.45% | 119% | $426,294 |
Year Ended 12/31/2017 | $11.63 | 7.88% | 0.55% | 0.55% | 1.17% | 103% | $462,907 |
Year Ended 12/31/2016 | $10.78 | 3.06% | 0.53% | 0.53% | 0.86% | 106% | $444,792 |
Year Ended 12/31/2015 | $10.46 | (1.13%) | 0.56% | 0.56% | 0.98% | 142% | $241,975 |
Year Ended 12/31/2014 | $10.58 | 4.44% | 0.61% | 0.60% | 0.54% | 184% | $142,420 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 435,607* |
Equity risk | Investments, at value — Options Purchased | 1,170,260 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 15,591* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 1,180,621* |
Total | 2,802,079 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 27,507* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 12,008* |
Total | 39,515 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 735,273 | 198,739 | 934,012 |
Foreign exchange risk | (10,643) | — | (10,643) |
Interest rate risk | 1,554,754 | — | 1,554,754 |
Total | 2,279,384 | 198,739 | 2,478,123 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 819,173 | (1,735,158) | (915,985) |
Foreign exchange risk | (16,105) | — | (16,105) |
Interest rate risk | 249,954 | — | 249,954 |
Total | 1,053,022 | (1,735,158) | (682,136) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 84,713,239 |
Futures contracts — short | 2,249,081 |
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Derivative instrument | Average value ($)* |
Options contracts — purchased | 1,183,163 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 1,170,260 |
Total financial and derivative net assets | 1,170,260 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 1,170,260 |
(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 1 | 0.85%* |
Class 2 | 1.10 |
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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 voluntarily limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’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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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2019) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | 10.57 | 5.02 | 4.81 | |
Class 2 | 09/12/17 | 10.47 | 4.92 | 4.75 | |
Blended Benchmark | 11.79 | 7.68 | 6.15 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11 | 7.87 | 3.42 | ||
Russell 3000 Index | 18.71 | 8.98 | 11.32 | ||
MSCI EAFE Index (Net) | 14.03 | 1.08 | 1.57 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
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(Unaudited)
Portfolio Allocation (%) (at June 30, 2019) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 53.5 |
International | 16.4 |
U.S. Large Cap | 32.9 |
U.S. Small Cap | 4.2 |
Underlying Funds: Fixed-Income Funds | 28.8 |
Investment Grade | 28.8 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 7.3 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 6.7 |
Options Purchased Puts | 0.5 |
Residential Mortgage-Backed Securities - Agency | 3.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $10.3 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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(Unaudited)
January 1, 2019 — June 30, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,037.20(a) | 1,023.15 | 0.99(a) | 1.39 | 0.28(a) | 2.94(a) | 4.12 | 0.83(a) |
Class 2 | 1,000.00 | 1,000.00 | 1,104.70 | 1,021.92 | 2.74 | 2.63 | 0.53 | 5.57 | 5.35 | 1.08 |
(a) | Based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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June 30, 2019 (Unaudited)
Equity Funds 55.0% | ||
Shares | Value ($) | |
International 16.9% | ||
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 2,383,547 | 25,289,436 |
U.S. Large Cap 33.8% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 469,404 | 25,286,797 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,153,694 | 25,265,912 |
Total | 50,552,709 | |
U.S. Small Cap 4.3% | ||
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 131,760 | 3,243,918 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 115,595 | 3,218,172 |
Total | 6,462,090 | |
Total Equity Funds (Cost $79,872,248) | 82,304,235 | |
Exchange-Traded Funds 7.5% | ||
iShares Core U.S. Aggregate Bond ETF | 40,750 | 4,537,513 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 35,220 | 4,380,311 |
Vanguard Total Bond Market ETF | 28,000 | 2,325,960 |
Total Exchange-Traded Funds (Cost $10,789,864) | 11,243,784 | |
Fixed-Income Funds 29.6% | ||
