UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-05199
Columbia Funds Variable Insurance Trust
(Exact name of registrant as specified in charter)
225 Franklin Street, Boston, Massachusetts 02110
(Address of principal executive offices) (Zip code)
Christopher O. Petersen, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, Massachusetts 02110
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
December 31, 2019
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Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | 19.74 | 5.43 | 4.26 | |
Class 2 | 04/30/13 | 19.42 | 5.17 | 3.99 | |
Bloomberg Barclays U.S. Long Government/Credit Bond Index | 19.59 | 5.42 | 5.06 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Asset-Backed Securities — Agency | 1.2 |
Corporate Bonds & Notes | 53.7 |
Foreign Government Obligations | 0.6 |
Money Market Funds | 3.8 |
U.S. Treasury Obligations | 40.7 |
Total | 100.0 |
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 45.2 |
AA rating | 3.5 |
A rating | 15.0 |
BBB rating | 36.2 |
BB rating | 0.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,052.70 | 1,022.93 | 2.62 | 2.58 | 0.50 |
Class 2 | 1,000.00 | 1,000.00 | 1,050.90 | 1,021.66 | 3.92 | 3.86 | 0.75 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 7 |
December 31, 2019
Asset-Backed Securities — Agency 1.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2016-20L Class 1 | ||||
12/01/2036 | 2.810% | 4,866,190 | 4,978,558 | |
Series 2017-20E Class 1 | ||||
05/01/2037 | 2.880% | 431,060 | 441,218 | |
Series 2017-20F Class 1 | ||||
06/01/2037 | 2.810% | 3,452,902 | 3,523,255 | |
Series 2017-20G Class 1 | ||||
07/01/2037 | 2.980% | 3,183,996 | 3,274,565 | |
Series 2017-20H Class 1 | ||||
08/01/2037 | 2.750% | 2,783,612 | 2,817,607 | |
Series 2017-20I Class 1 | ||||
09/01/2037 | 2.590% | 4,971,642 | 4,988,919 | |
Total Asset-Backed Securities — Agency (Cost $19,689,402) | 20,024,122 | |||
Corporate Bonds & Notes 53.3% | ||||
Aerospace & Defense 0.8% | ||||
Boeing Co. (The) | ||||
02/01/2030 | 2.950% | 2,560,000 | 2,612,602 | |
Northrop Grumman Corp. | ||||
01/15/2028 | 3.250% | 3,890,000 | 4,057,909 | |
10/15/2047 | 4.030% | 5,805,000 | 6,479,632 | |
Total | 13,150,143 | |||
Automotive 0.3% | ||||
Ford Motor Co. | ||||
01/15/2043 | 4.750% | 5,480,000 | 4,872,473 | |
Banking 6.8% | ||||
Bank of America Corp.(a) | ||||
12/20/2028 | 3.419% | 1,310,000 | 1,375,882 | |
07/23/2030 | 3.194% | 12,780,000 | 13,233,238 | |
Subordinated | ||||
10/22/2030 | 2.884% | 8,010,000 | 8,100,544 | |
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 3,520,000 | 3,780,846 | |
Citigroup, Inc.(a) | ||||
11/05/2030 | 2.976% | 13,715,000 | 13,926,114 | |
Goldman Sachs Group, Inc. (The)(a) | ||||
04/23/2039 | 4.411% | 2,175,000 | 2,467,280 | |
Goldman Sachs Group, Inc. (The) | ||||
07/08/2044 | 4.800% | 6,790,000 | 8,188,051 | |
JPMorgan Chase & Co.(a) | ||||
10/15/2030 | 2.739% | 29,355,000 | 29,397,359 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley(a) | ||||
01/23/2030 | 4.431% | 7,984,000 | 9,027,815 | |
Wells Fargo & Co.(a) | ||||
10/30/2030 | 2.879% | 20,486,000 | 20,642,627 | |
Total | 110,139,756 | |||
Cable and Satellite 2.1% | ||||
Charter Communications Operating LLC/Capital | ||||
03/01/2050 | 4.800% | 12,460,000 | 13,140,270 | |
Comcast Corp. | ||||
08/15/2047 | 4.000% | 8,380,000 | 9,256,713 | |
02/01/2050 | 3.450% | 2,000,000 | 2,053,494 | |
11/01/2052 | 4.049% | 8,651,000 | 9,717,833 | |
Total | 34,168,310 | |||
Chemicals 0.6% | ||||
Dow Chemical Co. (The) | ||||
05/15/2049 | 4.800% | 4,916,000 | 5,679,053 | |
DowDuPont, Inc. | ||||
11/15/2048 | 5.419% | 1,295,000 | 1,595,562 | |
LYB International Finance III LLC | ||||
10/15/2049 | 4.200% | 2,270,000 | 2,368,482 | |
Total | 9,643,097 | |||
Diversified Manufacturing 0.5% | ||||
3M Co. | ||||
08/26/2049 | 3.250% | 1,600,000 | 1,552,535 | |
United Technologies Corp. | ||||
06/01/2042 | 4.500% | 3,000,000 | 3,600,871 | |
11/16/2048 | 4.625% | 2,870,000 | 3,591,034 | |
Total | 8,744,440 | |||
Electric 7.4% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 7,705,000 | 7,713,737 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 3,485,000 | 3,438,292 | |
CMS Energy Corp. | ||||
02/15/2027 | 2.950% | 6,374,000 | 6,439,698 | |
03/31/2043 | 4.700% | 1,932,000 | 2,179,132 | |
03/01/2044 | 4.875% | 4,615,000 | 5,500,132 | |
Consolidated Edison Co. of New York, Inc. | ||||
06/15/2046 | 3.850% | 4,315,000 | 4,651,159 | |
Dominion Energy, Inc. | ||||
03/15/2049 | 4.600% | 3,325,000 | 3,857,979 |
8 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 19,123,000 | 19,234,915 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 15,110,000 | 15,584,983 | |
Duke Energy Indiana LLC | ||||
10/01/2049 | 3.250% | 464,000 | 466,761 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 6,160,000 | 7,120,274 | |
FirstEnergy Corp. | ||||
07/15/2047 | 4.850% | 1,250,000 | 1,476,022 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 4,614,000 | 4,880,447 | |
Oncor Electric Delivery Co. LLC | ||||
09/15/2049 | 3.100% | 1,740,000 | 1,710,885 | |
Pennsylvania Electric Co.(b) | ||||
06/01/2029 | 3.600% | 1,630,000 | 1,724,909 | |
Southern California Edison Co. | ||||
10/01/2043 | 4.650% | 2,090,000 | 2,361,000 | |
03/01/2048 | 4.125% | 2,200,000 | 2,354,329 | |
1st Refunding Mortgage | ||||
03/15/2043 | 3.900% | 1,252,000 | 1,277,106 | |
Southern Co. (The) | ||||
07/01/2036 | 4.250% | 2,344,000 | 2,527,618 | |
07/01/2046 | 4.400% | 11,215,000 | 12,449,893 | |
Xcel Energy, Inc. | ||||
09/15/2041 | 4.800% | 7,519,000 | 8,518,940 | |
12/01/2049 | 3.500% | 3,770,000 | 3,831,965 | |
Total | 119,300,176 | |||
Finance Companies 1.2% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 18,280,000 | 19,520,138 | |
Food and Beverage 4.2% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 22,974,000 | 27,331,399 | |
Bacardi Ltd.(b) | ||||
05/15/2038 | 5.150% | 10,771,000 | 12,195,361 | |
Conagra Brands, Inc. | ||||
11/01/2038 | 5.300% | 4,065,000 | 4,827,246 | |
11/01/2048 | 5.400% | 930,000 | 1,137,679 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 13,146,000 | 12,955,473 | |
Mars, Inc.(b) | ||||
04/01/2059 | 4.200% | 3,350,000 | 3,800,368 | |
Molson Coors Brewing Co. | ||||
05/01/2042 | 5.000% | 705,000 | 773,062 | |
07/15/2046 | 4.200% | 582,000 | 580,336 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PepsiCo, Inc. | ||||
10/06/2046 | 3.450% | 1,410,000 | 1,494,311 | |
Sysco Corp. | ||||
04/01/2046 | 4.500% | 1,865,000 | 2,143,820 | |
Tyson Foods, Inc. | ||||
06/02/2047 | 4.550% | 1,410,000 | 1,615,715 | |
Total | 68,854,770 | |||
Health Care 2.3% | ||||
Abbott Laboratories | ||||
11/30/2046 | 4.900% | 1,860,000 | 2,438,838 | |
Becton Dickinson and Co. | ||||
06/06/2027 | 3.700% | 1,018,000 | 1,083,598 | |
05/15/2044 | 4.875% | 2,063,000 | 2,346,555 | |
12/15/2044 | 4.685% | 872,000 | 1,014,655 | |
Cardinal Health, Inc. | ||||
06/15/2047 | 4.368% | 4,410,000 | 4,364,500 | |
Cigna Corp. | ||||
08/15/2038 | 4.800% | 5,095,000 | 5,940,016 | |
12/15/2048 | 4.900% | 2,555,000 | 3,051,938 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 10,096,000 | 11,976,406 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 3,425,000 | 3,531,677 | |
Thermo Fisher Scientific, Inc. | ||||
10/01/2029 | 2.600% | 1,086,000 | 1,076,029 | |
Total | 36,824,212 | |||
Healthcare Insurance 1.2% | ||||
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 1,765,000 | 1,788,770 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 2,795,000 | 3,149,915 | |
Centene Corp.(b) | ||||
12/15/2029 | 4.625% | 2,197,000 | 2,313,633 | |
UnitedHealth Group, Inc. | ||||
08/15/2039 | 3.500% | 12,052,000 | 12,685,492 | |
Total | 19,937,810 | |||
Independent Energy 1.1% | ||||
Apache Corp. | ||||
04/15/2043 | 4.750% | 1,683,000 | 1,624,080 | |
Canadian Natural Resources Ltd. | ||||
03/15/2038 | 6.250% | 1,945,000 | 2,520,052 | |
ConocoPhillips Co. | ||||
11/15/2044 | 4.300% | 2,890,000 | 3,393,768 | |
Hess Corp. | ||||
02/15/2041 | 5.600% | 3,895,000 | 4,587,465 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 9 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 4,740,000 | 5,308,719 | |
Total | 17,434,084 | |||
Integrated Energy 0.5% | ||||
Cenovus Energy, Inc. | ||||
06/15/2047 | 5.400% | 3,110,000 | 3,609,098 | |
Shell International Finance BV | ||||
11/07/2049 | 3.125% | 5,280,000 | 5,207,213 | |
Total | 8,816,311 | |||
Life Insurance 2.7% | ||||
American International Group, Inc. | ||||
07/16/2044 | 4.500% | 2,570,000 | 2,963,894 | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 552,000 | 510,972 | |
Guardian Life Insurance Co. of America (The)(b) | ||||
Subordinated | ||||
01/24/2077 | 4.850% | 4,523,000 | 5,578,509 | |
Massachusetts Mutual Life Insurance Co.(b) | ||||
Subordinated | ||||
10/15/2070 | 3.729% | 6,345,000 | 6,185,478 | |
04/01/2077 | 4.900% | 50,000 | 61,173 | |
MetLife, Inc. | ||||
03/01/2045 | 4.050% | 1,100,000 | 1,274,904 | |
New York Life Insurance Co.(b) | ||||
Subordinated | ||||
05/15/2069 | 4.450% | 3,830,000 | 4,405,187 | |
Northwestern Mutual Life Insurance Co. (The)(b) | ||||
09/30/2059 | 3.625% | 7,603,000 | 7,624,237 | |
Prudential Financial, Inc. | ||||
03/13/2051 | 3.700% | 2,725,000 | 2,869,160 | |
Teachers Insurance & Annuity Association of America(b) | ||||
Subordinated | ||||
05/15/2047 | 4.270% | 6,596,000 | 7,506,483 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 4,130,000 | 4,777,750 | |
Total | 43,757,747 | |||
Media and Entertainment 0.9% | ||||
Discovery Communications LLC | ||||
09/20/2037 | 5.000% | 1,600,000 | 1,813,193 | |
05/15/2049 | 5.300% | 4,792,000 | 5,677,407 | |
Fox Corp.(b) | ||||
01/25/2039 | 5.476% | 1,340,000 | 1,639,572 | |
Walt Disney Co. (The) | ||||
09/15/2044 | 4.750% | 4,000,000 | 5,070,416 | |
Total | 14,200,588 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Midstream 3.9% | ||||
Enterprise Products Operating LLC | ||||
01/31/2050 | 4.200% | 6,145,000 | 6,633,564 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 1,925,000 | 2,108,668 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 11,960,000 | 13,441,103 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 7,745,000 | 7,885,804 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 11,620,000 | 11,302,982 | |
Southern Natural Gas Co. LLC | ||||
03/01/2032 | 8.000% | 560,000 | 795,344 | |
Sunoco Logistics Partners Operations LP | ||||
10/01/2047 | 5.400% | 4,530,000 | 4,918,871 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 4,580,000 | 4,044,233 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 11,115,000 | 12,357,014 | |
Total | 63,487,583 | |||
Natural Gas 1.5% | ||||
NiSource Finance Corp. | ||||
05/15/2027 | 3.490% | 2,955,000 | 3,106,790 | |
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 1,575,000 | 1,910,059 | |
02/15/2044 | 4.800% | 3,351,000 | 3,883,592 | |
05/15/2047 | 4.375% | 4,234,000 | 4,702,162 | |
Sempra Energy | ||||
06/15/2027 | 3.250% | 374,000 | 385,717 | |
02/01/2028 | 3.400% | 9,760,000 | 10,128,165 | |
Total | 24,116,485 | |||
Oil Field Services 0.1% | ||||
Halliburton Co. | ||||
11/15/2045 | 5.000% | 1,945,000 | 2,219,475 | |
Pharmaceuticals 3.5% | ||||
AbbVie, Inc.(b) | ||||
11/21/2049 | 4.250% | 12,915,000 | 13,697,426 | |
Allergan Funding SCS | ||||
06/15/2044 | 4.850% | 3,290,000 | 3,651,300 | |
Amgen, Inc. | ||||
06/15/2051 | 4.663% | 7,930,000 | 9,335,609 | |
Bristol-Myers Squibb Co.(b) | ||||
02/20/2048 | 4.550% | 1,082,000 | 1,326,277 | |
10/26/2049 | 4.250% | 4,382,000 | 5,206,838 |
10 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gilead Sciences, Inc. | ||||
03/01/2047 | 4.150% | 5,745,000 | 6,392,334 | |
Johnson & Johnson | ||||
12/05/2033 | 4.375% | 10,574,000 | 12,625,737 | |
Pfizer, Inc. | ||||
03/15/2049 | 4.000% | 3,345,000 | 3,854,448 | |
Total | 56,089,969 | |||
Property & Casualty 0.4% | ||||
Liberty Mutual Group, Inc.(b) | ||||
10/15/2050 | 3.951% | 3,880,000 | 4,071,335 | |
Travelers Companies, Inc. (The) | ||||
05/30/2047 | 4.000% | 2,405,000 | 2,717,148 | |
Total | 6,788,483 | |||
Railroads 1.3% | ||||
Canadian National Railway Co. | ||||
02/03/2048 | 3.650% | 1,510,000 | 1,668,098 | |
CSX Corp. | ||||
09/15/2049 | 3.350% | 2,785,000 | 2,752,438 | |
11/01/2066 | 4.250% | 4,793,000 | 5,160,154 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 3,670,000 | 4,032,646 | |
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 5,130,000 | 5,378,502 | |
Union Pacific Corp.(b) | ||||
03/20/2060 | 3.839% | 2,675,000 | 2,715,830 | |
Total | 21,707,668 | |||
Restaurants 0.4% | ||||
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 6,260,000 | 6,398,605 | |
Retailers 0.9% | ||||
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 6,050,000 | 6,536,129 | |
Target Corp. | ||||
04/15/2046 | 3.625% | 4,000,000 | 4,374,004 | |
Walmart, Inc. | ||||
12/15/2047 | 3.625% | 2,630,000 | 2,914,112 | |
Total | 13,824,245 | |||
Supermarkets 0.3% | ||||
Kroger Co. (The) | ||||
04/15/2042 | 5.000% | 1,064,000 | 1,181,955 | |
02/01/2047 | 4.450% | 2,035,000 | 2,160,080 | |
01/15/2048 | 4.650% | 1,500,000 | 1,640,006 | |
Total | 4,982,041 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 3.3% | ||||
Apple, Inc. | ||||
02/09/2045 | 3.450% | 8,925,000 | 9,447,888 | |
09/11/2049 | 2.950% | 1,180,000 | 1,152,281 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 7,800,000 | 8,103,359 | |
Corning, Inc. | ||||
11/15/2079 | 5.450% | 1,130,000 | 1,248,930 | |
Intel Corp. | ||||
05/11/2047 | 4.100% | 3,000,000 | 3,464,636 | |
International Business Machines Corp. | ||||
05/15/2049 | 4.250% | 8,336,000 | 9,535,952 | |
Microsoft Corp. | ||||
08/08/2046 | 3.700% | 11,545,000 | 13,028,370 | |
Oracle Corp. | ||||
07/08/2034 | 4.300% | 3,110,000 | 3,641,973 | |
07/15/2046 | 4.000% | 2,500,000 | 2,776,965 | |
QUALCOMM, Inc. | ||||
05/20/2047 | 4.300% | 1,475,000 | 1,690,063 | |
Total | 54,090,417 | |||
Tobacco 0.2% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 3,270,000 | 3,283,220 | |
Transportation Services 1.0% | ||||
ERAC U.S.A. Finance LLC(b) | ||||
11/01/2046 | 4.200% | 5,521,000 | 5,927,749 | |
FedEx Corp. | ||||
11/15/2045 | 4.750% | 3,390,000 | 3,598,244 | |
04/01/2046 | 4.550% | 4,135,000 | 4,261,872 | |
United Parcel Service, Inc. | ||||
09/01/2049 | 3.400% | 2,790,000 | 2,830,737 | |
Total | 16,618,602 | |||
Wireless 1.0% | ||||
American Tower Corp. | ||||
08/15/2029 | 3.800% | 5,263,000 | 5,626,540 | |
Rogers Communications, Inc. | ||||
11/15/2049 | 3.700% | 5,755,000 | 5,837,775 | |
Vodafone Group PLC | ||||
09/17/2050 | 4.250% | 3,850,000 | 4,041,744 | |
Total | 15,506,059 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 11 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wirelines 2.9% | ||||
AT&T, Inc. | ||||
03/01/2039 | 4.850% | 9,249,000 | 10,684,754 | |
12/15/2042 | 4.300% | 5,660,000 | 6,057,779 | |
12/15/2043 | 5.350% | 545,000 | 641,575 | |
06/15/2045 | 4.350% | 12,705,000 | 13,718,514 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 3,970,000 | 4,538,036 | |
Verizon Communications, Inc. | ||||
08/21/2046 | 4.862% | 9,445,000 | 11,728,269 | |
Total | 47,368,927 | |||
Total Corporate Bonds & Notes (Cost $802,462,342) | 865,845,834 | |||
Foreign Government Obligations(c) 0.6% | ||||
Mexico 0.6% | ||||
Mexico Government International Bond | ||||
01/15/2047 | 4.350% | 8,300,000 | 8,764,210 | |
Total Foreign Government Obligations (Cost $7,626,123) | 8,764,210 | |||
U.S. Treasury Obligations 40.4% | ||||
U.S. Treasury | ||||
10/31/2022 | 2.000% | 7,764,000 | 7,849,525 | |
10/31/2024 | 2.250% | 2,376,000 | 2,438,184 | |
02/28/2025 | 2.750% | 17,500,000 | 18,405,078 | |
08/15/2027 | 2.250% | 8,800,000 | 9,051,625 | |
05/15/2028 | 2.875% | 5,000,000 | 5,385,938 | |
05/15/2029 | 2.375% | 3,500,000 | 3,640,547 | |
02/15/2031 | 5.375% | 4,000,000 | 5,371,875 | |
02/15/2036 | 4.500% | 30,000,000 | 39,839,063 | |
05/15/2038 | 4.500% | 30,000,000 | 40,589,063 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2039 | 3.500% | 49,000,000 | 58,815,312 | |
11/15/2039 | 4.375% | 6,300,000 | 8,442,984 | |
08/15/2040 | 3.875% | 10,000,000 | 12,625,000 | |
02/15/2041 | 4.750% | 8,000,000 | 11,303,750 | |
05/15/2041 | 4.375% | 25,383,000 | 34,271,016 | |
05/15/2043 | 2.875% | 17,600,000 | 19,214,250 | |
08/15/2044 | 3.125% | 16,500,000 | 18,815,156 | |
11/15/2044 | 3.000% | 10,000,000 | 11,173,438 | |
11/15/2045 | 3.000% | 12,000,000 | 13,455,000 | |
11/15/2046 | 2.875% | 8,000,000 | 8,797,500 | |
11/15/2047 | 2.750% | 26,500,000 | 28,487,500 | |
02/15/2048 | 3.000% | 101,200,000 | 114,087,187 | |
08/15/2049 | 2.250% | 2,235,000 | 2,174,934 | |
U.S. Treasury(d) | ||||
05/15/2047 | 3.000% | 122,157,900 | 137,580,335 | |
U.S. Treasury(e) | ||||
STRIPS | ||||
02/15/2040 | 0.000% | 38,410,800 | 24,339,844 | |
11/15/2041 | 0.000% | 13,661,000 | 8,148,573 | |
05/15/2043 | 0.000% | 19,069,000 | 10,878,269 | |
Total U.S. Treasury Obligations (Cost $589,633,608) | 655,180,946 |
Money Market Funds 3.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(f),(g) | 61,440,486 | 61,434,341 |
Total Money Market Funds (Cost $61,434,341) | 61,434,341 | |
Total Investments in Securities (Cost: $1,480,845,816) | 1,611,249,453 | |
Other Assets & Liabilities, Net | 12,094,226 | |
Net Assets | 1,623,343,679 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 1,055 | 03/2020 | USD | 164,481,094 | — | (3,303,366) |
U.S. Ultra Treasury Bond | 124 | 03/2020 | USD | 22,525,375 | — | (625,704) |
Total | — | (3,929,070) |
12 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
December 31, 2019
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (505) | 03/2020 | USD | (64,853,047) | 547,313 | — |
U.S. Treasury 2-Year Note | (11) | 03/2020 | USD | (2,370,500) | 923 | — |
U.S. Treasury 5-Year Note | (129) | 03/2020 | USD | (15,300,609) | 47,103 | — |
U.S. Ultra Bond 10-Year Note | (170) | 03/2020 | USD | (23,919,531) | 305,129 | — |
Total | 900,468 | — |
(a) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2019. |
(b) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $85,980,365, which represents 5.30% of total net assets. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(e) | Zero coupon bond. |
(f) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(g) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
40,485,237 | 390,865,916 | (369,910,667) | 61,440,486 | (118) | — | 1,088,649 | 61,434,341 |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 13 |
December 31, 2019
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Agency | — | 20,024,122 | — | 20,024,122 |
Corporate Bonds & Notes | — | 865,845,834 | — | 865,845,834 |
Foreign Government Obligations | — | 8,764,210 | — | 8,764,210 |
U.S. Treasury Obligations | 611,814,260 | 43,366,686 | — | 655,180,946 |
Money Market Funds | 61,434,341 | — | — | 61,434,341 |
Total Investments in Securities | 673,248,601 | 938,000,852 | — | 1,611,249,453 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 900,468 | — | — | 900,468 |
Liability | ||||
Futures Contracts | (3,929,070) | — | — | (3,929,070) |
Total | 670,219,999 | 938,000,852 | — | 1,608,220,851 |
14 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,419,411,475) | $1,549,815,112 |
Affiliated issuers (cost $61,434,341) | 61,434,341 |
Receivable for: | |
Capital shares sold | 49,678 |
Dividends | 88,828 |
Interest | 13,029,563 |
Foreign tax reclaims | 32,434 |
Variation margin for futures contracts | 87,477 |
Prepaid expenses | 6,023 |
Trustees’ deferred compensation plan | 87,284 |
Total assets | 1,624,630,740 |
Liabilities | |
Payable for: | |
Capital shares purchased | 623,423 |
Variation margin for futures contracts | 506,547 |
Management services fees | 21,919 |
Distribution and/or service fees | 111 |
Service fees | 747 |
Compensation of board members | 100 |
Compensation of chief compliance officer | 153 |
Other expenses | 46,777 |
Trustees’ deferred compensation plan | 87,284 |
Total liabilities | 1,287,061 |
Net assets applicable to outstanding capital stock | $1,623,343,679 |
Represented by | |
Paid in capital | 1,432,720,394 |
Total distributable earnings (loss) | 190,623,285 |
Total - representing net assets applicable to outstanding capital stock | $1,623,343,679 |
Class 1 | |
Net assets | $1,607,151,750 |
Shares outstanding | 146,301,850 |
Net asset value per share | $10.99 |
Class 2 | |
Net assets | $16,191,929 |
Shares outstanding | 1,478,125 |
Net asset value per share | $10.95 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 15 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — affiliated issuers | $1,088,649 |
Interest | 52,593,852 |
Total income | 53,682,501 |
Expenses: | |
Management services fees | 7,656,704 |
Distribution and/or service fees | |
Class 2 | 34,635 |
Service fees | 8,214 |
Compensation of board members | 35,491 |
Custodian fees | 34,108 |
Printing and postage fees | 12,328 |
Audit fees | 35,000 |
Legal fees | 33,986 |
Compensation of chief compliance officer | 606 |
Other | 43,869 |
Total expenses | 7,894,941 |
Net investment income | 45,787,560 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 29,348,637 |
Investments — affiliated issuers | (118) |
Futures contracts | 13,457,807 |
Net realized gain | 42,806,326 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 195,345,506 |
Futures contracts | (7,000,882) |
Net change in unrealized appreciation (depreciation) | 188,344,624 |
Net realized and unrealized gain | 231,150,950 |
Net increase in net assets resulting from operations | $276,938,510 |
16 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $45,787,560 | $44,118,253 |
Net realized gain (loss) | 42,806,326 | (13,814,489) |
Net change in unrealized appreciation (depreciation) | 188,344,624 | (105,808,176) |
Net increase (decrease) in net assets resulting from operations | 276,938,510 | (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 (decrease) in net assets from capital stock activity | (34,041,963) | 137,538,034 |
Total increase (decrease) in net assets | 198,985,920 | (25,824,568) |
Net assets at beginning of year | 1,424,357,759 | 1,450,182,327 |
Net assets at end of year | $1,623,343,679 | $1,424,357,759 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 2,085,164 | 21,680,904 | 14,654,575 | 141,863,268 |
Distributions reinvested | 4,180,285 | 43,558,568 | 9,230,015 | 86,946,740 |
Redemptions | (9,611,724) | (101,225,037) | (9,184,771) | (89,190,425) |
Net increase (decrease) | (3,346,275) | (35,985,565) | 14,699,819 | 139,619,583 |
Class 2 | ||||
Subscriptions | 369,821 | 3,918,512 | 243,046 | 2,395,904 |
Distributions reinvested | 33,819 | 352,059 | 96,859 | 911,450 |
Redemptions | (228,212) | (2,326,969) | (561,464) | (5,388,903) |
Net increase (decrease) | 175,428 | 1,943,602 | (221,559) | (2,081,549) |
Total net increase (decrease) | (3,170,847) | (34,041,963) | 14,478,260 | 137,538,034 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 17 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.44 | 0.31 | 1.54 | 1.85 | (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) |
Class 2 | |||||||
Year Ended 12/31/2019 | $9.41 | 0.28 | 1.53 | 1.81 | (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(c) | 0.28 | (0.17) | — | (0.17) |
Year Ended 12/31/2015 | $9.99 | 0.18 | (0.20) | (0.02) | (0.18) | — | (0.18) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
18 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $10.99 | 19.74% | 0.50% | 0.50% | 2.94% | 49% | $1,607,152 |
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 |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.95 | 19.42% | 0.75% | 0.75% | 2.68% | 49% | $16,192 |
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% | $12,641 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 21 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 900,468* |
22 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 3,929,070* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 13,457,807 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (7,000,882) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 166,822,008 |
Futures contracts — short | 105,814,104 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 25 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.55% | 0.59% |
Class 2 | 0.80 | 0.84 |
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
35,098 | (35,098) | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
43,910,627 | — | 43,910,627 | 61,447,742 | 26,410,449 | 87,858,191 |
26 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
December 31, 2019
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
62,890,740 | 8,683,654 | — | 119,126,169 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,489,094,682 | 121,213,349 | (2,087,180) | 119,126,169 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
— | — | — | 15,071,554 | — |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 29 |
30 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
Capital gain dividend | |
$9,117,837 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 31 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
32 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
Consultants to the Independent Trustees* (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 | 33 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
34 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 | |
26 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | 40.70 | 15.90 | 14.30 | |
Class 2 | 06/01/00 | 40.39 | 15.62 | 14.00 | |
Russell 2000 Growth Index | 28.48 | 9.34 | 13.01 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.0 |
Money Market Funds | 2.0 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 2.4 |
Consumer Discretionary | 16.0 |
Consumer Staples | 1.6 |
Energy | 0.4 |
Financials | 3.0 |
Health Care | 37.7 |
Industrials | 14.5 |
Information Technology | 19.0 |
Materials | 2.4 |
Real Estate | 3.0 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,050.40 | 1,020.94 | 4.65 | 4.58 | 0.89 |
Class 2 | 1,000.00 | 1,000.00 | 1,049.20 | 1,019.67 | 5.95 | 5.87 | 1.14 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 99.2% | ||
Issuer | Shares | Value ($) |
Communication Services 2.4% | ||
Entertainment 1.1% | ||
World Wrestling Entertainment, Inc., Class A | 58,423 | 3,789,900 |
Media 1.3% | ||
Entercom Communications Corp., Class A | 168,105 | 780,007 |
Nexstar Media Group, Inc., Class A | 29,321 | 3,437,888 |
Total | 4,217,895 | |
Total Communication Services | 8,007,795 | |
Consumer Discretionary 15.9% | ||
Hotels, Restaurants & Leisure 9.2% | ||
Eldorado Resorts, Inc.(a) | 132,872 | 7,924,486 |
Planet Fitness, Inc., Class A(a) | 122,631 | 9,158,083 |
PlayAGS, Inc.(a) | 213,408 | 2,588,639 |
Texas Roadhouse, Inc. | 111,869 | 6,300,462 |
Wingstop, Inc. | 59,913 | 5,166,298 |
Total | 31,137,968 | |
Internet & Direct Marketing Retail 1.3% | ||
Etsy, Inc.(a) | 95,891 | 4,247,972 |
Multiline Retail 1.7% | ||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 85,933 | 5,612,284 |
Specialty Retail 3.7% | ||
Five Below, Inc.(a) | 58,168 | 7,437,361 |
Floor & Decor Holdings, Inc.(a) | 101,915 | 5,178,301 |
Total | 12,615,662 | |
Total Consumer Discretionary | 53,613,886 | |
Consumer Staples 1.6% | ||
Food & Staples Retailing 1.6% | ||
BJ’s Wholesale Club Holdings, Inc.(a) | 244,245 | 5,554,131 |
Total Consumer Staples | 5,554,131 | |
Energy 0.4% | ||
Energy Equipment & Services 0.4% | ||
Frank’s International NV(a) | 246,610 | 1,274,974 |
Total Energy | 1,274,974 | |
Financials 3.0% | ||
Insurance 0.6% | ||
Goosehead Insurance, Inc., Class A | 47,770 | 2,025,448 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Thrifts & Mortgage Finance 2.4% | ||
LendingTree, Inc.(a) | 27,087 | 8,219,279 |
Total Financials | 10,244,727 | |
Health Care 37.4% | ||
Biotechnology 4.9% | ||
Adamas Pharmaceuticals, Inc.(a) | 80,684 | 305,792 |
Arrowhead Pharmaceuticals, Inc.(a) | 31,879 | 2,022,085 |
bluebird bio, Inc.(a) | 14,220 | 1,247,805 |
Immunomedics, Inc.(a) | 112,641 | 2,383,484 |
Ligand Pharmaceuticals, Inc.(a) | 27,404 | 2,857,963 |
Mirati Therapeutics, Inc.(a) | 10,223 | 1,317,336 |
Sarepta Therapeutics, Inc.(a) | 20,253 | 2,613,447 |
SpringWorks Therapeutics, Inc.(a) | 33,757 | 1,299,307 |
Turning Point Therapeutics, Inc.(a) | 18,523 | 1,153,798 |
uniQure NV(a) | 18,243 | 1,307,293 |
Total | 16,508,310 | |
Health Care Equipment & Supplies 15.0% | ||
BioLife Solutions, Inc.(a) | 177,433 | 2,870,866 |
Cantel Medical Corp. | 96,087 | 6,812,568 |
Glaukos Corp.(a) | 51,098 | 2,783,308 |
Heska Corp.(a) | 87,450 | 8,389,953 |
Neogen Corp.(a) | 103,741 | 6,770,138 |
Quidel Corp.(a) | 130,879 | 9,819,852 |
Quotient Ltd.(a) | 354,163 | 3,368,090 |
Tactile Systems Technology, Inc.(a) | 14,663 | 989,899 |
Tandem Diabetes Care, Inc.(a) | 42,635 | 2,541,472 |
West Pharmaceutical Services, Inc. | 43,178 | 6,490,949 |
Total | 50,837,095 | |
Health Care Providers & Services 9.1% | ||
Addus HomeCare Corp.(a) | 30,137 | 2,929,919 |
Amedisys, Inc.(a) | 51,016 | 8,515,591 |
Chemed Corp. | 17,493 | 7,683,975 |
Guardant Health, Inc.(a) | 61,188 | 4,781,230 |
HealthEquity, Inc.(a) | 93,080 | 6,894,436 |
Total | 30,805,151 |
8 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Technology 1.8% | ||
Teladoc Health, Inc.(a) | 71,542 | 5,989,496 |
Life Sciences Tools & Services 6.6% | ||
Adaptive Biotechnologies Corp.(a) | 69,018 | 2,065,019 |
Bio-Techne Corp. | 50,708 | 11,130,913 |
Codexis, Inc.(a) | 132,240 | 2,114,518 |
NanoString Technologies, Inc.(a) | 79,298 | 2,206,070 |
Pacific Biosciences of California, Inc.(a) | 189,846 | 975,808 |
Quanterix Corp.(a) | 156,556 | 3,699,418 |
Total | 22,191,746 | |
Total Health Care | 126,331,798 | |
Industrials 14.3% | ||
Aerospace & Defense 1.1% | ||
Aerojet Rocketdyne Holdings, Inc.(a) | 80,419 | 3,671,932 |
Building Products 3.4% | ||
Simpson Manufacturing Co., Inc. | 68,965 | 5,533,062 |
Trex Company, Inc.(a) | 67,937 | 6,106,177 |
Total | 11,639,239 | |
Commercial Services & Supplies 3.1% | ||
Casella Waste Systems, Inc., Class A(a) | 48,005 | 2,209,670 |
Healthcare Services Group, Inc. | 226,434 | 5,506,875 |
McGrath Rentcorp | 37,325 | 2,856,856 |
Total | 10,573,401 | |
Machinery 3.3% | ||
John Bean Technologies Corp. | 34,967 | 3,939,382 |
Proto Labs, Inc.(a) | 71,476 | 7,258,388 |
Total | 11,197,770 | |
Professional Services 0.7% | ||
Insperity, Inc. | 25,485 | 2,192,729 |
Road & Rail 1.8% | ||
Saia, Inc.(a) | 66,822 | 6,222,465 |
Trading Companies & Distributors 0.9% | ||
SiteOne Landscape Supply, Inc.(a) | 33,580 | 3,044,027 |
Total Industrials | 48,541,563 | |
Information Technology 18.8% | ||
Electronic Equipment, Instruments & Components 1.2% | ||
Littelfuse, Inc. | 21,453 | 4,103,959 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 1.6% | ||
Cabot Microelectronics Corp. | 24,345 | 3,513,471 |
MKS Instruments, Inc. | 17,325 | 1,905,923 |
Total | 5,419,394 | |
Software 16.0% | ||
Alteryx, Inc., Class A(a) | 59,135 | 5,917,639 |
Avalara, Inc.(a) | 118,612 | 8,688,329 |
Bill.com Holdings, Inc.(a) | 4,018 | 152,885 |
Coupa Software, Inc.(a) | 57,194 | 8,364,622 |
Digimarc Corp.(a) | 24,330 | 816,515 |
Everbridge, Inc.(a) | 62,640 | 4,890,931 |
ForeScout Technologies, Inc.(a) | 65,799 | 2,158,207 |
HubSpot, Inc.(a) | 32,749 | 5,190,717 |
Paylocity Holding Corp.(a) | 32,343 | 3,907,681 |
RingCentral, Inc., Class A(a) | 18,998 | 3,204,393 |
Smartsheet, Inc., Class A(a) | 91,368 | 4,104,251 |
Trade Desk, Inc. (The), Class A(a) | 25,712 | 6,679,463 |
Total | 54,075,633 | |
Total Information Technology | 63,598,986 | |
Materials 2.4% | ||
Chemicals 2.4% | ||
Balchem Corp. | 53,400 | 5,427,042 |
Livent Corp.(a) | 313,968 | 2,684,426 |
Total | 8,111,468 | |
Total Materials | 8,111,468 | |
Real Estate 3.0% | ||
Equity Real Estate Investment Trusts (REITS) 3.0% | ||
Coresite Realty Corp. | 58,081 | 6,512,042 |
STORE Capital Corp. | 98,677 | 3,674,731 |
Total | 10,186,773 | |
Total Real Estate | 10,186,773 | |
Total Common Stocks (Cost $320,437,778) | 335,466,101 | |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 9 |
December 31, 2019
Money Market Funds 2.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 6,714,598 | 6,713,926 |
Total Money Market Funds (Cost $6,714,078) | 6,713,926 | |
Total Investments in Securities (Cost: $327,151,856) | 342,180,027 | |
Other Assets & Liabilities, Net | (4,039,517) | |
Net Assets | 338,140,510 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
249,829 | 320,775,791 | (314,311,022) | 6,714,598 | 230 | (152) | 121,574 | 6,713,926 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
December 31, 2019
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 8,007,795 | — | — | 8,007,795 |
Consumer Discretionary | 53,613,886 | — | — | 53,613,886 |
Consumer Staples | 5,554,131 | — | — | 5,554,131 |
Energy | 1,274,974 | — | — | 1,274,974 |
Financials | 10,244,727 | — | — | 10,244,727 |
Health Care | 126,331,798 | — | — | 126,331,798 |
Industrials | 48,541,563 | — | — | 48,541,563 |
Information Technology | 63,598,986 | — | — | 63,598,986 |
Materials | 8,111,468 | — | — | 8,111,468 |
Real Estate | 10,186,773 | — | — | 10,186,773 |
Total Common Stocks | 335,466,101 | — | — | 335,466,101 |
Money Market Funds | 6,713,926 | — | — | 6,713,926 |
Total Investments in Securities | 342,180,027 | — | — | 342,180,027 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 11 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $320,437,778) | $335,466,101 |
Affiliated issuers (cost $6,714,078) | 6,713,926 |
Receivable for: | |
Dividends | 165,989 |
Prepaid expenses | 119 |
Trustees’ deferred compensation plan | 59,807 |
Total assets | 342,405,942 |
Liabilities | |
Payable for: | |
Investments purchased | 4,044,622 |
Capital shares purchased | 98,091 |
Management services fees | 8,028 |
Distribution and/or service fees | 4 |
Service fees | 2,921 |
Compensation of board members | 28,955 |
Compensation of chief compliance officer | 8 |
Other expenses | 22,996 |
Trustees’ deferred compensation plan | 59,807 |
Total liabilities | 4,265,432 |
Net assets applicable to outstanding capital stock | $338,140,510 |
Represented by | |
Paid in capital | 316,457,839 |
Total distributable earnings (loss) | 21,682,671 |
Total - representing net assets applicable to outstanding capital stock | $338,140,510 |
Class 1 | |
Net assets | $337,568,087 |
Shares outstanding | 18,942,103 |
Net asset value per share | $17.82 |
Class 2 | |
Net assets | $572,423 |
Shares outstanding | 34,076 |
Net asset value per share | $16.80 |
12 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $495,998 |
Dividends — affiliated issuers | 121,574 |
Interfund lending | 336 |
Total income | 617,908 |
Expenses: | |
Management services fees | 1,022,086 |
Distribution and/or service fees | |
Class 2 | 1,424 |
Service fees | 39,400 |
Compensation of board members | 17,280 |
Custodian fees | 8,227 |
Printing and postage fees | 11,507 |
Audit fees | 30,200 |
Legal fees | 2,214 |
Compensation of chief compliance officer | 21 |
Other | 7,493 |
Total expenses | 1,139,852 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (92,849) |
Total net expenses | 1,047,003 |
Net investment loss | (429,095) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,273,214 |
Investments — affiliated issuers | 230 |
Foreign currency translations | 69 |
Net realized gain | 7,273,513 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 16,447,540 |
Investments — affiliated issuers | (152) |
Net change in unrealized appreciation (depreciation) | 16,447,388 |
Net realized and unrealized gain | 23,720,901 |
Net increase in net assets resulting from operations | $23,291,806 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment loss | $(429,095) | $(94,686) |
Net realized gain | 7,273,513 | 6,162,571 |
Net change in unrealized appreciation (depreciation) | 16,447,388 | (6,085,197) |
Net increase (decrease) in net assets resulting from operations | 23,291,806 | (17,312) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (6,000,386) | (4,391,259) |
Class 2 | (116,037) | (82,849) |
Total distributions to shareholders | (6,116,423) | (4,474,108) |
Increase (decrease) in net assets from capital stock activity | 295,855,272 | (1,279,180) |
Total increase (decrease) in net assets | 313,030,655 | (5,770,600) |
Net assets at beginning of year | 25,109,855 | 30,880,455 |
Net assets at end of year | $338,140,510 | $25,109,855 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 17,276,396 | 294,484,935 | 88,009 | 1,660,371 |
Distributions reinvested | 344,652 | 6,000,386 | 253,830 | 4,391,259 |
Redemptions | (252,661) | (4,629,598) | (389,697) | (7,386,847) |
Net increase (decrease) | 17,368,387 | 295,855,723 | (47,858) | (1,335,217) |
Class 2 | ||||
Subscriptions | 1,128 | 19,974 | 3,409 | 62,691 |
Distributions reinvested | 7,062 | 116,037 | 5,018 | 82,849 |
Redemptions | (7,597) | (136,462) | (4,978) | (89,503) |
Net increase (decrease) | 593 | (451) | 3,449 | 56,037 |
Total net increase (decrease) | 17,368,980 | 295,855,272 | (44,409) | (1,279,180) |
14 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2019 | $15.64 | (0.06) | 6.33 | 6.27 | (4.09) | (4.09) |
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) |
Class 2 | ||||||
Year Ended 12/31/2019 | $14.91 | (0.11) | 6.04 | 5.93 | (4.04) | (4.04) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
16 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $17.82 | 40.70% | 0.97% | 0.89% | (0.36%) | 100% | $337,568 |
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 |
Class 2 | |||||||
Year Ended 12/31/2019 | $16.80 | 40.39% | 1.22% | 1.14% | (0.62%) | 100% | $572 |
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% | $495 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
December 31, 2019
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.89% |
Class 2 | 1.14 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 21 |
December 31, 2019
Excess of distributions over net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
379,920 | (379,920) | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
3,378,154 | 2,738,269 | 6,116,423 | 3,252,753 | 1,221,355 | 4,474,108 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
5,106,425 | 2,211,156 | — | 14,570,831 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
327,609,196 | 26,118,465 | (11,547,634) | 14,570,831 |
22 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 5,600,000 | 2.16 | 1 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 25 |
Dividends received deduction | Capital gain dividend |
3.67% | $2,324,845 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
26 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 27 |
Consultants to the Independent Trustees* (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
28 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2019 | 29 |
December 31, 2019
3 | |
6 | |
8 | |
9 | |
34 | |
35 | |
36 | |
38 | |
40 | |
57 | |
58 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 07/05/94 | 10.38 | 4.63 | 5.63 | |
Class 2 | 06/01/00 | 10.22 | 4.40 | 5.38 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.75 | ||
ICE BofAML US Cash Pay High Yield Constrained Index | 14.40 | 6.13 | 7.47 | ||
FTSE Non-U.S. World Government Bond (All Maturities) Index - Unhedged | 5.32 | 1.87 | 1.36 | ||
JPMorgan Emerging Markets Bond Index - Global | 14.42 | 5.88 | 6.57 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Asset-Backed Securities — Non-Agency | 12.3 |
Commercial Mortgage-Backed Securities - Non-Agency | 4.7 |
Common Stocks | 0.1 |
Corporate Bonds & Notes | 33.5 |
Foreign Government Obligations | 8.2 |
Money Market Funds | 5.5 |
Residential Mortgage-Backed Securities - Agency | 12.9 |
Residential Mortgage-Backed Securities - Non-Agency | 16.7 |
Senior Loans | 5.9 |
U.S. Treasury Obligations | 0.2 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 15.0 |
AA rating | 7.1 |
A rating | 6.9 |
BBB rating | 21.6 |
BB rating | 15.5 |
B rating | 15.1 |
CCC rating | 2.5 |
CC rating | 0.0(a) |
Not rated | 16.3 |
Total | 100.0 |
(a) | Rounds to zero. |
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2019)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 63.0 | (157.6) | (94.6) |
Foreign Currency Derivative Contracts | 0.0 | (5.4) | (5.4) |
Total Notional Market Value of Derivative Contracts | 63.0 | (163.0) | (100.0) |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 7 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,029.50 | 1,021.96 | 3.57 | 3.55 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,029.70 | 1,020.69 | 4.86 | 4.84 | 0.94 |
8 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Asset-Backed Securities — Non-Agency 13.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class A1B | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 01/20/2031 | 3.116% | 750,000 | 731,637 | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class D | ||||
3-month USD LIBOR + 6.550% 10/15/2029 | 8.551% | 500,000 | 497,007 | |
Atrium XIII(a),(b) | ||||
Series 2013A Class B | ||||
3-month USD LIBOR + 1.500% 11/21/2030 | 3.434% | 1,300,000 | 1,291,217 | |
Avant Loans Funding Trust(a) | ||||
Series 2019-A Class B | ||||
12/15/2022 | 3.800% | 400,000 | 404,196 | |
Series 2019-B Class A | ||||
10/15/2026 | 2.720% | 831,785 | 832,456 | |
Babson CLO Ltd.(a),(b) | ||||
Series 2015-2A Class B2R | ||||
3-month USD LIBOR + 1.590% 10/20/2030 | 3.556% | 500,000 | 498,570 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.600% 04/20/2031 | 3.566% | 500,000 | 496,045 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class A2R | ||||
3-month USD LIBOR + 1.400% 10/15/2030 | 3.401% | 2,500,000 | 2,466,680 | |
Series 2015-4A Class A2R | ||||
3-month USD LIBOR + 1.800% 07/20/2032 | 3.766% | 600,000 | 601,264 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2019-A Class A | ||||
10/16/2023 | 3.400% | 256,089 | 257,176 | |
Series 2019-A Class B | ||||
10/16/2023 | 4.360% | 300,000 | 302,583 | |
Series 2019-B Class A | ||||
06/17/2024 | 2.660% | 735,876 | 736,278 | |
Series 2019-B Class B | ||||
06/17/2024 | 3.620% | 500,000 | 499,488 | |
Subordinated Series 2018-A Class B | ||||
01/15/2023 | 4.650% | 330,679 | 332,558 | |
Consumer Lending Receivables Trust(a) | ||||
Series 2019-A Class A | ||||
04/15/2026 | 3.520% | 549,929 | 552,871 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Loan Underlying Bond Club Certificate Issuer Trust(a) | ||||
Series 2019-HP1 Class A | ||||
12/15/2026 | 2.590% | 400,000 | 399,952 | |
Consumer Underlying Bond Securitization(a) | ||||
Series 2018-1 Class A | ||||
02/17/2026 | 4.790% | 1,000,000 | 1,012,734 | |
Credit Suisse ABS Trust(a) | ||||
Series 2018-LD1 Class B | ||||
07/25/2024 | 4.280% | 391,008 | 391,955 | |
Dryden XXVIII Senior Loan Fund(a),(b) | ||||
Series 2013-28A Class A2LR | ||||
3-month USD LIBOR + 1.650% 08/15/2030 | 3.560% | 500,000 | 499,713 | |
LendingClub Receivables Trust(a) | ||||
Series 2019-1 Class A | ||||
07/17/2045 | 4.000% | 626,094 | 627,737 | |
Series 2019-11 Class A | ||||
12/15/2045 | 3.750% | 600,000 | 600,000 | |
Series 2019-3 Class A | ||||
10/15/2025 | 3.750% | 855,477 | 853,242 | |
Series 2019-7 Class A | ||||
01/15/2027 | 3.750% | 800,000 | 800,178 | |
Series 2019-8 Class A | ||||
12/15/2045 | 3.750% | 400,000 | 400,000 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 3.926% | 600,000 | 598,495 | |
Madison Park Funding XXXII Ltd.(a),(b) | ||||
Series 2018-32A Class D | ||||
3-month USD LIBOR + 4.100% Floor 4.100% 01/22/2031 | 6.053% | 500,000 | 502,895 | |
Morgan Stanley Resecuritization Pass-Through Trust(a),(c) | ||||
Series 2018-SC1 Class B | ||||
09/18/2023 | 1.000% | 246,224 | 243,762 | |
OHA Credit Partners XIV Ltd.(a),(b) | ||||
Series 2017-14A Class B | ||||
3-month USD LIBOR + 1.500% 01/21/2030 | 3.466% | 1,000,000 | 995,279 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2018-1A Class A | ||||
03/14/2029 | 3.300% | 855,000 | 867,796 | |
OZLM XXI(a),(b) | ||||
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 3.416% | 800,000 | 795,293 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 9 |
December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pagaya AI Debt Selection Trust(a),(c) | ||||
Series 2019-1 Class A | ||||
06/15/2026 | 3.690% | 928,764 | 933,698 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-3 Class A | ||||
11/16/2026 | 3.821% | 1,045,886 | 1,047,908 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2019-2A Class A2 | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 04/20/2027 | 3.566% | 1,000,000 | 1,000,107 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2018-1A Class B | ||||
06/17/2024 | 3.900% | 280,088 | 280,637 | |
Series 2018-1A Class C | ||||
06/17/2024 | 4.870% | 600,000 | 606,258 | |
Series 2019-3A Class A | ||||
07/15/2025 | 3.190% | 341,344 | 342,952 | |
Subordinated Series 2017-2A Class C | ||||
09/15/2023 | 5.370% | 334,538 | 337,781 | |
Subordinated Series 2019-3A Class C | ||||
07/15/2025 | 4.940% | 1,000,000 | 1,013,873 | |
RR 1 LLC(a),(b) | ||||
Series 2017-1A Class A2R | ||||
3-month USD LIBOR + 1.700% 07/15/2029 | 3.701% | 800,000 | 801,291 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2016-3 Class A | ||||
12/26/2025 | 3.050% | 65,453 | 65,564 | |
SoFi Professional Loan Program LLC(a),(c),(d),(e),(f) | ||||
Series 2016-A Class RIO | ||||
01/25/2038 | 0.000% | 1 | 120,000 | |
Series 2016-A Class RPO | ||||
01/25/2038 | 0.000% | 1 | 284,202 | |
Upstart Securitization Trust(a) | ||||
Series 2019-3 Class A | ||||
01/21/2030 | 2.684% | 550,000 | 549,794 | |
Voya CLO Ltd.(a),(b) | ||||
Series 2017-4A Class B | ||||
3-month USD LIBOR + 1.450% 10/15/2030 | 3.451% | 600,000 | 591,235 | |
Westlake Automobile Receivables Trust(a) | ||||
Subordinated Series 2019-3A Class E | ||||
03/17/2025 | 3.590% | 400,000 | 400,899 | |
Total Asset-Backed Securities — Non-Agency (Cost $28,987,555) | 28,465,256 | |||
Commercial Mortgage-Backed Securities - Non-Agency 5.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class F | ||||
1-month USD LIBOR + 2.950% Floor 2.950% 10/15/2037 | 4.690% | 400,000 | 400,508 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 4.305% | 400,000 | 399,362 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class F | ||||
1-month USD LIBOR + 2.900% Floor 2.900% 06/15/2035 | 4.640% | 700,000 | 702,581 | |
BX Trust(a) | ||||
Series 2019-OC11 Class E | ||||
12/09/2041 | 4.076% | 600,000 | 580,127 | |
CHT 2017-COSMO Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class B | ||||
1-month USD LIBOR + 1.400% Floor 1.200% 11/15/2036 | 3.140% | 500,000 | 500,164 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class E | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 11/15/2036 | 4.740% | 400,000 | 400,379 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 5.187% | 700,000 | 693,473 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 300,000 | 294,741 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 500,000 | 470,154 | |
CSMC Trust(a),(g) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.393% | 600,000 | 541,537 | |
Hilton U.S.A. Trust(a),(g) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 1,000,000 | 992,612 | |
Hilton U.S.A. Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 500,000 | 500,595 | |
Morgan Stanley Capital I Trust(a) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 600,000 | 572,011 |
10 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley Capital I Trust(a),(b) | ||||
Subordinated Series 2017-ASHF Class E | ||||
1-month USD LIBOR + 3.150% Floor 3.150% 11/15/2034 | 4.890% | 500,000 | 499,682 | |
Progress Residential Trust(a) | ||||
Series 2019-SFR1 Class E | ||||
08/17/2035 | 4.466% | 500,000 | 509,724 | |
Subordinated Series 2019-SFR2 Class F | ||||
05/17/2036 | 4.837% | 500,000 | 509,387 | |
RETL(a),(b) | ||||
Subordinated Series 2019-RVP Class C | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 03/15/2036 | 3.840% | 600,000 | 601,125 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 02/15/2032 | 3.240% | 400,000 | 400,414 | |
Series 2018-NYCH Class E | ||||
1-month USD LIBOR + 2.900% Floor 3.200% 02/15/2032 | 4.640% | 600,000 | 602,490 | |
Series 2018-NYCH Class F | ||||
1-month USD LIBOR + 3.821% Floor 3.821% 02/15/2032 | 5.561% | 400,000 | 402,075 | |
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 | 3.390% | 400,000 | 398,754 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $10,701,505) | 10,971,895 |
Common Stocks 0.1% | ||
Issuer | Shares | Value ($) |
Energy 0.1% | ||
Energy Equipment & Services 0.1% | ||
Fieldwood Energy LLC(h) | 8,596 | 173,356 |
Total Energy | 173,356 | |
Financials —% | ||
Diversified Financial Services —% | ||
Fairlane Management Corp.(c),(e),(h) | 2,000 | — |
Total Financials | — |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 0.0% | ||
Independent Power and Renewable Electricity Producers 0.0% | ||