Investment Grade 29.6% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 1,819,481 | 18,995,377 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 619,205 | 6,297,317 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 1,739,923 | 18,965,166 |
Total | 44,257,860 | |
Total Fixed-Income Funds (Cost $43,323,872) | 44,257,860 |
Residential Mortgage-Backed Securities - Agency 3.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
08/19/2034 | 2.500% | 1,750,000 | 1,761,655 | |
08/13/2049 | 4.000% | 3,000,000 | 3,099,668 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $4,863,858) | 4,861,323 |
Options Purchased Puts 0.6% | ||||
Value ($) | ||||
(Cost $1,581,391) | 861,735 |
Money Market Funds 6.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(a),(d) | 10,286,633 | 10,285,604 |
Total Money Market Funds (Cost $10,285,605) | 10,285,604 | |
Total Investments in Securities (Cost: $150,716,838) | 153,814,541 | |
Other Assets & Liabilities, Net | (4,248,883) | |
Net Assets | 149,565,658 |
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June 30, 2019 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 | 4 | 09/2019 | EUR | 138,640 | 4,144 | — |
S&P 500 E-mini | 67 | 09/2019 | USD | 9,863,070 | 155,273 | — |
S&P 500 Index | 2 | 09/2019 | USD | 1,472,100 | 24,618 | — |
SPI 200 Index | 1 | 09/2019 | AUD | 163,975 | 1,466 | — |
U.S. Long Bond | 9 | 09/2019 | USD | 1,400,344 | 50,749 | — |
U.S. Treasury 10-Year Note | 16 | 09/2019 | USD | 2,047,500 | 45,702 | — |
U.S. Treasury 2-Year Note | 8 | 09/2019 | USD | 1,721,438 | 10,881 | — |
U.S. Treasury 5-Year Note | 25 | 09/2019 | USD | 2,953,906 | 45,984 | — |
U.S. Ultra Treasury Bond | 11 | 09/2019 | USD | 1,953,188 | 93,008 | — |
Total | 431,825 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (6) | 09/2019 | GBP | (442,140) | — | (5,733) |
Hang Seng Index | (1) | 07/2019 | HKD | (1,425,250) | — | (2,308) |
MSCI EAFE Index Future | (3) | 09/2019 | USD | (288,495) | — | (7,987) |
OMXS30 Index | (16) | 07/2019 | SEK | (2,593,200) | 1,573 | — |
Russell 2000 E-mini | (34) | 09/2019 | USD | (2,664,070) | — | (65,704) |
TOPIX Index | (1) | 09/2019 | JPY | (15,510,000) | — | (2,316) |
Total | 1,573 | (84,048) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 32,359,360 | 110 | 2,100.00 | 12/18/2020 | 1,039,834 | 429,000 |
S&P 500 Index | Deutsche Bank | USD | 11,767,040 | 40 | 2,300.00 | 12/18/2020 | 311,388 | 245,400 |
S&P 500 Index | Deutsche Bank | USD | 5,295,168 | 18 | 2,350.00 | 12/18/2020 | 125,215 | 123,570 |
S&P 500 Index | Deutsche Bank | USD | 3,824,288 | 13 | 2,200.00 | 12/18/2020 | 104,954 | 63,765 |
Total | 1,581,391 | 861,735 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | |||||||||
11,289,201 | 10,188,944 | (11,191,512) | 10,286,633 | — | (265) | 295 | 136,334 | 10,285,604 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
349,356 | 121,890 | (1,842) | 469,404 | — | (4,135) | 2,646,512 | — | 25,286,797 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
1,211,879 | 610,113 | (2,511) | 1,819,481 | — | 100 | 487,090 | 602,865 | 18,995,377 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
1,664,634 | 719,508 | (595) | 2,383,547 | 122,282 | (1,259) | 1,363,980 | 494,093 | 25,289,436 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
405,062 | 214,631 | (488) | 619,205 | — | 7 | 67,131 | 65,397 | 6,297,317 |
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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 Core Bond Fund, Class 1 Shares | |||||||||
1,162,047 | 580,247 | (2,371) | 1,739,923 | — | (10) | 532,305 | 453,643 | 18,965,166 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
865,746 | 288,378 | (430) | 1,153,694 | — | (288) | 2,874,329 | — | 25,265,912 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
97,946 | 34,510 | (696) | 131,760 | — | (1,980) | 387,027 | — | 3,243,918 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
84,060 | 31,972 | (437) | 115,595 | — | (1,430) | 316,644 | — | 3,218,172 | |
Total | 122,282 | (9,260) | 8,675,313 | 1,752,332 | 136,847,699 |
(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 June 30, 2019. |
AUD | Australian Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
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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 | — | — | — | 82,304,235 | 82,304,235 |
Exchange-Traded Funds | 11,243,784 | — | — | — | 11,243,784 |
Fixed-Income Funds | — | — | — | 44,257,860 | 44,257,860 |