Vistra Energy Corp.(h) | 10,180 | 10,709 |
Total Utilities | 10,709 | |
Total Common Stocks (Cost $200,545) | 184,065 |
Corporate Bonds & Notes 36.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.5% | ||||
Bombardier, Inc.(a) | ||||
10/15/2022 | 6.000% | 22,000 | 21,980 | |
12/01/2024 | 7.500% | 68,000 | 71,570 | |
03/15/2025 | 7.500% | 69,000 | 71,204 | |
04/15/2027 | 7.875% | 10,000 | 10,303 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 48,000 | 48,855 | |
TransDigm, Inc. | ||||
07/15/2024 | 6.500% | 48,000 | 49,620 | |
05/15/2025 | 6.500% | 59,000 | 61,575 | |
06/15/2026 | 6.375% | 20,000 | 21,281 | |
03/15/2027 | 7.500% | 73,000 | 79,934 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 461,000 | 499,853 | |
11/15/2027 | 5.500% | 176,000 | 178,041 | |
Total | 1,114,216 | |||
Automotive 0.3% | ||||
Ford Motor Co. | ||||
01/15/2043 | 4.750% | 565,000 | 502,362 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 19,000 | 20,310 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 71,000 | 73,854 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 33,000 | 35,663 | |
05/15/2027 | 8.500% | 54,000 | 57,378 | |
Total | 689,567 | |||
Banking 2.1% | ||||
Ally Financial, Inc. | ||||
11/01/2031 | 8.000% | 140,000 | 194,393 | |
Bank of America Corp.(i) | ||||
01/20/2028 | 3.824% | 940,000 | 1,010,827 | |
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 465,000 | 499,459 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 11 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citigroup, Inc.(i) | ||||
11/05/2030 | 2.976% | 275,000 | 279,233 | |
Goldman Sachs Group, Inc. (The)(i) | ||||
05/01/2029 | 4.223% | 380,000 | 418,929 | |
JPMorgan Chase & Co.(i) | ||||
10/15/2030 | 2.739% | 835,000 | 836,205 | |
Morgan Stanley(i) | ||||
01/23/2030 | 4.431% | 335,000 | 378,797 | |
Wells Fargo & Co. | ||||
10/23/2026 | 3.000% | 710,000 | 728,460 | |
Total | 4,346,303 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
LPL Holdings, Inc.(a) | ||||
09/15/2025 | 5.750% | 5,000 | 5,239 | |
Subordinated | ||||
11/15/2027 | 4.625% | 69,000 | 70,390 | |
NFP Corp.(a) | ||||
07/15/2025 | 6.875% | 166,000 | 166,281 | |
Total | 241,910 | |||
Building Materials 0.4% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
05/15/2026 | 5.875% | 88,000 | 93,447 | |
01/15/2028 | 4.000% | 150,000 | 152,253 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 186,000 | 186,835 | |
11/15/2026 | 4.500% | 53,000 | 54,648 | |
Cemex SAB de CV(a) | ||||
05/05/2025 | 6.125% | 250,000 | 259,772 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 86,000 | 89,658 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 39,000 | 40,938 | |
Total | 877,551 | |||
Cable and Satellite 2.6% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2025 | 5.375% | 142,000 | 147,406 | |
02/15/2026 | 5.750% | 140,000 | 147,645 | |
05/01/2026 | 5.500% | 5,000 | 5,260 | |
05/01/2027 | 5.125% | 164,000 | 173,419 | |
02/01/2028 | 5.000% | 23,000 | 24,119 | |
06/01/2029 | 5.375% | 94,000 | 100,829 | |
03/01/2030 | 4.750% | 172,000 | 175,422 | |
Charter Communications Operating LLC/Capital | ||||
03/01/2050 | 4.800% | 740,000 | 780,401 | |
Comcast Corp. | ||||
08/15/2047 | 4.000% | 287,000 | 317,026 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 6.625% | 16,000 | 17,047 | |
10/15/2025 | 10.875% | 214,000 | 240,849 | |
02/01/2028 | 5.375% | 292,000 | 312,047 | |
04/01/2028 | 7.500% | 30,000 | 33,849 | |
02/01/2029 | 6.500% | 245,000 | 273,586 | |
01/15/2030 | 5.750% | 117,000 | 124,857 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 165,000 | 168,878 | |
07/01/2026 | 7.750% | 256,000 | 271,327 | |
Intelsat Jackson Holdings SA | ||||
08/01/2023 | 5.500% | 57,000 | 48,923 | |
Intelsat Jackson Holdings SA(a) | ||||
10/15/2024 | 8.500% | 104,000 | 94,850 | |
Intelsat Luxembourg SA | ||||
06/01/2023 | 8.125% | 80,000 | 47,267 | |
Quebecor Media, Inc. | ||||
01/15/2023 | 5.750% | 199,000 | 216,870 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 25,000 | 25,558 | |
02/15/2025 | 6.625% | 107,000 | 107,521 | |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 40,000 | 41,909 | |
04/15/2025 | 5.375% | 88,000 | 91,038 | |
07/15/2026 | 5.375% | 22,000 | 23,405 | |
07/01/2029 | 5.500% | 44,000 | 47,615 | |
Sky PLC(a) | ||||
09/16/2024 | 3.750% | 750,000 | 802,119 | |
Viasat, Inc.(a) | ||||
04/15/2027 | 5.625% | 32,000 | 34,220 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 155,000 | 164,334 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 172,000 | 181,893 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 286,000 | 304,283 | |
Total | 5,545,772 | |||
Chemicals 0.7% | ||||
Alpha 2 BV(a),(j) | ||||
06/01/2023 | 8.750% | 85,000 | 86,148 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 109,000 | 109,079 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 116,000 | 119,493 | |
Axalta Coating Systems LLC(a) | ||||
08/15/2024 | 4.875% | 85,000 | 88,099 |
12 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 59,000 | 66,325 | |
03/15/2044 | 5.375% | 14,000 | 15,272 | |
Chemours Co. (The) | ||||
05/15/2023 | 6.625% | 39,000 | 39,290 | |
05/15/2027 | 5.375% | 21,000 | 18,713 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 116,000 | 119,148 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 233,000 | 243,573 | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 249,000 | 257,867 | |
12/15/2025 | 5.750% | 117,000 | 122,986 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 67,000 | 69,800 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 174,000 | 184,579 | |
Total | 1,540,372 | |||
Construction Machinery 0.3% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 159,000 | 167,053 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 78,000 | 82,392 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 28,000 | 29,155 | |
United Rentals North America, Inc. | ||||
07/15/2025 | 5.500% | 76,000 | 79,103 | |
09/15/2026 | 5.875% | 145,000 | 155,745 | |
12/15/2026 | 6.500% | 95,000 | 104,547 | |
11/15/2027 | 3.875% | 27,000 | 27,544 | |
Total | 645,539 | |||
Consumer Cyclical Services 0.4% | ||||
APX Group, Inc. | ||||
12/01/2022 | 7.875% | 218,000 | 220,119 | |
09/01/2023 | 7.625% | 185,000 | 175,180 | |
APX Group, Inc.(a) | ||||
11/01/2024 | 8.500% | 81,000 | 83,583 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 82,000 | 84,237 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 32,000 | 34,991 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 19,000 | 19,768 | |
04/15/2027 | 10.750% | 19,000 | 19,344 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uber Technologies, Inc.(a) | ||||
11/01/2023 | 7.500% | 128,000 | 133,966 | |
Total | 771,188 | |||
Consumer Products 0.3% | ||||
Energizer Holdings, Inc.(a) | ||||
07/15/2026 | 6.375% | 36,000 | 38,450 | |
01/15/2027 | 7.750% | 73,000 | 81,634 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 98,000 | 82,683 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 153,000 | 159,112 | |
01/15/2028 | 5.125% | 37,000 | 38,762 | |
Scotts Miracle-Gro Co. (The)(a) | ||||
10/15/2029 | 4.500% | 82,000 | 83,702 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 115,000 | 120,352 | |
Valvoline, Inc. | ||||
08/15/2025 | 4.375% | 74,000 | 76,345 | |
Total | 681,040 | |||
Diversified Manufacturing 0.3% | ||||
BWX Technologies, Inc.(a) | ||||
07/15/2026 | 5.375% | 25,000 | 26,481 | |
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 23,000 | 24,504 | |
02/15/2026 | 6.375% | 53,000 | 57,866 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 195,000 | 198,254 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 57,000 | 59,636 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 101,000 | 100,992 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 20,000 | 21,852 | |
TriMas Corp.(a) | ||||
10/15/2025 | 4.875% | 38,000 | 39,062 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 84,000 | 87,050 | |
Zekelman Industries, Inc.(a) | ||||
06/15/2023 | 9.875% | 33,000 | 34,736 | |
Total | 650,433 | |||
Electric 4.6% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 165,000 | 165,188 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 13 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AES Corp. (The) | ||||
03/15/2023 | 4.500% | 46,000 | 47,150 | |
05/15/2026 | 6.000% | 126,000 | 134,378 | |
09/01/2027 | 5.125% | 65,000 | 69,371 | |
Calpine Corp. | ||||
01/15/2023 | 5.375% | 38,000 | 38,530 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 51,000 | 53,150 | |
02/15/2028 | 4.500% | 83,000 | 83,910 | |
03/15/2028 | 5.125% | 99,000 | 100,948 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 68,000 | 71,767 | |
09/15/2026 | 5.000% | 59,000 | 60,906 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 55,000 | 55,836 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 600,000 | 629,796 | |
02/15/2027 | 2.950% | 165,000 | 166,701 | |
03/31/2043 | 4.700% | 80,000 | 90,233 | |
DTE Energy Co. | ||||
06/01/2024 | 3.500% | 340,000 | 353,711 | |
10/01/2026 | 2.850% | 1,220,000 | 1,227,140 | |
Duke Energy Corp. | ||||
09/01/2026 | 2.650% | 575,000 | 578,505 | |
08/15/2027 | 3.150% | 3,000 | 3,095 | |
09/01/2046 | 3.750% | 248,000 | 255,796 | |
06/15/2049 | 4.200% | 445,000 | 492,130 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 675,000 | 780,225 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 186,000 | 196,741 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 50,000 | 52,019 | |
09/15/2027 | 4.500% | 347,000 | 362,213 | |
NRG Energy, Inc. | ||||
05/15/2026 | 7.250% | 53,000 | 57,903 | |
01/15/2027 | 6.625% | 140,000 | 152,275 | |
01/15/2028 | 5.750% | 12,000 | 13,078 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 112,000 | 121,461 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 139,000 | 143,138 | |
PPL Capital Funding, Inc. | ||||
05/15/2026 | 3.100% | 300,000 | 305,552 | |
Progress Energy, Inc. | ||||
04/01/2022 | 3.150% | 382,000 | 390,034 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 762,000 | 845,904 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 126,000 | 133,376 | |
01/15/2030 | 4.750% | 83,000 | 84,726 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 35,000 | 37,130 | |
02/15/2027 | 5.625% | 122,000 | 128,614 | |
07/31/2027 | 5.000% | 137,000 | 143,381 | |
WEC Energy Group, Inc. | ||||
06/15/2025 | 3.550% | 190,000 | 201,706 | |
Xcel Energy, Inc. | ||||
12/01/2026 | 3.350% | 955,000 | 998,124 | |
Total | 9,825,841 | |||
Environmental 0.1% | ||||
Clean Harbors, Inc.(a) | ||||
07/15/2027 | 4.875% | 26,000 | 27,459 | |
07/15/2029 | 5.125% | 18,000 | 19,269 | |
GFL Environmental, Inc.(a) | ||||
03/01/2023 | 5.375% | 24,000 | 24,663 | |
12/15/2026 | 5.125% | 45,000 | 47,302 | |
05/01/2027 | 8.500% | 74,000 | 81,072 | |
Hulk Finance Corp.(a) | ||||
06/01/2026 | 7.000% | 76,000 | 80,264 | |
Total | 280,029 | |||
Finance Companies 1.3% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 1,420,000 | 1,516,335 | |
Global Aircraft Leasing Co., Ltd.(a),(j) | ||||
09/15/2024 | 6.500% | 137,000 | 142,948 | |
Navient Corp. | ||||
03/25/2020 | 8.000% | 6,000 | 6,075 | |
03/25/2021 | 5.875% | 14,000 | 14,500 | |
07/26/2021 | 6.625% | 43,000 | 45,474 | |
06/15/2022 | 6.500% | 166,000 | 180,512 | |
01/25/2023 | 5.500% | 39,000 | 41,552 | |
09/25/2023 | 7.250% | 36,000 | 40,721 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 124,000 | 121,823 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 292,000 | 302,447 | |
Springleaf Finance Corp. | ||||
05/15/2022 | 6.125% | 46,000 | 49,554 | |
03/15/2023 | 5.625% | 48,000 | 51,662 | |
03/15/2024 | 6.125% | 101,000 | 110,772 | |
03/15/2025 | 6.875% | 35,000 | 39,839 | |
Total | 2,664,214 |
14 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Food and Beverage 2.0% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 942,000 | 1,120,666 | |
B&G Foods, Inc. | ||||
04/01/2025 | 5.250% | 97,000 | 99,976 | |
09/15/2027 | 5.250% | 30,000 | 30,239 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 720,000 | 837,421 | |
Conagra Brands, Inc. | ||||
11/01/2048 | 5.400% | 330,000 | 403,692 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 13,000 | 13,817 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 59,000 | 54,345 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 881,000 | 868,232 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 33,000 | 35,016 | |
11/01/2026 | 4.875% | 76,000 | 80,775 | |
MHP SA(a) | ||||
04/03/2026 | 6.950% | 250,000 | 262,018 | |
Performance Food Group, Inc.(a) | ||||
10/15/2027 | 5.500% | 36,000 | 38,432 | |
Post Holdings, Inc.(a) | ||||
08/15/2026 | 5.000% | 169,000 | 179,097 | |
03/01/2027 | 5.750% | 252,000 | 271,161 | |
01/15/2028 | 5.625% | 33,000 | 35,620 | |
Total | 4,330,507 | |||
Gaming 0.9% | ||||
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 42,000 | 45,257 | |
08/15/2026 | 6.000% | 58,000 | 62,215 | |
Boyd Gaming Corp.(a) | ||||
12/01/2027 | 4.750% | 68,000 | 70,658 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 81,000 | 83,889 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 178,000 | 187,097 | |
09/15/2026 | 6.000% | 52,000 | 57,422 | |
International Game Technology PLC(a) | ||||
02/15/2022 | 6.250% | 36,000 | 38,028 | |
02/15/2025 | 6.500% | 144,000 | 162,011 | |
Jack Ohio Finance LLC/1 Corp.(a) | ||||
11/15/2021 | 6.750% | 8,000 | 8,149 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 1,000 | 1,093 | |
09/01/2026 | 4.500% | 151,000 | 158,955 | |
01/15/2028 | 4.500% | 161,000 | 168,318 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
02/01/2027 | 5.750% | 46,000 | 51,405 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 242,000 | 253,579 | |
03/15/2026 | 8.250% | 97,000 | 106,921 | |
05/15/2028 | 7.000% | 36,000 | 38,630 | |
11/15/2029 | 7.250% | 36,000 | 39,099 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 52,000 | 56,292 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 61,000 | 62,946 | |
12/01/2029 | 4.625% | 48,000 | 50,244 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 73,000 | 78,447 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 31,000 | 33,323 | |
Total | 1,813,978 | |||
Health Care 2.1% | ||||
Acadia Healthcare Co., Inc. | ||||
07/01/2022 | 5.125% | 18,000 | 18,228 | |
03/01/2024 | 6.500% | 125,000 | 129,654 | |
Avantor, Inc.(a) | ||||
10/01/2025 | 9.000% | 162,000 | 181,302 | |
Becton Dickinson and Co. | ||||
06/06/2027 | 3.700% | 312,000 | 332,105 | |
Cardinal Health, Inc. | ||||
06/15/2047 | 4.368% | 465,000 | 460,202 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 141,000 | 145,630 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 74,000 | 79,736 | |
05/01/2028 | 4.250% | 27,000 | 27,533 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 103,000 | 104,505 | |
Cigna Corp. | ||||
12/15/2048 | 4.900% | 235,000 | 280,707 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 770,000 | 913,415 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 31,000 | 32,141 | |
02/01/2030 | 4.750% | 32,000 | 33,265 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 15 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 92,000 | 101,833 | |
09/01/2028 | 5.625% | 186,000 | 212,146 | |
02/01/2029 | 5.875% | 104,000 | 120,213 | |
Hologic, Inc.(a) | ||||
10/15/2025 | 4.375% | 117,000 | 120,985 | |
02/01/2028 | 4.625% | 75,000 | 79,500 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 95,000 | 100,616 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 67,000 | 65,118 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 111,000 | 120,134 | |
Surgery Center Holdings, Inc.(a) | ||||
04/15/2027 | 10.000% | 61,000 | 66,852 | |
Teleflex, Inc. | ||||
06/01/2026 | 4.875% | 57,000 | 59,765 | |
11/15/2027 | 4.625% | 53,000 | 56,176 | |
Tenet Healthcare Corp. | ||||
06/15/2023 | 6.750% | 90,000 | 98,957 | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 148,000 | 159,714 | |
11/01/2027 | 5.125% | 224,000 | 236,524 | |
Total | 4,336,956 | |||
Healthcare Insurance 0.5% | ||||
Centene Corp.(a) | ||||
01/15/2025 | 4.750% | 24,000 | 24,923 | |
06/01/2026 | 5.375% | 188,000 | 199,800 | |
12/15/2027 | 4.250% | 144,000 | 148,294 | |
12/15/2029 | 4.625% | 187,000 | 196,927 | |
Centene Corp. | ||||
01/15/2025 | 4.750% | 67,000 | 69,494 | |
WellCare Health Plans, Inc. | ||||
04/01/2025 | 5.250% | 165,000 | 172,074 | |
WellCare Health Plans, Inc.(a) | ||||
08/15/2026 | 5.375% | 130,000 | 138,721 | |
Total | 950,233 | |||
Home Construction 0.2% | ||||
Lennar Corp. | ||||
06/01/2026 | 5.250% | 80,000 | 87,729 | |
06/15/2027 | 5.000% | 112,000 | 121,414 | |
11/29/2027 | 4.750% | 111,000 | 119,710 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 44,000 | 48,002 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 52,000 | 56,711 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 35,000 | 38,113 | |
Total | 471,679 | |||
Independent Energy 1.3% | ||||
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 14,000 | 14,275 | |
07/01/2026 | 6.375% | 205,000 | 208,190 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 126,000 | 127,917 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 84,000 | 82,646 | |
04/01/2027 | 6.875% | 73,000 | 75,911 | |
Chesapeake Energy Corp.(a) | ||||
01/01/2025 | 11.500% | 54,000 | 51,058 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 270,000 | 275,229 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2028 | 5.750% | 65,000 | 68,372 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 19,000 | 18,513 | |
11/01/2028 | 6.250% | 25,000 | 23,824 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 126,000 | 130,243 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 175,000 | 176,143 | |
Murphy Oil Corp. | ||||
12/01/2027 | 5.875% | 81,000 | 84,647 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 125,000 | 139,998 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
08/15/2025 | 5.250% | 98,000 | 100,839 | |
10/15/2027 | 5.625% | 337,000 | 356,632 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 70,000 | 68,347 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 32,000 | 30,348 | |
09/15/2026 | 6.750% | 85,000 | 83,546 | |
01/15/2027 | 6.625% | 111,000 | 109,019 | |
Tullow Oil PLC(a) | ||||
03/01/2025 | 7.000% | 200,000 | 168,659 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 115,000 | 122,252 | |
06/01/2026 | 5.750% | 161,000 | 172,124 | |
10/15/2027 | 5.250% | 53,000 | 55,848 | |
Total | 2,744,580 |
16 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Leisure 0.1% | ||||
Live Nation Entertainment, Inc.(a) | ||||
11/01/2024 | 4.875% | 54,000 | 55,995 | |
03/15/2026 | 5.625% | 29,000 | 30,903 | |
10/15/2027 | 4.750% | 79,000 | 81,760 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 116,000 | 124,009 | |
Total | 292,667 | |||
Life Insurance 1.9% | ||||
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 5,000 | 4,628 | |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 1,089,000 | 1,182,480 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 389,000 | 482,729 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
04/01/2077 | 4.900% | 300,000 | 367,036 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 1,230,000 | 1,300,911 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 340,000 | 419,641 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 170,000 | 196,663 | |
Total | 3,954,088 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc. | ||||
05/01/2026 | 5.125% | 46,000 | 48,502 | |
Media and Entertainment 0.9% | ||||
Clear Channel Worldwide Holdings, Inc.(a) | ||||
02/15/2024 | 9.250% | 172,000 | 190,735 | |
08/15/2027 | 5.125% | 158,000 | 164,460 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 73,000 | 73,960 | |
08/15/2027 | 6.625% | 76,000 | 73,936 | |
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 62,000 | 73,456 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 47,791 | 51,973 | |
05/01/2027 | 8.375% | 240,130 | 264,963 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 29,000 | 30,386 | |
01/15/2028 | 4.750% | 64,000 | 65,536 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Match Group, Inc. | ||||
06/01/2024 | 6.375% | 74,000 | 77,761 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 5,000 | 5,218 | |
Netflix, Inc. | ||||
02/15/2025 | 5.875% | 24,000 | 26,828 | |
04/15/2028 | 4.875% | 194,000 | 202,004 | |
11/15/2028 | 5.875% | 54,000 | 59,921 | |
05/15/2029 | 6.375% | 17,000 | 19,432 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 53,000 | 56,483 | |
06/15/2030 | 4.875% | 81,000 | 82,363 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 38,000 | 39,723 | |
03/15/2030 | 4.625% | 97,000 | 98,724 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 30,000 | 31,413 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 101,000 | 102,720 | |
Terrier Media Buyer, Inc.(a) | ||||
12/15/2027 | 8.875% | 17,000 | 17,953 | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 55,000 | 54,986 | |
Total | 1,864,934 | |||
Metals and Mining 0.8% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 11,000 | 11,558 | |
09/30/2026 | 7.000% | 108,000 | 117,892 | |
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 138,000 | 145,203 | |
Constellium NV(a) | ||||
05/15/2024 | 5.750% | 38,000 | 39,135 | |
03/01/2025 | 6.625% | 61,000 | 63,443 | |
02/15/2026 | 5.875% | 255,000 | 269,960 | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 139,000 | 148,908 | |
03/15/2043 | 5.450% | 254,000 | 263,083 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 32,000 | 33,178 | |
01/15/2025 | 7.625% | 208,000 | 219,359 | |
Novelis Corp.(a) | ||||
08/15/2024 | 6.250% | 7,000 | 7,334 | |
09/30/2026 | 5.875% | 269,000 | 286,830 | |
Total | 1,605,883 | |||
Midstream 2.8% | ||||
Antero Midstream Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 5.750% | 52,000 | 45,774 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 17 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 91,000 | 96,240 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2029 | 4.500% | 199,000 | 204,421 | |
DCP Midstream Operating LP | ||||
05/15/2029 | 5.125% | 95,000 | 98,747 | |
04/01/2044 | 5.600% | 312,000 | 303,220 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 71,000 | 71,578 | |
Enterprise Products Operating LLC | ||||
01/31/2050 | 4.200% | 405,000 | 437,200 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
08/01/2024 | 6.000% | 164,000 | 171,012 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 835,000 | 914,669 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 330,000 | 370,867 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 230,000 | 234,181 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 40,000 | 42,365 | |
04/28/2027 | 5.625% | 92,000 | 94,575 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 821,000 | 798,601 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 197,000 | 192,909 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 30,000 | 30,727 | |
02/15/2026 | 5.500% | 84,000 | 87,252 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
01/15/2028 | 5.500% | 50,000 | 48,956 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 332,000 | 344,820 | |
01/15/2028 | 5.000% | 106,000 | 108,313 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
03/01/2030 | 5.500% | 162,000 | 166,683 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 94,000 | 90,835 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 140,000 | 123,623 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 846,000 | 940,534 | |
Total | 6,018,102 | |||
Natural Gas 0.7% | ||||
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 55,000 | 66,700 | |
05/15/2047 | 4.375% | 500,000 | 555,286 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sempra Energy | ||||
06/15/2024 | 3.550% | 425,000 | 444,863 | |
06/15/2027 | 3.250% | 450,000 | 464,098 | |
Total | 1,530,947 | |||
Oil Field Services 0.3% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 136,000 | 143,351 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 50,000 | 51,491 | |
Calfrac Holdings LP(a) | ||||
06/15/2026 | 8.500% | 46,000 | 18,630 | |
Nabors Industries, Inc. | ||||
02/01/2025 | 5.750% | 127,000 | 114,354 | |
Rowan Companies, Inc. | ||||
01/15/2024 | 4.750% | 46,000 | 28,878 | |
SESI LLC | ||||
09/15/2024 | 7.750% | 33,000 | 21,938 | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 41,830 | 42,734 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 183,000 | 186,203 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 30,000 | 31,349 | |
Total | 638,928 | |||
Packaging 0.7% | ||||
ARD Finance SA(a),(j) | ||||
06/30/2027 | 6.500% | 45,000 | 46,521 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
02/15/2025 | 6.000% | 107,000 | 112,233 | |
08/15/2027 | 5.250% | 148,000 | 155,736 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 50,000 | 52,774 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 120,000 | 123,168 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 152,000 | 156,768 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 54,000 | 54,725 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 29,000 | 29,238 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
08/15/2023 | 5.875% | 27,000 | 28,874 | |
Reynolds Group Issuer, Inc./LLC | ||||
10/15/2020 | 5.750% | 244,215 | 244,596 |
18 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2023 | 5.125% | 120,000 | 122,958 | |
07/15/2024 | 7.000% | 160,000 | 165,543 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 131,000 | 138,697 | |
08/15/2027 | 8.500% | 34,000 | 37,825 | |
Total | 1,469,656 | |||
Pharmaceuticals 1.1% | ||||
AbbVie, Inc.(a) | ||||
11/21/2049 | 4.250% | 370,000 | 392,416 | |
Allergan Funding SCS | ||||
06/15/2044 | 4.850% | 170,000 | 188,669 | |
Amgen, Inc. | ||||
06/15/2051 | 4.663% | 280,000 | 329,630 | |
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 27,000 | 28,167 | |
04/15/2025 | 6.125% | 399,000 | 412,881 | |
11/01/2025 | 5.500% | 58,000 | 60,618 | |
04/01/2026 | 9.250% | 145,000 | 166,635 | |
01/31/2027 | 8.500% | 103,000 | 117,446 | |
01/30/2028 | 5.000% | 50,000 | 51,298 | |
01/30/2030 | 5.250% | 50,000 | 51,793 | |
Bristol-Myers Squibb Co.(a) | ||||
10/26/2049 | 4.250% | 71,000 | 84,364 | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 95,000 | 98,320 | |
07/15/2027 | 5.000% | 14,000 | 14,692 | |
Eagle Holding Co. II LLC(a),(j) | ||||
05/15/2022 | 7.750% | 69,000 | 70,061 | |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
07/15/2023 | 6.000% | 54,000 | 39,233 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(i) | ||||
02/01/2025 | 6.000% | 14,000 | 9,478 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) | ||||
08/01/2023 | 6.375% | 161,000 | 166,414 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 68,000 | 67,928 | |
Total | 2,350,043 | |||
Property & Casualty 0.1% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 76,000 | 81,527 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 142,000 | 150,649 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 39,000 | 39,779 | |
Total | 271,955 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Railroads 0.3% | ||||
CSX Corp. | ||||
03/01/2048 | 4.300% | 280,000 | 318,515 | |
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 51,000 | 53,471 | |
Union Pacific Corp.(a) | ||||
03/20/2060 | 3.839% | 280,000 | 284,274 | |
Total | 656,260 | |||
Restaurants 0.2% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
10/15/2025 | 5.000% | 178,000 | 184,664 | |
01/15/2028 | 3.875% | 39,000 | 39,304 | |
Golden Nugget, Inc.(a) | ||||
10/15/2024 | 6.750% | 28,000 | 28,969 | |
IRB Holding Corp.(a) | ||||
02/15/2026 | 6.750% | 184,000 | 192,640 | |
Yum! Brands, Inc.(a) | ||||
01/15/2030 | 4.750% | 41,000 | 43,100 | |
Total | 488,677 | |||
Retailers 0.3% | ||||
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 100,000 | 103,582 | |
11/01/2035 | 6.875% | 34,000 | 30,534 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 165,000 | 178,258 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 147,000 | 144,125 | |
06/01/2025 | 5.875% | 113,000 | 115,396 | |
Total | 571,895 | |||
Supermarkets 0.3% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 97,000 | 100,631 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) | ||||
03/15/2026 | 7.500% | 44,000 | 49,455 | |
02/15/2028 | 5.875% | 50,000 | 53,185 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 19,000 | 19,000 | |
Kroger Co. (The) | ||||
02/01/2047 | 4.450% | 373,000 | 395,926 | |
01/15/2048 | 4.650% | 42,000 | 45,920 | |
Total | 664,117 | |||
Technology 1.9% | ||||
Alliance Data Systems Corp.(a) | ||||
12/15/2024 | 4.750% | 95,000 | 94,826 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 19 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 92,000 | 96,709 | |
08/01/2025 | 6.875% | 78,000 | 81,891 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 19,000 | 19,279 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 870,000 | 903,836 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 54,000 | 55,389 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 126,000 | 133,301 | |
CommScope Finance LLC(a) | ||||
03/01/2026 | 6.000% | 120,000 | 127,687 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 88,000 | 88,268 | |
03/15/2027 | 5.000% | 25,000 | 23,244 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 26,000 | 26,690 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 156,000 | 162,573 | |
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) | ||||
11/30/2024 | 10.000% | 82,000 | 88,607 | |
Informatica LLC(a) | ||||
07/15/2023 | 7.125% | 96,000 | 97,604 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 95,000 | 96,035 | |
Iron Mountain, Inc.(a) | ||||
09/15/2029 | 4.875% | 93,000 | 94,563 | |
Lenovo Perpetual Securities Ltd.(a),(i) | ||||
12/31/2049 | 5.375% | 200,000 | 200,523 | |
MSCI, Inc.(a) | ||||
08/01/2026 | 4.750% | 36,000 | 37,780 | |
NCR Corp. | ||||
07/15/2022 | 5.000% | 100,000 | 101,033 | |
12/15/2023 | 6.375% | 112,000 | 114,853 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 56,000 | 59,686 | |
09/01/2029 | 6.125% | 67,000 | 72,746 | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 44,000 | 43,215 | |
PTC, Inc. | ||||
05/15/2024 | 6.000% | 128,000 | 133,583 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 150,000 | 155,462 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Refinitiv US Holdings, Inc.(a) | ||||
05/15/2026 | 6.250% | 239,000 | 261,049 | |
11/15/2026 | 8.250% | 113,000 | 127,315 | |
Sensata Technologies, Inc.(a) | ||||
02/15/2030 | 4.375% | 41,000 | 41,852 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 66,000 | 70,128 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 6.750% | 44,000 | 45,463 | |
Tencent Holdings Ltd.(a) | ||||
01/19/2028 | 3.595% | 300,000 | 313,369 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 135,000 | 147,980 | |
Total | 4,116,539 | |||
Transportation Services 0.8% | ||||
Avis Budget Car Rental LLC/Finance, Inc. | ||||
04/01/2023 | 5.500% | 13,000 | 13,227 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 113,000 | 116,515 | |
ERAC U.S.A. Finance LLC(a) | ||||
11/01/2046 | 4.200% | 410,000 | 440,206 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 650,000 | 669,943 | |
Hertz Corp. (The)(a) | ||||
06/01/2022 | 7.625% | 35,000 | 36,388 | |
10/15/2024 | 5.500% | 53,000 | 54,466 | |
08/01/2026 | 7.125% | 97,000 | 105,019 | |
01/15/2028 | 6.000% | 197,000 | 197,519 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 50,000 | 50,947 | |
Total | 1,684,230 | |||
Wireless 0.9% | ||||
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 282,000 | 303,165 | |
02/01/2027 | 8.125% | 68,000 | 76,742 | |
01/15/2028 | 5.500% | 142,000 | 146,379 | |
Altice Luxembourg SA(a) | ||||
05/15/2027 | 10.500% | 104,000 | 119,298 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 305,000 | 317,275 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 221,000 | 238,951 | |
Sprint Corp. | ||||
02/15/2025 | 7.625% | 27,000 | 29,699 | |
03/01/2026 | 7.625% | 202,000 | 222,966 |
20 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 291,000 | 312,469 | |
02/01/2026 | 4.500% | 50,000 | 51,486 | |
02/01/2028 | 4.750% | 147,000 | 154,174 | |
Total | 1,972,604 | |||
Wirelines 1.2% | ||||
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 80,000 | 88,858 | |
06/15/2045 | 4.350% | 900,000 | 971,796 | |
CenturyLink, Inc. | ||||
03/15/2022 | 5.800% | 225,000 | 236,978 | |
12/01/2023 | 6.750% | 52,000 | 58,049 | |
04/01/2024 | 7.500% | 102,000 | 115,355 | |
04/01/2025 | 5.625% | 78,000 | 82,985 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 137,000 | 139,365 | |
Frontier Communications Corp.(a) | ||||
04/01/2026 | 8.500% | 38,000 | 38,500 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 34,000 | 36,700 | |
Verizon Communications, Inc. | ||||
09/21/2028 | 4.329% | 415,000 | 471,180 | |
Zayo Group LLC/Capital, Inc.(a) | ||||
01/15/2027 | 5.750% | 235,000 | 239,781 | |
Total | 2,479,547 | |||
Total Corporate Bonds & Notes (Cost $71,880,236) | 77,201,482 | |||
Foreign Government Obligations(k),(l) 8.9% | ||||
Angola 0.1% | ||||
Angolan Government International Bond(a) | ||||
11/26/2029 | 8.000% | 200,000 | 213,222 | |
Belarus 0.1% | ||||
Republic of Belarus International Bond(a) | ||||
06/29/2027 | 7.625% | 250,000 | 283,936 | |
Brazil 0.4% | ||||
Brazilian Government International Bond | ||||
05/30/2029 | 4.500% | 450,000 | 477,488 | |
01/07/2041 | 5.625% | 410,000 | 459,432 | |
Total | 936,920 | |||
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 69,000 | 71,171 |
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
China 0.4% | ||||
Sinopec Group Overseas Development 2018 Ltd.(a) | ||||
09/12/2025 | 4.125% | 200,000 | 215,905 | |
Syngenta Finance NV(a) | ||||
04/24/2028 | 5.182% | 600,000 | 646,491 | |
Total | 862,396 | |||
Croatia 0.2% | ||||
Croatia Government International Bond(a) | ||||
01/26/2024 | 6.000% | 400,000 | 458,431 | |
Dominican Republic 0.8% | ||||
Dominican Republic Bond(a) | ||||
02/05/2027 | 11.250% | DOP | 10,000,000 | 199,736 |
Dominican Republic International Bond(a) | ||||
01/08/2021 | 14.000% | DOP | 3,012,000 | 59,089 |
03/04/2022 | 10.375% | DOP | 17,800,000 | 339,765 |
02/10/2023 | 14.500% | DOP | 3,600,000 | 76,073 |
01/25/2027 | 5.950% | 218,000 | 240,771 | |
04/30/2044 | 7.450% | 486,000 | 586,754 | |
01/27/2045 | 6.850% | 200,000 | 228,547 | |
Total | 1,730,735 | |||
Egypt 0.5% | ||||
Egypt Government Bond | ||||
07/02/2024 | 15.900% | EGP | 5,000,000 | 333,990 |
Egypt Government International Bond(a) | ||||
04/11/2031 | 6.375% | EUR | 100,000 | 120,101 |
01/31/2047 | 8.500% | 250,000 | 278,017 | |
02/21/2048 | 7.903% | 200,000 | 210,091 | |
Total | 942,199 | |||
Honduras 0.3% | ||||
Honduras Government International Bond(a) | ||||
03/15/2024 | 7.500% | 200,000 | 222,579 | |
01/19/2027 | 6.250% | 450,000 | 491,665 | |
Total | 714,244 | |||
Indonesia 1.0% | ||||
Indonesia Government International Bond(a) | ||||
01/08/2026 | 4.750% | 400,000 | 445,216 | |
01/17/2038 | 7.750% | 100,000 | 150,468 | |
Indonesia Government International Bond | ||||
10/30/2049 | 3.700% | 409,000 | 421,767 | |
PT Pertamina Persero(a) | ||||
05/30/2044 | 6.450% | 400,000 | 515,511 | |
PT Perusahaan Listrik Negara(a) | ||||
05/21/2028 | 5.450% | 300,000 | 346,161 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 21 |
December 31, 2019
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Saka Energi Indonesia PT(a) | ||||
05/05/2024 | 4.450% | 250,000 | 253,154 | |
Total | 2,132,277 | |||
Ivory Coast 0.3% | ||||
Ivory Coast Government International Bond(a) | ||||
10/17/2031 | 5.875% | EUR | 400,000 | 466,863 |
06/15/2033 | 6.125% | 200,000 | 201,854 | |
Total | 668,717 | |||
Kazakhstan 0.3% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 591,000 | 685,348 | |
Mexico 0.8% | ||||
Mexican Bonos | ||||
06/10/2021 | 6.500% | MXN | 50,000 | 2,637 |
05/31/2029 | 8.500% | MXN | 8,500,000 | 500,874 |
Petroleos Mexicanos(a) | ||||
09/12/2024 | 7.190% | MXN | 260,000 | 12,353 |
01/23/2030 | 6.840% | 135,000 | 144,429 | |
Petroleos Mexicanos | ||||
01/23/2026 | 4.500% | 102,000 | 101,522 | |
08/04/2026 | 6.875% | 350,000 | 385,106 | |
11/12/2026 | 7.470% | MXN | 4,700,000 | 217,662 |
01/23/2029 | 6.500% | 200,000 | 210,400 | |
Total | 1,574,983 | |||
Morocco 0.2% | ||||
Morocco Government International Bond(a) | ||||
06/19/2024 | 3.500% | EUR | 200,000 | 255,222 |
OCP SA(a) | ||||
04/25/2024 | 5.625% | 200,000 | 221,383 | |
Total | 476,605 | |||
Nigeria 0.2% | ||||
Nigeria Government International Bond(a) | ||||
02/16/2032 | 7.875% | 300,000 | 311,234 | |
Oman 0.2% | ||||
Oman Government International Bond(a) | ||||
06/15/2021 | 3.625% | 218,000 | 219,117 | |
01/17/2028 | 5.625% | 200,000 | 207,082 | |
Total | 426,199 | |||
Paraguay 0.2% | ||||
Paraguay Government International Bond(a) | ||||
03/27/2027 | 4.700% | 200,000 | 220,202 | |
08/11/2044 | 6.100% | 200,000 | 244,977 | |
Total | 465,179 |
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Qatar 0.9% | ||||
Qatar Government International Bond(a) | ||||
03/14/2029 | 4.000% | 800,000 | 892,783 | |
03/14/2049 | 4.817% | 725,000 | 898,390 | |
Total | 1,791,173 | |||
Romania 0.5% | ||||
Romanian Government International Bond(a) | ||||
04/03/2049 | 4.625% | EUR | 700,000 | 969,659 |
Russian Federation 0.6% | ||||
Gazprom OAO Via Gaz Capital SA(a) | ||||
02/06/2028 | 4.950% | 425,000 | 473,937 | |
Russian Federal Bond - OFZ | ||||
05/23/2029 | 6.900% | RUB | 41,800,000 | 709,789 |
Total | 1,183,726 | |||
Saudi Arabia 0.3% | ||||
Saudi Arabian Oil Co.(a) | ||||
04/16/2029 | 3.500% | 600,000 | 623,239 | |
Serbia 0.1% | ||||
Serbia International Bond(a) | ||||
09/28/2021 | 7.250% | 250,000 | 272,548 | |
Ukraine 0.3% | ||||
Ukraine Government International Bond(a) | ||||
06/20/2026 | 6.750% | EUR | 320,000 | 402,925 |
09/25/2032 | 7.375% | 220,000 | 234,737 | |
Total | 637,662 | |||
Virgin Islands 0.2% | ||||
Sinopec Group Overseas Development Ltd.(a) | ||||
08/08/2029 | 2.950% | 400,000 | 401,670 | |
Total Foreign Government Obligations (Cost $17,977,398) | 18,833,473 | |||
Residential Mortgage-Backed Securities - Agency 14.0% | ||||
Federal Home Loan Mortgage Corp.(b),(m) | ||||
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 4.210% | 2,967,163 | 646,997 | |
CMO Series 326 Class S2 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 03/15/2044 | 4.210% | 478,774 | 83,693 |
22 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4903 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/25/2049 | 4.258% | 2,174,294 | 404,561 | |
Federal Home Loan Mortgage Corp.(m) | ||||
CMO Series 4120 Class AI | ||||
11/15/2039 | 3.500% | 1,913,648 | 125,996 | |
Federal Home Loan Mortgage Corp.(g),(m) | ||||
CMO Series 4620 Class AS | ||||
11/15/2042 | 2.297% | 1,347,254 | 71,994 | |
Federal National Mortgage Association(n) | ||||
01/16/2035- 01/14/2050 | 3.000% | 18,500,000 | 18,773,711 | |
Federal National Mortgage Association | ||||
05/01/2041 | 4.000% | 101,418 | 106,724 | |
Federal National Mortgage Association(g),(m) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 2,649,303 | 0 | |
Federal National Mortgage Association(m) | ||||
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 1,065,071 | 77,463 | |
CMO Series 2012-139 Class IL | ||||
04/25/2040 | 3.500% | 1,721,195 | 113,777 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 1,583,996 | 297,265 | |
Federal National Mortgage Association(b),(m) | ||||
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 4.358% | 522,720 | 112,165 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 4.208% | 1,130,766 | 220,249 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 07/25/2046 | 4.208% | 1,869,025 | 388,502 | |
CMO Series 2017-47 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 06/25/2047 | 4.308% | 727,372 | 155,852 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-56 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 4.358% | 1,499,682 | 310,777 | |
CMO Series 2018-76 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 4.358% | 731,954 | 155,869 | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 4.258% | 2,318,378 | 457,149 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 11/25/2049 | 4.258% | 1,966,540 | 399,797 | |
CMO Series 2019-8 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 03/25/2049 | 4.208% | 2,204,942 | 441,000 | |
Government National Mortgage Association(n) | ||||
01/21/2050 | 3.000% | 2,000,000 | 2,054,766 | |
Government National Mortgage Association(m) | ||||
CMO Series 2014-190 Class AI | ||||
12/20/2038 | 3.500% | 1,588,092 | 173,098 | |
Government National Mortgage Association(b),(m) | ||||
CMO Series 2016-20 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 02/20/2046 | 4.335% | 865,399 | 157,094 | |
CMO Series 2017-129 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 4.435% | 836,344 | 178,731 | |
CMO Series 2017-133 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2047 | 4.485% | 970,072 | 170,200 | |
CMO Series 2018-124 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2048 | 4.435% | 2,134,671 | 364,634 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 23 |
December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 4.335% | 1,388,722 | 264,436 | |
CMO Series 2018-168 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/20/2048 | 4.335% | 1,098,818 | 197,752 | |
CMO Series 2018-67 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 4.435% | 1,739,325 | 366,424 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 4.285% | 687,409 | 133,522 | |
CMO Series 2019-23 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 4.285% | 2,306,557 | 402,486 | |
CMO Series 2019-29 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 4.285% | 1,834,913 | 329,614 | |
CMO Series 2019-30 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 4.285% | 1,899,058 | 292,969 | |
CMO Series 2019-4 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 01/20/2049 | 4.285% | 1,721,729 | 291,553 | |
CMO Series 2019-41 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 4.285% | 1,407,723 | 269,948 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 4.385% | 1,080,469 | 206,096 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-59 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 4.385% | 1,073,959 | 179,945 | |
CMO Series 2019-97 Class GS | ||||
1-month LIBID + 6.100% Cap 6.100% 08/20/2049 | 4.335% | 1,957,380 | 337,313 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $29,108,309) | 29,714,122 | |||
Residential Mortgage-Backed Securities - Non-Agency 18.1% | ||||
Arroyo Mortgage Trust(a) | ||||
CMO Series 2018-1 Class A3 | ||||
04/25/2048 | 4.218% | 529,500 | 535,211 | |
Arroyo Mortgage Trust(a),(g) | ||||
CMO Series 2019-2 Class A3 | ||||
04/25/2049 | 3.800% | 520,877 | 524,943 | |
Banc of America Funding Trust(a),(c),(g) | ||||
CMO Series 2016-R1 Class M2 | ||||
03/25/2040 | 3.500% | 507,334 | 495,158 | |
Bayview Opportunity Master Fund IIIb Trust(a),(g) | ||||
Series 2019-LT2 Class A1 | ||||
10/28/2034 | 3.376% | 199,709 | 199,852 | |
Bayview Opportunity Master Fund IVa Trust(a),(g) | ||||
CMO Series 2019-RN2 Class A1 | ||||
03/28/2034 | 3.967% | 71,459 | 71,532 | |
Bayview Opportunity Master Fund IVb Trust(a),(g) | ||||
CMO Series 2019-RN4 Class A1 | ||||
10/28/2034 | 3.278% | 422,240 | 422,772 | |
Bayview Opportunity Master Fund Trust IVb(a) | ||||
CMO Series 2019-RN1 Class A1 | ||||
02/28/2034 | 4.090% | 236,797 | 236,446 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2018-2A Class M1C | ||||
1-month USD LIBOR + 1.600% 08/25/2028 | 3.392% | 400,000 | 400,871 | |
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 03/25/2029 | 3.092% | 169,671 | 169,808 | |
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 03/25/2029 | 3.542% | 700,000 | 700,228 | |
CMO Series 2019-2A Class M1A | ||||
1-month USD LIBOR + 1.000% Floor 1.000% 04/25/2029 | 2.792% | 171,390 | 171,490 |
24 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-2A Class M1B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 04/25/2029 | 3.242% | 800,000 | 801,190 | |
CMO Series 2019-3A Class M1B | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 07/25/2029 | 3.392% | 1,200,000 | 1,202,686 | |
Bunker Hill Loan Depositary Trust(a),(g) | ||||
CMO Series 2019-2 Class A1 | ||||
07/25/2049 | 2.880% | 548,220 | 544,616 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 4.542% | 500,000 | 501,440 | |
CIM Trust(a) | ||||
CMO Series 2017-8 Class A1 | ||||
12/25/2065 | 3.000% | 372,425 | 372,632 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.080% 09/25/2058 | 2.857% | 788,023 | 783,528 | |
COLT Mortgage Loan Trust(a),(g) | ||||
CMO Series 2019-1 Class M1 | ||||
03/25/2049 | 4.518% | 500,000 | 507,276 | |
Credit Suisse Mortgage Capital Certificates(a),(g) | ||||
CMO Series 2008-4R Class 3A4 | ||||
01/26/2038 | 4.121% | 63,018 | 62,875 | |
Credit Suisse Mortgage Trust(a) | ||||
CMO Series 2018-RPL2 Class A1 | ||||
08/25/2062 | 4.030% | 167,012 | 166,976 | |
CSMC Trust(a) | ||||
CMO Series 2018-RPL8 Class A1 | ||||
07/25/2058 | 4.125% | 666,835 | 671,140 | |
CTS Corp.(a) | ||||
CMO Series 2015-6R Class 3A2 | ||||
02/27/2036 | 3.750% | 499,295 | 485,931 | |
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust | ||||
CMO Series 2003-1 Class 1A7 | ||||
04/25/2033 | 5.500% | 232,055 | 235,173 | |
Eagle RE Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 3.592% | 800,000 | 801,123 | |
Ellington Financial Mortgage Trust(a),(g) | ||||
CMO Series 2019-1 Class A3 | ||||
06/25/2059 | 3.241% | 543,342 | 545,726 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
FMC GMSR Issuer Trust(a),(g) | ||||
CMO Series 2019-GT1 Class A | ||||
05/25/2024 | 5.070% | 1,200,000 | 1,228,090 | |
GCAT LLC(a),(g) | ||||
CMO Series 2019-2 Class A1 | ||||
06/25/2024 | 3.475% | 769,288 | 769,443 | |
CMO Series 2019-3 Class A1 | ||||
10/25/2049 | 3.352% | 469,364 | 468,834 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2019-1 Class M1 | ||||
1-month USD LIBOR + 1.900% Floor 1.900% 11/26/2029 | 3.674% | 700,000 | 699,999 | |
Grand Avenue Mortgage Loan Trust(a) | ||||
CMO Series 2017-RPL1 Class A1 | ||||
08/25/2064 | 3.250% | 673,023 | 664,404 | |
Homeward Opportunities Fund I Trust(a) | ||||
CMO Series 2018-1 Class M1 | ||||
06/25/2048 | 4.548% | 300,000 | 304,576 | |
Legacy Mortgage Asset Trust(a) | ||||
CMO Series 2017-GS1 Class A1 | ||||
01/25/2057 | 3.500% | 735,616 | 736,349 | |
New Residential Mortgage LLC(a) | ||||
Subordinated CMO Series 2018-FNT1 Class D | ||||
05/25/2023 | 4.690% | 462,223 | 461,934 | |
New Residential Mortgage Loan Trust(a),(g) | ||||
CMO Series 2019-NQM4 Class A3 | ||||
09/25/2059 | 2.797% | 477,221 | 475,308 | |
CMO Series 2019-RPL1 Class A1 | ||||
02/26/2024 | 4.335% | 1,014,824 | 1,022,115 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2018-PLS1 Class C | ||||
01/25/2023 | 3.981% | 298,295 | 299,474 | |
Series 2018-PLS1 Class D | ||||
01/25/2023 | 4.374% | 298,295 | 299,732 | |
Subordinated CMO Series 2018-PLS2 Class C | ||||
02/25/2023 | 4.102% | 310,902 | 313,282 | |
Subordinated CMO Series 2018-PLS2 Class D | ||||
02/25/2023 | 4.593% | 528,534 | 532,550 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 3.700% | 815,256 | 814,569 | |
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 4.450% | 986,750 | 993,798 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 25 |
December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 4.642% | 1,500,000 | 1,508,850 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 4.442% | 1,000,000 | 1,003,394 | |
Preston Ridge Partners Mortgage LLC(a),(g) | ||||
CMO Series 2017-3A Class A1 | ||||
11/25/2022 | 3.470% | 645,053 | 645,472 | |
CMO Series 2018-3A Class A1 | ||||
10/25/2023 | 4.483% | 725,007 | 731,798 | |
CMO Series 2019-1A Class A1 | ||||
01/25/2024 | 4.500% | 983,283 | 996,949 | |
Preston Ridge Partners Mortgage LLC(a) | ||||
CMO Series 2019-2A Class A1 | ||||
04/25/2024 | 3.967% | 620,876 | 622,421 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 02/25/2029 | 3.742% | 550,000 | 549,773 | |
Radnor RE Ltd.(a),(b) | ||||
CMO Series 2019-2 Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 06/25/2029 | 3.542% | 1,000,000 | 1,000,521 | |
RCO V Mortgage LLC(a),(g) | ||||
CMO Series 2018-2 Class A1 | ||||
10/25/2023 | 4.458% | 308,345 | 309,639 | |
CMO Series 2019-2 Class A1 | ||||
11/25/2024 | 3.475% | 1,174,204 | 1,172,739 | |
Toorak Mortgage Corp., Ltd.(a),(g) | ||||
CMO Series 2019-1 Class A1 | ||||
03/25/2022 | 4.458% | 500,000 | 504,464 | |
Toorak Mortgage Corp., Ltd.(g) | ||||
CMO Series 2019-2 Class A1 | ||||
09/25/2022 | 3.721% | 500,000 | 498,835 | |
VCAT Asset Securitization LLC(a),(g) | ||||
CMO Series 2019-NPL2 Class A1 | ||||
11/25/2049 | 3.573% | 794,072 | 792,830 | |