Residential Mortgage-Backed Securities - Agency | — | 4,861,323 | — | — | 4,861,323 |
Options Purchased Puts | 861,735 | — | — | — | 861,735 |
Money Market Funds | — | — | — | 10,285,604 | 10,285,604 |
Total Investments in Securities | 12,105,519 | 4,861,323 | — | 136,847,699 | 153,814,541 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 433,398 | — | — | — | 433,398 |
Liability | |||||
Futures Contracts | (84,048) | — | — | — | (84,048) |
Total | 12,454,869 | 4,861,323 | — | 136,847,699 | 154,163,891 |
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Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $15,653,722) | $16,105,107 |
Affiliated issuers (cost $133,481,725) | 136,847,699 |
Options purchased (cost $1,581,391) | 861,735 |
Margin deposits on: | |
Futures contracts | 600,061 |
Receivable for: | |
Investments sold on a delayed delivery basis | 4,871,088 |
Capital shares sold | 118,252 |
Dividends | 20,808 |
Interest | 6,188 |
Variation margin for futures contracts | 53,545 |
Prepaid expenses | 1 |
Trustees’ deferred compensation plan | 10,194 |
Other assets | 1,643 |
Total assets | 159,496,321 |
Liabilities | |
Due to custodian | 27 |
Payable for: | |
Investments purchased | 95,815 |
Investments purchased on a delayed delivery basis | 9,728,369 |
Capital shares purchased | 5,528 |
Variation margin for futures contracts | 38,848 |
Management services fees | 549 |
Distribution and/or service fees | 1,018 |
Service fees | 6,636 |
Compensation of board members | 990 |
Compensation of chief compliance officer | 7 |
Other expenses | 42,682 |
Trustees’ deferred compensation plan | 10,194 |
Total liabilities | 9,930,663 |
Net assets applicable to outstanding capital stock | $149,565,658 |
Represented by | |
Trust capital | $149,565,658 |
Total - representing net assets applicable to outstanding capital stock | $149,565,658 |
Class 1 | |
Net assets | $2,593 |
Shares outstanding | 239 |
Net asset value per share(a) | $10.87 |
Class 2 | |
Net assets | $149,563,065 |
Shares outstanding | 13,757,615 |
Net asset value per share | $10.87 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $92,563 |
Dividends — affiliated issuers | 1,752,332 |
Interest | 4,092 |
Total income | 1,848,987 |
Expenses: | |
Management services fees | 77,735 |
Distribution and/or service fees | |
Class 2 | 152,023 |
Service fees | 36,728 |
Compensation of board members | 7,794 |
Custodian fees | 22,481 |
Printing and postage fees | 6,129 |
Audit fees | 14,500 |
Legal fees | 1,213 |
Compensation of chief compliance officer | 20 |
Other | 3,647 |
Total expenses | 322,270 |
Net investment income | 1,526,717 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 110,975 |
Investments — affiliated issuers | (9,260) |
Capital gain distributions from underlying affiliated funds | 122,282 |
Foreign currency translations | 538 |
Futures contracts | 1,176,943 |
Net realized gain | 1,401,478 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 485,555 |
Investments — affiliated issuers | 8,675,313 |
Foreign currency translations | 352 |
Futures contracts | 156,874 |
Options purchased | (719,656) |
Net change in unrealized appreciation (depreciation) | 8,598,438 |
Net realized and unrealized gain | 9,999,916 |
Net increase in net assets resulting from operations | $11,526,633 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $1,526,717 | $488,159 |
Net realized gain | 1,401,478 | 108,265 |
Net change in unrealized appreciation (depreciation) | 8,598,438 | (5,736,185) |
Net increase (decrease) in net assets resulting from operations | 11,526,633 | (5,139,761) |
Increase in net assets from capital stock activity | 40,668,756 | 84,707,376 |
Total increase in net assets | 52,195,389 | 79,567,615 |
Net assets at beginning of period | 97,370,269 | 17,802,654 |
Net assets at end of period | $149,565,658 | $97,370,269 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited)(a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 239 | 2,500 | — | — |
Net increase | 239 | 2,500 | — | — |
Class 2 | ||||
Subscriptions | 3,896,655 | 41,008,046 | 8,232,878 | 85,252,015 |
Redemptions | (32,383) | (341,790) | (52,844) | (544,639) |
Net increase | 3,864,272 | 40,666,256 | 8,180,034 | 84,707,376 |
Total net increase | 3,864,511 | 40,668,756 | 8,180,034 | 84,707,376 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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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 | ||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $10.48 | 0.13 | 0.26 | 0.39 |