Vericrest Opportunity Loan Transferee LXII LLC(a) | ||||
CMO Series 2017-NPL9 Class A1 | ||||
09/25/2047 | 3.125% | 138,030 | 137,948 | |
Vericrest Opportunity Loan Transferee LXXII LLC(a) | ||||
CMO Series 2018-NPL8 Class A1B | ||||
10/26/2048 | 4.655% | 300,000 | 301,167 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vericrest Opportunity Loan Transferee LXXV LLC(a) | ||||
CMO Series 2019-NPL1 Class A1A | ||||
01/25/2049 | 4.336% | 776,392 | 780,815 | |
Vericrest Opportunity Loan Trust(a),(g) | ||||
CMO Series 2019-NPL5 Class A1A | ||||
09/25/2049 | 3.352% | 548,505 | 547,465 | |
CMO Series 2019-NPL7 Class A1A | ||||
10/25/2049 | 3.179% | 284,376 | 283,282 | |
CMO Series 2019-NPL8 Class A1A | ||||
11/25/2049 | 3.278% | 949,488 | 947,191 | |
Vericrest Opportunity Loan Trust LXXXIV LLC(a),(g) | ||||
CMO Series 2019-NP10 Class A1A | ||||
12/27/2049 | 3.426% | 300,000 | 300,000 | |
Verus Securitization Trust(a) | ||||
CMO Series 2018-1 Class A3 | ||||
02/25/2048 | 3.205% | 216,892 | 216,955 | |
Verus Securitization Trust(a),(g) | ||||
CMO Series 2019-2 Class A2 | ||||
04/25/2059 | 3.345% | 316,467 | 317,013 | |
CMO Series 2019-2 Class A3 | ||||
04/25/2059 | 3.448% | 316,467 | 317,026 | |
CMO Series 2019-2 Class M1 | ||||
04/25/2059 | 3.781% | 400,000 | 402,107 | |
CMO Series 2019-3 Class M1 | ||||
07/25/2059 | 3.139% | 500,000 | 500,780 | |
CMO Series 2019-INV1 Class A3 | ||||
12/25/2059 | 3.658% | 428,357 | 429,119 | |
CMO Series 2019-INV3 Class B1 | ||||
11/25/2059 | 3.731% | 300,000 | 299,911 | |
Visio Trust(a),(g) | ||||
CMO Series 2019-1 Class A2 | ||||
06/25/2054 | 3.673% | 185,605 | 185,537 | |
CMO Series 2019-1 Class A3 | ||||
06/25/2054 | 3.825% | 185,605 | 185,235 | |
CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 99,848 | |
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 199,773 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $38,349,587) | 38,483,937 | |||
26 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Senior Loans 6.4% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.2% | ||||
TransDigm, Inc.(b),(o) | ||||
Tranche F Term Loan | ||||
3-month USD LIBOR + 2.500% 06/09/2023 | 4.299% | 497,468 | 498,817 | |
Airlines 0.2% | ||||
American Airlines, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.000% 10/10/2021 | 3.715% | 494,792 | 496,236 | |
Automotive 0.3% | ||||
Panther BF Aggregator 2 LP(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% 04/30/2026 | 5.305% | 498,750 | 499,688 | |
Brokerage/Asset Managers/Exchanges 0.2% | ||||
Victory Capital Holdings, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 07/01/2026 | 5.349% | 346,182 | 348,345 | |
Cable and Satellite 0.5% | ||||
Cogeco Communications (U.S.A.) II LP(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.250% 01/03/2025 | 4.049% | 49,250 | 49,386 | |
MCC Iowa LLC(b),(o) | ||||
Tranche M Term Loan | ||||
3-month USD LIBOR + 2.000% 01/15/2025 | 3.630% | 496,193 | 498,207 | |
Virgin Media Bristol LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% 01/31/2028 | 4.240% | 500,000 | 502,815 | |
Total | 1,050,408 | |||
Chemicals 0.7% | ||||
ColourOz Investment 1 GmbH(b),(o) | ||||
Tranche C 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 09/07/2021 | 4.936% | 68,578 | 59,136 | |
ColourOz Investment 2 LLC(b),(o) | ||||
Tranche B2 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 09/07/2021 | 4.936% | 414,840 | 357,725 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Ineos US Finance LLC(b),(o),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.000% 04/01/2024 | 498,728 | 498,389 | ||
Kraton Polymers LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 1.000% 03/08/2025 | 4.299% | 87,276 | 86,970 | |
Nouryon Finance BV/AkzoNobel(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 10/01/2025 | 4.960% | 483,577 | 483,176 | |
Total | 1,485,396 | |||
Consumer Cyclical Services 0.4% | ||||
Uber Technologies, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% 07/13/2023 | 5.299% | 716,338 | 714,160 | |
Electric 0.2% | ||||
Astoria Energy LLC(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 12/24/2021 | 5.800% | 463,851 | 461,675 | |
Food and Beverage 0.1% | ||||
8th Avenue Food & Provisions, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 10/01/2025 | 5.486% | 34,260 | 34,374 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.750% 10/01/2026 | 9.486% | 63,566 | 62,295 | |
Total | 96,669 | |||
Media and Entertainment 0.4% | ||||
Gray Television, Inc.(b),(o) | ||||
Tranche C Term Loan | ||||
3-month USD LIBOR + 2.500% 01/02/2026 | 4.197% | 425,886 | 428,284 | |
Meredith Corp.(b),(o) | ||||
Tranche B1 Term Loan | ||||
3-month USD LIBOR + 2.750% 01/31/2025 | 4.549% | 467,033 | 469,106 | |
Total | 897,390 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 27 |
December 31, 2019
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Metals and Mining 0.0% | ||||
Big River Steel LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 6.945% | 17,162 | 17,120 | |
Oil Field Services 0.2% | ||||
Fieldwood Energy LLC(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 5.250% Floor 1.000% 04/11/2022 | 7.177% | 275,952 | 229,653 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.250% Floor 1.000% 04/11/2023 | 9.177% | 372,536 | 206,757 | |
Total | 436,410 | |||
Packaging 0.2% | ||||
ProAmpac PG Borrower LLC(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 11/20/2023 | 5.384% | 473,836 | 465,843 | |
Pharmaceuticals 0.2% | ||||
Grifols Worldwide Operations Ltd.(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.500% 11/15/2027 | 3.740% | 425,170 | 428,491 | |
Property & Casualty 0.2% | ||||
Asurion LLC(b),(o) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 3.000% 08/04/2022 | 4.799% | 451,552 | 453,905 | |
Railroads 0.1% | ||||
Genesee & Wyoming, Inc.(b),(o),(p) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.000% 11/06/2026 | 225,000 | 226,928 | ||
Restaurants 0.2% | ||||
New Red Finance, Inc./Burger King/Tim Hortons(b),(o) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 3.549% | 456,130 | 456,582 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Retailers 0.4% | ||||
Academy Ltd.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 07/01/2022 | 5.692% | 549,327 | 449,283 | |
Party City Holdings, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 0.750% 08/19/2022 | 4.300% | 454,789 | 421,367 | |
Total | 870,650 | |||
Supermarkets 0.1% | ||||
Albertsons LLC(b),(o) | ||||
Tranche B7 Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 0.750% 11/17/2025 | 4.549% | 188,910 | 190,453 | |
Technology 1.6% | ||||
Ascend Learning LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 4.799% | 56,019 | 56,334 | |
Avaya, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.250% 12/15/2024 | 5.990% | 500,000 | 489,750 | |
Dell International LLC/EMC Corp.(b),(o) | ||||
Tranche B1 Term Loan | ||||
3-month USD LIBOR + 2.000% 09/19/2025 | 3.800% | 500,000 | 503,065 | |
Greeneden US Holdings I LLC/Genesys Telecommunications Laboratories, Inc.(b),(o) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 3.250% 12/01/2023 | 5.049% | 73,869 | 74,039 | |
Hyland Software, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 0.750% 07/01/2024 | 5.299% | 478,894 | 480,992 | |
ION Trading Technologies SARL(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 11/21/2024 | 6.064% | 486,459 | 465,784 | |
Plantronics, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.500% 07/02/2025 | 4.299% | 489,333 | 477,589 |
28 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Project Alpha Intermediate Holding, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 04/26/2024 | 5.490% | 19,359 | 19,371 | |
3-month USD LIBOR + 4.250% 04/26/2024 | 6.240% | 58,886 | 59,254 | |
Refinitiv US Holdings, Inc.(a),(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 10/01/2025 | 5.049% | 498,744 | 502,983 | |
SCS Holdings I, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.250% 07/01/2026 | 6.049% | 298,500 | 299,646 | |
Total | 3,428,807 | |||
Total Senior Loans (Cost $13,899,072) | 13,523,973 | |||
U.S. Treasury Obligations 0.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2048 | 3.000% | 340,000 | 383,988 | |
Total U.S. Treasury Obligations (Cost $337,237) | 383,988 |
Money Market Funds 6.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(q),(r) | 12,683,301 | 12,682,033 |
Total Money Market Funds (Cost $12,682,106) | 12,682,033 | |
Total Investments in Securities (Cost: $224,123,550) | 230,444,224 | |
Other Assets & Liabilities, Net | (17,973,511) | |
Net Assets | 212,470,713 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
10,938,852 MXN | 562,241 USD | Morgan Stanley | 01/10/2020 | — | (15,665) |
2,218,077 EUR | 2,466,449 USD | UBS | 01/10/2020 | — | (22,686) |
Total | — | (38,351) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 154 | 03/2020 | USD | 33,187,000 | — | (14,787) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Long Gilt | (66) | 03/2020 | GBP | (8,671,080) | 28,408 | — |
U.S. Treasury 10-Year Note | (250) | 03/2020 | USD | (32,105,469) | 268,493 | — |
U.S. Treasury 5-Year Note | (55) | 03/2020 | USD | (6,523,516) | 20,497 | — |
U.S. Ultra Treasury Bond | (71) | 03/2020 | USD | (12,897,594) | 388,521 | — |
Total | 705,919 | — |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 29 |
December 31, 2019
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 6.361% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 10/24/2025 | MXN | 17,000,000 | (12,450) | — | — | — | (12,450) |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/21/2026 | MXN | 8,000,000 | (14,955) | — | — | — | (14,955) |
Fixed rate of 5.960% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 02/02/2026 | MXN | 20,000,000 | (38,658) | — | — | — | (38,658) |
3-Month USD LIBOR | Fixed rate of 1.781% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 08/09/2049 | USD | 2,100,000 | 142,188 | — | — | 142,188 | — |
Total | 76,125 | — | — | 142,188 | (66,063) |
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 | 1,016 | (292) | 21,122 | — | — | (20,398) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 1,000,000 | 2,031 | (583) | 57,691 | — | — | (56,243) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 1,000,000 | 2,031 | (583) | 59,427 | — | — | (57,979) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 500,000 | 7,031 | (291) | 28,279 | — | — | (21,539) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 1,000,000 | 14,063 | (584) | 55,844 | — | — | (42,365) |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 1,000,000 | 14,063 | (584) | 51,918 | — | — | (38,439) |
Total | 40,235 | (2,917) | 274,281 | — | — | (236,963) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | USD | 18,909,000 | (630,085) | — | — | — | (630,085) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 7.555% |
3-Month USD LIBOR | London Interbank Offered Rate | 1.908% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $126,633,503, which represents 59.60% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(c) | Valuation based on significant unobservable inputs. |
(d) | Represents shares owned in the residual interest of an asset-backed securitization. |
(e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2019, the total value of these securities amounted to $404,202, which represents 0.19% of total net assets. |
30 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
(f) | Zero coupon bond. |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2019. |
(h) | Non-income producing investment. |
(i) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2019. |
(j) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(k) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(l) | Principal and interest may not be guaranteed by a governmental entity. |
(m) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(n) | Represents a security purchased on a when-issued basis. |
(o) | The stated interest rate represents the weighted average interest rate at December 31, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. |
(p) | Represents a security purchased on a forward commitment basis. |
(q) | The rate shown is the seven-day current annualized yield at December 31, 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 year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
11,194,472 | 77,183,378 | (75,694,549) | 12,683,301 | (202) | (73) | 188,623 | 12,682,033 |
CMO | Collateralized Mortgage Obligation |
DOP | Dominican Republic Peso |
EGP | Egyptian Pound |
EUR | Euro |
GBP | British Pound |
MXN | Mexican Peso |
RUB | Russian Ruble |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 31 |
December 31, 2019
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 26,883,594 | 1,581,662 | 28,465,256 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 10,971,895 | — | 10,971,895 |
Common Stocks | ||||
Energy | — | 173,356 | — | 173,356 |
Financials | — | — | 0* | 0* |
Utilities | — | 10,709 | — | 10,709 |
Total Common Stocks | — | 184,065 | 0* | 184,065 |
Corporate Bonds & Notes | — | 77,201,482 | — | 77,201,482 |
Foreign Government Obligations | — | 18,833,473 | — | 18,833,473 |
Residential Mortgage-Backed Securities - Agency | — | 29,714,122 | — | 29,714,122 |
Residential Mortgage-Backed Securities - Non-Agency | — | 37,988,779 | 495,158 | 38,483,937 |
Senior Loans | — | 13,523,973 | — | 13,523,973 |
U.S. Treasury Obligations | 383,988 | — | — | 383,988 |
Money Market Funds | 12,682,033 | — | — | 12,682,033 |
Total Investments in Securities | 13,066,021 | 215,301,383 | 2,076,820 | 230,444,224 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 705,919 | — | — | 705,919 |
Swap Contracts | — | 142,188 | — | 142,188 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (38,351) | — | (38,351) |
Futures Contracts | (14,787) | — | — | (14,787) |
Swap Contracts | — | (933,111) | — | (933,111) |
Total | 13,757,153 | 214,472,109 | 2,076,820 | 230,306,082 |
* | Rounds to zero. |
32 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
Balance as of 12/31/2018 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 12/31/2019 ($) | |
Asset-Backed Securities — Non-Agency | 1,038,591 | 10,110 | — | (242,027) | 1,200,000 | (425,012) | — | — | 1,581,662 |
Residential Mortgage-Backed Securities — Non-Agency | 790,316 | 695 | — | 116 | — | — | — | (295,969) | 495,158 |
Total | 1,828,907 | 10,805 | — | (241,911) | 1,200,000 | (425,012) | — | (295,969) | 2,076,820 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 33 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $211,441,444) | $217,762,191 |
Affiliated issuers (cost $12,682,106) | 12,682,033 |
Cash | 95,439 |
Foreign currency (cost $27,957) | 28,227 |
Margin deposits on: | |
Futures contracts | 897,639 |
Swap contracts | 791,327 |
Upfront payments on swap contracts | 274,281 |
Receivable for: | |
Investments sold | 1,250 |
Capital shares sold | 144,348 |
Dividends | 12,979 |
Interest | 1,609,338 |
Foreign tax reclaims | 7,837 |
Variation margin for futures contracts | 117,945 |
Variation margin for swap contracts | 22,390 |
Prepaid expenses | 734 |
Trustees’ deferred compensation plan | 94,717 |
Total assets | 234,542,675 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 38,351 |
Unrealized depreciation on swap contracts | 236,963 |
Payable for: | |
Investments purchased on a delayed delivery basis | 21,546,294 |
Capital shares purchased | 26,150 |
Variation margin for futures contracts | 49,831 |
Variation margin for swap contracts | 707 |
Foreign capital gains taxes deferred | 228 |
Management services fees | 3,489 |
Distribution and/or service fees | 703 |
Service fees | 14,182 |
Compensation of board members | 338 |
Compensation of chief compliance officer | 18 |
Other expenses | 59,991 |
Trustees’ deferred compensation plan | 94,717 |
Total liabilities | 22,071,962 |
Net assets applicable to outstanding capital stock | $212,470,713 |
Represented by | |
Paid in capital | 202,301,958 |
Total distributable earnings (loss) | 10,168,755 |
Total - representing net assets applicable to outstanding capital stock | $212,470,713 |
Class 1 | |
Net assets | $109,697,880 |
Shares outstanding | 25,676,477 |
Net asset value per share | $4.27 |
Class 2 | |
Net assets | $102,772,833 |
Shares outstanding | 24,313,021 |
Net asset value per share | $4.23 |
34 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $248,804 |
Dividends — affiliated issuers | 188,623 |
Interest | 8,791,382 |
Foreign taxes withheld | (2,245) |
Total income | 9,226,564 |
Expenses: | |
Management services fees | 1,138,123 |
Distribution and/or service fees | |
Class 2 | 209,670 |
Service fees | 109,740 |
Compensation of board members | 16,064 |
Custodian fees | 47,895 |
Printing and postage fees | 18,733 |
Audit fees | 54,946 |
Legal fees | 4,106 |
Interest on collateral | 4,709 |
Compensation of chief compliance officer | 73 |
Other | 13,652 |
Total expenses | 1,617,711 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (106,247) |
Total net expenses | 1,511,464 |
Net investment income | 7,715,100 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 209,293 |
Investments — affiliated issuers | (202) |
Foreign currency translations | (3,173) |
Forward foreign currency exchange contracts | 64,756 |
Futures contracts | (2,782,984) |
Options purchased | 1,319,500 |
Options contracts written | (456,708) |
Swap contracts | (384,295) |
Net realized loss | (2,033,813) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 12,586,223 |
Investments — affiliated issuers | (73) |
Foreign currency translations | 4,654 |
Forward foreign currency exchange contracts | (75,026) |
Futures contracts | 638,537 |
Options purchased | (32,771) |
Options contracts written | (35,287) |
Swap contracts | (608,980) |
Foreign capital gains tax | (228) |
Net change in unrealized appreciation (depreciation) | 12,477,049 |
Net realized and unrealized gain | 10,443,236 |
Net increase in net assets resulting from operations | $18,158,336 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 35 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $7,715,100 | $7,364,544 |
Net realized loss | (2,033,813) | (171,406) |
Net change in unrealized appreciation (depreciation) | 12,477,049 | (7,936,940) |
Net increase (decrease) in net assets resulting from operations | 18,158,336 | (743,802) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (4,041,068) | (3,438,395) |
Class 2 | (3,062,256) | (2,217,129) |
Total distributions to shareholders | (7,103,324) | (5,655,524) |
Increase in net assets from capital stock activity | 33,123,976 | 11,002,638 |
Total increase in net assets | 44,178,988 | 4,603,312 |
Net assets at beginning of year | 168,291,725 | 163,688,413 |
Net assets at end of year | $212,470,713 | $168,291,725 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 653,187 | 2,757,690 | 677,059 | 2,758,715 |
Distributions reinvested | 966,763 | 4,041,068 | 848,986 | 3,438,395 |
Redemptions | (760,175) | (3,203,096) | (605,434) | (2,483,158) |
Net increase | 859,775 | 3,595,662 | 920,611 | 3,713,952 |
Class 2 | ||||
Subscriptions | 8,274,326 | 34,581,903 | 5,051,153 | 20,665,730 |
Distributions reinvested | 739,675 | 3,062,256 | 552,900 | 2,217,129 |
Redemptions | (1,933,639) | (8,115,845) | (3,819,211) | (15,594,173) |
Net increase | 7,080,362 | 29,528,314 | 1,784,842 | 7,288,686 |
Total net increase | 7,940,137 | 33,123,976 | 2,705,453 | 11,002,638 |
36 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 37 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $4.02 | 0.18 | 0.23 | 0.41 | (0.16) | — | (0.16) |
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)(d) | 0.02 | (3.20) | (1.08) | (4.28) |
Class 2 | |||||||
Year Ended 12/31/2019 | $3.98 | 0.16 | 0.24 | 0.40 | (0.15) | — | (0.15) |
Year Ended 12/31/2018 | $4.14 | 0.17 | (0.20) | (0.03) | (0.13) | — | (0.13) |
Year Ended 12/31/2017 | $4.02 | 0.17 | 0.07 | 0.24 | (0.12) | — | (0.12) |
Year Ended 12/31/2016 | $4.41 | 0.18 | 0.21 | 0.39 | (0.51) | (0.27) | (0.78) |
Year Ended 12/31/2015 | $8.66 | 0.26 | (0.25)(d) | 0.01 | (3.18) | (1.08) | (4.26) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
38 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $4.27 | 10.38% | 0.74%(c) | 0.69%(c) | 4.19% | 193% | $109,698 |
Year Ended 12/31/2018 | $4.02 | (0.39%) | 0.77%(c) | 0.69%(c) | 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 |
Class 2 | |||||||
Year Ended 12/31/2019 | $4.23 | 10.22% | 0.99%(c) | 0.94%(c) | 3.92% | 193% | $102,773 |
Year Ended 12/31/2018 | $3.98 | (0.64%) | 1.02%(c) | 0.94%(c) | 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% | $35,854 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 39 |
December 31, 2019
40 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 41 |
December 31, 2019
42 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 43 |
December 31, 2019
44 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Upfront payments on swap contracts | 274,281 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 705,919* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 142,188* |
Total | 1,122,388 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 867,048* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 38,351 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 14,787* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 66,063* |
Total | 986,249 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 45 |
December 31, 2019
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (339,078) | (339,078) |
Foreign exchange risk | 64,756 | — | — | — | — | 64,756 |
Interest rate risk | — | (2,782,984) | (456,708) | 1,319,500 | (45,217) | (1,965,409) |
Total | 64,756 | (2,782,984) | (456,708) | 1,319,500 | (384,295) | (2,239,731) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (868,087) | (868,087) |
Foreign exchange risk | (75,026) | — | — | — | — | (75,026) |
Interest rate risk | — | 638,537 | (35,287) | (32,771) | 259,107 | 829,586 |
Total | (75,026) | 638,537 | (35,287) | (32,771) | (608,980) | (113,527) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 19,113,211 |
Futures contracts — short | 76,133,639 |
Credit default swap contracts — buy protection | 20,392,250 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 422,093 |
Options contracts — written | (185,982) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 13,517 | (14,786) |
Interest rate swap contracts | 106,343 | (239,131) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
46 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 47 |
December 31, 2019
Citi ($) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | ||||||
Centrally cleared credit default swap contracts (b) | - | - | 7,968 | - | - | 7,968 |
Centrally cleared interest rate swap contracts (b) | - | - | 14,422 | - | - | 14,422 |
OTC credit default swap contracts (c) | 23,839 | 13,479 | - | - | - | 37,318 |
Total assets | 23,839 | 13,479 | 22,390 | - | - | 59,708 |
Liabilities | ||||||
Centrally cleared interest rate swap contracts (b) | - | - | 707 | - | - | 707 |
Forward foreign currency exchange contracts | - | - | - | 15,665 | 22,686 | 38,351 |
Total liabilities | - | - | 707 | 15,665 | 22,686 | 39,058 |
Total financial and derivative net assets | 23,839 | 13,479 | 21,683 | (15,665) | (22,686) | 20,650 |
Total collateral received (pledged) (d) | - | - | - | - | - | - |
Net amount (e) | 23,839 | 13,479 | 21,683 | (15,665) | (22,686) | 20,650 |
(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. |
48 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 49 |
December 31, 2019
50 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.69% | 0.67% |
Class 2 | 0.94 | 0.92 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 51 |
December 31, 2019
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(765,873) | 765,873 | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
7,103,324 | — | 7,103,324 | 5,655,524 | — | 5,655,524 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
6,993,695 | — | (2,472,318) | 5,734,373 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
224,571,709 | 7,770,301 | (2,035,928) | 5,734,373 |
52 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
(285,047) | (2,187,271) | (2,472,318) | — | — |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 53 |
December 31, 2019
54 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 55 |
December 31, 2019
56 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 57 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
58 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 59 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
60 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2019 | 61 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
14 | |
15 | |
16 | |
18 | |
20 | |
28 | |
29 | |
29 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/19/98 | 21.34 | 7.27 | 10.09 | |
Class 2 | 06/01/00 | 20.98 | 7.01 | 9.86 | |
Russell 2000 Value Index | 22.39 | 6.99 | 10.56 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.3 |
Exchange-Traded Equity Funds | 0.3 |
Money Market Funds | 1.4 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 1.7 |
Consumer Discretionary | 12.9 |
Consumer Staples | 3.3 |
Energy | 5.8 |
Financials | 36.1 |
Health Care | 3.8 |
Industrials | 12.0 |
Information Technology | 9.3 |
Materials | 8.9 |
Real Estate | 6.2 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,076.40 | 1,020.79 | 4.87 | 4.74 | 0.92 |
Class 2 | 1,000.00 | 1,000.00 | 1,074.40 | 1,019.52 | 6.18 | 6.02 | 1.17 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 98.2% | ||
Issuer | Shares | Value ($) |
Communication Services 1.7% | ||
Entertainment 0.3% | ||
Lions Gate Entertainment Corp., Class B(a) | 175,591 | 1,743,619 |
Interactive Media & Services 0.2% | ||
Trivago NV, ADR(a) | 502,739 | 1,317,176 |
Media 0.8% | ||
Criteo SA, ADR(a) | 162,771 | 2,820,822 |
Liberty Latin America Ltd., Class C(a) | 121,983 | 2,373,789 |
Total | 5,194,611 | |
Wireless Telecommunication Services 0.4% | ||
Shenandoah Telecommunications Co. | 55,314 | 2,301,615 |
Total Communication Services | 10,557,021 | |
Consumer Discretionary 12.7% | ||
Auto Components 2.1% | ||
Cooper Tire & Rubber Co. | 131,416 | 3,778,210 |
Gentherm, Inc.(a) | 85,199 | 3,781,984 |
Modine Manufacturing Co.(a) | 253,058 | 1,948,546 |
Visteon Corp.(a) | 44,990 | 3,895,684 |
Total | 13,404,424 | |
Automobiles 1.0% | ||
Thor Industries, Inc. | 85,181 | 6,328,097 |
Distributors 0.2% | ||
Educational Development Corp. | 214,027 | 1,322,687 |
Diversified Consumer Services 0.8% | ||
American Public Education, Inc.(a) | 61,693 | 1,689,771 |
Carriage Services, Inc. | 125,810 | 3,220,736 |
Total | 4,910,507 | |
Hotels, Restaurants & Leisure 0.3% | ||
PlayAGS, Inc.(a) | 163,979 | 1,989,065 |
Household Durables 2.6% | ||
Cavco Industries, Inc.(a) | 16,157 | 3,156,755 |
Ethan Allen Interiors, Inc. | 180,030 | 3,431,372 |
Hamilton Beach Brands Holding Co. | 52,088 | 994,881 |
Hooker Furniture Corp. | 79,183 | 2,034,211 |
Legacy Housing Corp.(a) | 117,379 | 1,953,186 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Lifetime Brands, Inc. | 138,447 | 962,207 |
TRI Pointe Group, Inc.(a) | 233,917 | 3,644,427 |
Total | 16,177,039 | |
Leisure Products 1.2% | ||
Acushnet Holdings Corp. | 47,132 | 1,531,790 |
American Outdoor Brands Corp.(a) | 304,650 | 2,827,152 |
Malibu Boats, Inc., Class A(a) | 80,612 | 3,301,061 |
Total | 7,660,003 | |
Multiline Retail 1.1% | ||
Big Lots, Inc. | 125,267 | 3,597,668 |
Hudson’s Bay Co. | 435,706 | 3,315,063 |
Total | 6,912,731 | |
Specialty Retail 2.6% | ||
Children’s Place, Inc. (The) | 79,558 | 4,973,966 |
Citi Trends, Inc. | 94,288 | 2,179,939 |
Designer Brands, Inc. | 149,991 | 2,360,858 |
Signet Jewelers Ltd. | 162,688 | 3,536,837 |
Urban Outfitters, Inc.(a) | 125,873 | 3,495,493 |
Total | 16,547,093 | |
Textiles, Apparel & Luxury Goods 0.8% | ||
Capri Holdings Ltd.(a) | 66,232 | 2,526,751 |
Movado Group, Inc. | 117,070 | 2,545,102 |
Total | 5,071,853 | |
Total Consumer Discretionary | 80,323,499 | |
Consumer Staples 3.3% | ||
Beverages 0.3% | ||
MGP Ingredients, Inc. | 40,363 | 1,955,588 |
Food & Staples Retailing 1.0% | ||
Andersons, Inc. (The) | 116,897 | 2,955,156 |
Weis Markets, Inc. | 85,933 | 3,479,427 |
Total | 6,434,583 | |
Food Products 1.5% | ||
Fresh Del Monte Produce, Inc. | 157,781 | 5,519,179 |
Hain Celestial Group, Inc. (The)(a) | 140,569 | 3,648,469 |
Total | 9,167,648 |
8 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Personal Products 0.5% | ||
Inter Parfums, Inc. | 41,082 | 2,987,072 |
Total Consumer Staples | 20,544,891 | |
Energy 5.7% | ||
Energy Equipment & Services 2.1% | ||
Covia Holdings Corp.(a) | 793,504 | 1,618,748 |
Dawson Geophysical Co.(a) | 747,314 | 1,793,554 |
Frank’s International NV(a) | 389,731 | 2,014,909 |
Natural Gas Services Group, Inc.(a) | 163,242 | 2,001,347 |
Profire Energy, Inc.(a) | 835,931 | 1,212,100 |
ProPetro Holding Corp.(a) | 219,140 | 2,465,325 |
RPC, Inc. | 444,090 | 2,327,031 |
Total | 13,433,014 | |
Oil, Gas & Consumable Fuels 3.6% | ||
Callon Petroleum Co.(a) | 1,013,462 | 4,895,022 |
Delek U.S. Holdings, Inc. | 160,313 | 5,375,295 |
Magnolia Oil & Gas Corp., Class A(a) | 224,950 | 2,829,871 |
Northern Oil and Gas, Inc.(a) | 821,430 | 1,922,146 |
Range Resources Corp. | 559,720 | 2,714,642 |
SM Energy Co. | 254,267 | 2,857,961 |
W&T Offshore, Inc.(a) | 370,850 | 2,061,926 |
Total | 22,656,863 | |
Total Energy | 36,089,877 | |
Financials 35.4% | ||
Banks 21.5% | ||
Ameris Bancorp | 122,702 | 5,219,743 |
Atlantic Union Bankshares Corp. | 113,727 | 4,270,449 |
Auburn National Bancorporation, Inc. | 39,020 | 2,068,060 |
BancFirst Corp. | 94,404 | 5,894,586 |
BankUnited, Inc. | 203,083 | 7,424,714 |
Banner Corp. | 89,577 | 5,069,162 |
Boston Private Financial Holdings, Inc. | 355,329 | 4,274,608 |
Bridge Bancorp, Inc. | 84,171 | 2,822,254 |
Brookline Bancorp, Inc. | 277,228 | 4,563,173 |
Capital City Bank Group, Inc. | 178,335 | 5,439,217 |
CB Financial Services, Inc. | 51,560 | 1,554,018 |
CenterState Bank Corp. | 185,027 | 4,621,974 |
Columbia Banking System, Inc. | 125,764 | 5,116,708 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Community Trust Bancorp, Inc. | 76,947 | 3,588,808 |
First BanCorp | 628,850 | 6,659,521 |
First Community Corp. | 87,580 | 1,892,604 |
First Financial Corp. | 99,139 | 4,532,635 |
First of Long Island Corp. (The) | 167,320 | 4,196,386 |
Heritage Financial Corp. | 81,403 | 2,303,705 |
Hilltop Holdings, Inc. | 261,800 | 6,526,674 |
Iberiabank Corp. | 79,120 | 5,920,550 |
Investors Bancorp, Inc. | 391,273 | 4,662,018 |
National Bank Holdings Corp., Class A | 107,221 | 3,776,324 |
Northrim BanCorp, Inc. | 128,261 | 4,912,396 |
OFG Bancorp | 193,920 | 4,578,451 |
Popular, Inc. | 45,226 | 2,657,028 |
Sierra Bancorp | 72,471 | 2,110,356 |
Silvergate Capital Corp., Class A(a) | 154,010 | 2,450,299 |
Texas Capital Bancshares, Inc.(a) | 72,745 | 4,129,734 |
Towne Bank | 189,083 | 5,260,289 |
UMB Financial Corp. | 105,980 | 7,274,467 |
Total | 135,770,911 | |
Capital Markets 1.3% | ||
GAIN Capital Holdings, Inc. | 461,868 | 1,824,379 |
INTL FCStone, Inc.(a) | 88,979 | 4,344,844 |
Moelis & Co., ADR, Class A | 63,984 | 2,042,369 |
Total | 8,211,592 | |
Consumer Finance 1.4% | ||
Enova International, Inc.(a) | 58,151 | 1,399,113 |
Ezcorp, Inc., Class A(a) | 562,749 | 3,837,948 |
FirstCash, Inc. | 42,774 | 3,448,868 |
Total | 8,685,929 | |
Insurance 5.9% | ||
American Equity Investment Life Holding Co. | 188,087 | 5,629,444 |
American National Insurance Co. | 20,540 | 2,417,147 |
Crawford & Co., Class A | 212,414 | 2,436,389 |
Employers Holdings, Inc. | 110,925 | 4,631,119 |
FBL Financial Group, Inc., Class A | 68,139 | 4,015,431 |
Global Indemnity Ltd | 112,055 | 3,320,190 |
Heritage Insurance Holdings, Inc. | 199,884 | 2,648,463 |
Horace Mann Educators Corp. | 77,501 | 3,383,694 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 9 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
National Western Life Group, Inc., Class A | 13,656 | 3,972,257 |
Protective Insurance Corp., Class B | 160,736 | 2,586,242 |
United Fire Group, Inc. | 52,622 | 2,301,160 |
Total | 37,341,536 | |
Thrifts & Mortgage Finance 5.3% | ||
HomeStreet, Inc.(a) | 122,532 | 4,166,088 |
MGIC Investment Corp. | 426,137 | 6,038,361 |
Provident Financial Holdings, Inc. | 141,165 | 3,091,514 |
Radian Group, Inc. | 325,480 | 8,189,077 |
Washington Federal, Inc. | 150,125 | 5,502,081 |
Western New England Bancorp, Inc. | 397,631 | 3,829,187 |
WSFS Financial Corp. | 70,765 | 3,112,952 |
Total | 33,929,260 | |
Total Financials | 223,939,228 | |
Health Care 3.7% | ||
Biotechnology 1.1% | ||
Atara Biotherapeutics, Inc.(a) | 88,460 | 1,456,936 |
Dynavax Technologies Corp.(a) | 313,338 | 1,792,294 |
Immunomedics, Inc.(a) | 173,800 | 3,677,608 |
Total | 6,926,838 | |
Health Care Equipment & Supplies 0.7% | ||
Quotient Ltd.(a) | 225,832 | 2,147,662 |
Sientra, Inc.(a) | 260,490 | 2,328,781 |
Total | 4,476,443 | |
Life Sciences Tools & Services 0.2% | ||
Quanterix Corp.(a) | 66,550 | 1,572,576 |
Pharmaceuticals 1.7% | ||
Aerie Pharmaceuticals, Inc.(a) | 148,110 | 3,579,819 |
Supernus Pharmaceuticals, Inc.(a) | 166,880 | 3,958,393 |
TherapeuticsMD, Inc.(a) | 1,256,140 | 3,039,859 |
Total | 10,578,071 | |
Total Health Care | 23,553,928 | |
Industrials 11.8% | ||
Airlines 0.6% | ||
Spirit Airlines, Inc.(a) | 92,058 | 3,710,858 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 1.6% | ||
Apogee Enterprises, Inc. | 80,168 | 2,605,460 |
Resideo Technologies, Inc.(a) | 230,707 | 2,752,335 |
Universal Forest Products, Inc. | 107,216 | 5,114,203 |
Total | 10,471,998 | |
Commercial Services & Supplies 0.4% | ||
Herman Miller, Inc. | 59,190 | 2,465,263 |
Electrical Equipment 0.7% | ||
Encore Wire Corp. | 79,329 | 4,553,485 |
Machinery 4.0% | ||
FreightCar America, Inc.(a) | 206,782 | 428,039 |
Gorman-Rupp Co. | 94,106 | 3,528,975 |
Kennametal, Inc. | 128,305 | 4,733,171 |
LB Foster Co., Class A(a) | 110,865 | 2,148,564 |
Lydall, Inc.(a) | 122,461 | 2,512,900 |
Manitex International, Inc.(a) | 274,808 | 1,635,108 |
Mueller Industries, Inc. | 136,589 | 4,336,701 |
Standex International Corp. | 42,090 | 3,339,841 |
Wabash National Corp. | 173,490 | 2,548,568 |
Total | 25,211,867 | |
Marine 0.6% | ||
Seaspan Corp. | 259,105 | 3,681,882 |
Professional Services 0.8% | ||
Korn/Ferry International | 113,336 | 4,805,446 |
Road & Rail 2.4% | ||
Heartland Express, Inc. | 163,200 | 3,435,360 |
Marten Transport Ltd. | 185,600 | 3,988,544 |
Schneider National, Inc., Class B | 174,831 | 3,814,812 |
Werner Enterprises, Inc. | 101,028 | 3,676,409 |
Total | 14,915,125 | |
Trading Companies & Distributors 0.7% | ||
Houston Wire & Cable Co.(a) | 259,188 | 1,143,019 |
Textainer Group Holdings Ltd.(a) | 306,648 | 3,284,200 |
Total | 4,427,219 | |
Total Industrials | 74,243,143 |
10 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 9.1% | ||
Communications Equipment 3.3% | ||
Casa Systems, Inc.(a) | 190,539 | 779,304 |
Digi International, Inc.(a) | 144,383 | 2,558,467 |
KVH Industries, Inc.(a) | 238,447 | 2,653,915 |
Lumentum Holdings, Inc.(a) | 99,358 | 7,879,089 |
NETGEAR, Inc.(a) | 112,470 | 2,756,640 |
Netscout Systems, Inc.(a) | 188,923 | 4,547,377 |
Total | 21,174,792 | |
Electronic Equipment, Instruments & Components 1.4% | ||
AVX Corp. | 118,145 | 2,418,428 |
Vishay Intertechnology, Inc. | 288,720 | 6,146,849 |
Total | 8,565,277 | |
Semiconductors & Semiconductor Equipment 3.0% | ||
Advanced Energy Industries, Inc.(a) | 39,530 | 2,814,536 |
Cirrus Logic, Inc.(a) | 35,300 | 2,909,073 |
Cohu, Inc. | 241,666 | 5,522,068 |
MACOM Technology Solutions Holdings, Inc.(a) | 184,463 | 4,906,716 |
Photronics, Inc.(a) | 190,945 | 3,009,293 |
Total | 19,161,686 | |
Software 1.1% | ||
Asure Software, Inc.(a) | 255,840 | 2,092,771 |
MicroStrategy, Inc., Class A(a) | 25,450 | 3,629,934 |
Park City Group Inc(a) | 228,924 | 1,158,355 |
Total | 6,881,060 | |
Technology Hardware, Storage & Peripherals 0.3% | ||
Stratasys Ltd.(a) | 82,695 | 1,672,507 |
Total Information Technology | 57,455,322 | |
Materials 8.7% | ||
Chemicals 2.1% | ||
Flotek Industries, Inc.(a) | 530,701 | 1,061,402 |
FutureFuel Corp. | 265,762 | 3,292,791 |
Livent Corp.(a) | 609,796 | 5,213,756 |
Tronox Holdings PLC, Class A | 303,882 | 3,470,332 |
Total | 13,038,281 | |
Containers & Packaging 0.6% | ||
Greif, Inc., Class A | 85,017 | 3,757,751 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 4.6% | ||
Allegheny Technologies, Inc.(a) | 208,734 | 4,312,444 |
Ampco-Pittsburgh Corp.(a) | 280,882 | 845,455 |
Capstone Mining Corp.(a) | 6,151,079 | 3,600,031 |
Centerra Gold, Inc.(a) | 378,530 | 3,011,216 |
Century Aluminum Co.(a) | 335,749 | 2,523,154 |
Commercial Metals Co. | 253,940 | 5,655,244 |
Ferroglobe PLC(a) | 1,456,694 | 1,369,292 |
Olympic Steel, Inc. | 216,180 | 3,873,946 |
Schnitzer Steel Industries, Inc., Class A | 77,390 | 1,677,815 |
Universal Stainless & Alloy Products, Inc.(a) | 160,613 | 2,393,134 |
Total | 29,261,731 | |
Paper & Forest Products 1.4% | ||
Clearwater Paper Corp.(a) | 143,864 | 3,072,935 |
Louisiana-Pacific Corp. | 204,880 | 6,078,790 |
Total | 9,151,725 | |
Total Materials | 55,209,488 | |
Real Estate 6.1% | ||
Equity Real Estate Investment Trusts (REITS) 6.1% | ||
CoreCivic, Inc. | 217,060 | 3,772,503 |
Farmland Partners, Inc. | 512,458 | 3,474,465 |
Mack-Cali Realty Corp. | 338,870 | 7,838,063 |
PotlatchDeltic Corp. | 122,532 | 5,301,960 |
RLJ Lodging Trust | 476,530 | 8,444,112 |
SITE Centers Corp. | 231,515 | 3,245,840 |
Sunstone Hotel Investors, Inc. | 480,472 | 6,688,170 |
Total | 38,765,113 | |
Total Real Estate | 38,765,113 | |
Total Common Stocks (Cost $598,354,035) | 620,681,510 | |
Exchange-Traded Equity Funds 0.3% | ||
Shares | Value ($) | |
U.S. Small Cap 0.3% | ||
iShares Russell 2000 Value ETF | 14,560 | 1,872,125 |
Total Exchange-Traded Equity Funds (Cost $1,808,758) | 1,872,125 | |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 11 |
December 31, 2019
Money Market Funds 1.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 8,853,962 | 8,853,077 |
Total Money Market Funds (Cost $8,853,282) | 8,853,077 | |
Total Investments in Securities (Cost: $609,016,075) | 631,406,712 | |
Other Assets & Liabilities, Net | 344,800 | |
Net Assets | 631,751,512 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
3,606,415 | 307,032,049 | (301,784,502) | 8,853,962 | 698 | (205) | 118,235 | 8,853,077 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
12 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 10,557,021 | — | — | 10,557,021 |
Consumer Discretionary | 80,323,499 | — | — | 80,323,499 |
Consumer Staples | 20,544,891 | — | — | 20,544,891 |
Energy | 36,089,877 | — | — | 36,089,877 |
Financials | 223,939,228 | — | — | 223,939,228 |
Health Care | 23,553,928 | — | — | 23,553,928 |
Industrials | 74,243,143 | — | — | 74,243,143 |
Information Technology | 57,455,322 | — | — | 57,455,322 |
Materials | 55,209,488 | — | — | 55,209,488 |
Real Estate | 38,765,113 | — | — | 38,765,113 |
Total Common Stocks | 620,681,510 | — | — | 620,681,510 |
Exchange-Traded Equity Funds | 1,872,125 | — | — | 1,872,125 |
Money Market Funds | 8,853,077 | — | — | 8,853,077 |
Total Investments in Securities | 631,406,712 | — | — | 631,406,712 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 13 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $600,162,793) | $622,553,635 |
Affiliated issuers (cost $8,853,282) | 8,853,077 |
Cash | 12,453 |
Receivable for: | |
Capital shares sold | 34,700 |
Dividends | 951,388 |
Foreign tax reclaims | 419 |
Prepaid expenses | 1,173 |
Trustees’ deferred compensation plan | 94,146 |
Total assets | 632,500,991 |
Liabilities | |
Payable for: | |
Investments purchased | 290,158 |
Capital shares purchased | 194,839 |
Management services fees | 14,840 |
Distribution and/or service fees | 2,155 |
Service fees | 111,858 |
Compensation of board members | 250 |
Compensation of chief compliance officer | 34 |
Other expenses | 41,199 |
Trustees’ deferred compensation plan | 94,146 |
Total liabilities | 749,479 |
Net assets applicable to outstanding capital stock | $631,751,512 |
Represented by | |
Paid in capital | 584,059,620 |
Total distributable earnings (loss) | 47,691,892 |
Total - representing net assets applicable to outstanding capital stock | $631,751,512 |
Class 1 | |
Net assets | $316,513,461 |
Shares outstanding | 20,200,341 |
Net asset value per share | $15.67 |
Class 2 | |
Net assets | $315,238,051 |
Shares outstanding | 20,270,023 |
Net asset value per share | $15.55 |
14 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $6,914,337 |
Dividends — affiliated issuers | 118,235 |
Foreign taxes withheld | (16,676) |
Total income | 7,015,896 |
Expenses: | |
Management services fees | 3,489,125 |
Distribution and/or service fees | |
Class 2 | 773,768 |
Service fees | 589,219 |
Compensation of board members | 18,502 |
Custodian fees | 10,010 |
Printing and postage fees | 38,202 |
Audit fees | 29,000 |
Legal fees | 8,315 |
Interest on interfund lending | 16 |
Compensation of chief compliance officer | 128 |
Other | 16,127 |
Total expenses | 4,972,412 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (492,342) |
Total net expenses | 4,480,070 |
Net investment income | 2,535,826 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 23,046,488 |
Investments — affiliated issuers | 698 |
Foreign currency translations | 3,018 |
Net realized gain | 23,050,204 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 51,584,661 |
Investments — affiliated issuers | (205) |
Foreign currency translations | 19 |
Net change in unrealized appreciation (depreciation) | 51,584,475 |
Net realized and unrealized gain | 74,634,679 |
Net increase in net assets resulting from operations | $77,170,505 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 15 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $2,535,826 | $963,989 |
Net realized gain | 23,050,204 | 27,370,100 |
Net change in unrealized appreciation (depreciation) | 51,584,475 | (92,094,856) |
Net increase (decrease) in net assets resulting from operations | 77,170,505 | (63,760,767) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (535,774) | (980,459) |
Class 2 | (27,808,189) | (53,301,432) |
Total distributions to shareholders | (28,343,963) | (54,281,891) |
Increase in net assets from capital stock activity | 292,643,666 | 26,497,488 |
Total increase (decrease) in net assets | 341,470,208 | (91,545,170) |
Net assets at beginning of year | 290,281,304 | 381,826,474 |
Net assets at end of year | $631,751,512 | $290,281,304 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 19,898,420 | 293,885,795 | 52,588 | 930,571 |
Distributions reinvested | 36,422 | 535,774 | 54,561 | 980,459 |
Redemptions | (122,954) | (1,845,073) | (72,660) | (1,441,668) |
Net increase | 19,811,888 | 292,576,496 | 34,489 | 469,362 |
Class 2 | ||||
Subscriptions | 1,352,923 | 20,253,011 | 1,109,990 | 19,648,565 |
Distributions reinvested | 1,903,367 | 27,808,189 | 2,986,074 | 53,301,432 |
Redemptions | (3,156,935) | (47,994,030) | (2,495,991) | (46,921,871) |
Net increase | 99,355 | 67,170 | 1,600,073 | 26,028,126 |
Total net increase | 19,911,243 | 292,643,666 | 1,634,562 | 26,497,488 |
16 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 17 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $14.22 | 0.15 | 2.79 | 2.94 | (0.09) | (1.40) | (1.49) |
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) |
Class 2 | |||||||
Year Ended 12/31/2019 | $14.12 | 0.08 | 2.79 | 2.87 | (0.04) | (1.40) | (1.44) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
18 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $15.67 | 21.34% | 1.04%(c) | 0.92%(c) | 1.00% | 60% | $316,513 |
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%(d) | 0.93%(d) | 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 |
Class 2 | |||||||
Year Ended 12/31/2019 | $15.55 | 20.98% | 1.31%(c) | 1.17%(c) | 0.52% | 60% | $315,238 |
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%(d) | 1.18%(d) | 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% | $320,184 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 23 |
December 31, 2019
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.92% |
Class 2 | 1.17 |
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
(88,148) | 88,148 | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
3,042,526 | 25,301,437 | 28,343,963 | 16,402,147 | 37,879,744 | 54,281,891 |
24 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
6,741,328 | 19,012,368 | — | 22,024,400 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
609,382,312 | 62,627,554 | (40,603,154) | 22,024,400 |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 200,000 | 2.92 | 1 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 25 |
December 31, 2019
26 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 27 |
28 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
Dividends received deduction | Capital gain dividend |
99.85% | $20,049,761 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 29 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
30 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
Consultants to the Independent Trustees* (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 | 31 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
32 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | 33.13 | 10.57 | 13.69 | |
Class 2 | 04/30/12 | 32.81 | 10.30 | 13.42 | |
Russell 1000 Index | 31.43 | 11.48 | 13.78 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 99.2 |
Money Market Funds | 0.8 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 14.6 |
Consumer Discretionary | 7.9 |
Consumer Staples | 4.6 |
Energy | 5.7 |
Financials | 15.4 |
Health Care | 12.6 |
Industrials | 7.6 |
Information Technology | 26.4 |
Materials | 3.3 |
Real Estate | 1.1 |
Utilities | 0.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,112.70 | 1,021.96 | 3.71 | 3.55 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,111.70 | 1,020.69 | 5.06 | 4.84 | 0.94 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Communication Services 14.4% | ||
Diversified Telecommunication Services 2.1% | ||
AT&T, Inc. | 528,866 | 20,668,084 |
Verizon Communications, Inc. | 203,178 | 12,475,129 |
Total | 33,143,213 | |
Entertainment 2.3% | ||
Activision Blizzard, Inc. | 347,474 | 20,646,905 |
Electronic Arts, Inc.(a) | 130,980 | 14,081,660 |
Total | 34,728,565 | |
Interactive Media & Services 6.5% | ||
Alphabet, Inc., Class A(a) | 20,691 | 27,713,319 |
Alphabet, Inc., Class C(a) | 25,419 | 33,985,711 |
Facebook, Inc., Class A(a) | 187,144 | 38,411,306 |
Total | 100,110,336 | |
Media 3.0% | ||
Comcast Corp., Class A | 864,217 | 38,863,838 |
ViacomCBS, Inc., Class B | 187,335 | 7,862,450 |
Total | 46,726,288 | |
Wireless Telecommunication Services 0.5% | ||
T-Mobile U.S.A., Inc.(a) | 100,851 | 7,908,735 |
Total Communication Services | 222,617,137 | |
Consumer Discretionary 7.9% | ||
Hotels, Restaurants & Leisure 0.8% | ||
Aramark | 194,235 | 8,429,799 |
McDonald’s Corp. | 15,775 | 3,117,298 |
Total | 11,547,097 | |
Household Durables 0.7% | ||
D.R. Horton, Inc. | 88,725 | 4,680,243 |
Mohawk Industries, Inc.(a) | 42,705 | 5,824,108 |
Total | 10,504,351 | |
Internet & Direct Marketing Retail 4.2% | ||
Amazon.com, Inc.(a) | 24,867 | 45,950,237 |
eBay, Inc. | 537,105 | 19,394,862 |
Total | 65,345,099 | |
Specialty Retail 1.9% | ||
Lowe’s Companies, Inc. | 240,092 | 28,753,418 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 0.3% | ||
Capri Holdings Ltd.(a) | 139,100 | 5,306,665 |
Total Consumer Discretionary | 121,456,630 | |
Consumer Staples 4.5% | ||
Food & Staples Retailing 0.4% | ||
Sysco Corp. | 75,439 | 6,453,052 |
Food Products 1.5% | ||
ConAgra Foods, Inc. | 253,583 | 8,682,682 |
Mondelez International, Inc., Class A | 281,771 | 15,519,947 |
Total | 24,202,629 | |
Household Products 0.5% | ||
Colgate-Palmolive Co. | 105,260 | 7,246,098 |
Tobacco 2.1% | ||
Philip Morris International, Inc. | 378,035 | 32,166,998 |
Total Consumer Staples | 70,068,777 | |
Energy 5.6% | ||
Energy Equipment & Services 0.6% | ||
Schlumberger Ltd. | 242,435 | 9,745,887 |
Oil, Gas & Consumable Fuels 5.0% | ||
Canadian Natural Resources Ltd. | 416,726 | 13,481,086 |
Chevron Corp. | 286,431 | 34,517,800 |
EOG Resources, Inc. | 227,000 | 19,013,520 |
Marathon Petroleum Corp. | 98,975 | 5,963,243 |
Valero Energy Corp. | 38,855 | 3,638,771 |
Total | 76,614,420 | |
Total Energy | 86,360,307 | |
Financials 15.2% | ||
Banks 7.1% | ||
Citigroup, Inc. | 580,434 | 46,370,873 |
JPMorgan Chase & Co. | 367,900 | 51,285,260 |
Wells Fargo & Co. | 218,204 | 11,739,375 |
Total | 109,395,508 |
8 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 3.2% | ||
BlackRock, Inc. | 44,850 | 22,546,095 |
Morgan Stanley | 530,920 | 27,140,630 |
Total | 49,686,725 | |
Diversified Financial Services 4.1% | ||
Berkshire Hathaway, Inc., Class B(a) | 277,090 | 62,760,885 |
Insurance 0.8% | ||
Aon PLC | 60,263 | 12,552,180 |
Total Financials | 234,395,298 | |
Health Care 12.4% | ||
Biotechnology 0.6% | ||
Alexion Pharmaceuticals, Inc.(a) | 88,728 | 9,595,933 |
Health Care Equipment & Supplies 5.9% | ||
Abbott Laboratories | 143,057 | 12,425,931 |
Becton Dickinson and Co. | 70,840 | 19,266,355 |
Dentsply Sirona, Inc. | 266,105 | 15,058,882 |
Medtronic PLC | 396,318 | 44,962,277 |
Total | 91,713,445 | |
Health Care Providers & Services 2.0% | ||
Anthem, Inc. | 44,835 | 13,541,515 |
Cigna Corp. | 81,861 | 16,739,756 |
Total | 30,281,271 | |
Pharmaceuticals 3.9% | ||
Allergan PLC | 69,549 | 13,295,682 |
Johnson & Johnson | 211,504 | 30,852,089 |
Pfizer, Inc. | 421,199 | 16,502,577 |
Total | 60,650,348 | |
Total Health Care | 192,240,997 | |
Industrials 7.6% | ||
Aerospace & Defense 2.3% | ||
L3 Harris Technologies, Inc. | 36,040 | 7,131,235 |
Northrop Grumman Corp. | 67,810 | 23,324,605 |
Spirit AeroSystems Holdings, Inc., Class A | 73,924 | 5,387,581 |
Total | 35,843,421 | |
Electrical Equipment 1.4% | ||
Emerson Electric Co. | 277,768 | 21,182,588 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrial Conglomerates 2.3% | ||
3M Co. | 25,881 | 4,565,926 |
Honeywell International, Inc. | 176,402 | 31,223,154 |
Total | 35,789,080 | |
Machinery 1.0% | ||
Caterpillar, Inc. | 103,425 | 15,273,804 |
Road & Rail 0.6% | ||
Lyft, Inc., Class A(a) | 130,550 | 5,616,261 |
Uber Technologies, Inc.(a) | 102,055 | 3,035,116 |
Total | 8,651,377 | |
Total Industrials | 116,740,270 | |
Information Technology 26.0% | ||
Communications Equipment 0.8% | ||
Cisco Systems, Inc. | 273,820 | 13,132,407 |
Electronic Equipment, Instruments & Components 0.9% | ||
Corning, Inc. | 472,570 | 13,756,513 |
IT Services 6.8% | ||
DXC Technology Co. | 183,470 | 6,896,637 |
Fidelity National Information Services, Inc. | 212,627 | 29,574,290 |
Fiserv, Inc.(a) | 179,986 | 20,811,781 |
International Business Machines Corp. | 85,095 | 11,406,134 |
MasterCard, Inc., Class A | 122,102 | 36,458,436 |
Total | 105,147,278 | |
Semiconductors & Semiconductor Equipment 3.9% | ||
Intel Corp. | 168,155 | 10,064,077 |
Lam Research Corp. | 57,215 | 16,729,666 |
Marvell Technology Group Ltd. | 259,430 | 6,890,461 |
NVIDIA Corp. | 39,820 | 9,369,646 |
NXP Semiconductors NV | 135,575 | 17,253,274 |
Total | 60,307,124 | |
Software 8.6% | ||
Adobe, Inc.(a) | 59,530 | 19,633,589 |
Autodesk, Inc.(a) | 38,935 | 7,143,015 |
CDK Global, Inc. | 131,135 | 7,170,462 |
Microsoft Corp. | 558,340 | 88,050,218 |
Palo Alto Networks, Inc.(a) | 46,058 | 10,650,913 |
Total | 132,648,197 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 9 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Technology Hardware, Storage & Peripherals 5.0% | ||
Apple, Inc. | 263,503 | 77,377,656 |
Total Information Technology | 402,369,175 | |
Materials 3.2% | ||
Chemicals 2.2% | ||
Air Products & Chemicals, Inc. | 27,015 | 6,348,255 |
Corteva, Inc. | 345,312 | 10,207,423 |
DuPont de Nemours, Inc. | 113,932 | 7,314,434 |
Sherwin-Williams Co. (The) | 16,444 | 9,595,732 |
Total | 33,465,844 | |
Metals & Mining 1.0% | ||
Newmont Goldcorp Corp. | 376,245 | 16,347,845 |
Total Materials | 49,813,689 | |
Real Estate 1.1% | ||
Equity Real Estate Investment Trusts (REITS) 1.1% | ||
American Tower Corp. | 76,379 | 17,553,422 |
Total Real Estate | 17,553,422 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 0.8% | ||
Electric Utilities 0.8% | ||
American Electric Power Co., Inc. | 132,766 | 12,547,715 |
Total Utilities | 12,547,715 | |
Total Common Stocks (Cost $1,133,751,633) | 1,526,163,417 | |
Money Market Funds 0.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 12,378,808 | 12,377,570 |
Total Money Market Funds (Cost $12,377,570) | 12,377,570 | |
Total Investments in Securities (Cost: $1,146,129,203) | 1,538,540,987 | |
Other Assets & Liabilities, Net | 7,639,090 | |
Net Assets | 1,546,180,077 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
21,923,464 | 397,402,655 | (406,947,311) | 12,378,808 | 2,501 | — | 489,972 | 12,377,570 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
December 31, 2019
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 222,617,137 | — | — | 222,617,137 |
Consumer Discretionary | 121,456,630 | — | — | 121,456,630 |
Consumer Staples | 70,068,777 | — | — | 70,068,777 |
Energy | 86,360,307 | — | — | 86,360,307 |
Financials | 234,395,298 | — | — | 234,395,298 |
Health Care | 192,240,997 | — | — | 192,240,997 |
Industrials | 116,740,270 | — | — | 116,740,270 |
Information Technology | 402,369,175 | — | — | 402,369,175 |
Materials | 49,813,689 | — | — | 49,813,689 |
Real Estate | 17,553,422 | — | — | 17,553,422 |
Utilities | 12,547,715 | — | — | 12,547,715 |
Total Common Stocks | 1,526,163,417 | — | — | 1,526,163,417 |
Money Market Funds | 12,377,570 | — | — | 12,377,570 |
Total Investments in Securities | 1,538,540,987 | — | — | 1,538,540,987 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 11 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,133,751,633) | $1,526,163,417 |
Affiliated issuers (cost $12,377,570) | 12,377,570 |
Receivable for: | |
Investments sold | 9,815,174 |
Capital shares sold | 3,962 |
Dividends | 1,245,547 |
Foreign tax reclaims | 52,081 |
Expense reimbursement due from Investment Manager | 1,745 |
Prepaid expenses | 5,795 |
Trustees’ deferred compensation plan | 116,259 |
Total assets | 1,549,781,550 |
Liabilities | |
Payable for: | |
Capital shares purchased | 3,407,012 |
Management services fees | 30,385 |
Distribution and/or service fees | 771 |
Service fees | 7,136 |
Compensation of board members | 76 |
Compensation of chief compliance officer | 142 |
Other expenses | 39,692 |
Trustees’ deferred compensation plan | 116,259 |
Total liabilities | 3,601,473 |
Net assets applicable to outstanding capital stock | $1,546,180,077 |
Represented by | |
Trust capital | $1,546,180,077 |
Total - representing net assets applicable to outstanding capital stock | $1,546,180,077 |
Class 1 | |
Net assets | $1,433,379,753 |
Shares outstanding | 53,559,650 |
Net asset value per share | $26.76 |
Class 2 | |
Net assets | $112,800,324 |
Shares outstanding | 4,294,450 |
Net asset value per share | $26.27 |
12 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $27,612,706 |
Dividends — affiliated issuers | 489,972 |
Interfund lending | 833 |
Foreign taxes withheld | (112,418) |
Total income | 27,991,093 |
Expenses: | |
Management services fees | 10,847,470 |
Distribution and/or service fees | |
Class 2 | 259,128 |
Service fees | 66,175 |
Compensation of board members | 35,526 |
Custodian fees | 24,007 |
Printing and postage fees | 18,182 |
Audit fees | 29,000 |
Legal fees | 32,146 |
Interest on interfund lending | 16 |
Compensation of chief compliance officer | 555 |
Other | 47,890 |
Total expenses | 11,360,095 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (541,231) |
Total net expenses | 10,818,864 |
Net investment income | 17,172,229 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 75,120,260 |
Investments — affiliated issuers | 2,501 |
Foreign currency translations | (747) |
Net realized gain | 75,122,014 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 335,011,164 |
Foreign currency translations | 4,861 |
Net change in unrealized appreciation (depreciation) | 335,016,025 |
Net realized and unrealized gain | 410,138,039 |
Net increase in net assets resulting from operations | $427,310,268 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $17,172,229 | $22,335,135 |
Net realized gain | 75,122,014 | 371,594,352 |
Net change in unrealized appreciation (depreciation) | 335,016,025 | (503,071,484) |
Net increase (decrease) in net assets resulting from operations | 427,310,268 | (109,141,997) |
Decrease in net assets from capital stock activity | (274,808,345) | (991,818,558) |
Total increase (decrease) in net assets | 152,501,923 | (1,100,960,555) |
Net assets at beginning of year | 1,393,678,154 | 2,494,638,709 |
Net assets at end of year | $1,546,180,077 | $1,393,678,154 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 216,231 | 5,144,391 | 573,174 | 12,613,224 |
Redemptions | (11,411,795) | (271,813,544) | (43,845,452) | (994,617,858) |
Net decrease | (11,195,564) | (266,669,153) | (43,272,278) | (982,004,634) |
Class 2 | ||||
Subscriptions | 169,748 | 4,008,986 | 289,669 | 6,351,487 |
Redemptions | (522,680) | (12,148,178) | (735,853) | (16,165,411) |
Net decrease | (352,932) | (8,139,192) | (446,184) | (9,813,924) |
Total net decrease | (11,548,496) | (274,808,345) | (43,718,462) | (991,818,558) |
14 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $20.10 | 0.27 | 6.39 | 6.66 |
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(d) | (0.06) | 0.48 |
Class 2 | ||||
Year Ended 12/31/2019 | $19.78 | 0.21 | 6.28 | 6.49 |
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(e) | (0.14) | 0.44 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.40 per share. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.47 per share. |
16 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $26.76 | 33.13% | 0.74%(c) | 0.70%(c) | 1.16% | 43% | $1,433,380 |
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 |
Class 2 | |||||||
Year Ended 12/31/2019 | $26.27 | 32.81% | 0.99%(c) | 0.95%(c) | 0.90% | 43% | $112,800 |
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% | $55,892 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 21 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.69% | 0.72% |
Class 2 | 0.94 | 0.97 |
22 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 200,000 | 2.93 | 1 |
Lender | 11,400,000 | 2.63 | 1 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 25 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
26 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 27 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
28 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2019 | 29 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
18 | |
26 | |
27 | |
27 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | 16.82 | 4.13 | 3.99 | |
Class 2 | 04/30/13 | 16.58 | 3.85 | 3.73 | |
MSCI EAFE Index (Net) | 22.01 | 5.67 | 5.07 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 3 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 5.1 |
Consumer Discretionary | 10.6 |
Consumer Staples | 11.8 |
Energy | 5.2 |
Financials | 18.2 |
Health Care | 13.4 |
Industrials | 15.4 |
Information Technology | 5.9 |
Materials | 6.9 |
Real Estate | 3.3 |
Utilities | 4.2 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2019) | |
Australia | 7.3 |
Austria | 1.1 |
Belgium | 0.2 |
China | 0.1 |
Denmark | 3.4 |
France | 10.3 |
Germany | 8.2 |
Hong Kong | 3.2 |
Ireland | 0.2 |
Israel | 0.7 |
Italy | 3.0 |
Japan | 24.0 |
Netherlands | 6.8 |
Norway | 0.5 |
Singapore | 1.1 |
Spain | 4.8 |
Sweden | 2.6 |
Switzerland | 10.2 |
United Kingdom | 12.1 |
United States(a) | 0.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 5 |
6 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,050.80 | 1,021.45 | 4.13 | 4.07 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 1,048.50 | 1,020.18 | 5.43 | 5.35 | 1.04 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 98.6% | ||
Issuer | Shares | Value ($) |
Australia 7.3% | ||
Appen Ltd. | 470,211 | 7,426,645 |
ASX Ltd. | 162,820 | 8,964,894 |
Beach Energy Ltd. | 3,919,068 | 6,931,861 |
BHP Group Ltd. | 471,264 | 12,904,296 |
Cochlear Ltd. | 67,411 | 10,624,388 |
CSL Ltd. | 166,037 | 32,191,597 |
Fortescue Metals Group Ltd. | 3,972,724 | 29,947,818 |
IDP Education Ltd. | 447,152 | 5,390,123 |
Magellan Financial Group Ltd. | 729,823 | 29,240,297 |
Qantas Airways Ltd. | 5,265,407 | 26,245,427 |
Regis Resources Ltd. | 1,318,187 | 3,988,532 |
Sandfire Resources NL | 800,025 | 3,361,487 |
Santos Ltd. | 4,606,425 | 26,500,586 |
Saracen Mineral Holdings Ltd.(a) | 3,513,246 | 8,147,413 |
Super Retail Group Ltd. | 494,535 | 3,509,606 |
Woolworths Group Ltd. | 216,811 | 5,499,079 |
Total | 220,874,049 | |
Austria 1.1% | ||
Erste Group Bank AG | 447,986 | 16,827,325 |
OMV AG | 218,683 | 12,251,676 |
Raiffeisen Bank International AG | 111,223 | 2,783,850 |
Total | 31,862,851 | |
Belgium 0.2% | ||
Proximus SADP | 213,821 | 6,126,770 |
China 0.1% | ||
Minth Group Ltd. | 840,000 | 2,966,107 |
Denmark 3.4% | ||
Coloplast A/S, Class B | 164,190 | 20,369,586 |
Novo Nordisk A/S, Class B | 1,145,176 | 66,361,614 |
SimCorp AS | 144,346 | 16,413,173 |
Total | 103,144,373 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
France 10.3% | ||
Air France-KLM(a) | 1,210,376 | 13,473,603 |
BNP Paribas SA | 291,502 | 17,326,323 |
Elis SA | 160,209 | 3,332,189 |
Faurecia SE | 120,655 | 6,550,074 |
Hermes International | 48,560 | 36,376,710 |
Kering SA | 18,912 | 12,461,403 |
L’Oreal SA | 104,607 | 30,933,067 |
Orange SA | 949,535 | 13,954,569 |
Peugeot SA | 1,816,121 | 43,727,043 |
Schneider Electric SE | 421,288 | 43,283,016 |
STMicroelectronics NV | 400,446 | 10,804,282 |
Total SA | 1,440,494 | 79,933,752 |
Total | 312,156,031 | |
Germany 7.3% | ||
Adidas AG | 60,948 | 19,812,284 |
Allianz SE, Registered Shares | 340,735 | 83,489,539 |
Continental AG | 98,655 | 12,749,211 |
Dialog Semiconductor PLC(a) | 291,323 | 14,795,486 |
MTU Aero Engines AG | 170,818 | 48,670,440 |
Rheinmetall AG | 174,482 | 20,006,459 |
SAP SE | 91,344 | 12,294,743 |
Siemens Healthineers AG | 179,517 | 8,605,515 |
Total | 220,423,677 | |
Hong Kong 3.2% | ||
CK Asset Holdings Ltd. | 695,000 | 5,015,277 |
CK Hutchison Holdings Ltd. | 1,159,000 | 11,051,630 |
Galaxy Entertainment Group Ltd. | 1,195,000 | 8,797,129 |
Jardine Matheson Holdings Ltd. | 54,800 | 3,049,494 |
Kerry Properties Ltd. | 1,685,000 | 5,351,697 |
Sands China Ltd. | 5,663,200 | 30,258,878 |
WH Group Ltd. | 32,802,000 | 33,916,417 |
Total | 97,440,522 | |
Ireland 0.2% | ||
Fly Leasing Ltd., ADR(a) | 312,219 | 6,119,493 |
8 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Israel 0.7% | ||
CyberArk Software Ltd.(a) | 90,725 | 10,576,720 |
Israel Discount Bank Ltd. | 2,539,779 | 11,795,281 |
Total | 22,372,001 | |
Italy 2.9% | ||
Banca Generali SpA | 98,659 | 3,207,286 |
Enel SpA | 7,841,156 | 62,288,773 |
Fiat Chrysler Automobiles NV | 534,358 | 7,922,677 |
Poste Italiane SpA | 1,373,004 | 15,601,273 |
Total | 89,020,009 | |
Japan 23.9% | ||
Advantest Corp. | 278,800 | 15,723,799 |
Chugai Pharmaceutical Co., Ltd. | 136,500 | 12,571,002 |
Dai-ichi Life Holdings, Inc. | 2,690,300 | 44,336,897 |
Daito Trust Construction Co., Ltd. | 182,300 | 22,527,957 |
Daiwa House Industry Co., Ltd. | 1,886,400 | 58,397,021 |
Daiwa Office Investment Corp. | 484 | 3,716,684 |
DIP Corp. | 178,500 | 5,272,798 |
East Japan Railway Co. | 396,100 | 35,752,778 |
FUJIFILM Holdings Corp. | 341,500 | 16,308,640 |
Fukuoka Financial Group, Inc. | 684,700 | 13,081,918 |
FULLCAST Holdings Co., Ltd. | 156,300 | 3,547,760 |
Goldcrest Co., Ltd. | 40,900 | 780,214 |
GS Yuasa Corp. | 273,800 | 5,901,574 |
Hitachi Ltd. | 383,000 | 16,160,972 |
Hoya Corp. | 134,800 | 12,868,284 |
Japan Post Holdings Co., Ltd. | 4,178,100 | 39,292,791 |
KDDI Corp. | 430,600 | 12,847,542 |
Kureha Corp. | 107,100 | 6,431,208 |
Mitsubishi Heavy Industries Ltd. | 1,350,500 | 52,368,150 |
Mitsubishi UFJ Financial Group, Inc. | 4,345,600 | 23,493,776 |
Nikkiso Co., Ltd. | 310,400 | 4,067,840 |
Nintendo Co., Ltd. | 23,800 | 9,519,052 |
Nomura Real Estate Holdings, Inc. | 153,800 | 3,688,938 |
NS Solutions Corp. | 141,700 | 4,656,087 |
NTT DoCoMo, Inc. | 2,299,600 | 64,057,975 |
Oracle Corp. Japan | 86,100 | 7,814,331 |
ORIX Corp. | 1,883,400 | 31,210,514 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Otsuka Corp. | 96,600 | 3,857,715 |
Seino Holdings Corp. | 262,800 | 3,550,576 |
Seven & I Holdings Co., Ltd. | 859,700 | 31,512,679 |
Shin-Etsu Chemical Co., Ltd. | 555,900 | 61,134,048 |
Shionogi & Co., Ltd. | 102,400 | 6,334,620 |
Showa Denko KK | 366,900 | 9,669,838 |
SoftBank Group Corp. | 353,800 | 15,360,951 |
Sumitomo Heavy Industries Ltd. | 114,900 | 3,263,712 |
Sumitomo Mitsui Financial Group, Inc. | 431,000 | 15,919,145 |
Sumitomo Mitsui Trust Holdings, Inc. | 231,000 | 9,131,652 |
Tokio Marine Holdings, Inc. | 57,600 | 3,224,957 |
Tokyo Electron Ltd. | 89,900 | 19,627,872 |
Tokyu Construction Co., Ltd. | 921,900 | 6,566,479 |
West Japan Railway Co. | 92,800 | 8,026,603 |
Total | 723,577,349 | |
Netherlands 6.8% | ||
EXOR NV | 266,171 | 20,636,625 |
ING Groep NV | 1,574,432 | 18,928,469 |
Koninklijke Ahold Delhaize NV | 756,201 | 18,959,772 |
NN Group NV | 116,418 | 4,426,538 |
Royal Dutch Shell PLC, Class A | 526,771 | 15,531,801 |
Signify NV | 102,504 | 3,208,252 |
Unilever NV(a) | 1,611,580 | 92,489,738 |
Wolters Kluwer NV | 432,117 | 31,551,244 |
Total | 205,732,439 | |
Norway 0.5% | ||
Aker BP ASA | 345,309 | 11,333,178 |
TGS NOPEC Geophysical Co. ASA | 155,473 | 4,730,138 |
Total | 16,063,316 | |
Singapore 1.0% | ||
China Sunsine Chemical Holdings Ltd. | 8,383,200 | 3,214,170 |
DBS Group Holdings Ltd. | 417,200 | 8,044,134 |
Jardine Cycle & Carriage Ltd. | 130,300 | 2,913,869 |
United Overseas Bank Ltd. | 159,500 | 3,136,828 |
Yangzijiang Shipbuilding Holdings Ltd. | 17,048,100 | 14,210,747 |
Total | 31,519,748 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 9 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Spain 4.8% | ||
Amadeus IT Group SA, Class A | 162,589 | 13,315,513 |
Banco Bilbao Vizcaya Argentaria SA | 3,939,814 | 22,119,409 |
Iberdrola SA | 6,167,195 | 63,556,454 |
Industria de Diseno Textil SA | 693,122 | 24,495,281 |
International Consolidated Airlines Group SA | 2,781,971 | 22,587,746 |
Total | 146,074,403 | |
Sweden 2.6% | ||
Axfood AB | 142,728 | 3,178,548 |
Evolution Gaming Group AB | 317,825 | 9,591,673 |
Skandinaviska Enskilda Banken AB, Class A | 2,024,537 | 19,038,496 |
SKF AB, Class B | 756,417 | 15,314,667 |
Swedish Match AB | 188,821 | 9,727,439 |
Volvo AB, B Shares | 1,333,373 | 22,322,254 |
Total | 79,173,077 | |
Switzerland 10.2% | ||
Geberit AG | 14,969 | 8,401,822 |
Nestlé SA, Registered Shares | 448,623 | 48,570,291 |
Novartis AG, Registered Shares | 1,101,754 | 104,324,655 |
Partners Group Holding AG | 20,273 | 18,580,758 |
Roche Holding AG, Genusschein Shares | 382,227 | 124,224,851 |
Wizz Air Holdings PLC(a),(b) | 98,640 | 5,098,758 |
Total | 309,201,135 | |
United Kingdom 12.1% | ||
Anglo American PLC | 715,477 | 20,554,181 |
Associated British Foods PLC | 958,432 | 32,970,927 |
Auto Trader Group PLC | 1,784,033 | 14,088,776 |
Avast PLC | 1,266,483 | 7,610,983 |
Britvic PLC | 577,692 | 6,923,410 |
Burberry Group PLC | 193,262 | 5,642,403 |
Compass Group PLC | 1,152,105 | 28,873,795 |
Dunelm Group PLC | 427,214 | 6,541,758 |
Evraz PLC | 867,751 | 4,646,650 |
Experian PLC | 195,868 | 6,639,822 |
Ferguson PLC | 70,052 | 6,375,213 |
Galiform PLC | 713,218 | 6,354,240 |
Games Workshop Group PLC | 103,080 | 8,335,752 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Greggs PLC | 218,158 | 6,654,342 |
Imperial Brands PLC | 1,179,620 | 29,184,155 |
Investec PLC | 791,393 | 4,650,837 |
JD Sports Fashion PLC | 392,499 | 4,359,716 |
KAZ Minerals PLC | 458,006 | 3,221,325 |
Lloyds Banking Group PLC | 26,628,240 | 22,059,418 |
M&G PLC(a) | 1,369,286 | 4,302,229 |
Melrose Industries PLC | 5,880,686 | 18,731,318 |
Moneysupermarket.com Group PLC | 915,600 | 4,019,330 |
RELX PLC | 424,416 | 10,713,681 |
Rio Tinto PLC | 700,380 | 41,458,970 |
Royal Bank of Scotland Group PLC | 7,831,919 | 25,124,355 |
Standard Chartered PLC | 1,074,166 | 10,121,963 |
Tate & Lyle PLC | 1,252,180 | 12,616,760 |
Vodafone Group PLC | 6,440,394 | 12,503,217 |
Total | 365,279,526 | |
Total Common Stocks (Cost $2,661,809,305) | 2,989,126,876 |
Preferred Stocks 0.9% | |||
Issuer | Shares | Value ($) | |
Germany 0.9% | |||
Porsche Automobil Holding SE | 161,562 | 11,987,621 | |
Schaeffler AG | 825,485 | 8,912,858 | |
Volkswagen AG | 33,547 | 6,603,336 | |
Total | 27,503,815 | ||
Total Preferred Stocks (Cost $30,173,159) | 27,503,815 |
Money Market Funds 0.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(c),(d) | 5,296,948 | 5,296,419 |
Total Money Market Funds (Cost $5,296,816) | 5,296,419 | |
Total Investments in Securities (Cost $2,697,279,280) | 3,021,927,110 | |
Other Assets & Liabilities, Net | 7,718,290 | |
Net Assets | $3,029,645,400 |
10 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
December 31, 2019
(a) | Non-income producing investment. |
(b) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $5,098,758, which represents 0.17% of total net assets. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
39,708,331 | 520,301,929 | (554,713,312) | 5,296,948 | (3,725) | (397) | 561,174 | 5,296,419 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 11 |
December 31, 2019
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2019:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 220,874,049 | — | 220,874,049 |
Austria | — | 31,862,851 | — | 31,862,851 |
Belgium | — | 6,126,770 | — | 6,126,770 |
China | — | 2,966,107 | — | 2,966,107 |
Denmark | — | 103,144,373 | — | 103,144,373 |
France | — | 312,156,031 | — | 312,156,031 |
Germany | — | 220,423,677 | — | 220,423,677 |
Hong Kong | — | 97,440,522 | — | 97,440,522 |
Ireland | 6,119,493 | — | — | 6,119,493 |
Israel | 10,576,720 | 11,795,281 | — | 22,372,001 |
Italy | — | 89,020,009 | — | 89,020,009 |
Japan | — | 723,577,349 | — | 723,577,349 |
Netherlands | — | 205,732,439 | — | 205,732,439 |
Norway | — | 16,063,316 | — | 16,063,316 |
Singapore | — | 31,519,748 | — | 31,519,748 |
Spain | — | 146,074,403 | — | 146,074,403 |
Sweden | — | 79,173,077 | — | 79,173,077 |
Switzerland | — | 309,201,135 | — | 309,201,135 |
United Kingdom | — | 365,279,526 | — | 365,279,526 |
Total Common Stocks | 16,696,213 | 2,972,430,663 | — | 2,989,126,876 |
Preferred Stocks | ||||
Germany | — | 27,503,815 | — | 27,503,815 |
Total Preferred Stocks | — | 27,503,815 | — | 27,503,815 |
Money Market Funds | 5,296,419 | — | — | 5,296,419 |
Total Investments in Securities | 21,992,632 | 2,999,934,478 | — | 3,021,927,110 |
12 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,691,982,464) | $3,016,630,691 |
Affiliated issuers (cost $5,296,816) | 5,296,419 |
Foreign currency (cost $4) | 4 |
Receivable for: | |
Investments sold | 53,859 |
Dividends | 1,963,073 |
Foreign tax reclaims | 7,083,993 |
Prepaid expenses | 11,612 |
Trustees’ deferred compensation plan | 99,889 |
Total assets | 3,031,139,540 |
Liabilities | |
Payable for: | |
Investments purchased | 295 |
Capital shares purchased | 1,098,471 |
Management services fees | 63,632 |
Distribution and/or service fees | 168 |
Service fees | 1,179 |
Compensation of board members | 408 |
Compensation of chief compliance officer | 279 |
Custodian fees | 211,048 |
Other expenses | 18,771 |
Trustees’ deferred compensation plan | 99,889 |
Total liabilities | 1,494,140 |
Net assets applicable to outstanding capital stock | $3,029,645,400 |
Represented by | |
Paid in capital | 2,814,078,659 |
Total distributable earnings (loss) | 215,566,741 |
Total - representing net assets applicable to outstanding capital stock | $3,029,645,400 |
Class 1 | |
Net assets | $3,005,053,909 |
Shares outstanding | 271,550,220 |
Net asset value per share | $11.07 |
Class 2 | |
Net assets | $24,591,491 |
Shares outstanding | 2,221,361 |
Net asset value per share | $11.07 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $107,983,202 |
Dividends — affiliated issuers | 561,174 |
Foreign taxes withheld | (10,621,072) |
Total income | 97,923,304 |
Expenses: | |
Management services fees | 23,157,952 |
Distribution and/or service fees | |
Class 2 | 55,919 |
Service fees | 13,449 |
Compensation of board members | 57,072 |
Custodian fees | 322,327 |
Printing and postage fees | 11,047 |
Audit fees | 66,820 |
Legal fees | 64,955 |
Compensation of chief compliance officer | 1,154 |
Other | 80,998 |
Total expenses | 23,831,693 |
Net investment income | 74,091,611 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (108,209,089) |
Investments — affiliated issuers | (3,725) |
Foreign currency translations | 113,690 |
Net realized loss | (108,099,124) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 495,846,875 |
Investments — affiliated issuers | (397) |
Foreign currency translations | 41,569 |
Net change in unrealized appreciation (depreciation) | 495,888,047 |
Net realized and unrealized gain | 387,788,923 |
Net increase in net assets resulting from operations | $461,880,534 |
14 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $74,091,611 | $66,589,627 |
Net realized gain (loss) | (108,099,124) | 14,420,554 |
Net change in unrealized appreciation (depreciation) | 495,888,047 | (555,534,636) |
Net increase (decrease) in net assets resulting from operations | 461,880,534 | (474,524,455) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (100,913,605) | (73,892,446) |
Class 2 | (687,709) | (465,865) |
Total distributions to shareholders | (101,601,314) | (74,358,311) |
Increase (decrease) in net assets from capital stock activity | (135,770,094) | 326,765,951 |
Total increase (decrease) in net assets | 224,509,126 | (222,116,815) |
Net assets at beginning of year | 2,805,136,274 | 3,027,253,089 |
Net assets at end of year | $3,029,645,400 | $2,805,136,274 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,482,831 | 47,157,586 | 39,461,471 | 396,635,395 |
Distributions reinvested | 9,539,041 | 100,913,605 | 6,516,926 | 73,892,446 |
Redemptions | (26,852,935) | (286,602,283) | (13,062,172) | (148,965,605) |
Net increase (decrease) | (12,831,063) | (138,531,092) | 32,916,225 | 321,562,236 |
Class 2 | ||||
Subscriptions | 433,206 | 4,548,563 | 560,114 | 6,404,927 |
Distributions reinvested | 65,003 | 687,709 | 41,155 | 465,865 |
Redemptions | (235,575) | (2,475,274) | (145,945) | (1,667,077) |
Net increase | 262,634 | 2,760,998 | 455,324 | 5,203,715 |
Total net increase (decrease) | (12,568,429) | (135,770,094) | 33,371,549 | 326,765,951 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.80 | 0.26 | 1.37 | 1.63 | (0.31) | (0.05) | (0.36) |
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) |
Class 2 | |||||||
Year Ended 12/31/2019 | $9.79 | 0.23 | 1.38 | 1.61 | (0.28) | (0.05) | (0.33) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
16 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $11.07 | 16.82% | 0.79% | 0.79% | 2.46% | 62% | $3,005,054 |
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 |
Class 2 | |||||||
Year Ended 12/31/2019 | $11.07 | 16.58% | 1.04% | 1.04% | 2.18% | 62% | $24,591 |
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% | $3,452 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
December 31, 2019
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
December 31, 2019
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 21 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.88% | 0.92% |
Class 2 | 1.13 | 1.17 |
Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
298,733 | (298,733) | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
86,868,412 | 14,732,902 | 101,601,314 | 74,358,311 | — | 74,358,311 |
22 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
December 31, 2019
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
3,804,024 | — | (108,542,771) | 320,345,869 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
2,701,581,241 | 390,102,021 | (69,756,152) | 320,345,869 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
(62,446,053) | (46,096,718) | (108,542,771) | — | — |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
December 31, 2019
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 25 |
26 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
$10,138,074 | $0.04 | $107,442,220 | $0.39 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 27 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
28 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
Consultants to the Independent Trustees* (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 | 29 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
30 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
11 | |
12 | |
13 | |
14 | |
16 | |
28 | |
29 | |
29 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | 21.13 | 7.32 | 8.94 | |
Class 2 | 06/01/00 | 20.87 | 7.04 | 8.67 | |
Blended Benchmark | 22.18 | 8.37 | 9.77 | ||
S&P 500 Index | 31.49 | 11.70 | 13.56 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.75 |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Alternative Strategies Funds | 4.3 |
Equity Funds | 53.7 |
Exchange-Traded Fixed Income Funds | 6.6 |
Fixed Income Funds | 27.9 |
Money Market Funds | 7.5 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,068.80 | 1,024.05 | 1.48 | 1.44 | 0.28 | 3.90 | 3.82 | 0.74 |
Class 2 | 1,000.00 | 1,000.00 | 1,067.00 | 1,022.78 | 2.79 | 2.73 | 0.53 | 5.21 | 5.10 | 0.99 |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 7 |
December 31, 2019
Alternative Strategies Funds 4.2% | ||
Shares | Value ($) | |
Columbia Commodity Strategy Fund, Institutional 3 Class(a) | 186,123 | 833,830 |
Columbia Multi-Asset Income Fund, Institutional 3 Class(a) | 198,789 | 1,914,336 |
Total Alternative Strategies Funds (Cost $2,908,003) | 2,748,166 | |
Equity Funds 53.1% | ||
U.S. Large Cap 53.1% | ||
Columbia Contrarian Core Fund, Institutional 3 Class(a) | 546,054 | 14,978,258 |
Columbia Disciplined Core Fund, Institutional 3 Class(a) | 859,401 | 10,329,995 |
Columbia Select Large Cap Equity Fund, Institutional 3 Class(a) | 627,964 | 9,344,114 |
Total | 34,652,367 | |
Total Equity Funds (Cost $24,073,525) | 34,652,367 | |
Exchange-Traded Fixed Income Funds 6.5% | ||
Investment Grade 6.5% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 17,071 | 2,184,406 |
Vanguard Intermediate-Term Corporate Bond ETF | 22,370 | 2,043,052 |
Total | 4,227,458 | |
Total Exchange-Traded Fixed Income Funds (Cost $3,847,104) | 4,227,458 | |
Fixed Income Funds 27.6% | ||
Shares | Value ($) | |
High Yield 6.3% | ||
Columbia High Yield Bond Fund, Institutional 3 Class(a) | 1,366,114 | 4,084,682 |
Investment Grade 21.3% | ||
Columbia Corporate Income Fund, Institutional 3 Class(a) | 259,954 | 2,794,507 |
Columbia Quality Income Fund, Institutional 3 Class(a) | 442,160 | 2,453,988 |
Columbia Total Return Bond Fund, Institutional 3 Class(a) | 352,331 | 3,248,485 |
Columbia U.S. Treasury Index Fund, Institutional 3 Class(a) | 473,692 | 5,419,040 |
Total | 13,916,020 | |
Total Fixed Income Funds (Cost $17,243,067) | 18,000,702 | |
Money Market Funds 7.4% | ||
Columbia Government Money Market Fund, Institutional 3 Class, 1.210%(a),(b) | 863,636 | 863,636 |
Columbia Short-Term Cash Fund, 1.699%(a),(b) | 3,974,179 | 3,973,782 |
Total Money Market Funds (Cost $4,837,618) | 4,837,418 | |
Total Investments in Securities (Cost: $52,909,317) | 64,466,111 | |
Other Assets & Liabilities, Net | 763,289 | |
Net Assets | 65,229,400 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 31 | 03/2020 | EUR | 1,155,990 | — | (11,683) |
S&P 500 Index E-mini | 42 | 03/2020 | USD | 6,785,310 | 178,711 | — |
U.S. Treasury 10-Year Note | 11 | 03/2020 | USD | 1,412,641 | — | (12,053) |
Total | 178,711 | (23,736) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX Emerging Markets Index, Series 32 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | 1.734 | USD | 3,326,000 | 44,092 | — | — | 44,092 | — |
8 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
December 31, 2019
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Commodity Strategy Fund, Institutional 3 Class | |||||||||
183,842 | 2,281 | — | 186,123 | — | — | 51,590 | 10,104 | 833,830 | |
Columbia Contrarian Core Fund, Institutional 3 Class | |||||||||
644,610 | 57,525 | (156,081) | 546,054 | 672,174 | 425,606 | 2,872,181 | 169,419 | 14,978,258 | |
Columbia Corporate Income Fund, Institutional 3 Class | |||||||||
312,876 | 21,801 | (74,723) | 259,954 | — | 22,330 | 297,185 | 96,739 | 2,794,507 | |
Columbia Disciplined Core Fund, Institutional 3 Class | |||||||||
1,544,644 | 262,884 | (948,127) | 859,401 | 811,097 | 3,972,428 | (1,738,380) | 148,174 | 10,329,995 | |
Columbia Government Money Market Fund, Institutional 3 Class, 1.210% | |||||||||
847,026 | 16,610 | — | 863,636 | 276 | — | — | 16,334 | 863,636 | |
Columbia High Yield Bond Fund, Institutional 3 Class | |||||||||
1,296,147 | 69,967 | — | 1,366,114 | — | — | 394,418 | 203,629 | 4,084,682 | |
Columbia Multi-Asset Income Fund, Institutional 3 Class | |||||||||
187,026 | 11,763 | — | 198,789 | — | — | 181,093 | 109,854 | 1,914,336 | |
Columbia Quality Income Fund, Institutional 3 Class | |||||||||
526,919 | 35,355 | (120,114) | 442,160 | — | 9,600 | 84,684 | 79,094 | 2,453,988 | |
Columbia Select Large Cap Equity Fund, Institutional 3 Class | |||||||||
— | 627,964 | — | 627,964 | 371,175 | — | 338,902 | 109,038 | 9,344,114 | |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
6,164,470 | 1,626,101 | (3,816,392) | 3,974,179 | — | (255) | 256 | 111,225 | 3,973,782 | |
Columbia Total Return Bond Fund, Institutional 3 Class | |||||||||
402,915 | 239,694 | (290,278) | 352,331 | 43,609 | 16,676 | 151,964 | 113,351 | 3,248,485 | |
Columbia U.S. Treasury Index Fund, Institutional 3 Class | |||||||||
629,209 | 27,668 | (183,185) | 473,692 | — | 20,679 | 241,400 | 124,811 | 5,419,040 | |
Total | 1,898,331 | 4,467,064 | 2,875,293 | 1,291,772 | 60,238,653 |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
EUR | Euro |
USD | US Dollar |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 9 |
December 31, 2019
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Alternative Strategies Funds | 2,748,166 | — | — | 2,748,166 |
Equity Funds | 34,652,367 | — | — | 34,652,367 |
Exchange-Traded Fixed Income Funds | 4,227,458 | — | — | 4,227,458 |
Fixed Income Funds | 18,000,702 | — | — | 18,000,702 |
Money Market Funds | 4,837,418 | — | — | 4,837,418 |
Total Investments in Securities | 64,466,111 | — | — | 64,466,111 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 178,711 | — | — | 178,711 |
Swap Contracts | — | 44,092 | — | 44,092 |
Liability | ||||
Futures Contracts | (23,736) | — | — | (23,736) |
Total | 64,621,086 | 44,092 | — | 64,665,178 |
10 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,847,104) | $4,227,458 |
Affiliated issuers (cost $49,062,213) | 60,238,653 |
Margin deposits on: | |
Futures contracts | 367,904 |
Swap contracts | 457,828 |
Receivable for: | |
Investments sold | 6,355 |
Capital shares sold | 34,226 |
Dividends | 55,115 |
Variation margin for futures contracts | 16,170 |
Variation margin for swap contracts | 884 |
Expense reimbursement due from Investment Manager | 291 |
Prepaid expenses | 245 |
Trustees’ deferred compensation plan | 76,310 |
Total assets | 65,481,439 |
Liabilities | |
Payable for: | |
Investments purchased | 71,724 |
Capital shares purchased | 34,530 |
Variation margin for futures contracts | 1,203 |
Management services fees | 171 |
Distribution and/or service fees | 74 |
Service fees | 10,205 |
Compensation of board members | 29,013 |
Compensation of chief compliance officer | 6 |
Custodian fees | 17,566 |
Other expenses | 11,237 |
Trustees’ deferred compensation plan | 76,310 |
Total liabilities | 252,039 |
Net assets applicable to outstanding capital stock | $65,229,400 |
Represented by | |
Paid in capital | 44,942,818 |
Total distributable earnings (loss) | 20,286,582 |
Total - representing net assets applicable to outstanding capital stock | $65,229,400 |
Class 1 | |
Net assets | $54,333,320 |
Shares outstanding | 3,404,407 |
Net asset value per share | $15.96 |
Class 2 | |
Net assets | $10,896,080 |
Shares outstanding | 690,727 |
Net asset value per share | $15.77 |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 11 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $154,815 |
Dividends — affiliated issuers | 1,291,772 |
Total income | 1,446,587 |
Expenses: | |
Management services fees | 63,866 |
Distribution and/or service fees | |
Class 2 | 26,037 |
Service fees | 110,538 |
Compensation of board members | 17,328 |
Custodian fees | 25,532 |
Printing and postage fees | 15,075 |
Audit fees | 20,000 |
Legal fees | 1,364 |
Compensation of chief compliance officer | 24 |
Other | 7,299 |
Total expenses | 287,063 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (91,284) |
Total net expenses | 195,779 |
Net investment income | 1,250,808 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 5,579 |
Investments — affiliated issuers | 4,467,064 |
Capital gain distributions from underlying affiliated funds | 1,898,331 |
Foreign currency translations | 163 |
Futures contracts | 1,145,368 |
Options purchased | (56,489) |
Swap contracts | (105,333) |
Net realized gain | 7,354,683 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 420,118 |
Investments — affiliated issuers | 2,875,293 |
Foreign currency translations | 155 |
Futures contracts | 332,899 |
Swap contracts | (114,304) |
Net change in unrealized appreciation (depreciation) | 3,514,161 |
Net realized and unrealized gain | 10,868,844 |
Net increase in net assets resulting from operations | $12,119,652 |
12 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $1,250,808 | $1,237,380 |
Net realized gain | 7,354,683 | 3,165,092 |
Net change in unrealized appreciation (depreciation) | 3,514,161 | (7,201,792) |
Net increase (decrease) in net assets resulting from operations | 12,119,652 | (2,799,320) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (3,540,152) | (4,992,077) |
Class 2 | (668,709) | (1,001,449) |
Total distributions to shareholders | (4,208,861) | (5,993,526) |
Decrease in net assets from capital stock activity | (3,439,825) | (2,887,472) |
Total increase (decrease) in net assets | 4,470,966 | (11,680,318) |
Net assets at beginning of year | 60,758,434 | 72,438,752 |
Net assets at end of year | $65,229,400 | $60,758,434 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 38,792 | 596,780 | 32,541 | 515,760 |
Distributions reinvested | 233,058 | 3,540,152 | 329,076 | 4,992,077 |
Redemptions | (467,295) | (7,146,948) | (515,790) | (8,143,595) |
Net decrease | (195,445) | (3,010,016) | (154,173) | (2,635,758) |
Class 2 | ||||
Subscriptions | 50,064 | 754,214 | 58,160 | 912,315 |
Distributions reinvested | 44,492 | 668,709 | 66,674 | 1,001,449 |
Redemptions | (122,177) | (1,852,732) | (139,811) | (2,165,478) |
Net decrease | (27,621) | (429,809) | (14,977) | (251,714) |
Total net decrease | (223,066) | (3,439,825) | (169,150) | (2,887,472) |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $14.10 | 0.31 | 2.62 | 2.93 | (0.32) | (0.75) | (1.07) |
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) |
Class 2 | |||||||
Year Ended 12/31/2019 | $13.94 | 0.27 | 2.59 | 2.86 | (0.28) | (0.75) | (1.03) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
14 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $15.96 | 21.13% | 0.41% | 0.27% | 2.01% | 35% | $54,333 |
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 |
Class 2 | |||||||
Year Ended 12/31/2019 | $15.77 | 20.87% | 0.66% | 0.52% | 1.78% | 35% | $10,896 |
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% | $13,883 |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 15 |
December 31, 2019
16 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 44,092* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 178,711* |
Total | 222,803 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 11,683* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 12,053* |
Total | 23,736 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (105,333) | (105,333) |
Equity risk | 1,136,594 | (56,489) | — | 1,080,105 |
Interest rate risk | 8,774 | — | — | 8,774 |
Total | 1,145,368 | (56,489) | (105,333) | 983,546 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | (114,304) | (114,304) |
Equity risk | 344,952 | — | 344,952 |
Interest rate risk | (12,053) | — | (12,053) |
Total | 332,899 | (114,304) | 218,595 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 7,763,234 |
Credit default swap contracts — buy protection | 1,280,250 |
Credit default swap contracts — sell protection | 2,300,750 |
Derivative instrument | Average value ($)** |
Options contracts — purchased | 13,161 |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 21 |
December 31, 2019
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2019. |
Morgan Stanley ($) | |
Assets | |
Centrally cleared credit default swap contracts (a) | 884 |
Total financial and derivative net assets | 884 |
Total collateral received (pledged) (b) | - |
Net amount (c) | 884 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
22 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 23 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.18% | 0.14% |
Class 2 | 0.43 | 0.39 |
24 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
December 31, 2019
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
63,655 | (63,655) | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
1,237,577 | 2,971,284 | 4,208,861 | 1,791,112 | 4,202,414 | 5,993,526 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
1,817,591 | 7,039,179 | — | 11,526,904 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
53,138,274 | 11,687,244 | (160,340) | 11,526,904 |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 25 |
December 31, 2019
26 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 27 |
28 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
Dividends received deduction | Capital gain dividend |
33.94% | $7,400,836 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 29 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
30 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
Consultants to the Independent Trustees* (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 | 31 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
32 | Columbia Variable Portfolio – Asset Allocation Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
6 | |
7 | |
13 | |
14 | |
15 | |
16 | |
18 | |
29 | |
30 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 14.34 | 4.27 | 4.54 | |
Class 2 | 04/12/13 | 14.00 | 4.20 | 4.50 | |
Blended Benchmark | 15.44 | 5.46 | 5.61 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 2.73 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. 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 | Annual Report 2019 | 3 |
Portfolio Allocation (%) (at December 31, 2019) | |
Allocations to Underlying Funds | |
Equity Funds | 32.2 |
International | 8.6 |
U.S. Large Cap | 18.8 |
U.S. Mid Cap | 2.2 |
U.S. Small Cap | 2.6 |
Exchange-Traded Equity Funds | 5.6 |
International Mid Large Cap | 1.6 |
U.S. Large Cap | 4.0 |
Exchange-Traded Fixed Income Funds | 2.0 |
Investment Grade | 2.0 |
Fixed Income Funds | 38.7 |
Investment Grade | 38.7 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 18.0 |
Options Purchased Puts | 0.8 |
Residential Mortgage-Backed Securities - Agency | 2.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $279.6 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 5 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,041.80 | 1,024.00 | 1.51 | 1.50 | 0.29 | 3.85 | 3.82 | 0.74 |
Class 2 | 1,000.00 | 1,000.00 | 1,040.20 | 1,022.73 | 2.81 | 2.78 | 0.54 | 5.15 | 5.10 | 0.99 |
6 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Equity Funds 32.9% | ||
Shares | Value ($) | |
International 8.9% | ||
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 4,380,387 | 48,315,671 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 1,949,811 | 18,932,660 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 4,362,316 | 48,290,833 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 1,683,366 | 19,291,378 |
Total | 134,830,542 | |
U.S. Large Cap 19.2% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 974,629 | 26,081,069 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,308,220 | 76,543,935 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 605,036 | 17,903,007 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,092,983 | 23,914,473 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,044,728 | 12,421,820 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 494,372 | 13,679,283 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 573,341 | 21,528,957 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 616,805 | 21,495,654 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 501,133 | 14,613,026 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 590,835 | 21,016,006 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 514,835 | 13,483,531 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,226,886 | 29,261,237 |
Total | 291,941,998 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 2.2% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 203,741 | 6,764,205 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 261,859 | 6,790,011 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 332,260 | 10,074,114 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 319,613 | 10,285,151 |
Total | 33,913,481 | |
U.S. Small Cap 2.6% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 409,614 | 6,418,653 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 355,047 | 6,326,936 |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 66,582 | 1,622,596 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 487,839 | 12,381,369 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 462,317 | 13,425,677 |
Total | 40,175,231 | |
Total Equity Funds (Cost $348,760,077) | 500,861,252 | |
Exchange-Traded Equity Funds 5.7% | ||
International Mid Large Cap 1.6% | ||
iShares MSCI EAFE ETF | 358,987 | 24,928,057 |
U.S. Large Cap 4.1% | ||
SPDR S&P 500 ETF Trust | 193,625 | 62,320,143 |
Total Exchange-Traded Equity Funds (Cost $59,554,745) | 87,248,200 | |
Exchange-Traded Fixed Income Funds 2.0% | ||
Investment Grade 2.0% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 240,900 | 30,825,564 |
Total Exchange-Traded Fixed Income Funds (Cost $28,885,339) | 30,825,564 | |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 7 |
December 31, 2019
Fixed Income Funds 39.5% | ||
Shares | Value ($) | |
Investment Grade 39.5% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 11,060,750 | 117,907,590 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,673,779 | 35,856,087 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,696,029 | 62,599,357 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 3,264,146 | 34,665,227 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,376,477 | 81,215,008 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 10,806,537 | 118,979,974 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,157,410 | 11,898,172 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 12,311,214 | 137,270,041 |
Total | 600,391,456 | |
Total Fixed Income Funds (Cost $578,855,003) | 600,391,456 |
Residential Mortgage-Backed Securities - Agency 2.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/16/2035- 01/14/2050 | 3.000% | 25,342,000 | 25,715,811 | |
01/14/2050 | 3.500% | 15,499,000 | 15,943,990 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $41,580,631) | 41,659,801 |
Options Purchased Puts 0.8% | ||||
Value ($) | ||||
(Cost $14,578,435) | 12,015,350 |
Money Market Funds 18.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(d) | 279,605,220 | 279,577,260 |
Total Money Market Funds (Cost $279,584,950) | 279,577,260 | |
Total Investments in Securities (Cost: $1,351,799,180) | 1,552,578,883 | |
Other Assets & Liabilities, Net | (31,647,058) | |
Net Assets | 1,520,931,825 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 35 | 03/2020 | USD | 2,463,300 | 55,990 | — |
British Pound | 84 | 03/2020 | USD | 6,978,300 | 42,618 | — |
Canadian Dollar | 25 | 03/2020 | USD | 1,927,125 | 36,030 | — |
Euro FX | 53 | 03/2020 | USD | 7,474,325 | 66,132 | — |
EURO STOXX 50 Index | 394 | 03/2020 | EUR | 14,692,260 | 183,083 | — |
EURO STOXX 50 Index | 55 | 03/2020 | EUR | 2,050,950 | — | (4,348) |
FTSE 100 Index | 45 | 03/2020 | GBP | 3,374,550 | 151,173 | — |
Japanese Yen | 26 | 03/2020 | USD | 3,004,788 | 16,008 | — |
Japanese Yen | 88 | 03/2020 | USD | 10,170,050 | — | (19,994) |
MSCI Singapore Index | 16 | 01/2020 | SGD | 594,400 | — | (1,042) |
New Zealand Dollar | 20 | 03/2020 | USD | 1,350,000 | 35,324 | — |
8 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
OMXS30 Index | 67 | 01/2020 | SEK | 11,847,275 | 7,055 | — |
S&P 500 Index | 8 | 03/2020 | USD | 6,462,200 | 170,472 | — |
S&P 500 Index E-mini | 981 | 03/2020 | USD | 158,485,455 | 3,677,726 | — |