Class 2 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $9.84 | 0.13 | 0.90 | 1.03 |
Year Ended 12/31/2018 | $10.39 | 0.09 | (0.64) | (0.55) |
Year Ended 12/31/2017(e) | $10.00 | (0.00)(f) | 0.39 | 0.39 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
(e) | The Fund commenced operations on September 12, 2017. Per share data and total return reflect activity from that date. |
(f) | Rounds to zero. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $10.87 | 3.72% | 0.28%(d) | 0.28%(d) | 3.38%(d) | 21% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $10.87 | 10.47% | 0.53%(d) | 0.53%(d) | 2.51%(d) | 21% | $149,563 |
Year Ended 12/31/2018 | $9.84 | (5.29%) | 0.61% | 0.55% | 0.85% | 47% | $97,370 |
Year Ended 12/31/2017(e) | $10.39 | 3.90% | 1.17%(d) | 0.49%(d) | (0.01%)(d) | 75% | $17,803 |
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Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 187,074* |
Equity risk | Investments, at value — Options Purchased | 861,735 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 246,324* |
Total | 1,295,133 |
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Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 84,048* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 867,345 |
Interest rate risk | 309,598 |
Total | 1,176,943 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 88,342 | (719,656) | (631,314) |
Interest rate risk | 68,532 | — | 68,532 |
Total | 156,874 | (719,656) | (562,782) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 18,575,036 |
Futures contracts — short | 3,439,753 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 818,128 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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Deutsche Bank ($) | |
Assets | |
Options purchased puts | 861,735 |
Total financial and derivative net assets | 861,735 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 861,735 |
(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, 2020 | |
Class 1 | 0.85%* |
Class 2 | 1.10 |
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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, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’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 June 30, 2019) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | 11.69 | 7.23 | 6.93 | |
Class 2 | 09/12/17 | 11.58 | 7.13 | 6.88 | |
Blended Benchmark | 12.39 | 9.63 | 7.83 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.11 | 7.87 | 3.42 | ||
S&P 500 Index | 18.54 | 10.42 | 11.74 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2019 | 3 |
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(Unaudited)
Portfolio Allocation (%) (at June 30, 2019) | |
Allocations to Underlying Funds | |
Underlying Funds: Equity Funds | 54.4 |
U.S. Large Cap | 54.4 |
Underlying Funds: Fixed-Income Funds | 29.3 |
Investment Grade | 29.3 |
Allocations to Tactical Assets | |
Exchange-Traded Funds | 8.9 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 4.8 |
Options Purchased Puts | 0.6 |
Residential Mortgage-Backed Securities - Agency | 2.0 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $6.4 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives which provide exposure to multiple markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
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January 1, 2019 — June 30, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,048.40(a) | 1,023.10 | 1.03(a) | 1.44 | 0.29(a) | 2.92(a) | 4.07 | 0.82(a) |
Class 2 | 1,000.00 | 1,000.00 | 1,115.80 | 1,021.87 | 2.80 | 2.68 | 0.54 | 5.55 | 5.30 | 1.07 |
(a) | Based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2019 | 5 |
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June 30, 2019 (Unaudited)
Equity Funds 55.3% | ||
Shares | Value ($) | |
U.S. Large Cap 55.3% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 414,475 | 22,327,737 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 441,609 | 13,954,836 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 581,209 | 13,954,838 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,019,531 | 22,327,736 |
Total | 72,565,147 | |
Total Equity Funds (Cost $67,582,487) | 72,565,147 | |
Exchange-Traded Funds 9.1% | ||
iShares Core U.S. Aggregate Bond ETF | 43,700 | 4,865,995 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 23,185 | 2,883,519 |