SPI 200 Index | 36 | 03/2020 | AUD | 5,942,700 | — | (35,106) |
TOPIX Index | 48 | 03/2020 | JPY | 826,080,000 | 69,736 | — |
TOPIX Index | 35 | 03/2020 | JPY | 602,350,000 | — | (44,591) |
U.S. Long Bond | 146 | 03/2020 | USD | 22,762,313 | — | (465,674) |
U.S. Treasury 10-Year Note | 226 | 03/2020 | USD | 29,023,344 | — | (247,640) |
U.S. Treasury 2-Year Note | 46 | 03/2020 | USD | 9,913,000 | — | (4,400) |
U.S. Treasury 5-Year Note | 439 | 03/2020 | USD | 52,069,516 | — | (165,459) |
U.S. Ultra Treasury Bond | 26 | 03/2020 | USD | 4,723,063 | — | (142,251) |
Total | 4,511,347 | (1,130,505) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Hang Seng Index | (18) | 01/2020 | HKD | (25,443,000) | — | (40,164) |
Russell 2000 Index E-mini | (49) | 03/2020 | USD | (4,092,970) | — | (83,177) |
S&P/TSX 60 Index | (30) | 03/2020 | CAD | (6,074,400) | — | (20,886) |
Swiss Franc | (5) | 03/2020 | USD | (650,000) | — | (12,644) |
Total | — | (156,871) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 172,846,730 | 535 | 2,500.00 | 12/17/2021 | 6,617,692 | 5,119,950 |
S&P 500 Index | JPMorgan | USD | 109,846,520 | 340 | 2,600.00 | 12/17/2021 | 4,060,407 | 3,857,300 |
S&P 500 Index | JPMorgan | USD | 122,769,640 | 380 | 2,400.00 | 12/17/2021 | 3,900,336 | 3,038,100 |
Total | 14,578,435 | 12,015,350 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
273,989,299 | 153,390,546 | (147,774,625) | 279,605,220 | — | (7,712) | 7,414 | 6,092,235 | 279,577,260 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
977,563 | 31,300 | (34,234) | 974,629 | — | 73,028 | 6,486,554 | — | 26,081,069 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
1,265,818 | 74,375 | (31,973) | 1,308,220 | — | 117,547 | 14,968,893 | — | 76,543,935 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
591,833 | 26,863 | (13,660) | 605,036 | — | 57,502 | 3,378,076 | — | 17,903,007 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
10,580,087 | 789,333 | (308,670) | 11,060,750 | — | (60,547) | 6,220,244 | 3,567,851 | 117,907,590 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
1,107,388 | 47,363 | (61,768) | 1,092,983 | — | 154,978 | 6,285,337 | — | 23,914,473 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 9 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
3,414,409 | 293,532 | (34,162) | 3,673,779 | — | (31,638) | 1,704,433 | 780,748 | 35,856,087 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
6,113,945 | 226,597 | (644,513) | 5,696,029 | — | (120,434) | 9,273,511 | 1,702,800 | 62,599,357 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
210,211 | 10,873 | (17,343) | 203,741 | — | 118,716 | 1,690,702 | — | 6,764,205 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
1,047,037 | 41,920 | (44,229) | 1,044,728 | — | 35,487 | 2,705,467 | — | 12,421,820 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
531,067 | 25,277 | (61,972) | 494,372 | — | 323,015 | 2,738,150 | — | 13,679,283 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
261,728 | 11,431 | (11,300) | 261,859 | — | 32,515 | 1,609,123 | — | 6,790,011 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
— | 409,614 | — | 409,614 | — | — | 368,653 | — | 6,418,653 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
— | 355,047 | — | 355,047 | — | — | 276,937 | — | 6,326,936 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
442,793 | 156,279 | (532,490) | 66,582 | — | 2,323,781 | (886,456) | — | 1,622,596 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
3,146,856 | 218,868 | (101,578) | 3,264,146 | — | (25,041) | 1,261,557 | 893,888 | 34,665,227 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
6,618,804 | 802,527 | (44,854) | 7,376,477 | — | (3,265) | 2,521,679 | 4,419,499 | 81,215,008 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
3,883,259 | 581,544 | (84,416) | 4,380,387 | 645,178 | (80,004) | 5,659,166 | 1,226,687 | 48,315,671 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
1,497,278 | 492,866 | (40,333) | 1,949,811 | 494,709 | (21,381) | 988,609 | 646,628 | 18,932,660 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
3,842,618 | 584,447 | (64,749) | 4,362,316 | 209,838 | (42,863) | 5,335,818 | 1,235,484 | 48,290,833 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
590,756 | 27,403 | (44,818) | 573,341 | — | 424,411 | 4,875,937 | — | 21,528,957 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
620,470 | 24,481 | (28,146) | 616,805 | — | 102,703 | 5,249,606 | — | 21,495,654 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
530,354 | 36,207 | (65,428) | 501,133 | — | 365,205 | 3,079,225 | — | 14,613,026 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
593,240 | 48,099 | (50,504) | 590,835 | — | 528,126 | 3,974,071 | — | 21,016,006 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
573,909 | 25,431 | (84,505) | 514,835 | — | 377,264 | 2,618,833 | — | 13,483,531 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
10,396,658 | 691,865 | (281,986) | 10,806,537 | — | (24,461) | 6,589,708 | 3,029,241 | 118,979,974 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
312,835 | 25,600 | (6,175) | 332,260 | — | 7,801 | 2,151,560 | — | 10,074,114 |
10 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
1,022,064 | 141,602 | (6,256) | 1,157,410 | — | (1,218) | 266,060 | 113,853 | 11,898,172 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
346,782 | 10,392 | (37,561) | 319,613 | — | 280,429 | 2,940,628 | — | 10,285,151 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
1,390,118 | 332,459 | (39,211) | 1,683,366 | 562,378 | (5,072) | 3,126,385 | 179,392 | 19,291,378 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
12,455,695 | 631,222 | (775,703) | 12,311,214 | — | (228,035) | 7,920,486 | 3,168,709 | 137,270,041 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
1,181,601 | 67,536 | (22,251) | 1,226,886 | — | 26,763 | 6,042,878 | — | 29,261,237 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
416,329 | 81,771 | (10,261) | 487,839 | — | (179) | 1,994,616 | — | 12,381,369 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
368,988 | 98,001 | (4,672) | 462,317 | — | (1,786) | 1,952,267 | — | 13,425,677 | |
Total | 1,912,103 | 4,695,635 | 125,376,127 | 27,057,015 | 1,380,829,968 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 11 |
December 31, 2019
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 500,861,252 | 500,861,252 |
Exchange-Traded Equity Funds | 87,248,200 | — | — | — | 87,248,200 |
Exchange-Traded Fixed Income Funds | 30,825,564 | — | — | — | 30,825,564 |
Fixed Income Funds | — | — | — | 600,391,456 | 600,391,456 |
Residential Mortgage-Backed Securities - Agency | — | 41,659,801 | — | — | 41,659,801 |
Options Purchased Puts | 12,015,350 | — | — | — | 12,015,350 |
Money Market Funds | 279,577,260 | — | — | — | 279,577,260 |
Total Investments in Securities | 409,666,374 | 41,659,801 | — | 1,101,252,708 | 1,552,578,883 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 4,511,347 | — | — | — | 4,511,347 |
Liability | |||||
Futures Contracts | (1,287,376) | — | — | — | (1,287,376) |
Total | 412,890,345 | 41,659,801 | — | 1,101,252,708 | 1,555,802,854 |
12 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $130,020,715) | $159,733,565 |
Affiliated issuers (cost $1,207,200,030) | 1,380,829,968 |
Options purchased (cost $14,578,435) | 12,015,350 |
Cash collateral held at broker for: | |
TBA | 19,000 |
Margin deposits on: | |
Futures contracts | 9,593,272 |
Receivable for: | |
Investments sold | 1,372,519 |
Investments sold on a delayed delivery basis | 21,446,708 |
Capital shares sold | 14,679 |
Dividends | 707,156 |
Interest | 47,254 |
Variation margin for futures contracts | 567,645 |
Prepaid expenses | 5,399 |
Trustees’ deferred compensation plan | 68,275 |
Other assets | 396 |
Total assets | 1,586,421,186 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 63,058,812 |
Capital shares purchased | 1,975,420 |
Variation margin for futures contracts | 231,943 |
Management services fees | 8,887 |
Distribution and/or service fees | 10,423 |
Service fees | 77,027 |
Compensation of board members | 85 |
Compensation of chief compliance officer | 135 |
Other expenses | 58,354 |
Trustees’ deferred compensation plan | 68,275 |
Total liabilities | 65,489,361 |
Net assets applicable to outstanding capital stock | $1,520,931,825 |
Represented by | |
Trust capital | $1,520,931,825 |
Total - representing net assets applicable to outstanding capital stock | $1,520,931,825 |
Class 1 | |
Net assets | $207,170 |
Shares outstanding | 15,380 |
Net asset value per share | $13.47 |
Class 2 | |
Net assets | $1,520,724,655 |
Shares outstanding | 113,114,914 |
Net asset value per share | $13.44 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,876,780 |
Dividends — affiliated issuers | 27,057,015 |
Interest | 89,265 |
Total income | 30,023,060 |
Expenses: | |
Management services fees | 3,041,635 |
Distribution and/or service fees | |
Class 2 | 3,535,350 |
Service fees | 849,224 |
Compensation of board members | 33,596 |
Custodian fees | 44,714 |
Printing and postage fees | 33,992 |
Audit fees | 35,000 |
Legal fees | 30,488 |
Compensation of chief compliance officer | 542 |
Other | 40,542 |
Total expenses | 7,645,083 |
Net investment income | 22,377,977 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 2,810,210 |
Investments — affiliated issuers | 4,695,635 |
Capital gain distributions from underlying affiliated funds | 1,912,103 |
Foreign currency translations | (53,191) |
Futures contracts | 16,656,287 |
Options purchased | (7,343,812) |
Net realized gain | 18,677,232 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 19,001,696 |
Investments — affiliated issuers | 125,376,127 |
Foreign currency translations | 48,733 |
Futures contracts | 3,956,255 |
Options purchased | (6,547,202) |
Net change in unrealized appreciation (depreciation) | 141,835,609 |
Net realized and unrealized gain | 160,512,841 |
Net increase in net assets resulting from operations | $182,890,818 |
14 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $22,377,977 | $16,927,453 |
Net realized gain | 18,677,232 | 4,882,272 |
Net change in unrealized appreciation (depreciation) | 141,835,609 | (79,693,157) |
Net increase (decrease) in net assets resulting from operations | 182,890,818 | (57,883,432) |
Increase (decrease) in net assets from capital stock activity | 37,059,723 | (66,633,641) |
Total increase (decrease) in net assets | 219,950,541 | (124,517,073) |
Net assets at beginning of year | 1,300,981,284 | 1,425,498,357 |
Net assets at end of year | $1,520,931,825 | $1,300,981,284 |
Year Ended | Year Ended | |||
December 31, 2019 (a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 15,903 | 209,249 | — | — |
Redemptions | (523) | (6,781) | — | — |
Net increase | 15,380 | 202,468 | — | — |
Class 2 | ||||
Subscriptions | 7,647,751 | 98,451,288 | 4,464,595 | 54,571,049 |
Redemptions | (4,845,056) | (61,594,033) | (9,904,606) | (121,204,690) |
Net increase (decrease) | 2,802,695 | 36,857,255 | (5,440,011) | (66,633,641) |
Total net increase (decrease) | 2,818,075 | 37,059,723 | (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. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $12.36 | 0.16 | 0.95 | 1.11 |
Class 2 | ||||
Year Ended 12/31/2019 | $11.79 | 0.20 | 1.45 | 1.65 |
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) |
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. |
16 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $13.47 | 8.98% | 0.29%(d) | 0.29%(d) | 1.46%(d) | 137% | $207 |
Class 2 | |||||||
Year Ended 12/31/2019 | $13.44 | 14.00% | 0.54% | 0.54% | 1.58% | 137% | $1,520,725 |
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% | $936,541 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 4,259,245* |
Equity risk | Investments, at value — Options Purchased | 12,015,350 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 252,102* |
Total | 16,526,697 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 21 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 229,314* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 32,638* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 1,025,424* |
Total | 1,287,376 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 10,120,952 | (7,343,812) | 2,777,140 |
Foreign exchange risk | (89,132) | — | (89,132) |
Interest rate risk | 6,624,467 | — | 6,624,467 |
Total | 16,656,287 | (7,343,812) | 9,312,475 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 7,435,588 | (6,547,202) | 888,386 |
Foreign exchange risk | 113,431 | — | 113,431 |
Interest rate risk | (3,592,764) | — | (3,592,764) |
Total | 3,956,255 | (6,547,202) | (2,590,947) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 259,690,596 |
Futures contracts — short | 14,943,205 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 7,877,735 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
22 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
JPMorgan ($) | |
Assets | |
Options purchased puts | 12,015,350 |
Total financial and derivative net assets | 12,015,350 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 12,015,350 |
(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 Volatility Conservative Growth Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 25 |
December 31, 2019
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
26 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 29 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
30 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 31 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
32 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2019 | 33 |
December 31, 2019
3 | |
5 | |
6 | |
7 | |
13 | |
14 | |
15 | |
16 | |
18 | |
29 | |
30 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 18.52 | 5.12 | 6.21 | |
Class 2 | 04/12/13 | 18.26 | 5.07 | 6.18 | |
Blended Benchmark | 21.40 | 7.49 | 8.10 | ||
Russell 3000 Index | 31.02 | 11.24 | 13.06 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 3 |
Portfolio Allocation (%) (at December 31, 2019) | |
Allocations to Underlying Funds | |
Equity Funds | 62.8 |
International | 16.9 |
U.S. Large Cap | 38.1 |
U.S. Mid Cap | 4.3 |
U.S. Small Cap | 3.5 |
Exchange-Traded Equity Funds | 6.0 |
International Mid Large Cap | 1.5 |
U.S. Large Cap | 4.5 |
Exchange-Traded Fixed Income Funds | 1.4 |
Investment Grade | 1.4 |
Fixed Income Funds | 11.3 |
Investment Grade | 11.3 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 15.3 |
Options Purchased Puts | 1.4 |
Residential Mortgage-Backed Securities - Agency | 1.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $1.8 billion) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 5 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,053.50 | 1,024.21 | 1.31 | 1.29 | 0.25 | 4.08 | 4.02 | 0.78 |
Class 2 | 1,000.00 | 1,000.00 | 1,052.00 | 1,022.98 | 2.56 | 2.53 | 0.49 | 5.33 | 5.26 | 1.02 |
6 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
December 31, 2019
Equity Funds 63.3% | ||
Shares | Value ($) | |
International 17.1% | ||
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 64,958,054 | 716,487,338 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 26,624,105 | 258,520,062 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 63,869,456 | 707,034,872 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 23,783,020 | 272,553,406 |
Total | 1,954,595,678 | |
U.S. Large Cap 38.4% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 14,580,958 | 390,186,423 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 19,356,104 | 1,132,525,668 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 9,052,372 | 267,859,700 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 16,584,032 | 362,858,624 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 15,885,381 | 188,877,177 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 8,438,325 | 233,488,450 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 8,755,010 | 328,750,610 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 9,527,101 | 332,019,486 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 7,028,321 | 204,945,854 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 8,927,921 | 317,566,138 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 7,440,658 | 194,870,820 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 18,439,898 | 439,791,573 |
Total | 4,393,740,523 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 4.3% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 3,001,383 | 99,645,919 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 3,751,594 | 97,278,851 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 4,642,783 | 140,769,178 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 4,730,009 | 152,211,685 |
Total | 489,905,633 | |
U.S. Small Cap 3.5% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 3,656,060 | 57,290,453 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 3,169,014 | 56,471,831 |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 576,710 | 14,054,428 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 5,735,014 | 145,554,659 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 4,628,169 | 134,402,018 |
Total | 407,773,389 | |
Total Equity Funds (Cost $5,114,528,656) | 7,246,015,223 | |
Exchange-Traded Equity Funds 6.1% | ||
International Mid Large Cap 1.6% | ||
iShares MSCI EAFE ETF | 2,539,000 | 176,308,160 |
U.S. Large Cap 4.5% | ||
SPDR S&P 500 ETF Trust | 1,613,300 | 519,256,738 |
Total Exchange-Traded Equity Funds (Cost $480,176,610) | 695,564,898 | |
Exchange-Traded Fixed Income Funds 1.4% | ||
Investment Grade 1.4% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,231,500 | 157,582,740 |
Total Exchange-Traded Fixed Income Funds (Cost $140,611,607) | 157,582,740 | |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 7 |
December 31, 2019
Fixed Income Funds 11.4% | ||
Shares | Value ($) | |
Investment Grade 11.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 21,144,635 | 225,401,811 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 6,780,576 | 66,178,417 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 11,789,892 | 129,570,915 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 6,235,936 | 66,225,640 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 14,457,488 | 159,176,943 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 22,161,429 | 243,997,330 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 2,192,438 | 22,538,267 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 35,323,442 | 393,856,381 |
Total | 1,306,945,704 | |
Total Fixed Income Funds (Cost $1,257,800,865) | 1,306,945,704 |
Residential Mortgage-Backed Securities - Agency 1.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/16/2035- 01/14/2050 | 3.000% | 206,921,000 | 210,441,033 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $210,056,333) | 210,441,033 |
Options Purchased Puts 1.4% | ||||
Value ($) | ||||
(Cost $199,742,275) | 165,273,625 |
Money Market Funds 15.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(d) | 1,764,588,217 | 1,764,411,758 |
Total Money Market Funds (Cost $1,764,420,616) | 1,764,411,758 | |
Total Investments in Securities (Cost: $9,167,336,962) | 11,546,234,981 | |
Other Assets & Liabilities, Net | (94,090,564) | |
Net Assets | 11,452,144,417 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 670 | 03/2020 | USD | 47,154,600 | 1,194,724 | — |
British Pound | 1,597 | 03/2020 | USD | 132,670,775 | 795,537 | — |
CAC40 Index | 40 | 01/2020 | EUR | 2,388,000 | 40,321 | — |
Canadian Dollar | 60 | 03/2020 | USD | 4,625,100 | 86,472 | — |
DAX Index | 35 | 03/2020 | EUR | 11,590,688 | 15,754 | — |
Euro FX | 1,165 | 03/2020 | USD | 164,294,125 | 1,728,416 | — |
EURO STOXX 50 Index | 3,455 | 03/2020 | EUR | 128,836,950 | 1,605,463 | — |
EURO STOXX 50 Index | 827 | 03/2020 | EUR | 30,838,830 | — | (65,461) |
FTSE 100 Index | 413 | 03/2020 | GBP | 30,970,870 | 1,173,273 | — |
FTSE/MIB Index | 88 | 03/2020 | EUR | 10,300,400 | 52,135 | — |
Japanese Yen | 360 | 03/2020 | USD | 41,604,750 | 239,317 | — |
Japanese Yen | 1,495 | 03/2020 | USD | 172,775,281 | — | (339,673) |
8 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI Singapore Index | 259 | 01/2020 | SGD | 9,621,850 | — | (16,868) |
New Zealand Dollar | 300 | 03/2020 | USD | 20,250,000 | 529,860 | — |
Russell 2000 Index E-mini | 302 | 03/2020 | USD | 25,226,060 | 413,908 | — |
S&P 500 Index | 190 | 03/2020 | USD | 153,477,250 | 4,048,710 | — |
S&P 500 Index E-mini | 10,068 | 03/2020 | USD | 1,626,535,740 | 35,509,856 | — |
SPI 200 Index | 389 | 03/2020 | AUD | 64,214,175 | — | (401,242) |
Swiss Franc | 110 | 03/2020 | USD | 14,300,000 | 220,187 | — |
TOPIX Index | 381 | 03/2020 | JPY | 6,557,010,000 | 553,533 | — |
TOPIX Index | 464 | 03/2020 | JPY | 7,985,440,000 | — | (583,689) |
U.S. Treasury 10-Year Note | 1,194 | 03/2020 | USD | 153,335,719 | — | (1,308,326) |
U.S. Treasury 2-Year Note | 408 | 03/2020 | USD | 87,924,000 | — | (39,025) |
U.S. Treasury 5-Year Note | 1,025 | 03/2020 | USD | 121,574,609 | — | (386,323) |
U.S. Ultra Treasury Bond | 355 | 03/2020 | USD | 64,487,969 | — | (1,942,278) |
Total | 48,207,466 | (5,082,885) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Hang Seng Index | (277) | 01/2020 | HKD | (391,539,500) | — | (618,079) |
OMXS30 Index | (955) | 01/2020 | SEK | (168,867,875) | — | (96,729) |
S&P/TSX 60 Index | (450) | 03/2020 | CAD | (91,116,000) | — | (313,293) |
U.S. Long Bond | (11) | 03/2020 | USD | (1,714,969) | 12,009 | — |
Total | 12,009 | (1,028,101) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 2,293,853,800 | 7,100 | 2,400.00 | 12/17/2021 | 72,865,778 | 56,764,500 |
S&P 500 Index | JPMorgan | USD | 1,591,159,150 | 4,925 | 2,600.00 | 12/17/2021 | 58,834,501 | 55,874,125 |
S&P 500 Index | JPMorgan | USD | 1,776,929,000 | 5,500 | 2,500.00 | 12/17/2021 | 68,041,996 | 52,635,000 |
Total | 199,742,275 | 165,273,625 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
1,451,148,492 | 1,773,757,010 | (1,460,317,285) | 1,764,588,217 | — | (38,852) | 33,667 | 36,833,687 | 1,764,411,758 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
15,037,545 | 5,419 | (462,006) | 14,580,958 | — | 2,488,275 | 96,738,645 | — | 390,186,423 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
19,812,501 | — | (456,397) | 19,356,104 | — | 7,752,290 | 220,513,705 | — | 1,132,525,668 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
9,168,073 | 1,810 | (117,511) | 9,052,372 | — | 815,720 | 51,467,841 | — | 267,859,700 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
20,974,801 | 694,204 | (524,370) | 21,144,635 | — | (16,470) | 12,235,532 | 7,154,922 | 225,401,811 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 9 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
17,586,547 | — | (1,002,515) | 16,584,032 | — | 6,772,312 | 92,758,236 | — | 362,858,624 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
6,703,991 | 169,138 | (92,553) | 6,780,576 | — | (85,467) | 3,316,336 | 1,520,601 | 66,178,417 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
12,012,944 | 344,987 | (568,039) | 11,789,892 | — | 116,848 | 18,549,452 | 3,534,539 | 129,570,915 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
3,152,590 | 285 | (151,492) | 3,001,383 | — | 787,334 | 26,072,810 | — | 99,645,919 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
16,399,672 | 4,634 | (518,925) | 15,885,381 | — | 527,912 | 41,688,989 | — | 188,877,177 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
9,502,815 | 23,657 | (1,088,147) | 8,438,325 | — | 3,094,024 | 49,985,827 | — | 233,488,450 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
3,804,210 | 2,331 | (54,947) | 3,751,594 | — | 53,461 | 23,563,123 | — | 97,278,851 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
— | 3,656,060 | — | 3,656,060 | — | — | 3,290,454 | — | 57,290,453 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
— | 3,169,014 | — | 3,169,014 | — | — | 2,471,831 | — | 56,471,831 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
5,178,769 | 293,487 | (4,895,546) | 576,710 | — | 24,873,771 | (8,720,827) | — | 14,054,428 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
6,179,295 | 176,984 | (120,343) | 6,235,936 | — | (25,659) | 2,449,907 | 1,789,563 | 66,225,640 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
13,954,928 | 856,796 | (354,236) | 14,457,488 | — | (39,872) | 5,256,864 | 9,130,410 | 159,176,943 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
61,099,416 | 3,858,638 | — | 64,958,054 | 9,985,385 | — | 83,240,754 | 18,838,818 | 716,487,338 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
23,706,038 | 2,918,067 | — | 26,624,105 | 7,113,493 | — | 13,507,423 | 9,340,218 | 258,520,062 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
60,462,299 | 3,407,157 | — | 63,869,456 | 3,218,216 | — | 78,504,488 | 18,842,788 | 707,034,872 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
9,295,444 | — | (540,434) | 8,755,010 | — | 7,687,128 | 74,558,078 | — | 328,750,610 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
10,171,566 | — | (644,465) | 9,527,101 | — | 4,991,154 | 79,965,208 | — | 332,019,486 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
9,479,488 | 73,694 | (2,524,861) | 7,028,321 | — | 5,397,495 | 48,874,411 | — | 204,945,854 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
9,741,509 | — | (813,588) | 8,927,921 | — | 9,550,557 | 63,117,111 | — | 317,566,138 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
10,227,818 | 105,758 | (2,892,918) | 7,440,658 | — | 5,748,521 | 41,989,279 | — | 194,870,820 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
22,207,112 | 616,499 | (662,182) | 22,161,429 | — | 60,212 | 13,964,392 | 6,528,477 | 243,997,330 |
10 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
4,716,537 | 9,304 | (83,058) | 4,642,783 | — | 132,790 | 31,224,542 | — | 140,769,178 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
2,101,166 | 102,669 | (11,397) | 2,192,438 | — | (2,191) | 532,137 | 226,372 | 22,538,267 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
5,112,269 | 325 | (382,585) | 4,730,009 | — | 2,596,106 | 44,954,819 | — | 152,211,685 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
21,812,039 | 1,970,981 | — | 23,783,020 | 8,044,447 | — | 45,554,737 | 2,619,448 | 272,553,406 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
35,423,070 | 879,553 | (979,181) | 35,323,442 | — | (132,520) | 22,477,742 | 9,413,604 | 393,856,381 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
18,667,771 | 10,236 | (238,109) | 18,439,898 | — | 444,370 | 92,775,796 | — | 439,791,573 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
5,274,572 | 709,856 | (249,414) | 5,735,014 | — | 1,454,833 | 22,564,046 | — | 145,554,659 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
4,223,170 | 508,219 | (103,220) | 4,628,169 | — | 574,818 | 20,230,183 | — | 134,402,018 | |
Total | 28,361,541 | 85,578,900 | 1,419,707,538 | 125,773,447 | 10,317,372,685 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 11 |
December 31, 2019
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 7,246,015,223 | 7,246,015,223 |
Exchange-Traded Equity Funds | 695,564,898 | — | — | — | 695,564,898 |
Exchange-Traded Fixed Income Funds | 157,582,740 | — | — | — | 157,582,740 |
Fixed Income Funds | — | — | — | 1,306,945,704 | 1,306,945,704 |
Residential Mortgage-Backed Securities - Agency | — | 210,441,033 | — | — | 210,441,033 |
Options Purchased Puts | 165,273,625 | — | — | — | 165,273,625 |
Money Market Funds | 1,764,411,758 | — | — | — | 1,764,411,758 |
Total Investments in Securities | 2,782,833,021 | 210,441,033 | — | 8,552,960,927 | 11,546,234,981 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 48,219,475 | — | — | — | 48,219,475 |
Liability | |||||
Futures Contracts | (6,110,986) | — | — | — | (6,110,986) |
Total | 2,824,941,510 | 210,441,033 | — | 8,552,960,927 | 11,588,343,470 |
12 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $830,844,550) | $1,063,588,671 |
Affiliated issuers (cost $8,136,750,137) | 10,317,372,685 |
Options purchased (cost $199,742,275) | 165,273,625 |
Margin deposits on: | |
Futures contracts | 108,705,491 |
Receivable for: | |
Investments sold | 5,991,913 |
Investments sold on a delayed delivery basis | 147,026,615 |
Capital shares sold | 799 |
Dividends | 5,035,974 |
Interest | 233,196 |
Variation margin for futures contracts | 7,282,047 |
Prepaid expenses | 41,612 |
Trustees’ deferred compensation plan | 321,158 |
Other assets | 396 |
Total assets | 11,820,874,182 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 357,303,643 |
Capital shares purchased | 8,560,675 |
Variation margin for futures contracts | 1,724,557 |
Management services fees | 54,081 |
Distribution and/or service fees | 78,341 |
Service fees | 577,351 |
Compensation of board members | 408 |
Compensation of chief compliance officer | 1,026 |
Other expenses | 108,525 |
Trustees’ deferred compensation plan | 321,158 |
Total liabilities | 368,729,765 |
Net assets applicable to outstanding capital stock | $11,452,144,417 |
Represented by | |
Trust capital | $11,452,144,417 |
Total - representing net assets applicable to outstanding capital stock | $11,452,144,417 |
Class 1 | |
Net assets | $1,984,712 |
Shares outstanding | 132,638 |
Net asset value per share | $14.96 |
Class 2 | |
Net assets | $11,450,159,705 |
Shares outstanding | 765,245,460 |
Net asset value per share | $14.96 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $24,785,578 |
Dividends — affiliated issuers | 125,773,447 |
Interest | 1,012,456 |
Total income | 151,571,481 |
Expenses: | |
Management services fees | 19,094,637 |
Distribution and/or service fees | |
Class 2 | 26,990,270 |
Service fees | 6,482,046 |
Compensation of board members | 171,023 |
Custodian fees | 59,063 |
Printing and postage fees | 86,362 |
Audit fees | 35,000 |
Legal fees | 232,331 |
Compensation of chief compliance officer | 4,166 |
Other | 252,528 |
Total expenses | 53,407,426 |
Net investment income | 98,164,055 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 39,523,885 |
Investments — affiliated issuers | 85,578,900 |
Capital gain distributions from underlying affiliated funds | 28,361,541 |
Foreign currency translations | (953,600) |
Futures contracts | 87,072,986 |
Options purchased | (104,774,104) |
Net realized gain | 134,809,608 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 144,601,172 |
Investments — affiliated issuers | 1,419,707,538 |
Foreign currency translations | 823,580 |
Futures contracts | 75,650,346 |
Options purchased | (91,947,017) |
Net change in unrealized appreciation (depreciation) | 1,548,835,619 |
Net realized and unrealized gain | 1,683,645,227 |
Net increase in net assets resulting from operations | $1,781,809,282 |
14 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $98,164,055 | $68,646,084 |
Net realized gain (loss) | 134,809,608 | (152,521,564) |
Net change in unrealized appreciation (depreciation) | 1,548,835,619 | (747,026,868) |
Net increase (decrease) in net assets resulting from operations | 1,781,809,282 | (830,902,348) |
Increase (decrease) in net assets from capital stock activity | (149,973,121) | 529,542,967 |
Total increase (decrease) in net assets | 1,631,836,161 | (301,359,381) |
Net assets at beginning of year | 9,820,308,256 | 10,121,667,637 |
Net assets at end of year | $11,452,144,417 | $9,820,308,256 |
Year Ended | Year Ended | |||
December 31, 2019 (a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 138,161 | 1,973,792 | — | — |
Redemptions | (5,523) | (76,936) | — | — |
Net increase | 132,638 | 1,896,856 | — | — |
Class 2 | ||||
Subscriptions | 11,338,956 | 159,797,469 | 48,595,835 | 671,619,689 |
Redemptions | (22,198,942) | (311,667,446) | (10,519,887) | (142,076,722) |
Net increase (decrease) | (10,859,986) | (151,869,977) | 38,075,948 | 529,542,967 |
Total net increase (decrease) | (10,727,348) | (149,973,121) | 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. |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $13.62 | 0.11 | 1.23 | 1.34 |
Class 2 | ||||
Year Ended 12/31/2019 | $12.65 | 0.13 | 2.18 | 2.31 |
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) |
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. |
16 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $14.96 | 9.84% | 0.25%(d) | 0.25%(d) | 0.88%(d) | 128% | $1,985 |
Class 2 | |||||||
Year Ended 12/31/2019 | $14.96 | 18.26% | 0.49% | 0.49% | 0.91% | 128% | $11,450,160 |
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% | $7,441,534 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 21 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 43,412,953* |
Equity risk | Investments, at value — Options Purchased | 165,273,625 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 4,794,513* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 12,009* |
Total | 213,493,100 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 2,095,361* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 339,673* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 3,675,952* |
Total | 6,110,986 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 63,585,713 | (104,774,104) | (41,188,391) |
Foreign exchange risk | (5,715,759) | — | (5,715,759) |
Interest rate risk | 29,203,032 | — | 29,203,032 |
Total | 87,072,986 | (104,774,104) | (17,701,118) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 93,677,412 | (91,947,017) | 1,730,395 |
Foreign exchange risk | 2,198,901 | — | 2,198,901 |
Interest rate risk | (20,225,967) | — | (20,225,967) |
Total | 75,650,346 | (91,947,017) | (16,296,671) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,363,787,590 |
Futures contracts — short | 139,892,818 |
22 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
December 31, 2019
Derivative instrument | Average value ($)* |
Options contracts — purchased | 111,213,563 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 23 |
December 31, 2019
JPMorgan ($) | |
Assets | |
Options purchased puts | 165,273,625 |
Total financial and derivative net assets | 165,273,625 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 165,273,625 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
24 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 25 |
December 31, 2019
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
26 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 29 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
30 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 31 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
32 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2019 | 33 |
December 31, 2019
3 | |
5 | |
6 | |
7 | |
13 | |
14 | |
15 | |
16 | |
18 | |
29 | |
30 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 12.19 | 3.74 | 3.63 | |
Class 2 | 04/12/13 | 11.91 | 3.69 | 3.60 | |
Blended Benchmark | 12.57 | 4.46 | 4.41 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 2.73 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. 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 Fund | Annual Report 2019 | 3 |
Portfolio Allocation (%) (at December 31, 2019) | |
Allocations to Underlying Funds | |
Equity Funds | 15.2 |
International | 3.8 |
U.S. Large Cap | 8.9 |
U.S. Mid Cap | 1.0 |
U.S. Small Cap | 1.5 |
Exchange-Traded Equity Funds | 5.9 |
International Mid Large Cap | 1.9 |
U.S. Large Cap | 4.0 |
Exchange-Traded Fixed Income Funds | 2.1 |
Investment Grade | 2.1 |
Fixed Income Funds | 52.3 |
Investment Grade | 52.3 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 19.2 |
Options Purchased Puts | 0.4 |
Residential Mortgage-Backed Securities - Agency | 4.9 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $115.0 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 5 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,036.70 | 1,023.90 | 1.61 | 1.60 | 0.31 | 3.68 | 3.66 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 1,035.10 | 1,022.63 | 2.90 | 2.89 | 0.56 | 4.98 | 4.95 | 0.96 |
6 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
December 31, 2019
Equity Funds 15.9% | ||
Shares | Value ($) | |
International 4.0% | ||
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 779,302 | 8,595,700 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 293,533 | 2,850,201 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 776,600 | 8,596,966 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 251,071 | 2,877,272 |
Total | 22,920,139 | |
U.S. Large Cap 9.3% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 184,544 | 4,938,391 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 245,091 | 14,340,260 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 110,712 | 3,275,984 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 207,042 | 4,530,074 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 207,172 | 2,463,277 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 89,437 | 2,474,720 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 98,478 | 3,697,845 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 105,995 | 3,693,928 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 84,289 | 2,457,868 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 102,906 | 3,660,352 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 93,805 | 2,456,745 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 223,356 | 5,327,053 |
Total | 53,316,497 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 1.0% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 37,028 | 1,229,333 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 47,657 | 1,235,752 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 53,922 | 1,634,911 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 51,306 | 1,651,021 |
Total | 5,751,017 | |
U.S. Small Cap 1.6% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 108,328 | 1,697,495 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 93,897 | 1,673,240 |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 16,167 | 393,996 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 96,865 | 2,458,443 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 98,542 | 2,861,661 |
Total | 9,084,835 | |
Total Equity Funds (Cost $64,721,208) | 91,072,488 | |
Exchange-Traded Equity Funds 6.2% | ||
International Mid Large Cap 2.1% | ||
iShares MSCI EAFE ETF | 167,532 | 11,633,422 |
U.S. Large Cap 4.1% | ||
SPDR S&P 500 ETF Trust | 73,425 | 23,632,571 |
Total Exchange-Traded Equity Funds (Cost $25,165,300) | 35,265,993 | |
Exchange-Traded Fixed Income Funds 2.1% | ||
Investment Grade 2.1% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 95,700 | 12,245,772 |
Total Exchange-Traded Fixed Income Funds (Cost $11,694,721) | 12,245,772 | |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 7 |
December 31, 2019
Fixed Income Funds 54.7% | ||
Shares | Value ($) | |
Investment Grade 54.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 5,856,421 | 62,429,451 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 1,945,229 | 18,985,434 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 2,877,791 | 31,626,919 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 1,747,350 | 18,556,859 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 4,138,085 | 45,560,315 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 5,670,572 | 62,432,997 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 745,230 | 7,660,965 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 5,919,576 | 66,003,274 |
Total | 313,256,214 | |
Total Fixed Income Funds (Cost $301,187,699) | 313,256,214 |
Residential Mortgage-Backed Securities - Agency 5.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/16/2035- 01/14/2050 | 3.000% | 21,107,000 | 21,450,091 | |
01/14/2050 | 3.500% | 7,847,000 | 8,072,295 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $29,465,530) | 29,522,386 |
Options Purchased Puts 0.5% | ||||
Value ($) | ||||
(Cost $3,130,937) | 2,627,820 |
Money Market Funds 20.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(d) | 115,052,283 | 115,040,778 |
Total Money Market Funds (Cost $115,045,060) | 115,040,778 | |
Total Investments in Securities (Cost: $550,410,455) | 599,031,451 | |
Other Assets & Liabilities, Net | (26,277,585) | |
Net Assets | 572,753,866 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 5 | 03/2020 | USD | 351,900 | 7,764 | — |
British Pound | 15 | 03/2020 | USD | 1,246,125 | 7,447 | — |
Canadian Dollar | 8 | 03/2020 | USD | 616,680 | 11,530 | — |
Euro FX | 7 | 03/2020 | USD | 987,175 | 7,509 | — |
EURO STOXX 50 Index | 126 | 03/2020 | EUR | 4,698,540 | 58,549 | — |
EURO STOXX 50 Index | 15 | 03/2020 | EUR | 559,350 | — | (916) |
FTSE 100 Index | 17 | 03/2020 | GBP | 1,274,830 | 62,550 | — |
Japanese Yen | 7 | 03/2020 | USD | 808,981 | 4,360 | — |
Japanese Yen | 16 | 03/2020 | USD | 1,849,100 | — | (3,635) |
MSCI Singapore Index | 5 | 01/2020 | SGD | 185,750 | — | (326) |
New Zealand Dollar | 4 | 03/2020 | USD | 270,000 | 7,065 | — |
OMXS30 Index | 69 | 01/2020 | SEK | 12,200,925 | 6,142 | — |
8 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index | 1 | 03/2020 | USD | 807,775 | 21,309 | — |
S&P 500 Index E-mini | 305 | 03/2020 | USD | 49,274,275 | 1,189,307 | — |
SPI 200 Index | 11 | 03/2020 | AUD | 1,815,825 | — | (10,727) |
TOPIX Index | 16 | 03/2020 | JPY | 275,360,000 | 23,246 | — |
TOPIX Index | 8 | 03/2020 | JPY | 137,680,000 | — | (9,527) |
U.S. Long Bond | 60 | 03/2020 | USD | 9,354,375 | — | (191,373) |
U.S. Treasury 10-Year Note | 127 | 03/2020 | USD | 16,309,578 | — | (139,160) |
U.S. Treasury 2-Year Note | 7 | 03/2020 | USD | 1,508,500 | — | (670) |
U.S. Treasury 5-Year Note | 165 | 03/2020 | USD | 19,570,547 | — | (62,188) |
U.S. Ultra Treasury Bond | 6 | 03/2020 | USD | 1,089,938 | — | (32,827) |
Total | 1,406,778 | (451,349) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Hang Seng Index | (1) | 01/2020 | HKD | (1,413,500) | — | (2,231) |
Russell 2000 Index E-mini | (2) | 03/2020 | USD | (167,060) | — | (3,395) |
S&P/TSX 60 Index | (4) | 03/2020 | CAD | (809,920) | — | (2,785) |
Swiss Franc | (4) | 03/2020 | USD | (520,000) | — | (10,115) |
Total | — | (18,526) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 36,830,892 | 114 | 2,500.00 | 12/17/2021 | 1,410,779 | 1,090,980 |
S&P 500 Index | JPMorgan | USD | 31,015,488 | 96 | 2,600.00 | 12/17/2021 | 1,145,583 | 1,089,120 |
S&P 500 Index | JPMorgan | USD | 18,092,368 | 56 | 2,400.00 | 12/17/2021 | 574,575 | 447,720 |
Total | 3,130,937 | 2,627,820 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
96,425,130 | 62,273,235 | (43,646,082) | 115,052,283 | — | (2,071) | 1,891 | 2,320,702 | 115,040,778 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
174,509 | 42,627 | (32,592) | 184,544 | — | 31,960 | 1,180,102 | — | 4,938,391 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
223,329 | 64,114 | (42,352) | 245,091 | — | 86,050 | 2,716,784 | — | 14,340,260 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
103,102 | 25,341 | (17,731) | 110,712 | — | 20,476 | 600,943 | — | 3,275,984 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
4,553,032 | 1,379,305 | (75,916) | 5,856,421 | — | (966) | 2,871,789 | 1,702,485 | 62,429,451 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
200,408 | 54,029 | (47,395) | 207,042 | — | 44,859 | 1,151,505 | — | 4,530,074 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 9 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
1,484,566 | 480,423 | (19,760) | 1,945,229 | — | (1,213) | 805,713 | 376,641 | 18,985,434 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
2,490,541 | 578,984 | (191,734) | 2,877,791 | — | 6,036 | 4,092,281 | 756,176 | 31,626,919 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
40,539 | 8,009 | (11,520) | 37,028 | — | 38,987 | 299,945 | — | 1,229,333 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
185,789 | 54,038 | (32,655) | 207,172 | — | 10,065 | 507,470 | — | 2,463,277 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
88,055 | 25,438 | (24,056) | 89,437 | — | 34,261 | 514,807 | — | 2,474,720 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
50,184 | 11,328 | (13,855) | 47,657 | — | 25,662 | 286,109 | — | 1,235,752 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
— | 108,328 | — | 108,328 | — | — | 97,495 | — | 1,697,495 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
— | 93,897 | — | 93,897 | — | — | 73,239 | — | 1,673,240 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
110,713 | 64,341 | (158,887) | 16,167 | — | 532,011 | (160,327) | — | 393,996 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
1,346,121 | 414,736 | (13,507) | 1,747,350 | — | (643) | 588,509 | 431,789 | 18,556,859 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
3,051,980 | 1,133,790 | (47,685) | 4,138,085 | — | (772) | 1,220,556 | 2,240,751 | 45,560,315 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
646,410 | 233,338 | (100,446) | 779,302 | 106,973 | (1,828) | 1,018,048 | 206,348 | 8,595,700 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
238,546 | 104,842 | (49,855) | 293,533 | 71,052 | 11,140 | 175,961 | 96,013 | 2,850,201 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
641,386 | 233,337 | (98,123) | 776,600 | 35,097 | 2,751 | 965,239 | 208,759 | 8,596,966 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
99,230 | 24,440 | (25,192) | 98,478 | — | 68,280 | 838,390 | — | 3,697,845 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
108,031 | 23,970 | (26,006) | 105,995 | — | 51,516 | 878,671 | — | 3,693,928 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
85,227 | 19,311 | (20,249) | 84,289 | — | 31,962 | 543,899 | — | 2,457,868 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
102,062 | 24,305 | (23,461) | 102,906 | — | 84,804 | 668,835 | — | 3,660,352 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
92,497 | 22,576 | (21,268) | 93,805 | — | 25,498 | 499,781 | — | 2,456,745 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
4,412,528 | 1,318,966 | (60,922) | 5,670,572 | — | 465 | 3,059,286 | 1,433,200 | 62,432,997 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
56,901 | 12,001 | (14,980) | 53,922 | — | 30,735 | 347,191 | — | 1,634,911 |
10 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
569,048 | 186,619 | (10,437) | 745,230 | — | (413) | 160,057 | 67,855 | 7,660,965 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
60,152 | 10,134 | (18,980) | 51,306 | — | 78,253 | 458,511 | — | 1,651,021 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
231,852 | 74,959 | (55,740) | 251,071 | 79,282 | (4,290) | 519,672 | 26,313 | 2,877,272 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
4,781,923 | 1,220,543 | (82,890) | 5,919,576 | — | (12,354) | 3,212,901 | 1,355,381 | 66,003,274 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
211,916 | 52,534 | (41,094) | 223,356 | — | 33,931 | 1,077,985 | — | 5,327,053 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
105,623 | 26,618 | (35,376) | 96,865 | — | 57,886 | 428,947 | — | 2,458,443 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
90,060 | 30,949 | (22,467) | 98,542 | — | 18,453 | 458,588 | — | 2,861,661 | |
Total | 292,404 | 1,301,491 | 32,160,773 | 11,222,413 | 519,369,480 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 11 |
December 31, 2019
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 91,072,488 | 91,072,488 |
Exchange-Traded Equity Funds | 35,265,993 | — | — | — | 35,265,993 |
Exchange-Traded Fixed Income Funds | 12,245,772 | — | — | — | 12,245,772 |
Fixed Income Funds | — | — | — | 313,256,214 | 313,256,214 |
Residential Mortgage-Backed Securities - Agency | — | 29,522,386 | — | — | 29,522,386 |
Options Purchased Puts | 2,627,820 | — | — | — | 2,627,820 |
Money Market Funds | 115,040,778 | — | — | — | 115,040,778 |
Total Investments in Securities | 165,180,363 | 29,522,386 | — | 404,328,702 | 599,031,451 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,406,778 | — | — | — | 1,406,778 |
Liability | |||||
Futures Contracts | (469,875) | — | — | — | (469,875) |
Total | 166,117,266 | 29,522,386 | — | 404,328,702 | 599,968,354 |
12 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $66,325,551) | $77,034,151 |
Affiliated issuers (cost $480,953,967) | 519,369,480 |
Options purchased (cost $3,130,937) | 2,627,820 |
Margin deposits on: | |
Futures contracts | 2,934,555 |
Receivable for: | |
Investments sold | 33,764 |
Investments sold on a delayed delivery basis | 5,101,822 |
Capital shares sold | 15,654 |
Dividends | 282,095 |
Interest | 33,455 |
Variation margin for futures contracts | 149,110 |
Prepaid expenses | 1,864 |
Trustees’ deferred compensation plan | 40,671 |
Other assets | 396 |
Total assets | 607,624,837 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 34,596,818 |