Vanguard Total Bond Market ETF | 50,000 | 4,153,500 |
Total Exchange-Traded Funds (Cost $11,375,633) | 11,903,014 | |
Fixed-Income Funds 29.8% | ||
Investment Grade 29.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 1,604,004 | 16,745,805 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 548,863 | 5,581,934 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 1,536,313 | 16,745,805 |
Total | 39,073,544 | |
Total Fixed-Income Funds (Cost $38,192,103) | 39,073,544 |
Residential Mortgage-Backed Securities - Agency 2.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
08/19/2034 | 2.500% | 1,150,000 | 1,157,659 | |
08/13/2049 | 4.000% | 1,500,000 | 1,549,834 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $2,709,002) | 2,707,493 |
Options Purchased Puts 0.6% | ||||
Value ($) | ||||
(Cost $1,364,201) | 771,140 |
Money Market Funds 4.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 2.433%(a),(d) | 6,368,191 | 6,367,554 |
Total Money Market Funds (Cost $6,367,555) | 6,367,554 | |
Total Investments in Securities (Cost: $127,590,981) | 133,387,892 | |
Other Assets & Liabilities, Net | (2,234,375) | |
Net Assets | 131,153,517 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 E-mini | 52 | 09/2019 | USD | 7,654,920 | 118,373 | — |
S&P 500 Index | 1 | 09/2019 | USD | 736,050 | 12,309 | — |
U.S. Long Bond | 8 | 09/2019 | USD | 1,244,750 | 44,244 | — |
U.S. Treasury 10-Year Note | 12 | 09/2019 | USD | 1,535,625 | 32,836 | — |
U.S. Treasury 2-Year Note | 8 | 09/2019 | USD | 1,721,438 | 10,881 | — |
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June 30, 2019 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 5-Year Note | 20 | 09/2019 | USD | 2,363,125 | 35,306 | — |
U.S. Ultra Treasury Bond | 8 | 09/2019 | USD | 1,420,500 | 60,733 | — |
Total | 314,682 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | Deutsche Bank | USD | 24,122,432 | 82 | 2,100.00 | 12/18/2020 | 775,149 | 319,800 |
S&P 500 Index | Deutsche Bank | USD | 9,413,632 | 32 | 2,300.00 | 12/18/2020 | 252,729 | 196,320 |
S&P 500 Index | Deutsche Bank | USD | 5,883,520 | 20 | 2,350.00 | 12/18/2020 | 140,090 | 137,300 |
S&P 500 Index | Deutsche Bank | USD | 7,060,224 | 24 | 2,200.00 | 12/18/2020 | 196,233 | 117,720 |
Total | 1,364,201 | 771,140 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 2.433% | |||||||||
5,146,444 | 9,609,014 | (8,387,267) | 6,368,191 | — | (6) | 24 | 75,456 | 6,367,554 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
288,900 | 130,562 | (4,987) | 414,475 | — | (34,309) | 2,268,590 | — | 22,327,737 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
1,000,550 | 608,026 | (4,572) | 1,604,004 | — | (964) | 405,883 | 533,281 | 16,745,805 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
321,812 | 123,527 | (3,730) | 441,609 | — | (13,988) | 1,953,498 | — | 13,954,836 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
406,478 | 182,265 | (7,534) | 581,209 | — | (12,005) | 1,548,539 | — | 13,954,838 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
334,677 | 214,197 | (11) | 548,863 | — | — | 56,438 | 57,804 | 5,581,934 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
959,748 | 581,918 | (5,353) | 1,536,313 | — | (2,061) | 452,210 | 401,535 | 16,745,805 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
716,120 | 319,737 | (16,326) | 1,019,531 | — | (27,771) | 2,464,030 | — | 22,327,736 | |
Total | — | (91,104) | 9,149,212 | 1,068,076 | 118,006,245 |
(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 June 30, 2019. |
USD | US Dollar |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2019 | 7 |
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June 30, 2019 (Unaudited)
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 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 ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 72,565,147 | 72,565,147 |
Exchange-Traded Funds | 11,903,014 | — | — | — | 11,903,014 |
Fixed-Income Funds | — | — | — | 39,073,544 | 39,073,544 |
Residential Mortgage-Backed Securities - Agency | — | 2,707,493 | — | — | 2,707,493 |
Options Purchased Puts | 771,140 | — | — | — | 771,140 |
Money Market Funds | — | — | — | 6,367,554 | 6,367,554 |
Total Investments in Securities | 12,674,154 | 2,707,493 | — | 118,006,245 | 133,387,892 |
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June 30, 2019 (Unaudited)