Capital shares purchased | 63,888 |
Variation margin for futures contracts | 81,764 |
Management services fees | 3,542 |
Distribution and/or service fees | 3,924 |
Service fees | 29,099 |
Compensation of board members | 266 |
Compensation of chief compliance officer | 48 |
Other expenses | 50,951 |
Trustees’ deferred compensation plan | 40,671 |
Total liabilities | 34,870,971 |
Net assets applicable to outstanding capital stock | $572,753,866 |
Represented by | |
Trust capital | $572,753,866 |
Total - representing net assets applicable to outstanding capital stock | $572,753,866 |
Class 1 | |
Net assets | $52,826 |
Shares outstanding | 4,159 |
Net asset value per share | $12.70 |
Class 2 | |
Net assets | $572,701,040 |
Shares outstanding | 45,172,762 |
Net asset value per share | $12.68 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,029,549 |
Dividends — affiliated issuers | 11,222,413 |
Interest | 21,701 |
Total income | 12,273,663 |
Expenses: | |
Management services fees | 1,122,830 |
Distribution and/or service fees | |
Class 2 | 1,245,706 |
Service fees | 299,620 |
Compensation of board members | 20,256 |
Custodian fees | 44,926 |
Printing and postage fees | 18,178 |
Audit fees | 35,000 |
Legal fees | 10,750 |
Compensation of chief compliance officer | 189 |
Other | 18,586 |
Total expenses | 2,816,041 |
Net investment income | 9,457,622 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 1,056,635 |
Investments — affiliated issuers | 1,301,491 |
Capital gain distributions from underlying affiliated funds | 292,404 |
Foreign currency translations | (13,416) |
Futures contracts | 5,729,978 |
Options purchased | (1,515,792) |
Net realized gain | 6,851,300 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 7,098,344 |
Investments — affiliated issuers | 32,160,773 |
Foreign currency translations | 14,593 |
Futures contracts | 397,621 |
Options purchased | (1,282,337) |
Net change in unrealized appreciation (depreciation) | 38,388,994 |
Net realized and unrealized gain | 45,240,294 |
Net increase in net assets resulting from operations | $54,697,916 |
14 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $9,457,622 | $6,344,509 |
Net realized gain | 6,851,300 | 10,140 |
Net change in unrealized appreciation (depreciation) | 38,388,994 | (17,737,826) |
Net increase (decrease) in net assets resulting from operations | 54,697,916 | (11,383,177) |
Increase (decrease) in net assets from capital stock activity | 91,762,250 | (25,229,922) |
Total increase (decrease) in net assets | 146,460,166 | (36,613,099) |
Net assets at beginning of year | 426,293,700 | 462,906,799 |
Net assets at end of year | $572,753,866 | $426,293,700 |
Year Ended | Year Ended | |||
December 31, 2019 (a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,222 | 51,550 | — | — |
Redemptions | (63) | (790) | — | — |
Net increase | 4,159 | 50,760 | — | — |
Class 2 | ||||
Subscriptions | 10,555,664 | 128,068,194 | 6,084,084 | 69,537,596 |
Redemptions | (3,022,427) | (36,356,704) | (8,235,967) | (94,767,518) |
Net increase (decrease) | 7,533,237 | 91,711,490 | (2,151,883) | (25,229,922) |
Total net increase (decrease) | 7,537,396 | 91,762,250 | (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. |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $11.70 | 0.17 | 0.83 | 1.00 |
Class 2 | ||||
Year Ended 12/31/2019 | $11.33 | 0.23 | 1.12 | 1.35 |
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) |
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. |
16 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $12.70 | 8.55% | 0.31%(d) | 0.31%(d) | 1.57%(d) | 139% | $53 |
Class 2 | |||||||
Year Ended 12/31/2019 | $12.68 | 11.91% | 0.57% | 0.57% | 1.90% | 139% | $572,701 |
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% | $241,975 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,361,103* |
Equity risk | Investments, at value — Options Purchased | 2,627,820 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 45,675* |
Total | 4,034,598 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 21 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 29,907* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 13,750* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 426,218* |
Total | 469,875 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 3,115,031 | (1,515,792) | 1,599,239 |
Foreign exchange risk | 26,534 | — | 26,534 |
Interest rate risk | 2,588,413 | — | 2,588,413 |
Total | 5,729,978 | (1,515,792) | 4,214,186 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 1,742,269 | (1,282,337) | 459,932 |
Foreign exchange risk | 12,237 | — | 12,237 |
Interest rate risk | (1,356,885) | — | (1,356,885) |
Total | 397,621 | (1,282,337) | (884,716) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 90,440,590 |
Futures contracts — short | 2,800,828 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 1,666,730 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
22 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
December 31, 2019
JPMorgan ($) | |
Assets | |
Options purchased puts | 2,627,820 |
Total financial and derivative net assets | 2,627,820 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 2,627,820 |
(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 Volatility Conservative Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 25 |
December 31, 2019
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
26 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 29 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
30 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 31 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
32 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2019 | 33 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
29 | |
30 |
Average annual total returns (%) (for the period ended December 31, 2019) | ||||
Inception | 1 Year | Life | ||
Class 1* | 02/20/19 | 15.13 | 7.66 | |
Class 2 | 11/02/16 | 14.86 | 7.58 | |
Blended Benchmark | 16.49 | 7.94 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | ||
S&P 500 Index | 31.49 | 16.97 |
* | 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 | Annual Report 2019 | 3 |
Portfolio Allocation (%) (at December 31, 2019) | |
Allocations to Underlying Funds | |
Equity Funds | 30.8 |
U.S. Large Cap | 30.8 |
Exchange-Traded Equity Funds | 0.2 |
U.S. Large Cap | 0.2 |
Exchange-Traded Fixed Income Funds | 5.6 |
Investment Grade | 5.6 |
Fixed Income Funds | 38.8 |
High Yield | 2.2 |
Investment Grade | 36.6 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 21.3 |
Options Purchased Puts | 0.8 |
Residential Mortgage-Backed Securities - Agency | 2.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $62.4 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 5 |
6 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,048.10 | 1,024.10 | 1.41 | 1.39 | 0.27 | 3.44 | 3.40 | 0.66 |
Class 2 | 1,000.00 | 1,000.00 | 1,046.50 | 1,022.52 | 3.02 | 2.99 | 0.58 | 5.06 | 5.00 | 0.97 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 7 |
December 31, 2019
Equity Funds 31.3% | ||
Shares | Value ($) | |
U.S. Large Cap 31.3% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 171,661 | 10,043,912 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 776,034 | 20,099,279 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 363,744 | 10,064,800 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 267,460 | 10,043,110 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 282,021 | 10,031,491 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 384,033 | 10,057,817 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 842,479 | 20,093,120 |
Total | 90,433,529 | |
Total Equity Funds (Cost $73,854,364) | 90,433,529 | |
Exchange-Traded Equity Funds 0.2% | ||
U.S. Large Cap 0.2% | ||
SPDR S&P 500 ETF Trust | 1,950 | 627,627 |
Total Exchange-Traded Equity Funds (Cost $440,136) | 627,627 | |
Exchange-Traded Fixed Income Funds 5.7% | ||
Investment Grade 5.7% | ||
iShares Core U.S. Aggregate Bond ETF | 42,610 | 4,788,086 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 75,527 | 9,664,435 |
Vanguard Total Bond Market ETF | 24,060 | 2,017,671 |
Total | 16,470,192 | |
Total Exchange-Traded Fixed Income Funds (Cost $15,316,534) | 16,470,192 | |
Fixed Income Funds 39.4% | ||
High Yield 2.3% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 866,007 | 6,616,297 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Investment Grade 37.1% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 2,124,570 | 22,647,920 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 682,653 | 6,662,698 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 492,702 | 5,414,795 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 627,570 | 6,664,795 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 1,990,263 | 21,912,796 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 1,927,182 | 21,218,272 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 296,039 | 3,043,276 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 1,760,952 | 19,634,612 |
Total | 107,199,164 | |
Total Fixed Income Funds (Cost $110,671,537) | 113,815,461 |
Residential Mortgage-Backed Securities - Agency 2.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/16/2035- 01/14/2050 | 3.000% | 5,176,500 | 5,256,784 | |
01/14/2050 | 3.500% | 1,892,500 | 1,946,836 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $7,191,686) | 7,203,620 |
Options Purchased Puts 0.8% | ||||
Value ($) | ||||
(Cost $2,667,487) | 2,254,380 |
Money Market Funds 21.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(d) | 62,418,725 | 62,412,483 |
Total Money Market Funds (Cost $62,413,039) | 62,412,483 | |
Total Investments in Securities (Cost: $272,554,783) | 293,217,292 | |
Other Assets & Liabilities, Net | (4,287,058) | |
Net Assets | 288,930,234 |
8 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index | 1 | 03/2020 | USD | 807,775 | 21,309 | — |
S&P 500 Index E-mini | 367 | 03/2020 | USD | 59,290,685 | 1,381,834 | — |
U.S. Long Bond | 22 | 03/2020 | USD | 3,429,938 | — | (70,170) |
U.S. Treasury 10-Year Note | 39 | 03/2020 | USD | 5,008,453 | — | (42,734) |
U.S. Treasury 2-Year Note | 11 | 03/2020 | USD | 2,370,500 | — | (1,052) |
U.S. Treasury 5-Year Note | 50 | 03/2020 | USD | 5,930,469 | — | (18,845) |
U.S. Ultra Treasury Bond | 14 | 03/2020 | USD | 2,543,188 | — | (76,597) |
Total | 1,403,143 | (209,398) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 24,230,850 | 75 | 2,600.00 | 12/17/2021 | 897,682 | 850,875 |
S&P 500 Index | JPMorgan | USD | 27,138,552 | 84 | 2,500.00 | 12/17/2021 | 1,044,548 | 803,880 |
S&P 500 Index | JPMorgan | USD | 24,230,850 | 75 | 2,400.00 | 12/17/2021 | 725,257 | 599,625 |
Total | 2,667,487 | 2,254,380 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
28,156,859 | 51,793,433 | (17,531,567) | 62,418,725 | — | (918) | 487 | 964,357 | 62,412,483 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
102,567 | 76,114 | (7,020) | 171,661 | — | (6,878) | 1,592,168 | — | 10,043,912 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
452,973 | 426,854 | (13,820) | 866,007 | — | (3,959) | 433,581 | 235,511 | 6,616,297 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
1,062,139 | 1,092,374 | (29,943) | 2,124,570 | — | (2,308) | 788,271 | 510,153 | 22,647,920 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
484,160 | 327,623 | (35,749) | 776,034 | — | (3,785) | 3,853,570 | — | 20,099,279 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
338,765 | 353,640 | (9,752) | 682,653 | — | (273) | 223,904 | 109,438 | 6,662,698 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
271,887 | 235,294 | (14,479) | 492,702 | — | (4,428) | 553,266 | 106,724 | 5,414,795 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
218,693 | 168,040 | (22,989) | 363,744 | — | (6,350) | 1,777,057 | — | 10,064,800 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
307,681 | 327,200 | (7,311) | 627,570 | — | (344) | 163,364 | 128,177 | 6,664,795 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 9 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
971,939 | 1,043,830 | (25,506) | 1,990,263 | — | (4,096) | 421,017 | 891,467 | 21,912,796 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
168,271 | 114,558 | (15,369) | 267,460 | — | (315) | 1,908,535 | — | 10,043,110 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
173,780 | 128,505 | (20,264) | 282,021 | — | (9,121) | 1,455,390 | — | 10,031,491 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
230,301 | 168,298 | (14,566) | 384,033 | — | 190 | 1,676,311 | — | 10,057,817 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
965,201 | 986,440 | (24,459) | 1,927,182 | — | (515) | 803,592 | 402,425 | 21,218,272 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
143,171 | 156,083 | (3,215) | 296,039 | — | (24) | 49,653 | 22,289 | 3,043,276 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
881,763 | 902,221 | (23,032) | 1,760,952 | — | (2,544) | 737,646 | 333,036 | 19,634,612 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
506,991 | 368,681 | (33,193) | 842,479 | — | (12,932) | 3,328,259 | — | 20,093,120 | |
Total | — | (58,600) | 19,766,071 | 3,703,577 | 266,661,473 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 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). |
10 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 90,433,529 | 90,433,529 |
Exchange-Traded Equity Funds | 627,627 | — | — | — | 627,627 |
Exchange-Traded Fixed Income Funds | 16,470,192 | — | — | — | 16,470,192 |
Fixed Income Funds | — | — | — | 113,815,461 | 113,815,461 |
Residential Mortgage-Backed Securities - Agency | — | 7,203,620 | — | — | 7,203,620 |
Options Purchased Puts | 2,254,380 | — | — | — | 2,254,380 |
Money Market Funds | 62,412,483 | — | — | — | 62,412,483 |
Total Investments in Securities | 81,764,682 | 7,203,620 | — | 204,248,990 | 293,217,292 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,403,143 | — | — | — | 1,403,143 |
Liability | |||||
Futures Contracts | (209,398) | — | — | — | (209,398) |
Total | 82,958,427 | 7,203,620 | — | 204,248,990 | 294,411,037 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 11 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $22,948,356) | $24,301,439 |
Affiliated issuers (cost $246,938,940) | 266,661,473 |
Options purchased (cost $2,667,487) | 2,254,380 |
Margin deposits on: | |
Futures contracts | 2,393,199 |
Receivable for: | |
Investments sold | 357,973 |
Investments sold on a delayed delivery basis | 3,522,731 |
Capital shares sold | 52,235 |
Dividends | 91,789 |
Interest | 8,104 |
Variation margin for futures contracts | 143,736 |
Prepaid expenses | 771 |
Trustees’ deferred compensation plan | 15,248 |
Other assets | 396 |
Total assets | 299,803,474 |
Liabilities | |
Payable for: | |
Investments purchased | 21,469 |
Investments purchased on a delayed delivery basis | 10,724,679 |
Capital shares purchased | 21,566 |
Variation margin for futures contracts | 29,188 |
Management services fees | 1,779 |
Distribution and/or service fees | 1,976 |
Service fees | 14,494 |
Compensation of board members | 314 |
Compensation of chief compliance officer | 21 |
Other expenses | 42,506 |
Trustees’ deferred compensation plan | 15,248 |
Total liabilities | 10,873,240 |
Net assets applicable to outstanding capital stock | $288,930,234 |
Represented by | |
Trust capital | $288,930,234 |
Total - representing net assets applicable to outstanding capital stock | $288,930,234 |
Class 1 | |
Net assets | $2,797 |
Shares outstanding | 221 |
Net asset value per share(a) | $12.63 |
Class 2 | |
Net assets | $288,927,437 |
Shares outstanding | 22,924,142 |
Net asset value per share | $12.60 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
12 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $484,627 |
Dividends — affiliated issuers | 3,703,577 |
Interest | 14,391 |
Total income | 4,202,595 |
Expenses: | |
Management services fees | 472,147 |
Distribution and/or service fees | |
Class 2 | 523,229 |
Service fees | 126,206 |
Compensation of board members | 16,035 |
Custodian fees | 39,775 |
Printing and postage fees | 14,687 |
Audit fees | 29,000 |
Legal fees | 4,470 |
Compensation of chief compliance officer | 78 |
Other | 11,907 |
Total expenses | 1,237,534 |
Net investment income | 2,965,061 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 270,553 |
Investments — affiliated issuers | (58,600) |
Futures contracts | 3,606,719 |
Options purchased | (925,735) |
Net realized gain | 2,892,937 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 1,374,974 |
Investments — affiliated issuers | 19,766,071 |
Futures contracts | 1,188,885 |
Options purchased | (849,733) |
Net change in unrealized appreciation (depreciation) | 21,480,197 |
Net realized and unrealized gain | 24,373,134 |
Net increase in net assets resulting from operations | $27,338,195 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $2,965,061 | $1,063,636 |
Net realized gain (loss) | 2,892,937 | (931,542) |
Net change in unrealized appreciation (depreciation) | 21,480,197 | (3,573,550) |
Net increase (decrease) in net assets resulting from operations | 27,338,195 | (3,441,456) |
Increase in net assets from capital stock activity | 122,530,566 | 59,866,788 |
Total increase in net assets | 149,868,761 | 56,425,332 |
Net assets at beginning of year | 139,061,473 | 82,636,141 |
Net assets at end of year | $288,930,234 | $139,061,473 |
Year Ended | Year Ended | |||
December 31, 2019 (a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 221 | 2,540 | — | — |
Net increase | 221 | 2,540 | — | — |
Class 2 | ||||
Subscriptions | 11,038,892 | 131,914,768 | 6,135,783 | 68,960,793 |
Redemptions | (787,233) | (9,386,742) | (805,631) | (9,094,005) |
Net increase | 10,251,659 | 122,528,026 | 5,330,152 | 59,866,788 |
Total net increase | 10,251,880 | 122,530,566 | 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. |
14 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $11.47 | 0.20 | 0.96 | 1.16 |
Class 2 | ||||
Year Ended 12/31/2019 | $10.97 | 0.17 | 1.46 | 1.63 |
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. |
16 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $12.63 | 10.11% | 0.32%(d) | 0.32%(d) | 1.98%(d) | 156% | $3 |
Class 2 | |||||||
Year Ended 12/31/2019 | $12.60 | 14.86% | 0.59% | 0.59% | 1.42% | 156% | $288,927 |
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% | $18,272 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,403,143* |
Equity risk | Investments, at value — Options Purchased | 2,254,380 |
Total | 3,657,523 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 209,398* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 21 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 2,588,141 | (925,735) | 1,662,406 |
Interest rate risk | 1,018,578 | — | 1,018,578 |
Total | 3,606,719 | (925,735) | 2,680,984 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 1,726,805 | (849,733) | 877,072 |
Interest rate risk | (537,920) | — | (537,920) |
Total | 1,188,885 | (849,733) | 339,152 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 49,549,105 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 1,194,988 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
22 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
JPMorgan ($) | |
Assets | |
Options purchased puts | 2,254,380 |
Total financial and derivative net assets | 2,254,380 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 2,254,380 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 25 |
December 31, 2019
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
26 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 29 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
30 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 31 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
32 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2019 | 33 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
29 | |
30 |
Average annual total returns (%) (for the period ended December 31, 2019) | ||||
Inception | 1 Year | Life | ||
Class 1* | 02/20/19 | 20.55 | 11.73 | |
Class 2 | 11/02/16 | 20.20 | 11.63 | |
Blended Benchmark | 23.33 | 12.13 | ||
S&P 500 Index | 31.49 | 16.97 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 |
* | 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 | Annual Report 2019 | 3 |
Portfolio Allocation (%) (at December 31, 2019) | |
Allocations to Underlying Funds | |
Equity Funds | 59.5 |
U.S. Large Cap | 59.5 |
Exchange-Traded Equity Funds | 0.1 |
U.S. Large Cap | 0.1 |
Exchange-Traded Fixed Income Funds | 3.0 |
Investment Grade | 3.0 |
Fixed Income Funds | 12.9 |
High Yield | 0.7 |
Investment Grade | 12.2 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 22.6 |
Options Purchased Puts | 1.5 |
Residential Mortgage-Backed Securities - Agency | 0.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $673.4 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 5 |
6 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,068.50 | 1,024.00 | 1.53 | 1.50 | 0.29 | 3.74 | 3.66 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 1,066.30 | 1,022.73 | 2.84 | 2.78 | 0.54 | 5.05 | 4.95 | 0.96 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 7 |
December 31, 2019
Equity Funds 58.4% | ||
Shares | Value ($) | |
U.S. Large Cap 58.4% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 3,365,868 | 196,936,969 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 15,213,966 | 394,041,712 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 7,129,831 | 197,282,413 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 5,235,634 | 196,598,041 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 5,522,937 | 196,450,873 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 7,529,635 | 197,201,156 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 16,516,787 | 393,925,365 |
Total | 1,772,436,529 | |
Total Equity Funds (Cost $1,442,422,442) | 1,772,436,529 | |
Exchange-Traded Equity Funds 0.2% | ||
U.S. Large Cap 0.2% | ||
SPDR S&P 500 ETF Trust | 14,500 | 4,666,970 |
Total Exchange-Traded Equity Funds (Cost $3,256,961) | 4,666,970 | |
Exchange-Traded Fixed Income Funds 3.0% | ||
Investment Grade 3.0% | ||
iShares Core U.S. Aggregate Bond ETF | 481,000 | 54,049,970 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 188,000 | 24,056,481 |
Vanguard Total Bond Market ETF | 144,000 | 12,075,840 |
Total | 90,182,291 | |
Total Exchange-Traded Fixed Income Funds (Cost $83,468,176) | 90,182,291 | |
Fixed Income Funds 12.7% | ||
High Yield 0.7% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 2,942,092 | 22,477,582 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Investment Grade 12.0% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 7,194,972 | 76,698,396 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,303,931 | 22,486,366 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 1,664,245 | 18,290,049 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,118,795 | 22,501,608 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,750,460 | 74,322,559 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 6,514,971 | 71,729,830 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,009,313 | 10,375,742 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 5,964,295 | 66,501,891 |
Total | 362,906,441 | |
Total Fixed Income Funds (Cost $373,536,918) | 385,384,023 |
Residential Mortgage-Backed Securities - Agency 0.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/14/2050 | 3.000% | 8,500,000 | 8,620,859 | |
01/14/2050 | 3.500% | 2,000,000 | 2,057,422 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $10,662,968) | 10,678,281 |
Options Purchased Puts 1.4% | ||||
Value ($) | ||||
(Cost $52,024,140) | 43,744,350 |
Money Market Funds 22.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(d) | 673,462,478 | 673,395,132 |
Total Money Market Funds (Cost $673,402,227) | 673,395,132 | |
Total Investments in Securities (Cost: $2,638,773,832) | 2,980,487,576 | |
Other Assets & Liabilities, Net | 52,637,362 | |
Net Assets | 3,033,124,938 |
8 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index | 21 | 03/2020 | USD | 16,963,275 | 447,489 | — |
S&P 500 Index E-mini | 6,201 | 03/2020 | USD | 1,001,802,555 | 22,630,247 | — |
U.S. Long Bond | 30 | 03/2020 | USD | 4,677,188 | — | (95,686) |
U.S. Treasury 10-Year Note | 82 | 03/2020 | USD | 10,530,594 | — | (89,852) |
U.S. Treasury 2-Year Note | 45 | 03/2020 | USD | 9,697,500 | — | (4,304) |
U.S. Treasury 5-Year Note | 189 | 03/2020 | USD | 22,417,172 | — | (71,234) |
U.S. Ultra Treasury Bond | 44 | 03/2020 | USD | 7,992,875 | — | (240,733) |
Total | 23,077,736 | (501,809) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 605,771,250 | 1,875 | 2,500.00 | 12/17/2021 | 23,315,753 | 17,943,750 |
S&P 500 Index | JPMorgan | USD | 460,386,150 | 1,425 | 2,600.00 | 12/17/2021 | 17,055,935 | 16,166,625 |
S&P 500 Index | JPMorgan | USD | 389,308,990 | 1,205 | 2,400.00 | 12/17/2021 | 11,652,452 | 9,633,975 |
Total | 52,024,140 | 43,744,350 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
341,988,289 | 608,263,658 | (276,789,469) | 673,462,478 | — | (5,462) | (2,726) | 10,905,133 | 673,395,132 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
2,287,205 | 1,078,663 | — | 3,365,868 | — | — | 32,399,172 | — | 196,936,969 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
1,789,814 | 1,153,657 | (1,379) | 2,942,092 | — | (388) | 1,577,673 | 887,952 | 22,477,582 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
4,362,365 | 2,835,328 | (2,721) | 7,194,972 | — | (302) | 3,060,651 | 1,919,971 | 76,698,396 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
10,801,333 | 4,412,896 | (263) | 15,213,966 | — | (18) | 79,560,852 | — | 394,041,712 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
1,376,415 | 928,877 | (1,361) | 2,303,931 | — | (13) | 831,647 | 410,785 | 22,486,366 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
1,135,170 | 529,113 | (38) | 1,664,245 | — | (20) | 2,105,699 | 401,672 | 18,290,049 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
4,898,888 | 2,233,794 | (2,851) | 7,129,831 | — | (86) | 35,725,392 | — | 197,282,413 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
1,262,633 | 857,836 | (1,674) | 2,118,795 | — | (134) | 619,281 | 480,932 | 22,501,608 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 9 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
3,987,227 | 2,765,787 | (2,554) | 6,750,460 | — | (1,019) | 1,677,681 | 3,360,286 | 74,322,559 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
3,741,592 | 1,494,042 | — | 5,235,634 | — | — | 39,880,556 | — | 196,598,041 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
3,827,882 | 1,695,091 | (36) | 5,522,937 | — | (3) | 31,632,569 | — | 196,450,873 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
5,136,458 | 2,395,295 | (2,118) | 7,529,635 | — | (85) | 34,630,083 | — | 197,201,156 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
3,968,147 | 2,549,295 | (2,471) | 6,514,971 | — | (69) | 3,097,359 | 1,511,537 | 71,729,830 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
588,142 | 421,695 | (524) | 1,009,313 | — | — | 189,452 | 84,456 | 10,375,742 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
3,634,359 | 2,331,097 | (1,161) | 5,964,295 | — | (55) | 2,851,961 | 1,253,489 | 66,501,891 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
11,295,566 | 5,222,711 | (1,490) | 16,516,787 | — | (89) | 68,321,093 | — | 393,925,365 | |
Total | — | (7,743) | 338,158,395 | 21,216,213 | 2,831,215,684 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 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). |
10 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
December 31, 2019
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 1,772,436,529 | 1,772,436,529 |
Exchange-Traded Equity Funds | 4,666,970 | — | — | — | 4,666,970 |
Exchange-Traded Fixed Income Funds | 90,182,291 | — | — | — | 90,182,291 |
Fixed Income Funds | — | — | — | 385,384,023 | 385,384,023 |
Residential Mortgage-Backed Securities - Agency | — | 10,678,281 | — | — | 10,678,281 |
Options Purchased Puts | 43,744,350 | — | — | — | 43,744,350 |
Money Market Funds | 673,395,132 | — | — | — | 673,395,132 |
Total Investments in Securities | 811,988,743 | 10,678,281 | — | 2,157,820,552 | 2,980,487,576 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 23,077,736 | — | — | — | 23,077,736 |
Liability | |||||
Futures Contracts | (501,809) | — | — | — | (501,809) |
Total | 834,564,670 | 10,678,281 | — | 2,157,820,552 | 3,003,063,503 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 11 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $97,388,105) | $105,527,542 |
Affiliated issuers (cost $2,489,361,587) | 2,831,215,684 |
Options purchased (cost $52,024,140) | 43,744,350 |
Margin deposits on: | |
Futures contracts | 39,848,950 |
Receivable for: | |
Investments sold | 20,770,893 |
Investments sold on a delayed delivery basis | 48,980,570 |
Capital shares sold | 45,615 |
Dividends | 972,430 |
Interest | 11,736 |
Variation margin for futures contracts | 2,429,919 |
Prepaid expenses | 8,947 |
Trustees’ deferred compensation plan | 36,561 |
Other assets | 396 |
Total assets | 3,093,593,593 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 59,617,362 |
Capital shares purchased | 496,066 |
Variation margin for futures contracts | 74,586 |
Management services fees | 17,892 |
Distribution and/or service fees | 20,722 |
Service fees | 151,023 |
Compensation of board members | 408 |
Compensation of chief compliance officer | 237 |
Other expenses | 53,798 |
Trustees’ deferred compensation plan | 36,561 |
Total liabilities | 60,468,655 |
Net assets applicable to outstanding capital stock | $3,033,124,938 |
Represented by | |
Trust capital | $3,033,124,938 |
Total - representing net assets applicable to outstanding capital stock | $3,033,124,938 |
Class 1 | |
Net assets | $131,631 |
Shares outstanding | 9,278 |
Net asset value per share | $14.19 |
Class 2 | |
Net assets | $3,032,993,307 |
Shares outstanding | 214,163,993 |
Net asset value per share | $14.16 |
12 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $4,905,019 |
Dividends — affiliated issuers | 21,216,213 |
Interest | 275,114 |
Total income | 26,396,346 |
Expenses: | |
Management services fees | 5,222,192 |
Distribution and/or service fees | |
Class 2 | 5,935,733 |
Service fees | 1,428,850 |
Compensation of board members | 45,389 |
Custodian fees | 44,062 |
Printing and postage fees | 39,825 |
Audit fees | 29,000 |
Legal fees | 51,094 |
Compensation of chief compliance officer | 916 |
Other | 54,699 |
Total expenses | 12,851,760 |
Net investment income | 13,544,586 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 12,079,103 |
Investments — affiliated issuers | (7,743) |
Futures contracts | 55,468,459 |
Options purchased | (18,753,191) |
Net realized gain | 48,786,628 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 6,451,084 |
Investments — affiliated issuers | 338,158,395 |
Futures contracts | 30,322,857 |
Options purchased | (18,655,710) |
Net change in unrealized appreciation (depreciation) | 356,276,626 |
Net realized and unrealized gain | 405,063,254 |
Net increase in net assets resulting from operations | $418,607,840 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $13,544,586 | $4,969,167 |
Net realized gain (loss) | 48,786,628 | (16,317,518) |
Net change in unrealized appreciation (depreciation) | 356,276,626 | (76,841,372) |
Net increase (decrease) in net assets resulting from operations | 418,607,840 | (88,189,723) |
Increase in net assets from capital stock activity | 908,990,327 | 795,420,956 |
Total increase in net assets | 1,327,598,167 | 707,231,233 |
Net assets at beginning of year | 1,705,526,771 | 998,295,538 |
Net assets at end of year | $3,033,124,938 | $1,705,526,771 |
Year Ended | Year Ended | |||
December 31, 2019 (a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 9,696 | 133,660 | — | — |
Redemptions | (418) | (5,629) | — | — |
Net increase | 9,278 | 128,031 | — | — |
Class 2 | ||||
Subscriptions | 69,615,922 | 912,520,970 | 63,716,875 | 799,021,512 |
Redemptions | (275,141) | (3,658,674) | (287,934) | (3,600,556) |
Net increase | 69,340,781 | 908,862,296 | 63,428,941 | 795,420,956 |
Total net increase | 69,350,059 | 908,990,327 | 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. |
14 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $12.62 | 0.06 | 1.51 | 1.57 |
Class 2 | ||||
Year Ended 12/31/2019 | $11.78 | 0.08 | 2.30 | 2.38 |
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. |
16 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $14.19 | 12.44% | 0.30%(d) | 0.30%(d) | 0.52%(d) | 132% | $132 |
Class 2 | |||||||
Year Ended 12/31/2019 | $14.16 | 20.20% | 0.54% | 0.54% | 0.57% | 132% | $3,032,993 |
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% | $166,632 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 23,077,736* |
Equity risk | Investments, at value — Options Purchased | 43,744,350 |
Total | 66,822,086 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 501,809* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 21 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 45,042,360 | (18,753,191) | 26,289,169 |
Interest rate risk | 10,426,099 | — | 10,426,099 |
Total | 55,468,459 | (18,753,191) | 36,715,268 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 34,391,320 | (18,655,710) | 15,735,610 |
Interest rate risk | (4,068,463) | — | (4,068,463) |
Total | 30,322,857 | (18,655,710) | 11,667,147 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 664,089,830 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 24,169,044 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
22 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
December 31, 2019
JPMorgan ($) | |
Assets | |
Options purchased puts | 43,744,350 |
Total financial and derivative net assets | 43,744,350 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 43,744,350 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 25 |
December 31, 2019
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
26 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 29 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
30 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 31 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
32 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2019 | 33 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
29 | |
30 |
Average annual total returns (%) (for the period ended December 31, 2019) | ||||
Inception | 1 Year | Life | ||
Class 1* | 02/20/19 | 17.84 | 9.72 | |
Class 2 | 11/02/16 | 17.57 | 9.65 | |
Blended Benchmark | 19.89 | 10.04 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | ||
S&P 500 Index | 31.49 | 16.97 |
* | 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 | Annual Report 2019 | 3 |
Portfolio Allocation (%) (at December 31, 2019) | |
Allocations to Underlying Funds | |
Equity Funds | 45.3 |
U.S. Large Cap | 45.3 |
Exchange-Traded Equity Funds | 0.2 |
U.S. Large Cap | 0.2 |
Exchange-Traded Fixed Income Funds | 5.6 |
Investment Grade | 5.6 |
Fixed Income Funds | 26.1 |
High Yield | 1.5 |
Investment Grade | 24.6 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 20.8 |
Options Purchased Puts | 1.1 |
Residential Mortgage-Backed Securities - Agency | 0.9 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $379.1 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 5 |
6 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,058.40 | 1,023.95 | 1.57 | 1.55 | 0.30 | 3.67 | 3.61 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,056.90 | 1,022.68 | 2.88 | 2.83 | 0.55 | 4.98 | 4.90 | 0.95 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 7 |
December 31, 2019
Equity Funds 45.0% | ||
Shares | Value ($) | |
U.S. Large Cap 45.0% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,561,908 | 91,387,243 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 7,091,732 | 183,675,859 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 3,336,192 | 92,312,417 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 2,448,140 | 91,927,672 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 2,564,421 | 91,216,448 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 3,495,059 | 91,535,607 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 7,679,331 | 183,152,051 |
Total | 825,207,297 | |
Total Equity Funds (Cost $658,873,230) | 825,207,297 | |
Exchange-Traded Equity Funds 0.1% | ||
U.S. Large Cap 0.1% | ||
SPDR S&P 500 ETF Trust | 7,600 | 2,446,136 |
Total Exchange-Traded Equity Funds (Cost $1,711,730) | 2,446,136 | |
Exchange-Traded Fixed Income Funds 5.6% | ||
Investment Grade 5.6% | ||
iShares Core U.S. Aggregate Bond ETF | 456,400 | 51,285,669 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 263,963 | 33,776,705 |
Vanguard Total Bond Market ETF | 207,310 | 17,385,017 |
Total | 102,447,391 | |
Total Exchange-Traded Fixed Income Funds (Cost $95,418,876) | 102,447,391 | |
Fixed Income Funds 26.0% | ||
High Yield 1.5% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 3,627,070 | 27,710,814 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Investment Grade 24.5% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 8,870,136 | 94,555,648 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,850,633 | 27,822,176 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 2,061,068 | 22,651,137 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,619,143 | 27,815,300 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 8,325,770 | 91,666,736 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 8,040,228 | 88,522,911 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,232,523 | 12,670,335 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 7,356,101 | 82,020,524 |
Total | 447,724,767 | |
Total Fixed Income Funds (Cost $460,971,972) | 475,435,581 |
Residential Mortgage-Backed Securities - Agency 0.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/14/2050 | 3.000% | 14,000,000 | 14,199,062 | |
01/14/2050 | 3.500% | 1,000,000 | 1,028,711 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $15,207,930) | 15,227,773 |
Options Purchased Puts 1.1% | ||||
Value ($) | ||||
(Cost $24,492,883) | 20,465,925 |
Money Market Funds 20.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(d) | 379,099,721 | 379,061,811 |
Total Money Market Funds (Cost $379,065,199) | 379,061,811 | |
Total Investments in Securities (Cost: $1,635,741,820) | 1,820,291,914 | |
Other Assets & Liabilities, Net | 12,794,165 | |
Net Assets | 1,833,086,079 |
8 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index | 10 | 03/2020 | USD | 8,077,750 | 213,090 | — |
S&P 500 Index E-mini | 3,020 | 03/2020 | USD | 487,896,100 | 11,319,281 | — |
U.S. Long Bond | 87 | 03/2020 | USD | 13,563,844 | — | (277,491) |
U.S. Treasury 10-Year Note | 97 | 03/2020 | USD | 12,456,922 | — | (106,288) |
U.S. Treasury 2-Year Note | 73 | 03/2020 | USD | 15,731,500 | — | (6,982) |
U.S. Treasury 5-Year Note | 131 | 03/2020 | USD | 15,537,828 | — | (49,374) |
U.S. Ultra Treasury Bond | 53 | 03/2020 | USD | 9,627,781 | — | (289,974) |
Total | 11,532,371 | (730,109) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 306,924,100 | 950 | 2,500.00 | 12/17/2021 | 11,813,339 | 9,091,500 |
S&P 500 Index | JPMorgan | USD | 198,692,970 | 615 | 2,600.00 | 12/17/2021 | 7,360,993 | 6,977,175 |
S&P 500 Index | JPMorgan | USD | 177,692,900 | 550 | 2,400.00 | 12/17/2021 | 5,318,551 | 4,397,250 |
Total | 24,492,883 | 20,465,925 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
217,862,489 | 311,376,865 | (150,139,633) | 379,099,721 | — | (6,797) | 2,835 | 6,547,168 | 379,061,811 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
1,177,069 | 386,168 | (1,329) | 1,561,908 | — | 300 | 15,944,766 | — | 91,387,243 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
2,424,671 | 1,202,814 | (415) | 3,627,070 | — | (257) | 2,078,400 | 1,160,748 | 27,710,814 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
5,893,841 | 2,980,944 | (4,649) | 8,870,136 | — | (1,058) | 4,030,568 | 2,515,048 | 94,555,648 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
5,564,074 | 1,539,874 | (12,216) | 7,091,732 | — | 7,915 | 39,150,672 | — | 183,675,859 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
1,862,786 | 988,647 | (800) | 2,850,633 | — | (128) | 1,093,082 | 539,612 | 27,822,176 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
1,542,080 | 529,022 | (10,034) | 2,061,068 | — | 2,686 | 2,770,449 | 530,599 | 22,651,137 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
2,519,935 | 829,667 | (13,410) | 3,336,192 | — | 8,490 | 17,534,482 | — | 92,312,417 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
1,709,888 | 910,399 | (1,144) | 2,619,143 | — | (244) | 812,322 | 631,455 | 27,815,300 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 9 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
5,385,180 | 2,944,597 | (4,007) | 8,325,770 | — | (2,015) | 2,217,103 | 4,403,910 | 91,666,736 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
1,924,261 | 537,289 | (13,410) | 2,448,140 | — | 17,424 | 19,676,798 | — | 91,927,672 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
1,973,425 | 608,143 | (17,147) | 2,564,421 | — | (8,896) | 15,914,521 | — | 91,216,448 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
2,639,987 | 861,229 | (6,157) | 3,495,059 | — | 2,335 | 17,010,906 | — | 91,535,607 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
5,364,393 | 2,680,067 | (4,232) | 8,040,228 | — | (631) | 4,066,782 | 1,981,534 | 88,522,911 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
786,191 | 446,583 | (251) | 1,232,523 | — | (20) | 245,234 | 109,522 | 12,670,335 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
4,908,810 | 2,450,976 | (3,685) | 7,356,101 | — | (401) | 3,740,323 | 1,642,274 | 82,020,524 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
5,816,558 | 1,869,927 | (7,154) | 7,679,331 | — | 2,909 | 33,681,027 | — | 183,152,051 | |
Total | — | 21,612 | 179,970,270 | 20,061,870 | 1,679,704,689 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 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). |
10 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 825,207,297 | 825,207,297 |
Exchange-Traded Equity Funds | 2,446,136 | — | — | — | 2,446,136 |
Exchange-Traded Fixed Income Funds | 102,447,391 | — | — | — | 102,447,391 |
Fixed Income Funds | — | — | — | 475,435,581 | 475,435,581 |
Residential Mortgage-Backed Securities - Agency | — | 15,227,773 | — | — | 15,227,773 |
Options Purchased Puts | 20,465,925 | — | — | — | 20,465,925 |
Money Market Funds | 379,061,811 | — | — | — | 379,061,811 |
Total Investments in Securities | 504,421,263 | 15,227,773 | — | 1,300,642,878 | 1,820,291,914 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 11,532,371 | — | — | — | 11,532,371 |
Liability | |||||
Futures Contracts | (730,109) | — | — | — | (730,109) |
Total | 515,223,525 | 15,227,773 | — | 1,300,642,878 | 1,831,094,176 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 11 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $112,338,536) | $120,121,300 |
Affiliated issuers (cost $1,498,910,401) | 1,679,704,689 |
Options purchased (cost $24,492,883) | 20,465,925 |
Margin deposits on: | |
Futures contracts | 19,505,976 |
Receivable for: | |
Investments sold | 8,250,089 |
Investments sold on a delayed delivery basis | 24,882,170 |
Dividends | 549,415 |
Interest | 16,431 |
Variation margin for futures contracts | 1,185,372 |
Prepaid expenses | 5,714 |
Trustees’ deferred compensation plan | 28,726 |
Other assets | 396 |
Total assets | 1,874,716,203 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 40,100,458 |
Capital shares purchased | 1,229,304 |
Variation margin for futures contracts | 104,867 |
Management services fees | 11,153 |
Distribution and/or service fees | 12,534 |
Service fees | 91,908 |
Compensation of chief compliance officer | 149 |
Other expenses | 51,025 |
Trustees’ deferred compensation plan | 28,726 |
Total liabilities | 41,630,124 |
Net assets applicable to outstanding capital stock | $1,833,086,079 |
Represented by | |
Trust capital | $1,833,086,079 |
Total - representing net assets applicable to outstanding capital stock | $1,833,086,079 |
Class 1 | |
Net assets | $299,266 |
Shares outstanding | 22,324 |
Net asset value per share | $13.41 |
Class 2 | |
Net assets | $1,832,786,813 |
Shares outstanding | 136,949,132 |
Net asset value per share | $13.38 |
12 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,792,067 |
Dividends — affiliated issuers | 20,061,870 |
Interest | 143,031 |
Total income | 23,996,968 |
Expenses: | |
Management services fees | 3,379,528 |
Distribution and/or service fees | |
Class 2 | 3,758,158 |
Service fees | 904,385 |
Compensation of board members | 33,549 |
Custodian fees | 42,862 |
Printing and postage fees | 31,828 |
Audit fees | 29,000 |
Legal fees | 32,468 |
Compensation of chief compliance officer | 581 |
Other | 38,184 |
Total expenses | 8,250,543 |
Net investment income | 15,746,425 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 4,838,607 |
Investments — affiliated issuers | 21,612 |
Futures contracts | 30,554,748 |
Options purchased | (9,272,739) |
Net realized gain | 26,142,228 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 7,668,618 |
Investments — affiliated issuers | 179,970,270 |
Futures contracts | 14,121,813 |
Options purchased | (9,375,748) |
Net change in unrealized appreciation (depreciation) | 192,384,953 |
Net realized and unrealized gain | 218,527,181 |
Net increase in net assets resulting from operations | $234,273,606 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $15,746,425 | $6,833,840 |
Net realized gain (loss) | 26,142,228 | (7,449,691) |
Net change in unrealized appreciation (depreciation) | 192,384,953 | (41,358,267) |
Net increase (decrease) in net assets resulting from operations | 234,273,606 | (41,974,118) |
Increase in net assets from capital stock activity | 456,784,780 | 468,188,202 |
Total increase in net assets | 691,058,386 | 426,214,084 |
Net assets at beginning of year | 1,142,027,693 | 715,813,609 |
Net assets at end of year | $1,833,086,079 | $1,142,027,693 |
Year Ended | Year Ended | |||
December 31, 2019 (a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 22,369 | 288,470 | — | — |
Redemptions | (45) | (643) | — | — |
Net increase | 22,324 | 287,827 | — | — |
Class 2 | ||||
Subscriptions | 37,126,401 | 462,990,250 | 39,678,622 | 471,040,166 |
Redemptions | (505,591) | (6,493,297) | (240,863) | (2,851,964) |
Net increase | 36,620,810 | 456,496,953 | 39,437,759 | 468,188,202 |
Total net increase | 36,643,134 | 456,784,780 | 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. |
14 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $12.05 | 0.20 | 1.16 | 1.36 |
Class 2 | ||||
Year Ended 12/31/2019 | $11.38 | 0.13 | 1.87 | 2.00 |
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(e) | $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) | Annualized. |
(e) | The Fund commenced operations on November 2, 2016. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $13.41 | 11.29% | 0.30%(d) | 0.30%(d) | 1.84%(d) | 125% | $299 |
Class 2 | |||||||
Year Ended 12/31/2019 | $13.38 | 17.57% | 0.55% | 0.55% | 1.05% | 125% | $1,832,787 |
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(e) | $10.21 | 2.10% | 0.75%(d) | 0.64%(d) | (0.16%)(d) | 16% | $89,784 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 11,532,371* |
Equity risk | Investments, at value — Options Purchased | 20,465,925 |
Total | 31,998,296 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 730,109* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 21 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 23,561,369 | (9,272,739) | 14,288,630 |
Interest rate risk | 6,993,379 | — | 6,993,379 |
Total | 30,554,748 | (9,272,739) | 21,282,009 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 17,092,069 | (9,375,748) | 7,716,321 |
Interest rate risk | (2,970,256) | — | (2,970,256) |
Total | 14,121,813 | (9,375,748) | 4,746,065 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 366,803,339 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 11,622,369 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
22 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
JPMorgan ($) | |
Assets | |
Options purchased puts | 20,465,925 |
Total financial and derivative net assets | 20,465,925 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 20,465,925 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 25 |
December 31, 2019
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
26 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 29 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
30 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 31 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
32 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2019 | 33 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
15 | |
16 | |
17 | |
18 | |
20 | |
33 | |
34 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | 0.70 | -3.35 | 0.72 | |
Class 2 | 04/30/12 | 0.42 | -3.58 | 0.48 | |
FTSE Three-Month U.S. Treasury Bill Index | 2.25 | 1.05 | 0.70 |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 3 |
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2019)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 45.1 | (232.0) | (186.9) |
Commodities Derivative Contracts | 71.5 | (11.3) | 60.2 |
Equity Derivative Contracts | 141.3 | (0.0)(b) | 141.3 |
Foreign Currency Derivative Contracts | 294.3 | (208.9) | 85.4 |
Total Notional Market Value of Derivative Contracts | 552.2 | (452.2) | 100.0 |
Portfolio Holdings (%) (at December 31, 2019) | |
Money Market Funds | 64.1 |
Treasury Bills | 28.1 |
Other Assets | 7.8 |
Total | 100.0 |
4 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 5 |
6 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 982.30 | 1,019.57 | 5.86 | 5.97 | 1.16 |
Class 2 | 1,000.00 | 1,000.00 | 980.80 | 1,018.29 | 7.12 | 7.25 | 1.41 |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 7 |
December 31, 2019
Treasury Bills 28.1% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 28.1% | ||||
U.S. Treasury Bills | ||||
01/02/2020 | 1.470% | 2,048,000 | 2,047,835 | |
01/09/2020 | 1.460% | 10,186,000 | 10,182,334 | |
01/16/2020 | 1.480% | 7,601,000 | 7,596,067 | |
01/23/2020 | 1.510% | 19,538,000 | 19,519,436 | |
01/30/2020 | 1.540% | 14,334,000 | 14,315,855 | |
02/06/2020 | 1.450% | 849,000 | 847,751 | |
02/13/2020 | 1.500% | 5,558,000 | 5,547,954 | |
02/20/2020 | 1.510% | 3,718,000 | 3,710,169 | |
03/05/2020 | 1.460% | 2,233,000 | 2,227,195 | |
05/21/2020 | 1.520% | 181,000 | 179,937 | |
05/28/2020 | 1.540% | 2,429,000 | 2,413,809 | |
06/04/2020 | 1.540% | 1,071,000 | 1,064,018 | |
06/11/2020 | 1.530% | 553,000 | 549,236 | |
06/18/2020 | 1.550% | 1,413,000 | 1,402,898 | |
06/25/2020 | 1.540% | 317,000 | 314,643 | |
07/02/2020 | 1.560% | 380,000 | 377,032 | |
Total | 72,296,169 | |||
Total Treasury Bills (Cost $72,275,795) | 72,296,169 |
Money Market Funds 64.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(b) | 95,024,338 | 95,014,835 |
JPMorgan Prime Money Market Fund, Capital Shares, 1.725%(a) | 35,000,000 | 35,007,000 |
JPMorgan U.S. Treasury Plus Money Market Fund, Institutional Shares, 1.449%(a) | 35,000,000 | 35,000,000 |
Total Money Market Funds (Cost $165,015,975) | 165,021,835 | |
Total Investments in Securities (Cost: $237,291,770) | 237,318,004 | |
Other Assets & Liabilities, Net | 20,214,438 | |
Net Assets | 257,532,442 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
15,685,000 AUD | 10,756,394 USD | Citi | 03/18/2020 | — | (271,102) |
15,642,502 BRL | 3,685,176 USD | Citi | 03/18/2020 | — | (191,363) |
625,500 CAD | 476,564 USD | Citi | 03/18/2020 | — | (5,255) |
4,275,000 CHF | 4,360,025 USD | Citi | 03/18/2020 | — | (80,916) |
2,007,500 CLP | 2,681 USD | Citi | 03/18/2020 | 9 | — |
940,440,972 CLP | 1,195,908 USD | Citi | 03/18/2020 | — | (55,844) |
1,297,320,944 COP | 372,413 USD | Citi | 03/18/2020 | — | (20,831) |
3,678,508 EUR | 4,097,496 USD | Citi | 03/18/2020 | — | (48,203) |
2,049,744,008 HUF | 6,826,084 USD | Citi | 03/18/2020 | — | (147,006) |
18,492,857,500 IDR | 1,300,140 USD | Citi | 03/18/2020 | — | (28,460) |
3,326,000 ILS | 960,517 USD | Citi | 03/18/2020 | — | (6,555) |
8,400,000 INR | 117,400 USD | Citi | 03/18/2020 | 375 | — |
22,757,000 INR | 316,499 USD | Citi | 03/18/2020 | — | (541) |
517,566,712 JPY | 4,791,994 USD | Citi | 03/18/2020 | 8,153 | — |
694,489,712 JPY | 6,394,689 USD | Citi | 03/18/2020 | — | (24,442) |
18,352,294,972 KRW | 15,452,560 USD | Citi | 03/18/2020 | — | (456,476) |
8,429,000 MXN | 441,624 USD | Citi | 03/18/2020 | 783 | — |
90,102,500 MXN | 4,620,631 USD | Citi | 03/18/2020 | — | (91,781) |
67,346,496 NOK | 7,358,415 USD | Citi | 03/18/2020 | — | (314,371) |
471,000 NZD | 302,633 USD | Citi | 03/18/2020 | — | (14,790) |
8,043,000 PHP | 158,340 USD | Citi | 03/18/2020 | 78 | — |
5,686,500 PHP | 111,604 USD | Citi | 03/18/2020 | — | (288) |
8 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
December 31, 2019
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
10,716,000 PLN | 2,777,631 USD | Citi | 03/18/2020 | — | (47,432) |
9,815,504 SEK | 1,027,814 USD | Citi | 03/18/2020 | — | (23,946) |
1,447,500 SGD | 1,063,555 USD | Citi | 03/18/2020 | — | (13,478) |
46,469,500 TWD | 1,534,709 USD | Citi | 03/18/2020 | — | (27,805) |
10,896,850 USD | 15,685,000 AUD | Citi | 03/18/2020 | 130,645 | — |
3,353,111 USD | 13,730,000 BRL | Citi | 03/18/2020 | 49,470 | — |
788,077 USD | 1,032,500 CAD | Citi | 03/18/2020 | 7,252 | — |
18,735,392 USD | 18,368,004 CHF | Citi | 03/18/2020 | 345,597 | — |
602,094 USD | 471,057,500 CLP | Citi | 03/18/2020 | 24,897 | — |
51,658 USD | 38,687,500 CLP | Citi | 03/18/2020 | — | (163) |
401,388 USD | 1,353,813,000 COP | Citi | 03/18/2020 | 8,980 | — |
5,891 USD | 19,387,000 COP | Citi | 03/18/2020 | — | (15) |
1,876,179 USD | 1,681,008 EUR | Citi | 03/18/2020 | 18,327 | — |
5,727,786 USD | 1,693,052,000 HUF | Citi | 03/18/2020 | 31,862 | — |
330,683 USD | 96,863,000 HUF | Citi | 03/18/2020 | — | (1,161) |
3,824,696 USD | 54,488,533,064 IDR | Citi | 03/18/2020 | 89,978 | — |
2,218,106 USD | 7,658,184 ILS | Citi | 03/18/2020 | 8,598 | — |
152,820 USD | 524,812 ILS | Citi | 03/18/2020 | — | (225) |
724,894 USD | 52,493,690 INR | Citi | 03/18/2020 | 6,422 | — |
346,131 USD | 24,759,246 INR | Citi | 03/18/2020 | — | (1,197) |
4,047,332 USD | 436,949,500 JPY | Citi | 03/18/2020 | — | (8,632) |
14,125,070 USD | 16,393,389,500 KRW | Citi | 03/18/2020 | 85,852 | — |
6,472,114 USD | 127,348,008 MXN | Citi | 03/18/2020 | 188,259 | — |
7,175,669 USD | 64,056,500 NOK | Citi | 03/18/2020 | 122,288 | — |
15,439,054 USD | 23,449,000 NZD | Citi | 03/18/2020 | 364,050 | — |
196,230 USD | 291,000 NZD | Citi | 03/18/2020 | — | (115) |
1,659,556 USD | 84,734,007 PHP | Citi | 03/18/2020 | 7,747 | — |
11,733,943 USD | 45,221,992 PLN | Citi | 03/18/2020 | 187,946 | — |
5,652,016 USD | 53,354,004 SEK | Citi | 03/18/2020 | 65,019 | — |
599,877 USD | 5,585,000 SEK | Citi | 03/18/2020 | — | (1,428) |
3,238,322 USD | 4,396,504 SGD | Citi | 03/18/2020 | 32,960 | — |
2,580,007 USD | 77,882,508 TWD | Citi | 03/18/2020 | 38,753 | — |
2,173,084 USD | 31,729,496 ZAR | Citi | 03/18/2020 | 69,970 | — |
14,893,996 ZAR | 997,682 USD | Citi | 03/18/2020 | — | (55,220) |
15,685,000 AUD | 10,756,381 USD | JPMorgan | 03/18/2020 | — | (271,115) |
15,642,498 BRL | 3,685,171 USD | JPMorgan | 03/18/2020 | — | (191,367) |
625,500 CAD | 476,563 USD | JPMorgan | 03/18/2020 | — | (5,256) |
4,275,000 CHF | 4,360,020 USD | JPMorgan | 03/18/2020 | — | (80,921) |
2,007,500 CLP | 2,681 USD | JPMorgan | 03/18/2020 | 9 | — |
940,440,980 CLP | 1,195,906 USD | JPMorgan | 03/18/2020 | — | (55,846) |
1,297,320,944 COP | 372,412 USD | JPMorgan | 03/18/2020 | — | (20,832) |
3,678,492 EUR | 4,097,473 USD | JPMorgan | 03/18/2020 | — | (48,208) |
2,049,744,000 HUF | 6,826,075 USD | JPMorgan | 03/18/2020 | — | (147,014) |
18,492,857,500 IDR | 1,300,139 USD | JPMorgan | 03/18/2020 | — | (28,462) |
3,326,000 ILS | 960,516 USD | JPMorgan | 03/18/2020 | — | (6,556) |
8,400,000 INR | 117,400 USD | JPMorgan | 03/18/2020 | 375 | — |
22,757,000 INR | 316,498 USD | JPMorgan | 03/18/2020 | — | (541) |
517,566,716 JPY | 4,791,988 USD | JPMorgan | 03/18/2020 | 8,147 | — |
694,489,716 JPY | 6,394,681 USD | JPMorgan | 03/18/2020 | — | (24,450) |
18,352,294,988 KRW | 15,452,538 USD | JPMorgan | 03/18/2020 | — | (456,498) |
8,429,000 MXN | 441,624 USD | JPMorgan | 03/18/2020 | 782 | — |
90,102,500 MXN | 4,620,625 USD | JPMorgan | 03/18/2020 | — | (91,787) |
67,346,504 NOK | 7,358,406 USD | JPMorgan | 03/18/2020 | — | (314,380) |
471,000 NZD | 302,633 USD | JPMorgan | 03/18/2020 | — | (14,790) |
8,043,000 PHP | 158,339 USD | JPMorgan | 03/18/2020 | 78 | — |
5,686,500 PHP | 111,604 USD | JPMorgan | 03/18/2020 | — | (288) |
10,716,000 PLN | 2,777,628 USD | JPMorgan | 03/18/2020 | — | (47,435) |
9,815,496 SEK | 1,027,811 USD | JPMorgan | 03/18/2020 | — | (23,947) |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 9 |
December 31, 2019
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
1,447,500 SGD | 1,063,554 USD | JPMorgan | 03/18/2020 | — | (13,479) |
46,469,500 TWD | 1,534,707 USD | JPMorgan | 03/18/2020 | — | (27,807) |
10,896,864 USD | 15,685,000 AUD | JPMorgan | 03/18/2020 | 130,631 | — |
3,353,115 USD | 13,730,000 BRL | JPMorgan | 03/18/2020 | 49,466 | — |
788,078 USD | 1,032,500 CAD | JPMorgan | 03/18/2020 | 7,251 | — |
18,735,407 USD | 18,367,996 CHF | JPMorgan | 03/18/2020 | 345,574 | — |
602,094 USD | 471,057,500 CLP | JPMorgan | 03/18/2020 | 24,896 | — |
51,658 USD | 38,687,500 CLP | JPMorgan | 03/18/2020 | — | (164) |
401,388 USD | 1,353,813,000 COP | JPMorgan | 03/18/2020 | 8,979 | — |
5,891 USD | 19,387,000 COP | JPMorgan | 03/18/2020 | — | (15) |
1,876,163 USD | 1,680,992 EUR | JPMorgan | 03/18/2020 | 18,324 | — |
5,727,793 USD | 1,693,052,000 HUF | JPMorgan | 03/18/2020 | 31,855 | — |
330,683 USD | 96,863,000 HUF | JPMorgan | 03/18/2020 | — | (1,162) |
3,824,642 USD | 54,488,533,071 IDR | JPMorgan | 03/18/2020 | 90,032 | — |
2,218,111 USD | 7,658,192 ILS | JPMorgan | 03/18/2020 | 8,595 | — |
152,820 USD | 524,812 ILS | JPMorgan | 03/18/2020 | — | (225) |
724,895 USD | 52,493,706 INR | JPMorgan | 03/18/2020 | 6,421 | — |
346,131 USD | 24,759,246 INR | JPMorgan | 03/18/2020 | — | (1,198) |
4,047,337 USD | 436,949,500 JPY | JPMorgan | 03/18/2020 | — | (8,637) |
14,124,822 USD | 16,393,389,500 KRW | JPMorgan | 03/18/2020 | 86,099 | — |
6,472,121 USD | 127,347,992 MXN | JPMorgan | 03/18/2020 | 188,251 | — |
7,175,677 USD | 64,056,500 NOK | JPMorgan | 03/18/2020 | 122,279 | — |
15,439,074 USD | 23,449,000 NZD | JPMorgan | 03/18/2020 | 364,031 | — |
196,231 USD | 291,000 NZD | JPMorgan | 03/18/2020 | — | (116) |
1,659,506 USD | 84,733,993 PHP | JPMorgan | 03/18/2020 | 7,797 | — |
11,733,962 USD | 45,222,008 PLN | JPMorgan | 03/18/2020 | 187,932 | — |
5,652,023 USD | 53,353,996 SEK | JPMorgan | 03/18/2020 | 65,012 | — |
599,878 USD | 5,585,000 SEK | JPMorgan | 03/18/2020 | — | (1,429) |
3,238,320 USD | 4,396,496 SGD | JPMorgan | 03/18/2020 | 32,956 | — |
2,579,991 USD | 77,882,492 TWD | JPMorgan | 03/18/2020 | 38,769 | — |
2,173,087 USD | 31,729,504 ZAR | JPMorgan | 03/18/2020 | 69,967 | — |
14,894,004 ZAR | 997,681 USD | JPMorgan | 03/18/2020 | — | (55,221) |
Total | 3,788,778 | (3,878,187) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
90-Day Sterling | 25 | 06/2020 | GBP | 3,102,500 | — | (1,482) |
90-Day Sterling | 26 | 09/2020 | GBP | 3,227,250 | — | (1,604) |
90-Day Sterling | 32 | 12/2020 | GBP | 3,971,800 | — | (456) |
90-Day Sterling | 23 | 03/2021 | GBP | 2,854,875 | — | (583) |
90-Day Sterling | 20 | 06/2021 | GBP | 2,482,000 | — | (310) |
90-Day Sterling | 17 | 09/2021 | GBP | 2,109,275 | — | (285) |
90-Day Sterling | 14 | 12/2021 | GBP | 1,736,525 | — | (263) |
Amsterdam Index | 6 | 01/2020 | EUR | 725,556 | — | (2,590) |
Australian 3-Year Bond | 186 | 03/2020 | AUD | 21,392,543 | — | (95,694) |
Brent Crude | 279 | 01/2020 | USD | 18,414,000 | 451,239 | — |
British Pound | 203 | 03/2020 | USD | 16,864,225 | 110,458 | — |
CAC40 Index | 47 | 01/2020 | EUR | 2,805,900 | 123 | — |
Canadian Dollar | 313 | 03/2020 | USD | 24,127,605 | 338,494 | — |
Cocoa | 21 | 03/2020 | USD | 533,400 | — | (372) |
Cocoa | 27 | 03/2020 | GBP | 491,130 | — | (13,112) |
Coffee | 35 | 03/2020 | USD | 1,702,313 | 57,558 | — |
Copper | 2 | 03/2020 | USD | 308,750 | 1,963 | — |
Copper | 8 | 03/2020 | USD | 559,400 | 1,204 | — |
Corn | 9 | 03/2020 | USD | 174,488 | — | (357) |
DAX Index | 12 | 03/2020 | EUR | 3,973,950 | — | (24,186) |
10 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
DJIA Mini E | 31 | 03/2020 | USD | 4,418,740 | 40,642 | — |
EURO STOXX 50 Index | 109 | 03/2020 | EUR | 4,064,610 | — | (17,492) |
FTSE 100 Index | 172 | 03/2020 | GBP | 12,898,280 | 34,574 | — |
FTSE/JSE Top 40 Index | 55 | 03/2020 | ZAR | 28,248,000 | — | (17,619) |
FTSE/MIB Index | 13 | 03/2020 | EUR | 1,521,650 | — | (11,192) |
Gas Oil | 66 | 02/2020 | USD | 4,050,750 | 86,089 | — |
Gold 100 oz. | 168 | 02/2020 | USD | 25,588,080 | 710,261 | — |
Hang Seng Index | 19 | 01/2020 | HKD | 26,856,500 | 23,074 | — |
H-Shares Index | 37 | 01/2020 | HKD | 20,740,350 | 17,594 | — |
IBEX 35 Index | 21 | 01/2020 | EUR | 2,000,943 | — | (14,132) |
KOSPI 200 Index | 325 | 03/2020 | KRW | 23,985,000,000 | 419,289 | — |
MSCI EAFE Index Future | 5 | 03/2020 | USD | 509,125 | — | (262) |
MSCI Singapore Index | 17 | 01/2020 | SGD | 631,550 | — | (494) |
MSCI Taiwan Index | 1 | 01/2020 | USD | 45,960 | — | (21) |
NASDAQ 100 E-mini | 25 | 03/2020 | USD | 4,376,125 | 76,616 | — |
New Zealand Dollar | 320 | 03/2020 | USD | 21,600,000 | 549,096 | — |
NY Harbor ULSD Heat Oil | 21 | 01/2020 | USD | 1,784,110 | 15,480 | — |
OMXS30 Index | 34 | 01/2020 | SEK | 6,012,050 | — | (7,574) |
Platinum | 18 | 04/2020 | USD | 880,020 | 29,857 | — |
RBOB Gasoline | 43 | 01/2020 | USD | 3,053,043 | 79,672 | — |
Russell 2000 Index E-mini | 194 | 03/2020 | USD | 16,204,820 | 175,556 | — |
S&P 500 Index E-mini | 30 | 03/2020 | USD | 4,846,650 | 82,143 | — |
S&P Mid 400 Index E-mini | 17 | 03/2020 | USD | 3,510,160 | 27,106 | — |
S&P/TSX 60 Index | 161 | 03/2020 | CAD | 32,599,280 | — | (16,345) |
Silver | 21 | 03/2020 | USD | 1,881,705 | 44,185 | — |
Soybean Oil | 57 | 03/2020 | USD | 1,189,134 | 60,044 | — |
SPI 200 Index | 82 | 03/2020 | AUD | 13,536,150 | — | (257,667) |
Sugar #11 | 163 | 02/2020 | USD | 2,449,955 | 38,676 | — |
TOPIX Index | 111 | 03/2020 | JPY | 1,910,310,000 | 67,714 | — |
U.S. Treasury 2-Year Note | 31 | 03/2020 | USD | 6,680,500 | — | (12) |
U.S. Ultra Treasury Bond | 2 | 03/2020 | USD | 363,313 | — | (9,544) |
Wheat | 102 | 03/2020 | USD | 2,849,625 | 158,351 | — |
Wheat | 16 | 03/2020 | USD | 388,800 | 34,840 | — |
WTI Crude | 155 | 01/2020 | USD | 9,464,300 | 139,961 | — |
Total | 3,871,859 | (493,648) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
3-Month Euro Euribor | (240) | 06/2020 | EUR | (60,231,000) | 18,045 | — |
3-Month Euro Euribor | (208) | 09/2020 | EUR | (52,195,000) | 21,556 | — |
3-Month Euro Euribor | (142) | 12/2020 | EUR | (35,629,575) | 17,536 | — |
3-Month Euro Euribor | (65) | 03/2021 | EUR | (16,306,875) | 5,607 | — |
3-Month Euro Euribor | (25) | 06/2021 | EUR | (6,270,625) | 6,144 | — |
3-Month Euro Euribor | (23) | 09/2021 | EUR | (5,767,538) | 4,874 | — |
3-Month Euro Euribor | (13) | 12/2021 | EUR | (3,258,938) | 2,328 | — |
3-Month Euro Swiss Franc | (14) | 06/2020 | CHF | (3,524,850) | 565 | — |
3-Month Euro Swiss Franc | (6) | 09/2020 | CHF | (1,510,650) | 352 | — |
3-Month Euro Swiss Franc | (2) | 12/2020 | CHF | (503,450) | 203 | — |
90-Day Euro$ | (19) | 06/2020 | USD | (4,669,725) | — | (454) |
90-Day Euro$ | (16) | 09/2020 | USD | (3,934,600) | 1,530 | — |
Australian 10-Year Bond | (2) | 03/2020 | AUD | (285,916) | 497 | — |
Australian Dollar | (249) | 03/2020 | USD | (17,524,620) | — | (464,205) |
Banker’s Acceptance | (4) | 06/2020 | CAD | (980,200) | — | — |
Banker’s Acceptance | (3) | 09/2020 | CAD | (735,263) | 17 | — |
Canadian Government 10-Year Bond | (4) | 03/2020 | CAD | (549,920) | 6,852 | — |
Euro Buxl | (1) | 03/2020 | EUR | (198,380) | 9,368 | — |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 11 |
December 31, 2019
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro FX | (174) | 03/2020 | USD | (24,538,350) | — | (301,142) |
Euro-Bobl | (40) | 03/2020 | EUR | (5,345,200) | 29,566 | — |
Euro-Bund | (14) | 03/2020 | EUR | (2,386,860) | 35,971 | — |
Eurodollar 90-Day | (13) | 12/2020 | USD | (3,197,350) | 829 | — |
Eurodollar 90-Day | (10) | 03/2021 | USD | (2,461,000) | 517 | — |
Eurodollar 90-Day | (7) | 06/2021 | USD | (1,722,700) | — | (248) |
Eurodollar 90-Day | (8) | 09/2021 | USD | (1,968,700) | — | (421) |
Eurodollar 90-Day | (6) | 12/2021 | USD | (1,475,925) | — | (261) |
Japanese 10-Year Government Bond | (4) | 03/2020 | JPY | (608,720,000) | — | (5,219) |
Japanese Yen | (147) | 03/2020 | USD | (16,988,606) | — | (51,446) |
Lean Hogs | (16) | 02/2020 | USD | (457,120) | 7,411 | — |
Long Gilt | (7) | 03/2020 | GBP | (919,660) | 33 | — |
Natural Gas | (472) | 01/2020 | USD | (10,332,080) | 372,838 | — |
Primary Aluminum | (3) | 03/2020 | USD | (135,750) | — | (3,838) |
Soybean Meal | (13) | 03/2020 | USD | (396,110) | — | (7,184) |
U.S. Long Bond | (1) | 03/2020 | USD | (155,906) | 61 | — |
U.S. Treasury 10-Year Note | (8) | 03/2020 | USD | (1,027,375) | 47 | — |
U.S. Treasury 5-Year Note | (8) | 03/2020 | USD | (948,875) | — | (477) |
Zinc | (8) | 03/2020 | USD | (454,950) | — | (8,972) |
Total | 542,747 | (843,867) |
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-Schatz Mar 20 | Barclays | 03/2020 | EUR | (38,607,225) | — | — | 21,709 | — |
Cotton Mar 20 | Citi | 03/2020 | USD | (69,050) | — | — | — | (3,247) |
Primary Aluminum Mar 20 | Citi | 03/2020 | USD | (1,086,000) | — | — | — | (29,769) |
Soybean Meal Mar 20 | Citi | 03/2020 | USD | (1,919,610) | — | — | — | (24,403) |
Soybean Meal Mar 20 | Citi | 03/2020 | USD | (3,248,700) | — | — | — | (149,349) |
H-Shares Index Jan 20 | JPMorgan | 01/2020 | HKD | 19,619,250 | — | — | 28,604 | — |
Swiss Market Index Mar 20 | JPMorgan | 03/2020 | CHF | 1,262,640 | — | — | 6,301 | — |
TAIEX Index Jan 20 | JPMorgan | 01/2020 | TWD | 23,988,000 | — | — | — | (343) |
Total | — | — | 56,614 | (207,111) |
* | 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 December 31, 2019. |
(b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
102,044,857 | 488,620,306 | (495,640,825) | 95,024,338 | (375) | (176) | 3,681,094 | 95,014,835 |
12 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
December 31, 2019
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 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 13 |
December 31, 2019
methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Treasury Bills | 72,296,169 | — | — | 72,296,169 |
Money Market Funds | 165,021,835 | — | — | 165,021,835 |
Total Investments in Securities | 237,318,004 | — | — | 237,318,004 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 3,788,778 | — | 3,788,778 |
Futures Contracts | 4,414,606 | — | — | 4,414,606 |
Swap Contracts | — | 56,614 | — | 56,614 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (3,878,187) | — | (3,878,187) |
Futures Contracts | (1,337,515) | — | — | (1,337,515) |
Swap Contracts | — | (207,111) | — | (207,111) |
Total | 240,395,095 | (239,906) | — | 240,155,189 |
14 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $142,275,795) | $142,303,169 |
Affiliated issuers (cost $95,015,975) | 95,014,835 |
Foreign currency (cost $427,940) | 428,499 |
Cash collateral held at broker for: | |
Forward foreign currency exchange contracts | 1,730,000 |
Swap contracts | 690,000 |
Other(a) | 3,960,000 |
Margin deposits on: | |
Futures contracts | 14,534,057 |
Unrealized appreciation on forward foreign currency exchange contracts | 3,788,778 |
Unrealized appreciation on swap contracts | 56,614 |
Receivable for: | |
Investments sold | 53,392 |
Capital shares sold | 1,080 |
Dividends | 226,882 |
Variation margin for futures contracts | 602,636 |
Prepaid expenses | 1,020 |
Trustees’ deferred compensation plan | 46,890 |
Total assets | 263,437,852 |
Liabilities | |
Due to custodian | 103,926 |
Unrealized depreciation on forward foreign currency exchange contracts | 3,878,187 |
Unrealized depreciation on swap contracts | 207,111 |
Payable for: | |
Investments purchased | 467,456 |
Capital shares purchased | 2,664 |
Variation margin for futures contracts | 1,149,235 |
Management services fees | 7,776 |
Distribution and/or service fees | 160 |
Service fees | 3,301 |
Compensation of board members | 336 |
Compensation of chief compliance officer | 25 |
Other expenses | 38,343 |
Trustees’ deferred compensation plan | 46,890 |
Total liabilities | 5,905,410 |
Net assets applicable to outstanding capital stock | $257,532,442 |
Represented by | |
Paid in capital | 314,413,881 |
Total distributable earnings (loss) | (56,881,439) |
Total - representing net assets applicable to outstanding capital stock | $257,532,442 |
Class 1 | |
Net assets | $234,219,831 |
Shares outstanding | 32,471,408 |
Net asset value per share | $7.21 |
Class 2 | |
Net assets | $23,312,611 |
Shares outstanding | 3,250,691 |
Net asset value per share | $7.17 |
(a) | Includes collateral related to forward foreign currency exchange contracts and swap contracts. |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 15 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $74,812 |
Dividends — affiliated issuers | 3,681,094 |
Interest | 1,939,456 |
Total income | 5,695,362 |
Expenses: | |
Management services fees | 2,868,583 |
Distribution and/or service fees | |
Class 2 | 61,036 |
Service fees | 18,879 |
Compensation of board members | 17,211 |
Custodian fees | 29,010 |
Printing and postage fees | 13,699 |
Audit fees | 36,500 |
Legal fees | 5,663 |
Interest on collateral | 17,532 |
Compensation of chief compliance officer | 102 |
Other | 15,850 |
Total expenses | 3,084,065 |
Net investment income | 2,611,297 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 71 |
Investments — affiliated issuers | (375) |
Foreign currency translations | (375,064) |
Forward foreign currency exchange contracts | (3,839,971) |
Futures contracts | 1,033,945 |
Swap contracts | 2,699,182 |
Net realized loss | (482,212) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 27,104 |
Investments — affiliated issuers | (176) |
Foreign currency translations | 47,139 |
Forward foreign currency exchange contracts | (52,323) |
Futures contracts | 373,808 |
Swap contracts | (833,130) |
Net change in unrealized appreciation (depreciation) | (437,578) |
Net realized and unrealized loss | (919,790) |
Net increase in net assets resulting from operations | $1,691,507 |
16 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $2,611,297 | $1,699,890 |
Net realized loss | (482,212) | (21,034,666) |
Net change in unrealized appreciation (depreciation) | (437,578) | (1,969,200) |
Net increase (decrease) in net assets resulting from operations | 1,691,507 | (21,303,976) |
Decrease in net assets from capital stock activity | (2,183,813) | (6,496,484) |
Total decrease in net assets | (492,306) | (27,800,460) |
Net assets at beginning of year | 258,024,748 | 285,825,208 |
Net assets at end of year | $257,532,442 | $258,024,748 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 3,942 | 28,869 | — | — |
Redemptions | (1,888) | (13,942) | — | — |
Net increase | 2,054 | 14,927 | — | — |
Class 2 | ||||
Subscriptions | 643,880 | 4,668,203 | 648,558 | 4,862,551 |
Redemptions | (952,655) | (6,866,943) | (1,526,017) | (11,359,035) |
Net decrease | (308,775) | (2,198,740) | (877,459) | (6,496,484) |
Total net decrease | (306,721) | (2,183,813) | (877,459) | (6,496,484) |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 17 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2019 | $7.16 | 0.07 | (0.02) | 0.05 | — | — |
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) |
Class 2 | ||||||
Year Ended 12/31/2019 | $7.14 | 0.06 | (0.03) | 0.03 | — | — |
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) |
Notes to Consolidated Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 12/31/2019 | 12/31/2018 |
Class 1 | 0.01% | less than 0.01% |
Class 2 | 0.01% | less than 0.01% |
18 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $7.21 | 0.70% | 1.16%(c) | 1.16%(c) | 1.02% | 0% | $234,220 |
Year Ended 12/31/2018 | $7.16 | (7.61%) | 1.15%(c) | 1.15%(c) | 0.65% | 0% | $232,609 |
Year Ended 12/31/2017 | $7.75 | (0.66%) | 1.19% | 1.19% | (0.30%) | 0% | $251,487 |
Year Ended 12/31/2016 | $7.85 | (8.90%) | 1.21% | 1.21% | (0.82%) | 0% | $253,548 |
Year Ended 12/31/2015 | $9.11 | 0.19% | 1.20% | 1.20% | (1.09%) | 0% | $278,128 |
Class 2 | |||||||
Year Ended 12/31/2019 | $7.17 | 0.42% | 1.41%(c) | 1.41%(c) | 0.78% | 0% | $23,313 |
Year Ended 12/31/2018 | $7.14 | (7.75%) | 1.40%(c) | 1.40%(c) | 0.38% | 0% | $25,416 |
Year Ended 12/31/2017 | $7.74 | (0.96%) | 1.44% | 1.44% | (0.55%) | 0% | $34,338 |
Year Ended 12/31/2016 | $7.84 | (9.09%) | 1.46% | 1.46% | (1.07%) | 0% | $34,441 |
Year Ended 12/31/2015 | $9.09 | (0.09%) | 1.46% | 1.46% | (1.34%) | 0% | $23,373 |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 19 |
December 31, 2019
VPMF Offshore Fund, Ltd. | |
% of consolidated fund net assets | 23.28% |
Net assets | $59,941,817 |
Net investment income (loss) | 651,840 |
Net realized gain (loss) | (11,695,087) |
Net change in unrealized appreciation (depreciation) | 598,958 |
20 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
December 31, 2019
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
December 31, 2019
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 23 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 964,431* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 34,905* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 3,788,778 |
Foreign exchange risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 998,048* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 162,498* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 21,709* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 2,289,629* |
Total | 8,259,998 |
24 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 369,574* |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 343* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 3,878,187 |
Foreign exchange risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 816,793* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 117,313* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 33,835* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 206,768* |
Total | 5,422,813 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | (11,234,376) | (486,719) | (11,721,095) |
Equity risk | — | 554,897 | 20,276 | 575,173 |
Foreign exchange risk | (3,839,971) | (3,729,165) | — | (7,569,136) |
Interest rate risk | — | 15,442,589 | 3,165,625 | 18,608,214 |
Total | (3,839,971) | 1,033,945 | 2,699,182 | (106,844) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | 1,073,861 | (481,347) | 592,514 |
Equity risk | — | (742,839) | 31,736 | (711,103) |
Foreign exchange risk | (52,323) | 950,132 | — | 897,809 |
Interest rate risk | — | (907,346) | (383,519) | (1,290,865) |
Total | (52,323) | 373,808 | (833,130) | (511,645) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 987,732,738 |
Futures contracts — short | 253,395,291 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 2,363,061 | (2,759,265) |
Total return swap contracts | 836,093 | (549,477) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 25 |
December 31, 2019
Barclays ($) | Citi ($)(a) | Citi ($)(a) | HSBC ($) | JPMorgan ($) | Total ($) | |
Assets | ||||||
Forward foreign currency exchange contracts | - | - | 1,894,270 | 1,894,508 | 3,788,778 | |
OTC total return swap contracts on futures (b) | 21,709 | - | - | 34,905 | 56,614 | |
Total assets | 21,709 | - | 1,894,270 | 1,929,413 | 3,845,392 | |
Liabilities | ||||||
Forward foreign currency exchange contracts | - | - | 1,939,041 | 1,939,146 | 3,878,187 | |
OTC total return swap contracts on futures (b) | - | 206,768 | - | 343 | 207,111 | |
Total liabilities | - | 206,768 | 1,939,041 | 1,939,489 | 4,085,298 | |
Total financial and derivative net assets | 21,709 | (206,768) | (44,771) | (10,076) | (239,906) | |
Total collateral received (pledged) (c) | - | (206,768) | (44,771) | (10,076) | (261,615) | |
Net amount (d) | 21,709 | - | - | - | 21,709 |
(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. |
26 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
December 31, 2019
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 27 |
December 31, 2019
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 1.56% |
Class 2 | 1.81 |
28 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
December 31, 2019
Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(1,126,086) | 15,169 | 1,110,917 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
2,336,602 | — | (9,524,201) | (37,874,502) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
281,407,294 | 26,455 | (37,900,957) | (37,874,502) |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 29 |
December 31, 2019
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
(6,990,365) | (2,533,836) | (9,524,201) | 10,600,389 | — |
30 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
December 31, 2019
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 31 |
December 31, 2019
32 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 33 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
34 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 35 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
36 | CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
CTIVP® – AQR Managed Futures Strategy Fund | Annual Report 2019 | 37 |
December 31, 2019
3 | |
5 | |
6 | |
7 | |
15 | |
16 | |
17 | |
18 | |
20 | |
36 | |
37 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | 2.38 | -1.34 | -1.34 | |
Class 2 | 04/30/12 | 2.08 | -1.59 | -1.58 | |
FTSE One-Month U.S. Treasury Bill Index | 2.20 | 1.01 | 0.67 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Exchange-Traded Alternative Strategies Funds | 6.2 |
Exchange-Traded Equity Funds | 5.8 |
Exchange-Traded Fixed Income Funds | 18.1 |
Foreign Government Obligations | 3.6 |
Inflation-Indexed Bonds | 8.3 |
Money Market Funds(a) | 50.4 |
Residential Mortgage-Backed Securities - Agency | 3.4 |
U.S. Treasury Obligations | 4.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $111.2 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and Note 2 to the Notes to Consolidated Financial Statements. |
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2019)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 155.2 | (95.7) | 59.5 |
Equity Derivative Contracts | 94.8 | (38.7) | 56.1 |
Foreign Currency Derivative Contracts | 112.2 | (127.8) | (15.6) |
Total Notional Market Value of Derivative Contracts | 362.2 | (262.2) | 100.0 |
4 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 5 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,002.20 | 1,018.45 | 7.04 | 7.10 | 1.38 |
Class 2 | 1,000.00 | 1,000.00 | 1,000.00 | 1,017.17 | 8.31 | 8.38 | 1.63 |
6 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Exchange-Traded Alternative Strategies Funds 5.3% | ||
Shares | Value ($) | |
iPath Bloomberg Commodity Index Total Return ETN(a) | 599,845 | 13,700,460 |
Total Exchange-Traded Alternative Strategies Funds (Cost $13,217,068) | 13,700,460 | |
Exchange-Traded Equity Funds 4.9% | ||
Real Estate 1.8% | ||
iShares U.S. Real Estate ETF | 50,900 | 4,737,772 |
REIT 3.1% | ||
Vanguard REIT ETF | 87,655 | 8,133,507 |
Total Exchange-Traded Equity Funds (Cost $12,776,008) | 12,871,279 | |
Exchange-Traded Fixed Income Funds 15.4% | ||
Investment Grade 15.4% | ||
iShares Short Treasury Bond ETF | 361,500 | 39,931,290 |
Total Exchange-Traded Fixed Income Funds (Cost $40,007,205) | 39,931,290 |
Foreign Government Obligations(b),(c) 3.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.1% | ||||
Canadian Government Bond | ||||
06/01/2028 | 2.000% | CAD | 384,000 | 302,220 |
France 0.3% | ||||
French Republic Government Bond OAT(d) | ||||
10/25/2027 | 2.750% | EUR | 404,000 | 554,425 |
11/25/2028 | 0.750% | EUR | 183,000 | 218,432 |
Total | 772,857 | |||
Indonesia 0.4% | ||||
Indonesia Treasury Bond | ||||
09/15/2030 | 7.000% | IDR | 16,132,000,000 | 1,156,688 |
Italy 0.1% | ||||
Italy Buoni Poliennali Del Tesoro(d) | ||||
03/01/2047 | 2.700% | EUR | 137,000 | 166,147 |
Japan 0.5% | ||||
Japan Government 20-Year Bond | ||||
06/20/2039 | 0.300% | JPY | 33,250,000 | 307,710 |
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Japan Government 30-Year Bond | ||||
06/20/2048 | 0.700% | JPY | 45,750,000 | 455,649 |
09/20/2048 | 0.900% | JPY | 7,150,000 | 74,757 |
03/20/2049 | 0.500% | JPY | 13,900,000 | 131,240 |
06/20/2049 | 0.400% | JPY | 22,900,000 | 210,180 |
Japan Government Thirty-Year Bond | ||||
12/20/2048 | 0.700% | JPY | 11,950,000 | 119,006 |
Total | 1,298,542 | |||
Malaysia 0.3% | ||||
Malaysia Sovereign Sukuk Bhd(d) | ||||
04/22/2025 | 3.043% | 600,000 | 620,784 | |
Malaysia Sukuk Global Bhd(d) | ||||
04/27/2026 | 3.179% | 200,000 | 207,512 | |
Total | 828,296 | |||
South Africa 0.5% | ||||
Republic of South Africa Government Bond | ||||
12/21/2026 | 10.500% | ZAR | 12,559,000 | 1,001,729 |
01/31/2030 | 8.000% | ZAR | 6,302,000 | 419,563 |
Total | 1,421,292 | |||
South Korea 0.3% | ||||
Korea Treasury Bond | ||||
12/10/2028 | 2.375% | KRW | 483,000,000 | 441,743 |
06/10/2029 | 1.875% | KRW | 313,000,000 | 275,187 |
Total | 716,930 | |||
United Kingdom 0.5% | ||||
United Kingdom Gilt(d) | ||||
10/22/2028 | 1.625% | GBP | 425,000 | 605,940 |
06/07/2032 | 4.250% | GBP | 204,000 | 374,018 |
01/22/2045 | 3.500% | GBP | 139,000 | 269,319 |
Total | 1,249,277 | |||
Total Foreign Government Obligations (Cost $7,595,364) | 7,912,249 | |||
Inflation-Indexed Bonds(b) 7.1% | ||||
Australia 0.3% | ||||
Australia Government Bond(d) | ||||
11/21/2027 | 0.750% | AUD | 189,419 | 141,579 |
08/21/2035 | 2.000% | AUD | 125,729 | 113,039 |
08/21/2040 | 1.250% | AUD | 105,561 | 88,310 |
Australia Government Index-Linked Bond(d) | ||||
09/20/2025 | 3.000% | AUD | 469,717 | 390,363 |
Total | 733,291 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 7 |
December 31, 2019
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brazil 0.1% | ||||
Brazil Notas do Tesouro Nacional Serie B | ||||
08/15/2026 | 6.000% | BRL | 707,320 | 214,532 |
Canada 0.4% | ||||
Canadian Government Real Return Bond | ||||
12/01/2026 | 4.250% | CAD | 491,491 | 480,436 |
12/01/2031 | 4.000% | CAD | 270,562 | 297,200 |
12/01/2036 | 3.000% | CAD | 193,643 | 212,784 |
Total | 990,420 | |||
France 0.3% | ||||
France Government Bond OAT(d) | ||||
07/25/2030 | 0.700% | EUR | 119,985 | 159,478 |
07/25/2032 | 3.150% | EUR | 85,646 | 148,383 |
French Republic Government Bond OAT(d) | ||||
07/25/2024 | 0.250% | EUR | 295,548 | 356,987 |
07/25/2040 | 1.800% | EUR | 19,233 | 33,365 |
Total | 698,213 | |||
Italy 0.1% | ||||
Italy Buoni Poliennali Del Tesoro(d) | ||||
09/15/2026 | 3.100% | EUR | 120,211 | 162,063 |
05/15/2028 | 1.300% | EUR | 104,818 | 126,126 |
09/15/2035 | 2.350% | EUR | 37,641 | 52,351 |
09/15/2041 | 2.550% | EUR | 26,228 | 37,597 |
Total | 378,137 | |||
Japan 0.5% | ||||
Japanese Government CPI-Linked Bond | ||||
03/10/2025 | 0.100% | JPY | 35,257,400 | 330,492 |
03/10/2026 | 0.100% | JPY | 34,197,744 | 321,661 |
03/10/2027 | 0.100% | JPY | 58,897,275 | 556,421 |
Total | 1,208,574 | |||
New Zealand 0.1% | ||||
New Zealand Government Inflation-Linked Bond(d) | ||||
09/20/2025 | 2.000% | NZD | 376,110 | 277,761 |
United Kingdom 2.1% | ||||
United Kingdom Gilt Inflation-Linked Bond(d) | ||||
03/22/2024 | 0.125% | GBP | 306,667 | 449,736 |
03/22/2029 | 0.125% | GBP | 466,020 | 776,045 |
03/22/2034 | 0.750% | GBP | 370,145 | 730,513 |
11/22/2037 | 1.125% | GBP | 314,462 | 707,427 |
03/22/2044 | 0.125% | GBP | 323,436 | 689,351 |
03/22/2052 | 0.250% | GBP | 542,287 | 1,341,669 |
11/22/2056 | 0.125% | GBP | 260,927 | 674,402 |
11/22/2065 | 0.125% | GBP | 51,293 | 152,351 |
Total | 5,521,494 |
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 3.2% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
01/15/2022 | 0.125% | 882,328 | 881,999 | |
01/15/2024 | 0.625% | 1,790,039 | 1,828,066 | |
01/15/2025 | 0.250% | 1,294,045 | 1,305,962 | |
07/15/2027 | 0.375% | 874,237 | 891,750 | |
01/15/2028 | 0.500% | 817,947 | 839,311 | |
07/15/2028 | 0.750% | 486,980 | 512,490 | |
01/15/2029 | 0.875% | 984,528 | 1,045,797 | |
07/15/2029 | 0.250% | 276,669 | 279,429 | |
02/15/2042 | 0.750% | 223,225 | 232,217 | |
02/15/2043 | 0.625% | 162,303 | 164,405 | |
02/15/2045 | 0.750% | 165,020 | 171,409 | |
02/15/2048 | 1.000% | 149,233 | 165,335 | |
Total | 8,318,170 | |||
Total Inflation-Indexed Bonds (Cost $17,575,778) | 18,340,592 | |||
Residential Mortgage-Backed Securities - Agency 2.9% | ||||
Federal National Mortgage Association(e) | ||||
01/16/2035 | 2.500% | 380,000 | 383,473 | |
01/16/2035- 01/14/2050 | 3.000% | 1,330,000 | 1,352,110 | |
01/14/2050 | 3.500% | 1,525,000 | 1,568,784 | |
01/14/2050 | 4.000% | 1,325,000 | 1,378,104 | |
01/14/2050 | 4.500% | 650,000 | 684,353 | |
01/14/2050 | 5.000% | 380,000 | 406,244 | |
Government National Mortgage Association(e) | ||||
01/21/2050 | 3.500% | 1,500,000 | 1,554,504 | |
01/21/2050 | 4.000% | 200,000 | 209,016 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $7,525,081) | 7,536,588 | |||
U.S. Treasury Obligations 3.5% | ||||
U.S. Treasury | ||||
11/30/2024 | 2.125% | 200 | 204 | |
08/31/2026 | 1.375% | 1,708,000 | 1,661,564 | |
08/15/2027 | 2.250% | 1,622,000 | 1,668,379 | |
11/15/2027 | 2.250% | 1,574,900 | 1,619,932 | |
08/15/2028 | 2.875% | 1,410,000 | 1,520,817 | |
05/15/2029 | 2.375% | 1,336,000 | 1,389,649 | |
08/15/2029 | 1.625% | 1,352,000 | 1,318,200 | |
Total U.S. Treasury Obligations (Cost $9,353,530) | 9,178,745 |
8 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Money Market Funds 42.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(f),(g) | 111,166,632 | 111,155,515 |
Total Money Market Funds (Cost $111,159,258) | 111,155,515 | |
Total Investments in Securities (Cost: $219,209,292) | 220,626,718 | |
Other Assets & Liabilities, Net | 39,449,629 | |
Net Assets | 260,076,347 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
425,000 CAD | 325,334 USD | Citi | 01/15/2020 | — | (1,976) |
152,130,000 NOK | 16,991,182 USD | Citi | 01/15/2020 | — | (338,066) |
42,617,715 USD | 55,947,000 CAD | Citi | 01/15/2020 | 469,282 | — |
17,304,116 USD | 152,130,000 NOK | Citi | 01/15/2020 | 25,132 | — |
4,919,000,000 IDR | 350,706 USD | Citi | 01/21/2020 | — | (3,831) |
1,200,351,000 KRW | 1,032,382 USD | Citi | 01/21/2020 | — | (6,388) |
296,202 USD | 343,031,000 KRW | Citi | 01/21/2020 | 654 | — |
12,747,000 GBP | 17,030,120 USD | Credit Suisse | 01/15/2020 | 139,429 | — |
2,790,210,000 JPY | 25,627,310 USD | Credit Suisse | 01/15/2020 | — | (69,665) |
16,506,804 USD | 12,747,000 GBP | Credit Suisse | 01/15/2020 | 383,887 | — |
25,536,267 USD | 2,790,210,000 JPY | Credit Suisse | 01/15/2020 | 160,708 | — |
19,441,000 GBP | 25,556,050 USD | Goldman Sachs | 01/15/2020 | — | (204,672) |
7,663,000 GBP | 10,061,473 USD | HSBC | 01/21/2020 | — | (94,361) |
1,203,079,981 JPY | 11,012,849 USD | HSBC | 01/21/2020 | — | (70,907) |
1,132,000 NOK | 125,461 USD | HSBC | 01/21/2020 | — | (3,489) |
422,000 NZD | 277,282 USD | HSBC | 01/21/2020 | — | (6,887) |
6,170,000 SEK | 658,860 USD | HSBC | 01/21/2020 | — | (475) |
433,000 SGD | 319,473 USD | HSBC | 01/21/2020 | — | (2,518) |
4,102 USD | 78,000 MXN | HSBC | 01/21/2020 | 12 | — |
2,430,982 USD | 21,934,000 NOK | HSBC | 01/21/2020 | 67,608 | — |
2,425,888 USD | 3,692,000 NZD | HSBC | 01/21/2020 | 60,253 | — |
786 USD | 3,000 PLN | HSBC | 01/21/2020 | 5 | — |
24,454 USD | 229,000 SEK | HSBC | 01/21/2020 | 18 | — |
20,844,000 ZAR | 1,437,625 USD | HSBC | 01/21/2020 | — | (46,928) |
403,000 NZD | 271,305 USD | Morgan Stanley | 01/15/2020 | — | (44) |
158,850,000 SEK | 16,879,028 USD | Morgan Stanley | 01/15/2020 | — | (90,827) |
16,988,129 USD | 25,670,000 NZD | Morgan Stanley | 01/15/2020 | 296,096 | — |
42,563,392 USD | 396,821,000 SEK | Morgan Stanley | 01/15/2020 | — | (171,234) |
3,622,000 AUD | 2,479,517 USD | Morgan Stanley | 01/21/2020 | — | (63,417) |
1,723,000 CAD | 1,308,623 USD | Morgan Stanley | 01/21/2020 | — | (18,371) |
4,578,000 CHF | 4,678,492 USD | Morgan Stanley | 01/21/2020 | — | (58,055) |
3,020,000 DKK | 452,154 USD | Morgan Stanley | 01/21/2020 | — | (1,746) |
11,244,000 EUR | 12,569,204 USD | Morgan Stanley | 01/21/2020 | — | (57,759) |
13,992,000 GBP | 18,113,012 USD | Morgan Stanley | 01/21/2020 | — | (430,695) |
6,186,000 HKD | 793,521 USD | Morgan Stanley | 01/21/2020 | — | (181) |
2,362,812 USD | 3,111,000 CAD | Morgan Stanley | 01/21/2020 | 33,169 | — |
30,314,354 USD | 23,073,000 GBP | Morgan Stanley | 01/21/2020 | 264,475 | — |
6,759 USD | 98,000 ZAR | Morgan Stanley | 01/21/2020 | 220 | — |
827,000 BRL | 202,671 USD | Standard Chartered | 01/21/2020 | — | (2,805) |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 9 |
December 31, 2019
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
11,267,200,000 IDR | 804,513 USD | Standard Chartered | 01/21/2020 | — | (7,571) |
41,744,000 CHF | 42,597,657 USD | UBS | 01/15/2020 | — | (573,098) |
23,016,000 EUR | 25,712,042 USD | UBS | 01/15/2020 | — | (124,885) |
468,606 USD | 455,000 CHF | UBS | 01/15/2020 | 1,945 | — |
8,756,910 USD | 7,818,000 EUR | UBS | 01/15/2020 | 19,293 | — |
Total | 1,922,186 | (2,450,851) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
10-Year Mini JGB | 12 | 03/2020 | JPY | 182,316,000 | — | (4,451) |
Amsterdam Index | 18 | 01/2020 | EUR | 2,176,668 | — | (30,015) |
Australian 10-Year Bond | 16 | 03/2020 | AUD | 2,287,330 | — | (32,287) |
Canadian Government 10-Year Bond | 3 | 03/2020 | CAD | 412,440 | — | (7,068) |
EURO STOXX 50 Index | 496 | 03/2020 | EUR | 18,495,840 | — | (186,917) |
FTSE 100 Index | 160 | 03/2020 | GBP | 11,998,400 | 31,536 | — |
Hang Seng Index | 37 | 01/2020 | HKD | 52,299,500 | 68,727 | — |
MSCI EAFE Index Future | 248 | 03/2020 | USD | 25,252,600 | 430,131 | — |
MSCI Emerging Markets Index | 155 | 03/2020 | USD | 8,681,550 | 248,402 | — |
S&P 500 Index E-mini | 388 | 03/2020 | USD | 62,683,340 | 1,650,948 | — |
S&P/TSX 60 Index | 83 | 03/2020 | CAD | 16,805,840 | 4,538 | — |
SPI 200 Index | 181 | 03/2020 | AUD | 29,878,575 | — | (665,277) |
U.S. Treasury 10-Year Note | 14 | 03/2020 | USD | 1,797,906 | — | (15,341) |
U.S. Treasury 5-Year Note | 7 | 03/2020 | USD | 830,266 | — | (2,638) |
U.S. Ultra Bond 10-Year Note | 7 | 03/2020 | USD | 984,922 | — | (11,827) |
U.S. Ultra Treasury Bond | 230 | 03/2020 | USD | 41,780,938 | — | (1,258,377) |
Total | 2,434,282 | (2,214,198) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
DAX Index | (7) | 03/2020 | EUR | (2,318,138) | 33,663 | — |
MSCI Emerging Markets Index | (375) | 03/2020 | USD | (21,003,750) | — | (699,911) |
TOPIX Index | (305) | 03/2020 | JPY | (5,249,050,000) | — | (24,668) |
Total | 33,663 | (724,579) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
6-Month EURIBOR | Fixed rate of 1.006% | Receives SemiAnnually, Pays Annually | Morgan Stanley | 05/04/2028 | EUR | 6,119,789 | (574,026) | — | — | — | (574,026) |
Fixed rate of 0.325% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 11/05/2028 | JPY | 2,918,942,000 | 547,099 | — | — | 547,099 | — |
Fixed rate of 2.773% | 6-Month AUD BBSR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 12/04/2028 | AUD | 23,802,000 | 1,897,470 | — | — | 1,897,470 | — |
Fixed rate of 0.245% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 12/05/2028 | JPY | 1,413,918,000 | 164,963 | — | — | 164,963 | — |
6-Month EURIBOR | Fixed rate of 0.184% | Receives SemiAnnually, Pays Annually | Morgan Stanley | 07/03/2029 | EUR | 15,895,000 | (61,366) | — | — | — | (61,366) |
Fixed rate of 0.013% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 08/05/2029 | JPY | 1,699,678,000 | (161,335) | — | — | — | (161,335) |
Fixed rate of 1.098% | 6-Month AUD BBSR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 09/04/2029 | AUD | 28,640,000 | (744,547) | — | — | — | (744,547) |
10 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of -0.133% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 09/05/2029 | JPY | 3,496,298,000 | (805,026) | — | — | — | (805,026) |
Fixed rate of 1.071% | 6-Month AUD BBSR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 10/03/2029 | AUD | 6,938,000 | (195,989) | — | — | — | (195,989) |
Fixed rate of 1.542% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 10/04/2029 | USD | 7,982,000 | (260,931) | — | — | — | (260,931) |
3-Month SEK STIBOR | Fixed rate of 0.198% | Receives Quarterly, Pays Annually | Morgan Stanley | 10/07/2029 | SEK | 661,521,000 | 3,203,321 | — | — | 3,203,321 | — |
28-Day MXN TIIE-Banxico | Fixed rate of 6.775% | Receives Monthly, Pays Monthly | Morgan Stanley | 10/29/2029 | MXN | 7,991,000 | 1,045 | — | — | 1,045 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 1.854% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 11/01/2029 | CAD | 19,620,000 | 460,210 | — | — | 460,210 | — |
6-Month GBP LIBOR | Fixed rate of 0.819% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 11/01/2029 | GBP | 11,648,000 | 276,153 | — | — | 276,153 | — |
Fixed rate of 1.332% | 6-Month AUD BBSR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 11/04/2029 | AUD | 17,591,000 | (205,100) | — | — | — | (205,100) |
6-Month EURIBOR | Fixed rate of 0.022% | Receives SemiAnnually, Pays Annually | Morgan Stanley | 11/05/2029 | EUR | 12,793,000 | 238,460 | — | — | 238,460 | — |
Fixed rate of 1.616% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 11/05/2029 | USD | 6,312,000 | (160,632) | — | — | — | (160,632) |
6-Month GBP LIBOR | Fixed rate of 0.963% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 12/02/2029 | GBP | 5,589,000 | 30,967 | — | — | 30,967 | — |
Fixed rate of 1.300% | 6-Month AUD BBSR | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 12/03/2029 | AUD | 7,221,000 | (101,717) | — | — | — | (101,717) |
3-Month NZD LIBOR | Fixed rate of 1.550% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 12/04/2029 | NZD | 44,495,000 | 617,121 | — | — | 617,121 | — |
Fixed rate of 1.770% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 12/04/2029 | USD | 29,216,000 | (335,455) | — | — | — | (335,455) |
Total | 3,830,685 | — | — | 7,436,809 | (3,606,124) |
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 32 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | 1.734 | USD | 14,366,000 | 212,480 | — | — | 212,480 | — |
Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | 2.798 | USD | 16,290,450 | 511,519 | — | — | 511,519 | — |
Markit CDX North America Investment Grade Index, Series 33 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | 0.453 | USD | 11,036,000 | 60,963 | — | — | 60,963 | — |
Markit iTraxx Europe Crossover Index, Series 32 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | 2.073 | EUR | 4,645,000 | 45,920 | — | — | 45,920 | — |
Markit iTraxx Europe Main Index, Series 32 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | 0.443 | EUR | 2,111,000 | 13,156 | — | — | 13,156 | — |
Total | 844,038 | — | — | 844,038 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 11 |
December 31, 2019
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 7.555% |
3-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 2.075% |
3-Month NZD LIBOR | London Interbank Offered Rate | 1.290% |
3-Month SEK STIBOR | Stockholm Interbank Offered Rate | 0.149% |
3-Month USD LIBOR | London Interbank Offered Rate | 1.908% |
6-Month AUD BBSR | Bank Bill Swap Rate | 1.033% |
6-Month EURIBOR | Euro Interbank Offered Rate | (0.324%) |
6-Month GBP LIBOR | London Interbank Offered Rate | 0.880% |
6-Month JPY BBA LIBOR | London Interbank Offered Rate | 0.018% |
(a) | Non-income producing investment. |
(b) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $10,625,473, which represents 4.09% of total net assets. |
(e) | Represents a security purchased on a when-issued basis. |
(f) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(g) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
132,548,866 | 522,393,734 | (543,775,968) | 111,166,632 | (537) | (1,479) | 3,306,742 | 111,155,515 |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
SEK | Swedish Krona |
12 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
SGD | Singapore Dollar |
USD | US Dollar |
ZAR | South African Rand |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Exchange-Traded Alternative Strategies Funds | 13,700,460 | — | — | 13,700,460 |
Exchange-Traded Equity Funds | 12,871,279 | — | — | 12,871,279 |
Exchange-Traded Fixed Income Funds | 39,931,290 | — | — | 39,931,290 |
Foreign Government Obligations | — | 7,912,249 | — | 7,912,249 |
Inflation-Indexed Bonds | — | 18,340,592 | — | 18,340,592 |