Level 1 quoted prices in active markets for identical assets ($) | Level 2 other significant observable inputs ($) | Level 3 significant unobservable inputs ($) | Investments measured at net asset value ($) | Total ($) | |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 314,682 | — | — | — | 314,682 |
Total | 12,988,836 | 2,707,493 | — | 118,006,245 | 133,702,574 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2019 | 9 |
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June 30, 2019 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $14,084,635) | $14,610,507 |
Affiliated issuers (cost $112,142,145) | 118,006,245 |
Options purchased (cost $1,364,201) | 771,140 |
Margin deposits on: | |
Futures contracts | 396,915 |
Receivable for: | |
Investments sold on a delayed delivery basis | 2,713,039 |
Capital shares sold | 478,633 |
Dividends | 12,911 |
Interest | 3,437 |
Variation margin for futures contracts | 38,280 |
Trustees’ deferred compensation plan | 10,063 |
Other assets | 1,643 |
Total assets | 137,042,813 |
Liabilities | |
Due to custodian | 23 |
Payable for: | |
Investments purchased | 406,812 |
Investments purchased on a delayed delivery basis | 5,417,625 |
Capital shares purchased | 30 |
Variation margin for futures contracts | 2,812 |
Management services fees | 462 |
Distribution and/or service fees | 891 |
Service fees | 5,847 |
Compensation of board members | 991 |
Compensation of chief compliance officer | 5 |
Other expenses | 43,735 |
Trustees’ deferred compensation plan | 10,063 |
Total liabilities | 5,889,296 |
Net assets applicable to outstanding capital stock | $131,153,517 |
Represented by | |
Trust capital | $131,153,517 |
Total - representing net assets applicable to outstanding capital stock | $131,153,517 |
Class 1 | |
Net assets | $2,620 |
Shares outstanding | 233 |
Net asset value per share(a) | $11.27 |
Class 2 | |
Net assets | $131,150,897 |
Shares outstanding | 11,641,284 |
Net asset value per share | $11.27 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
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Six Months Ended June 30, 2019 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $110,948 |
Dividends — affiliated issuers | 1,068,076 |
Interest | 2,719 |
Total income | 1,181,743 |
Expenses: | |
Management services fees | 64,491 |
Distribution and/or service fees | |
Class 2 | 129,772 |
Service fees | 31,393 |
Compensation of board members | 7,658 |
Custodian fees | 22,431 |
Printing and postage fees | 7,290 |
Audit fees | 14,500 |
Legal fees | 1,274 |
Compensation of chief compliance officer | 16 |
Other | 3,466 |
Total expenses | 282,291 |
Net investment income | 899,452 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 67,372 |
Investments — affiliated issuers | (91,104) |
Futures contracts | 574,753 |
Net realized gain | 551,021 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 526,212 |
Investments — affiliated issuers | 9,149,212 |
Futures contracts | 318,757 |
Options purchased | (593,061) |
Net change in unrealized appreciation (depreciation) | 9,401,120 |
Net realized and unrealized gain | 9,952,141 |
Net increase in net assets resulting from operations | $10,851,593 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2019 | 11 |
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Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $899,452 | $165,897 |
Net realized gain | 551,021 | 11,403 |
Net change in unrealized appreciation (depreciation) | 9,401,120 | (3,754,485) |
Net increase (decrease) in net assets resulting from operations | 10,851,593 | (3,577,185) |
Increase in net assets from capital stock activity | 40,182,710 | 71,506,050 |
Total increase in net assets | 51,034,303 | 67,928,865 |
Net assets at beginning of period | 80,119,214 | 12,190,349 |
Net assets at end of period | $131,153,517 | $80,119,214 |
Six Months Ended | Year Ended | |||
June 30, 2019 (Unaudited)(a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 233 | 2,500 | — | — |
Net increase | 233 | 2,500 | — | — |
Class 2 | ||||
Subscriptions | 3,874,041 | 41,871,720 | 6,797,707 | 71,854,956 |
Redemptions | (161,738) | (1,691,510) | (33,424) | (348,906) |
Net increase | 3,712,303 | 40,180,210 | 6,764,283 | 71,506,050 |
Total net increase | 3,712,536 | 40,182,710 | 6,764,283 | 71,506,050 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
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Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2019 | 13 |
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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 | ||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $10.75 | 0.09 | 0.43 | 0.52 |
Class 2 | ||||
Six Months Ended 6/30/2019 (Unaudited) | $10.10 | 0.09 | 1.08 | 1.17 |
Year Ended 12/31/2018 | $10.47 | 0.04 | (0.41) | (0.37) |
Year Ended 12/31/2017(e) | $10.00 | (0.01) | 0.48 | 0.47 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
(e) | The Fund commenced operations on September 12, 2017. Per share data and total return reflect activity from that date. |
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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 | |||||||
Six Months Ended 6/30/2019 (Unaudited)(c) | $11.27 | 4.84% | 0.29%(d) | 0.29%(d) | 2.35%(d) | 18% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2019 (Unaudited) | $11.27 | 11.58% | 0.54%(d) | 0.54%(d) | 1.73%(d) | 18% | $131,151 |
Year Ended 12/31/2018 | $10.10 | (3.53%) | 0.67% | 0.58% | 0.41% | 45% | $80,119 |
Year Ended 12/31/2017(e) | $10.47 | 4.70% | 1.19%(d) | 0.52%(d) | (0.26%)(d) | 109% | $12,190 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2019 | 15 |
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June 30, 2019 (Unaudited)
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June 30, 2019 (Unaudited)
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June 30, 2019 (Unaudited)
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June 30, 2019 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 130,682* |
Equity risk | Investments, at value — Options Purchased | 771,140 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 184,000* |
Total | 1,085,822 |
* | 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 ($) |
Equity risk | 338,911 |
Interest rate risk | 235,842 |
Total | 574,753 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2019 | 19 |
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June 30, 2019 (Unaudited)
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 294,331 | (593,061) | (298,730) |
Interest rate risk | 24,426 | — | 24,426 |
Total | 318,757 | (593,061) | (274,304) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 14,102,462 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 726,225 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2019. |
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June 30, 2019 (Unaudited)
Deutsche Bank ($) | |
Assets | |
Options purchased puts | 771,140 |
Total financial and derivative net assets | 771,140 |
Total collateral received (pledged)(a) | - |
Net amount(b) | 771,140 |
(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 – Managed Risk U.S. Fund | Semiannual Report 2019 | 21 |
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June 30, 2019 (Unaudited)
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June 30, 2019 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2019 | 23 |
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June 30, 2019 (Unaudited)
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.85%* |
Class 2 | 1.10 |
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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, 2020 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding the management fees of similarly-managed portfolios of other clients of the Investment Manager, including institutional accounts and collective trusts; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’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. |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2019 | 27 |
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Item 2. | Code of Ethics. |
Not applicable for semiannual reports.
Item 3. | Audit Committee Financial Expert. |
Not applicable for semiannual reports.
Item 4. | Principal Accountant Fees and Services. |
Not applicable for semiannual reports.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments |
(a) | The registrant’s “Schedule I – Investments in securities of unaffiliated issuers” (as set forth in 17 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.
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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. |
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: Not applicable for semiannual reports.
(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 August 21, 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 August 21, 2019 |
By (Signature and Title) /s/ Michael G. Clarke | ||||
Michael G. Clarke, Chief Financial Officer |
Date August 21, 2019 |