Residential Mortgage-Backed Securities - Agency | — | 7,536,588 | — | 7,536,588 |
U.S. Treasury Obligations | 9,178,745 | — | — | 9,178,745 |
Money Market Funds | 111,155,515 | — | — | 111,155,515 |
Total Investments in Securities | 186,837,289 | 33,789,429 | — | 220,626,718 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 1,922,186 | — | 1,922,186 |
Futures Contracts | 2,467,945 | — | — | 2,467,945 |
Swap Contracts | — | 8,280,847 | — | 8,280,847 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 13 |
December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (2,450,851) | — | (2,450,851) |
Futures Contracts | (2,938,777) | — | — | (2,938,777) |
Swap Contracts | — | (3,606,124) | — | (3,606,124) |
Total | 186,366,457 | 37,935,487 | — | 224,301,944 |
14 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $108,050,034) | $109,471,203 |
Affiliated issuers (cost $111,159,258) | 111,155,515 |
Cash | 30,886,107 |
Foreign currency (cost $51,836) | 52,774 |
Margin deposits on: | |
Futures contracts | 11,603,342 |
Swap contracts | 5,633,055 |
Unrealized appreciation on forward foreign currency exchange contracts | 1,922,186 |
Receivable for: | |
Investments sold on a delayed delivery basis | 81,062 |
Capital shares sold | 26,818 |
Dividends | 194,572 |
Interest | 144,722 |
Foreign tax reclaims | 7,473 |
Variation margin for futures contracts | 299,885 |
Variation margin for swap contracts | 196,229 |
Expense reimbursement due from Investment Manager | 685 |
Prepaid expenses | 995 |
Trustees’ deferred compensation plan | 45,394 |
Total assets | 271,722,017 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 2,450,851 |
Payable for: | |
Investments purchased on a delayed delivery basis | 7,617,036 |
Capital shares purchased | 4 |
Variation margin for futures contracts | 917,887 |
Variation margin for swap contracts | 516,227 |
Management services fees | 7,865 |
Distribution and/or service fees | 26 |
Service fees | 203 |
Compensation of board members | 329 |
Compensation of chief compliance officer | 24 |
Other expenses | 89,824 |
Trustees’ deferred compensation plan | 45,394 |
Total liabilities | 11,645,670 |
Net assets applicable to outstanding capital stock | $260,076,347 |
Represented by | |
Trust capital | $260,076,347 |
Total - representing net assets applicable to outstanding capital stock | $260,076,347 |
Class 1 | |
Net assets | $256,313,665 |
Shares outstanding | 28,421,374 |
Net asset value per share | $9.02 |
Class 2 | |
Net assets | $3,762,682 |
Shares outstanding | 425,026 |
Net asset value per share | $8.85 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 15 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,889,286 |
Dividends — affiliated issuers | 3,306,742 |
Interest | 766,717 |
Foreign taxes withheld | (7,130) |
Total income | 5,955,615 |
Expenses: | |
Management services fees | 2,845,014 |
Distribution and/or service fees | |
Class 2 | 8,978 |
Service fees | 2,174 |
Compensation of board members | 17,191 |
Custodian fees | 108,439 |
Printing and postage fees | 10,659 |
Audit fees | 49,670 |
Legal fees | 5,610 |
Interest on collateral | 6,395 |
Dividends and interest on securities sold short | 1,160,051 |
Compensation of chief compliance officer | 101 |
Other | 21,043 |
Total expenses | 4,235,325 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (56,028) |
Total net expenses | 4,179,297 |
Net investment income | 1,776,318 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (4,856,836) |
Investments — affiliated issuers | (537) |
Foreign currency translations | (909,806) |
Forward foreign currency exchange contracts | 4,910,919 |
Futures contracts | 4,884,408 |
Options purchased | (210,960) |
Securities sold short | (2,940,218) |
Swap contracts | (3,003,530) |
Net realized loss | (2,126,560) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 18,258,924 |
Investments — affiliated issuers | (1,479) |
Foreign currency translations | 169,315 |
Forward foreign currency exchange contracts | 1,010,069 |
Futures contracts | (15,806) |
Securities sold short | (16,486,286) |
Swap contracts | 3,534,653 |
Net change in unrealized appreciation (depreciation) | 6,469,390 |
Net realized and unrealized gain | 4,342,830 |
Net increase in net assets resulting from operations | $6,119,148 |
16 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $1,776,318 | $442,369 |
Net realized loss | (2,126,560) | (20,904,175) |
Net change in unrealized appreciation (depreciation) | 6,469,390 | (3,104,412) |
Net increase (decrease) in net assets resulting from operations | 6,119,148 | (23,566,218) |
Increase in net assets from capital stock activity | 749,489 | 1,831,458 |
Total increase (decrease) in net assets | 6,868,637 | (21,734,760) |
Net assets at beginning of year | 253,207,710 | 274,942,470 |
Net assets at end of year | $260,076,347 | $253,207,710 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 27,770 | 252,123 | 218,333 | 2,044,031 |
Redemptions | (263) | (2,381) | — | — |
Net increase | 27,507 | 249,742 | 218,333 | 2,044,031 |
Class 2 | ||||
Subscriptions | 125,874 | 1,107,620 | 69,549 | 643,468 |
Redemptions | (69,247) | (607,873) | (92,560) | (856,041) |
Net increase (decrease) | 56,627 | 499,747 | (23,011) | (212,573) |
Total net increase | 84,134 | 749,489 | 195,322 | 1,831,458 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 17 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $8.81 | 0.06 | 0.15 | 0.21 |
Year Ended 12/31/2018 | $9.63 | 0.02 | (0.84) | (0.82) |
Year Ended 12/31/2017 | $9.36 | (0.03) | 0.30 | 0.27 |
Year Ended 12/31/2016 | $9.60 | (0.05) | (0.19) | (0.24) |
Year Ended 12/31/2015 | $9.65 | (0.05)(e) | 0.00(f) | (0.05) |
Class 2 | ||||
Year Ended 12/31/2019 | $8.67 | 0.04 | 0.14 | 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)(g) | 0.00(f) | (0.08) |
Notes to Consolidated Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include dividends and interest on securities sold short. If dividends and interest on securities sold short had been excluded, expenses would have been lower by: |
Class | 12/31/2019 | 12/31/2018 | 12/31/2017 | 12/31/2016 | 12/31/2015 |
Class 1 | 0.45% | 1.02% | 0.86% | 0.62% | 0.24% |
Class 2 | 0.44% | 1.03% | 0.84% | 0.62% | 0.28% |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.01 per share. |
(f) | Rounds to zero. |
(g) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.02 per share. |
18 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.02 | 2.38% | 1.63%(c),(d) | 1.61%(c),(d) | 0.69% | 163% | $256,314 |
Year Ended 12/31/2018 | $8.81 | (8.52%) | 2.20%(c),(d) | 2.20%(c),(d) | 0.17% | 178% | $250,015 |
Year Ended 12/31/2017 | $9.63 | 2.88% | 2.06%(c) | 2.06%(c) | (0.30%) | 186% | $271,225 |
Year Ended 12/31/2016 | $9.36 | (2.50%) | 1.86%(c) | 1.86%(c) | (0.49%) | 165% | $263,020 |
Year Ended 12/31/2015 | $9.60 | (0.52%) | 1.45%(c) | 1.45%(c) | (0.54%) | 221% | $263,053 |
Class 2 | |||||||
Year Ended 12/31/2019 | $8.85 | 2.08% | 1.88%(c),(d) | 1.86%(c),(d) | 0.45% | 163% | $3,763 |
Year Ended 12/31/2018 | $8.67 | (8.74%) | 2.46%(c),(d) | 2.46%(c),(d) | (0.10%) | 178% | $3,192 |
Year Ended 12/31/2017 | $9.50 | 2.59% | 2.30%(c) | 2.30%(c) | (0.56%) | 186% | $3,717 |
Year Ended 12/31/2016 | $9.26 | (2.63%) | 2.11%(c) | 2.10%(c) | (0.75%) | 165% | $4,296 |
Year Ended 12/31/2015 | $9.51 | (0.83%) | 1.75%(c) | 1.74%(c) | (0.81%) | 221% | $5,227 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 19 |
December 31, 2019
CVPDAR1 Offshore Fund, Ltd. | CVPDAR2 Offshore Fund, Ltd. | CVPDAR3 Offshore Fund, Ltd. | |
% of consolidated fund net assets | 0.00% | 5.27% | 0.00% |
Net assets | $4,533 | $13,717,549 | $3,377 |
Net investment income (loss) | (5,095) | (99,674) | 40,149 |
Net realized gain (loss) | — | (558,499) | (193,821) |
Net change in unrealized appreciation (depreciation) | — | 1,298,592 | (514,555) |
20 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
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Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 25 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 844,038* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 2,467,945* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,922,186 |
Interest rate risk | Component of trust capital — unrealized appreciation on swap contracts | 7,436,809* |
Total | 12,670,978 |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,606,788* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 2,450,851 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 1,331,989* |
Interest rate risk | Component of trust capital - unrealized depreciation on swap contracts | 3,606,124* |
Total | 8,995,752 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
26 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | — | — | (193,846) | (193,846) |
Credit risk | — | — | — | 684,240 | 684,240 |
Equity risk | — | 4,475,374 | (175,947) | (4,542,992) | (243,565) |
Foreign exchange risk | 4,910,919 | — | (35,013) | 465,623 | 5,341,529 |
Interest rate risk | — | 409,034 | — | 583,445 | 992,479 |
Total | 4,910,919 | 4,884,408 | (210,960) | (3,003,530) | 6,580,837 |
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 | — | — | (514,556) | (514,556) |
Credit risk | — | — | 1,271,591 | 1,271,591 |
Equity risk | — | 1,692,060 | 605,422 | 2,297,482 |
Foreign exchange risk | 1,010,069 | — | 72,146 | 1,082,215 |
Interest rate risk | — | (1,707,866) | 2,100,050 | 392,184 |
Total | 1,010,069 | (15,806) | 3,534,653 | 4,528,916 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 206,409,969 |
Futures contracts — short | 63,305,975 |
Credit default swap contracts — sell protection | 44,212,299 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 61,408 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 1,949,711 | (1,591,628) |
Interest rate swap contracts | 6,811,690 | (4,298,463) |
Total return swap contracts | 322,734 | (511,014) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Citi ($) | Credit Suisse ($) | Goldman Sachs ($) | HSBC ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Standard Chartered ($) | UBS ($) | Total ($) | |
Assets | ||||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | - | 3,818 | - | - | - | 3,818 |
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | 192,411 | - | - | - | 192,411 |
Forward foreign currency exchange contracts | 495,068 | 684,024 | - | 127,896 | 593,960 | - | - | - | 21,238 | 1,922,186 |
Total assets | 495,068 | 684,024 | - | 127,896 | 593,960 | 196,229 | - | - | 21,238 | 2,118,415 |
Liabilities | ||||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | - | 14,311 | - | - | - | 14,311 |
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | 501,456 | 460 | - | - | 501,916 |
Forward foreign currency exchange contracts | 350,261 | 69,665 | 204,672 | 225,565 | 892,329 | - | - | 10,376 | 697,983 | 2,450,851 |
Total liabilities | 350,261 | 69,665 | 204,672 | 225,565 | 892,329 | 515,767 | 460 | 10,376 | 697,983 | 2,967,078 |
Total financial and derivative net assets | 144,807 | 614,359 | (204,672) | (97,669) | (298,369) | (319,538) | (460) | (10,376) | (676,745) | (848,663) |
Total collateral received (pledged) (c) | - | - | - | - | - | (319,538) | (460) | - | - | (319,998) |
Net amount (d) | 144,807 | 614,359 | (204,672) | (97,669) | (298,369) | - | - | (10,376) | (676,745) | (528,665) |
(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 Consolidated Statement of Assets and Liabilities. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 29 |
December 31, 2019
30 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 31 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 1.16% | 1.28% |
Class 2 | 1.41 | 1.53 |
32 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 33 |
December 31, 2019
34 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 35 |
36 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 37 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
38 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 | 39 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
40 | Columbia Variable Portfolio – Diversified Absolute Return Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
6 | |
7 | |
11 | |
12 | |
13 | |
14 | |
16 | |
27 | |
28 |
Average annual total returns (%) (for the period ended December 31, 2019) | ||||
Inception | 1 Year | Life | ||
Class 1* | 02/20/19 | 16.37 | 6.06 | |
Class 2 | 09/12/17 | 16.06 | 5.94 | |
Blended Benchmark | 18.41 | 7.43 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.74 | ||
Russell 3000 Index | 31.02 | 13.50 | ||
MSCI EAFE Index (Net) | 22.01 | 4.25 |
* | 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 Fund | Annual Report 2019 | 3 |
Portfolio Allocation (%) (at December 31, 2019) | |
Allocations to Underlying Funds | |
Equity Funds | 54.8 |
International | 16.9 |
U.S. Large Cap | 33.7 |
U.S. Small Cap | 4.2 |
Exchange-Traded Fixed Income Funds | 5.9 |
Investment Grade | 5.9 |
Fixed Income Funds | 29.6 |
Investment Grade | 29.6 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 7.5 |
Options Purchased Puts | 1.1 |
Residential Mortgage-Backed Securities - Agency | 1.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $14.1 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 5 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,052.40 | 1,024.31 | 1.20 | 1.19 | 0.23 | 4.08 | 4.02 | 0.78 |
Class 2 | 1,000.00 | 1,000.00 | 1,050.60 | 1,022.93 | 2.61 | 2.58 | 0.50 | 5.49 | 5.41 | 1.05 |
6 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
December 31, 2019
Equity Funds 55.1% | ||
Shares | Value ($) | |
International 17.0% | ||
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 2,865,415 | 31,720,147 |
U.S. Large Cap 33.9% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 540,450 | 31,621,723 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,327,719 | 31,666,116 |
Total | 63,287,839 | |
U.S. Small Cap 4.2% | ||
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 155,581 | 3,948,634 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 136,423 | 3,961,730 |
Total | 7,910,364 | |
Total Equity Funds (Cost $93,638,334) | 102,918,350 | |
Exchange-Traded Fixed Income Funds 5.9% | ||
Investment Grade 5.9% | ||
iShares Core U.S. Aggregate Bond ETF | 30,750 | 3,455,378 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 41,220 | 5,274,511 |
Vanguard Total Bond Market ETF | 28,000 | 2,348,080 |
Total | 11,077,969 | |
Total Exchange-Traded Fixed Income Funds (Cost $10,457,216) | 11,077,969 | |
Fixed Income Funds 29.7% | ||
Investment Grade 29.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 2,233,255 | 23,806,494 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 772,181 | 7,938,027 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 2,133,764 | 23,791,467 |
Total | 55,535,988 | |
Total Fixed Income Funds (Cost $53,610,511) | 55,535,988 |
Residential Mortgage-Backed Securities - Agency 1.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/16/2035 | 2.500% | 725,000 | 731,627 | |
01/16/2035 | 3.000% | 600,000 | 614,930 | |
01/14/2050 | 3.500% | 600,000 | 617,226 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,959,160) | 1,963,783 |
Options Purchased Puts 1.1% | ||||
Value ($) | ||||
(Cost $2,484,496) | 2,084,710 |
Money Market Funds 7.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(d) | 14,131,627 | 14,130,213 |
Total Money Market Funds (Cost $14,130,225) | 14,130,213 | |
Total Investments in Securities (Cost: $176,279,942) | 187,711,013 | |
Other Assets & Liabilities, Net | (958,096) | |
Net Assets | 186,752,917 |
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 7 |
December 31, 2019
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
British Pound | 8 | 03/2020 | USD | 664,600 | 4,595 | — |
Canadian Dollar | 4 | 03/2020 | USD | 308,340 | 5,765 | — |
EURO STOXX 50 Index | 29 | 03/2020 | EUR | 1,081,410 | 12,364 | — |
S&P 500 Index | 2 | 03/2020 | USD | 1,615,550 | 42,618 | — |
S&P 500 Index E-mini | 115 | 03/2020 | USD | 18,578,825 | 441,700 | — |
SPI 200 Index | 1 | 03/2020 | AUD | 165,075 | — | (975) |
U.S. Long Bond | 13 | 03/2020 | USD | 2,026,781 | — | (41,464) |
U.S. Treasury 10-Year Note | 13 | 03/2020 | USD | 1,669,484 | — | (14,245) |
U.S. Treasury 2-Year Note | 7 | 03/2020 | USD | 1,508,500 | — | (669) |
U.S. Treasury 5-Year Note | 28 | 03/2020 | USD | 3,321,063 | — | (10,553) |
U.S. Ultra Treasury Bond | 15 | 03/2020 | USD | 2,724,844 | — | (82,068) |
Total | 507,042 | (149,974) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro FX | (12) | 03/2020 | USD | (1,692,300) | — | (20,521) |
FTSE 100 Index | (10) | 03/2020 | GBP | (749,900) | — | (36,903) |
MSCI EAFE Index Future | (3) | 03/2020 | USD | (305,475) | — | (4,718) |
OMXS30 Index | (30) | 01/2020 | SEK | (5,304,750) | 200 | — |
Russell 2000 Index E-mini | (41) | 03/2020 | USD | (3,424,730) | — | (66,657) |
S&P/TSX 60 Index | (1) | 03/2020 | CAD | (202,480) | — | (696) |
Swiss Franc | (4) | 03/2020 | USD | (520,000) | — | (10,115) |
TOPIX Index | (2) | 03/2020 | JPY | (34,420,000) | — | (2,390) |
Total | 200 | (142,000) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 39,738,594 | 123 | 2,500.00 | 12/17/2021 | 1,529,517 | 1,177,110 |
S&P 500 Index | JPMorgan | USD | 25,846,240 | 80 | 2,600.00 | 12/17/2021 | 954,979 | 907,600 |
Total | 2,484,496 | 2,084,710 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
11,289,201 | 21,246,249 | (18,403,823) | 14,131,627 | — | (297) | 284 | 269,311 | 14,130,213 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
349,356 | 196,135 | (5,041) | 540,450 | — | (967) | 5,160,361 | — | 31,621,723 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
1,211,879 | 1,029,835 | (8,459) | 2,233,255 | — | (408) | 926,719 | 602,866 | 23,806,494 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
1,664,634 | 1,206,763 | (5,982) | 2,865,415 | 122,282 | (12,262) | 2,799,036 | 704,123 | 31,720,147 |
8 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
405,062 | 368,578 | (1,459) | 772,181 | — | 7 | 143,284 | 65,397 | 7,938,027 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
1,162,047 | 980,804 | (9,087) | 2,133,764 | — | 183 | 1,008,011 | 453,643 | 23,791,467 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
865,746 | 469,360 | (7,387) | 1,327,719 | — | 2,832 | 5,438,342 | — | 31,666,116 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
97,946 | 60,480 | (2,845) | 155,581 | — | (6,545) | 537,943 | — | 3,948,634 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
84,060 | 53,810 | (1,447) | 136,423 | — | (3,585) | 500,840 | — | 3,961,730 | |
Total | 122,282 | (21,042) | 16,514,820 | 2,095,340 | 172,584,551 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
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). |
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 9 |
December 31, 2019
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 102,918,350 | 102,918,350 |
Exchange-Traded Fixed Income Funds | 11,077,969 | — | — | — | 11,077,969 |
Fixed Income Funds | — | — | — | 55,535,988 | 55,535,988 |
Residential Mortgage-Backed Securities - Agency | — | 1,963,783 | — | — | 1,963,783 |
Options Purchased Puts | 2,084,710 | — | — | — | 2,084,710 |
Money Market Funds | 14,130,213 | — | — | — | 14,130,213 |
Total Investments in Securities | 27,292,892 | 1,963,783 | — | 158,454,338 | 187,711,013 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 507,242 | — | — | — | 507,242 |
Liability | |||||
Futures Contracts | (291,974) | — | — | — | (291,974) |
Total | 27,508,160 | 1,963,783 | — | 158,454,338 | 187,926,281 |
10 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $12,416,376) | $13,041,752 |
Affiliated issuers (cost $161,379,070) | 172,584,551 |
Options purchased (cost $2,484,496) | 2,084,710 |
Margin deposits on: | |
Futures contracts | 1,005,157 |
Receivable for: | |
Investments sold | 1,277 |
Capital shares sold | 571 |
Dividends | 20,344 |
Interest | 2,264 |
Variation margin for futures contracts | 62,866 |
Prepaid expenses | 557 |
Trustees’ deferred compensation plan | 11,341 |
Other assets | 396 |
Total assets | 188,815,786 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 1,961,424 |
Capital shares purchased | 2,074 |
Variation margin for futures contracts | 37,177 |
Management services fees | 647 |
Distribution and/or service fees | 1,278 |
Service fees | 9,364 |
Compensation of board members | 338 |
Compensation of chief compliance officer | 15 |
Other expenses | 39,211 |
Trustees’ deferred compensation plan | 11,341 |
Total liabilities | 2,062,869 |
Net assets applicable to outstanding capital stock | $186,752,917 |
Represented by | |
Trust capital | $186,752,917 |
Total - representing net assets applicable to outstanding capital stock | $186,752,917 |
Class 1 | |
Net assets | $2,728 |
Shares outstanding | 239 |
Net asset value per share(a) | $11.44 |
Class 2 | |
Net assets | $186,750,189 |
Shares outstanding | 16,353,282 |
Net asset value per share | $11.42 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 11 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $285,617 |
Dividends — affiliated issuers | 2,095,340 |
Interest | 9,422 |
Total income | 2,390,379 |
Expenses: | |
Management services fees | 188,647 |
Distribution and/or service fees | |
Class 2 | 366,857 |
Service fees | 88,417 |
Compensation of board members | 15,285 |
Custodian fees | 35,263 |
Printing and postage fees | 14,085 |
Audit fees | 29,000 |
Legal fees | 3,187 |
Compensation of chief compliance officer | 57 |
Other | 10,325 |
Total expenses | 751,123 |
Net investment income | 1,639,256 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 136,277 |
Investments — affiliated issuers | (21,042) |
Capital gain distributions from underlying affiliated funds | 122,282 |
Foreign currency translations | (3,910) |
Futures contracts | 2,792,211 |
Options purchased | (1,245,406) |
Net realized gain | 1,780,412 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 659,546 |
Investments — affiliated issuers | 16,514,820 |
Foreign currency translations | 3,865 |
Futures contracts | 22,792 |
Options purchased | (399,786) |
Net change in unrealized appreciation (depreciation) | 16,801,237 |
Net realized and unrealized gain | 18,581,649 |
Net increase in net assets resulting from operations | $20,220,905 |
12 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $1,639,256 | $488,159 |
Net realized gain | 1,780,412 | 108,265 |
Net change in unrealized appreciation (depreciation) | 16,801,237 | (5,736,185) |
Net increase (decrease) in net assets resulting from operations | 20,220,905 | (5,139,761) |
Increase in net assets from capital stock activity | 69,161,743 | 84,707,376 |
Total increase in net assets | 89,382,648 | 79,567,615 |
Net assets at beginning of year | 97,370,269 | 17,802,654 |
Net assets at end of year | $186,752,917 | $97,370,269 |
Year Ended | Year Ended | |||
December 31, 2019 (a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 239 | 2,500 | — | — |
Net increase | 239 | 2,500 | — | — |
Class 2 | ||||
Subscriptions | 6,558,958 | 70,246,048 | 8,232,878 | 85,252,015 |
Redemptions | (99,019) | (1,086,805) | (52,844) | (544,639) |
Net increase | 6,459,939 | 69,159,243 | 8,180,034 | 84,707,376 |
Total net increase | 6,460,178 | 69,161,743 | 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. |
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $10.48 | 0.15 | 0.81 | 0.96 |
Class 2 | ||||
Year Ended 12/31/2019 | $9.84 | 0.12 | 1.46 | 1.58 |
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. |
14 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $11.44 | 9.16% | 0.25%(d) | 0.25%(d) | 1.57%(d) | 37% | $3 |
Class 2 | |||||||
Year Ended 12/31/2019 | $11.42 | 16.06% | 0.51% | 0.51% | 1.12% | 37% | $186,750 |
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% | $17,803 |
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 15 |
December 31, 2019
16 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 496,882* |
Equity risk | Investments, at value — Options Purchased | 2,084,710 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 10,360* |
Total | 2,591,952 |
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 19 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 112,339* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 30,636* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 148,999* |
Total | 291,974 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 2,075,689 | (1,245,406) | 830,283 |
Foreign exchange risk | 81,884 | — | 81,884 |
Interest rate risk | 634,638 | — | 634,638 |
Total | 2,792,211 | (1,245,406) | 1,546,805 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 369,859 | (399,786) | (29,927) |
Foreign exchange risk | (20,276) | — | (20,276) |
Interest rate risk | (326,791) | — | (326,791) |
Total | 22,792 | (399,786) | (376,994) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 22,980,549 |
Futures contracts — short | 5,257,724 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 1,198,707 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
20 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
December 31, 2019
JPMorgan ($) | |
Assets | |
Options purchased puts | 2,084,710 |
Total financial and derivative net assets | 2,084,710 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 2,084,710 |
(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 Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 23 |
December 31, 2019
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
24 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 25 |
December 31, 2019
26 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 27 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
28 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 29 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
30 | Variable Portfolio – Managed Risk Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Variable Portfolio – Managed Risk Fund | Annual Report 2019 | 31 |
December 31, 2019
3 | |
5 | |
6 | |
7 | |
10 | |
11 | |
12 | |
14 | |
16 | |
27 | |
28 |
Average annual total returns (%) (for the period ended December 31, 2019) | ||||
Inception | 1 Year | Life | ||
Class 1* | 02/20/19 | 18.63 | 8.17 | |
Class 2 | 09/12/17 | 18.32 | 8.05 | |
Blended Benchmark | 19.89 | 9.08 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.74 | ||
S&P 500 Index | 31.49 | 14.08 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 3 |
Portfolio Allocation (%) (at December 31, 2019) | |
Allocations to Underlying Funds | |
Equity Funds | 55.5 |
U.S. Large Cap | 55.5 |
Exchange-Traded Fixed Income Funds | 6.3 |
Investment Grade | 6.3 |
Fixed Income Funds | 29.8 |
Investment Grade | 29.8 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 6.8 |
Options Purchased Puts | 1.1 |
Residential Mortgage-Backed Securities - Agency | 0.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $12.6 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 5 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,062.10 | 1,024.31 | 1.21 | 1.19 | 0.23 | 3.99 | 3.92 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 1,060.30 | 1,022.93 | 2.62 | 2.58 | 0.50 | 5.41 | 5.31 | 1.03 |
6 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
December 31, 2019
Equity Funds 55.6% | ||
Shares | Value ($) | |
U.S. Large Cap 55.6% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 543,892 | 31,823,122 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 570,072 | 19,867,017 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 760,139 | 19,908,049 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,334,916 | 31,837,731 |
Total | 103,435,919 | |
Total Equity Funds (Cost $90,080,708) | 103,435,919 | |
Exchange-Traded Fixed Income Funds 6.3% | ||
Investment Grade 6.3% | ||
iShares Core U.S. Aggregate Bond ETF | 31,700 | 3,562,129 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 31,185 | 3,990,433 |
Vanguard Total Bond Market ETF | 50,000 | 4,193,000 |
Total | 11,745,562 | |
Total Exchange-Traded Fixed Income Funds (Cost $11,081,488) | 11,745,562 | |
Fixed Income Funds 29.8% | ||
Investment Grade 29.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 2,233,194 | 23,805,850 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 772,473 | 7,941,018 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 2,135,552 | 23,811,408 |
Total | 55,558,276 | |
Total Fixed Income Funds (Cost $53,772,496) | 55,558,276 |
Residential Mortgage-Backed Securities - Agency 0.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c) | ||||
01/16/2035 | 2.500% | 425,000 | 428,885 | |
01/16/2035 | 3.000% | 225,000 | 230,598 | |
01/14/2050 | 3.500% | 225,000 | 231,460 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $888,887) | 890,943 |
Options Purchased Puts 1.1% | ||||
Value ($) | ||||
(Cost $2,476,365) | 2,114,885 |
Money Market Funds 6.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(d) | 12,587,446 | 12,586,187 |
Total Money Market Funds (Cost $12,586,240) | 12,586,187 | |
Total Investments in Securities (Cost: $170,886,184) | 186,331,772 | |
Other Assets & Liabilities, Net | (127,842) | |
Net Assets | 186,203,930 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index | 1 | 03/2020 | USD | 807,775 | 21,309 | — |
S&P 500 Index E-mini | 110 | 03/2020 | USD | 17,771,050 | 416,910 | — |
U.S. Long Bond | 14 | 03/2020 | USD | 2,182,688 | — | (44,654) |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 7 |
December 31, 2019
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 11 | 03/2020 | USD | 1,412,641 | — | (12,053) |
U.S. Treasury 2-Year Note | 12 | 03/2020 | USD | 2,586,000 | — | (1,148) |
U.S. Treasury 5-Year Note | 27 | 03/2020 | USD | 3,202,453 | — | (10,176) |
U.S. Ultra Treasury Bond | 14 | 03/2020 | USD | 2,543,188 | — | (76,597) |
Total | 438,219 | (144,628) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 31,338,566 | 97 | 2,600.00 | 12/17/2021 | 1,158,245 | 1,100,465 |
S&P 500 Index | JPMorgan | USD | 34,246,268 | 106 | 2,500.00 | 12/17/2021 | 1,318,120 | 1,014,420 |
Total | 2,476,365 | 2,114,885 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
5,146,444 | 22,033,333 | (14,592,331) | 12,587,446 | — | (48) | (28) | 174,799 | 12,586,187 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
288,900 | 261,084 | (6,092) | 543,892 | — | (35,492) | 4,742,835 | — | 31,823,122 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
1,000,550 | 1,259,652 | (27,008) | 2,233,194 | — | (4,766) | 809,725 | 533,281 | 23,805,850 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
321,812 | 252,747 | (4,487) | 570,072 | — | (13,566) | 3,738,927 | — | 19,867,017 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
406,478 | 364,840 | (11,179) | 760,139 | — | (12,433) | 3,156,607 | — | 19,908,049 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
334,677 | 444,343 | (6,547) | 772,473 | — | (402) | 127,634 | 57,804 | 7,941,018 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
959,748 | 1,202,038 | (26,234) | 2,135,552 | — | (4,087) | 881,510 | 401,535 | 23,811,408 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
716,120 | 637,053 | (18,257) | 1,334,916 | — | (27,922) | 4,968,840 | — | 31,837,731 | |
Total | — | (98,716) | 18,426,050 | 1,167,419 | 171,580,382 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
USD | US Dollar |
8 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
December 31, 2019
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 103,435,919 | 103,435,919 |
Exchange-Traded Fixed Income Funds | 11,745,562 | — | — | — | 11,745,562 |
Fixed Income Funds | — | — | — | 55,558,276 | 55,558,276 |
Residential Mortgage-Backed Securities - Agency | — | 890,943 | — | — | 890,943 |
Options Purchased Puts | 2,114,885 | — | — | — | 2,114,885 |
Money Market Funds | 12,586,187 | — | — | — | 12,586,187 |
Total Investments in Securities | 26,446,634 | 890,943 | — | 158,994,195 | 186,331,772 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 438,219 | — | — | — | 438,219 |
Liability | |||||
Futures Contracts | (144,628) | — | — | — | (144,628) |
Total | 26,740,225 | 890,943 | — | 158,994,195 | 186,625,363 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 9 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $11,970,375) | $12,636,505 |
Affiliated issuers (cost $156,439,444) | 171,580,382 |
Options purchased (cost $2,476,365) | 2,114,885 |
Margin deposits on: | |
Futures contracts | 756,225 |
Receivable for: | |
Capital shares sold | 111,336 |
Dividends | 17,985 |
Interest | 1,008 |
Variation margin for futures contracts | 44,837 |
Prepaid expenses | 491 |
Trustees’ deferred compensation plan | 11,148 |
Other assets | 396 |
Total assets | 187,275,198 |
Liabilities | |
Payable for: | |
Investments purchased | 83,026 |
Investments purchased on a delayed delivery basis | 889,895 |
Capital shares purchased | 13,658 |
Variation margin for futures contracts | 22,836 |
Management services fees | 621 |
Distribution and/or service fees | 1,268 |
Service fees | 9,264 |
Compensation of board members | 334 |
Compensation of chief compliance officer | 14 |
Other expenses | 39,204 |
Trustees’ deferred compensation plan | 11,148 |
Total liabilities | 1,071,268 |
Net assets applicable to outstanding capital stock | $186,203,930 |
Represented by | |
Trust capital | $186,203,930 |
Total - representing net assets applicable to outstanding capital stock | $186,203,930 |
Class 1 | |
Net assets | $2,784 |
Shares outstanding | 233 |
Net asset value per share(a) | $11.97 |
Class 2 | |
Net assets | $186,201,146 |
Shares outstanding | 15,580,761 |
Net asset value per share | $11.95 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
10 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $310,194 |
Dividends — affiliated issuers | 1,167,419 |
Interest | 6,829 |
Total income | 1,484,442 |
Expenses: | |
Management services fees | 164,455 |
Distribution and/or service fees | |
Class 2 | 330,191 |
Service fees | 79,664 |
Compensation of board members | 15,030 |
Custodian fees | 35,378 |
Printing and postage fees | 13,714 |
Audit fees | 29,000 |
Legal fees | 2,841 |
Compensation of chief compliance officer | 51 |
Other | 9,940 |
Total expenses | 680,264 |
Net investment income | 804,178 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 103,037 |
Investments — affiliated issuers | (98,716) |
Futures contracts | 1,961,423 |
Options purchased | (1,102,318) |
Net realized gain | 863,426 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 666,470 |
Investments — affiliated issuers | 18,426,050 |
Futures contracts | 297,666 |
Options purchased | (361,480) |
Net change in unrealized appreciation (depreciation) | 19,028,706 |
Net realized and unrealized gain | 19,892,132 |
Net increase in net assets resulting from operations | $20,696,310 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 11 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $804,178 | $165,897 |
Net realized gain | 863,426 | 11,403 |
Net change in unrealized appreciation (depreciation) | 19,028,706 | (3,754,485) |
Net increase (decrease) in net assets resulting from operations | 20,696,310 | (3,577,185) |
Increase in net assets from capital stock activity | 85,388,406 | 71,506,050 |
Total increase in net assets | 106,084,716 | 67,928,865 |
Net assets at beginning of year | 80,119,214 | 12,190,349 |
Net assets at end of year | $186,203,930 | $80,119,214 |
Year Ended | Year Ended | |||
December 31, 2019 (a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 233 | 2,500 | — | — |
Net increase | 233 | 2,500 | — | — |
Class 2 | ||||
Subscriptions | 7,945,770 | 88,580,629 | 6,797,707 | 71,854,956 |
Redemptions | (293,990) | (3,194,723) | (33,424) | (348,906) |
Net increase | 7,651,780 | 85,385,906 | 6,764,283 | 71,506,050 |
Total net increase | 7,652,013 | 85,388,406 | 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. |
12 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $10.75 | 0.10 | 1.12 | 1.22 |
Class 2 | ||||
Year Ended 12/31/2019 | $10.10 | 0.07 | 1.78 | 1.85 |
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. |
14 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $11.97 | 11.35% | 0.25%(d) | 0.25%(d) | 1.02%(d) | 24% | $3 |
Class 2 | |||||||
Year Ended 12/31/2019 | $11.95 | 18.32% | 0.52% | 0.52% | 0.61% | 24% | $186,201 |
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% | $12,190 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 15 |
December 31, 2019
16 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 438,219* |
Equity risk | Investments, at value — Options Purchased | 2,114,885 |
Total | 2,553,104 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 144,628* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 19 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 1,486,852 | (1,102,318) | 384,534 |
Interest rate risk | 474,571 | — | 474,571 |
Total | 1,961,423 | (1,102,318) | 859,105 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 601,868 | (361,480) | 240,388 |
Interest rate risk | (304,202) | — | (304,202) |
Total | 297,666 | (361,480) | (63,814) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 18,834,519 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 1,145,754 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
20 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
December 31, 2019
JPMorgan ($) | |
Assets | |
Options purchased puts | 2,114,885 |
Total financial and derivative net assets | 2,114,885 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 2,114,885 |
(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 | Annual Report 2019 | 21 |
December 31, 2019
22 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 23 |
December 31, 2019
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
24 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 25 |
December 31, 2019
26 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 27 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 71 | Director, EQT Corporation (natural gas producer) |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Trustee and Chairman of the Board 1996 | Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 71 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 71 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee 2011 | Retired. Consultant to Bridgewater and Associates | 71 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
28 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
John J. Neuhauser c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 | Trustee 1984 | President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 71 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
Patrick J. Simpson c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 | Trustee 2000 | Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 71 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2009-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 71 | Director, The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
Olive Darragh c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 | Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 71 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 | Independent Trustee Consultant 2016 | Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Investment Committee Member, Sarona Asset Management (private equity firm) since October 2019; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 71 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
* | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting. |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 29 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 | Trustee 2012 | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012 | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006 - January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
Paul B. Goucher 100 Park Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
30 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof | Principal occupation(s) during past five years |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2019 | 31 |
Item 2. Code of Ethics.
(a)The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b)During the period covered by this report, there were not any amendments to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item.
(c)During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the code of ethics to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party that relates to one or more of the items set forth in paragraph (b) of this Item.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that Douglas A. Hacker and David M. Moffett, each of whom are members of the registrant's Board of Trustees and Audit Committee, each qualify as an audit committee financial expert. Mr. Hacker and Mr. Moffett are each independent trustees, as defined in paragraph (a)(2) of this item's instructions.
Item 4. Principal Accountant Fees and Services.
Fee information below is disclosed for the seventeen series of the registrant whose report to stockholders are included in this annual filing.
(a)Audit Fees. Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended December 31, 2019 and December 31,
2018 are approximately as follows:
2019 | 2018 |
$556,700 | $432,100 |
Audit Fees include amounts related to the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b)Audit-Related Fees. Aggregate Audit-Related Fees billed to the registrant by the principal accountant for professional services rendered during the fiscal years ended December 31, 2019 and December 31, 2018 are approximately as follows:
2019 | 2018 |
$0 | $0 |
Audit-Related Fees include amounts for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported in Audit Fees above.
During the fiscal years ended December 31, 2019 and December 31, 2018, there were no Audit-Related Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(c)Tax Fees. Aggregate Tax Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended December 31, 2019 and December 31, 2018 are approximately as follows:
2019 | 2018 |
$123,300 | $133,500 |
Tax Fees include amounts for the review of annual tax returns, the review of required shareholder distribution calculations and typically include amounts for professional services by the principal accountant for tax compliance, tax advice and tax planning. Fiscal years 2019 and 2018, also include Tax Fees for agreed-upon procedures related to foreign tax filings.
During the fiscal years ended December 31, 2019 and December 31, 2018, there were no Tax Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(d)All Other Fees. Aggregate All Other Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended December 31,
2019 and December 31, 2018 are approximately as follows:
2019 | 2018 |
$0 | $0 |
All Other Fees include amounts for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) above.
Aggregate All Other Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant during the fiscal years ended December 31, 2019 and December 31, 2018 are approximately as follows:
2019 | 2018 |
$235,000 | $235,000 |
In fiscal years 2019 and 2018, All Other Fees primarily consists of fees billed for internal control examinations of the registrant's transfer agent and investment adviser.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The registrant's Audit Committee is required to pre-approve the engagement of the
registrant's independent auditors to provide audit and non-audit services to the registrant and non-audit services to its investment adviser (excluding any sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser (the "Adviser") or any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (a "Control Affiliate") if the engagement relates directly to the operations and financial reporting of the registrant.
The Audit Committee has adopted a Policy for Engagement of Independent Auditors for Audit and Non-Audit Services (the "Policy"). The Policy sets forth the understanding of the Audit Committee regarding the engagement of the registrant's independent accountants to provide (i) audit and permissible audit-related, tax and other services to the registrant ("Fund Services"); (ii) non-audit services to the registrant's Adviser and any Control Affiliates, that relates directly to the operations and financial reporting of a Fund ("Fund-related Adviser Services"); and (iii) certain other audit and non-audit services to the registrant's Adviser and its Control Affiliates. A service will require specific pre-approval by the Audit Committee if it is to be provided by the Fund's independent auditor; provided, however, that pre-approval of non-audit services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SEC's rules are met.
Under the Policy, the Audit Committee may delegate pre-approval authority to any pre- designated member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any pre- approval decisions to the Audit Committee at its next regular meeting. The Audit Committee's responsibilities with respect to the pre-approval of services performed by the independent auditor may not be delegated to management.
On an annual basis, at a regularly scheduled Audit Committee meeting, the Fund's Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific pre- approval. This schedule will provide a description of each type of service that is subject to specific pre-approval, along with total projected fees for each service. The pre- approval will generally cover a one-year period. The Audit Committee will review and approve the types of services and the projected fees for the next one-year period and may add to, or subtract from, the list of pre-approved services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific types of services that the independent auditor will be permitted to perform and the projected fees for each service.
The Fund's Treasurer or other Fund officer shall report to the Audit Committee at each of its regular meetings regarding all Fund Services or Fund-related Adviser Services provided since the last such report was rendered, including a description of the services, by category, with forecasted fees for the annual reporting period, proposed changes requiring specific pre-approval and a description of services provided by the independent auditor, by category, with actual fees during the current reporting period.
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(e)(2) 100% of the services performed for items (b) through (d) above during 2019 and 2018 were pre-approved by the registrant's Audit Committee.
(f)Not applicable.
(g)The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant during the fiscal years ended December 31, 2019 and December 31, 2018 are approximately as follows:
2019 | 2018 |
$358,300 | $368,500 |
(h)The registrant's Audit Committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrant's adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a)The registrant's "Schedule I – Investments in securities of unaffiliated issuers" (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR.
(b)Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(a)The registrant's principal executive officer and principal financial officer, based on their evaluation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant's management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b)There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR attached hereto as Exhibit 99.CODE ETH.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(b)Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940
(17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized. |
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(registrant) |
| Columbia Funds Variable Insurance Trust | |
By (Signature and Title) | /s/ Christopher O. Petersen | ||
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| Christopher O. Petersen, President and Principal Executive Officer |
Date |
| February 21, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Christopher O. Petersen | ||
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| Christopher O. Petersen, President and Principal Executive Officer | |
Date |
| February 21, 2020 |
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By (Signature and Title) | /s/ Michael G. Clarke | ||
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| Michael G. Clarke, Chief Financial Officer, Principal Financial Officer | |
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| and Senior Vice President | |
Date |
| February 21, 2020 |
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By (Signature and Title) | /s/ Joseph Beranek | ||
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| Joseph Beranek, Treasurer, Chief Accounting Officer and Principal | |
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| Financial Officer | |
Date |
| February 21, 2020 |
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