UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
, 20549
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, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
December 31, 2020
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Average annual total returns (%) (for the period ended December 31, 2020) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | 17.25 | 8.85 | 5.87 | |
Class 2 | 04/30/13 | 17.07 | 8.58 | 5.61 | |
Bloomberg Barclays U.S. Long Government/Credit Bond Index | 16.12 | 9.35 | 6.44 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 3 |
Portfolio breakdown (%) (at December 31, 2020) | |
Asset-Backed Securities — Agency | 1.1 |
Corporate Bonds & Notes | 56.3 |
Foreign Government Obligations | 0.7 |
Money Market Funds | 2.0 |
U.S. Treasury Obligations | 39.9 |
Total | 100.0 |
Quality breakdown (%) (at December 31, 2020) | |
AAA rating | 43.5 |
AA rating | 3.2 |
A rating | 18.0 |
BBB rating | 34.1 |
BB rating | 1.2 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
• | In broad terms, the Fund’s overweight to credit risk added to relative performance as credit spreads – the incremental yield offered by lower quality securities – narrowed over the period. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 5 |
• | Issuer selection was the leading positive contributor to the Fund’s relative performance, highlighted by holdings within energy, specifically exploration & production companies Noble Energy and Occidental Petroleum. |
• | The Fund’s sector allocation added to performance as well, based on overweights to both finance and transportation companies along with an underweight to energy. |
• | The Fund’s stance with respect to overall portfolio duration and corresponding sensitivity to changes in interest rates was a slight detractor from relative return, as the Fund was modestly short duration as Treasury yields declined. |
6 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
(Unaudited)
July 1, 2020 — December 31, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,029.20 | 1,022.62 | 2.55 | 2.54 | 0.50 |
Class 2 | 1,000.00 | 1,000.00 | 1,028.00 | 1,021.37 | 3.82 | 3.81 | 0.75 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 7 |
December 31, 2020
Asset-Backed Securities — Agency 1.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2016-20L Class 1 | ||||
12/01/2036 | 2.810% | 4,334,863 | 4,622,927 | |
Series 2017-20E Class 1 | ||||
05/01/2037 | 2.880% | 392,668 | 427,227 | |
Series 2017-20F Class 1 | ||||
06/01/2037 | 2.810% | 3,078,385 | 3,296,808 | |
Series 2017-20G Class 1 | ||||
07/01/2037 | 2.980% | 2,872,857 | 3,088,250 | |
Series 2017-20H Class 1 | ||||
08/01/2037 | 2.750% | 2,504,128 | 2,711,542 | |
Series 2017-20I Class 1 | ||||
09/01/2037 | 2.590% | 4,309,246 | 4,608,626 | |
Total Asset-Backed Securities — Agency (Cost $17,492,147) | 18,755,380 | |||
Corporate Bonds & Notes 55.9% | ||||
Aerospace & Defense 2.0% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 3,300,000 | 3,732,700 | |
Boeing Co. (The) | ||||
08/01/2059 | 3.950% | 9,795,000 | 10,452,963 | |
General Dynamics Corp. | ||||
04/01/2050 | 4.250% | 545,000 | 743,246 | |
Northrop Grumman Corp. | ||||
06/01/2043 | 4.750% | 735,000 | 983,873 | |
10/15/2047 | 4.030% | 5,805,000 | 7,258,291 | |
United Technologies Corp. | ||||
06/01/2042 | 4.500% | 6,500,000 | 8,477,797 | |
11/01/2046 | 3.750% | 3,860,000 | 4,604,247 | |
Total | 36,253,117 | |||
Automotive 0.2% | ||||
General Motors Co. | ||||
04/01/2048 | 5.400% | 2,230,000 | 2,800,977 | |
Banking 5.2% | ||||
Bank of America Corp.(b) | ||||
06/19/2041 | 2.676% | 15,480,000 | 16,133,094 | |
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 2,095,000 | 2,419,642 | |
Citigroup, Inc.(b) | ||||
06/03/2031 | 2.572% | 13,375,000 | 14,254,630 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
04/23/2039 | 4.411% | 2,175,000 | 2,769,863 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goldman Sachs Group, Inc. (The) | ||||
07/08/2044 | 4.800% | 6,790,000 | 9,383,997 | |
HSBC Holdings PLC(b) | ||||
08/18/2031 | 2.357% | 2,338,000 | 2,414,926 | |
JPMorgan Chase & Co.(b) | ||||
10/15/2030 | 2.739% | 2,830,000 | 3,078,792 | |
01/23/2049 | 3.897% | 11,370,000 | 14,350,796 | |
Morgan Stanley(b) | ||||
01/22/2031 | 2.699% | 2,970,000 | 3,227,907 | |
02/13/2032 | 1.794% | 6,890,000 | 6,945,288 | |
Wells Fargo & Co.(b) | ||||
04/30/2041 | 3.068% | 16,310,000 | 17,684,095 | |
Total | 92,663,030 | |||
Cable and Satellite 2.1% | ||||
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 1,185,000 | 1,482,825 | |
03/01/2050 | 4.800% | 12,510,000 | 14,858,013 | |
04/01/2061 | 3.850% | 1,285,000 | 1,296,960 | |
Comcast Corp. | ||||
01/15/2051 | 2.800% | 4,285,000 | 4,463,017 | |
11/01/2052 | 4.049% | 7,021,000 | 8,969,420 | |
NBCUniversal Media LLC | ||||
01/15/2043 | 4.450% | 5,095,000 | 6,672,334 | |
Total | 37,742,569 | |||
Chemicals 0.6% | ||||
Dow Chemical Co. (The) | ||||
05/15/2049 | 4.800% | 3,211,000 | 4,419,672 | |
DowDuPont, Inc. | ||||
11/15/2048 | 5.419% | 1,295,000 | 1,873,740 | |
LYB International Finance III LLC | ||||
05/01/2050 | 4.200% | 2,270,000 | 2,658,270 | |
04/01/2051 | 3.625% | 1,255,000 | 1,370,665 | |
Total | 10,322,347 | |||
Construction Machinery 0.1% | ||||
Caterpillar, Inc. | ||||
04/09/2050 | 3.250% | 2,215,000 | 2,601,511 | |
Consumer Cyclical Services 0.2% | ||||
Amazon.com, Inc. | ||||
06/03/2050 | 2.500% | 3,650,000 | 3,782,428 | |
Diversified Manufacturing 0.6% | ||||
3M Co. | ||||
08/26/2049 | 3.250% | 1,600,000 | 1,833,642 |
8 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carrier Global Corp. | ||||
04/05/2040 | 3.377% | 5,790,000 | 6,348,828 | |
Honeywell International, Inc. | ||||
06/01/2050 | 2.800% | 1,555,000 | 1,700,715 | |
Total | 9,883,185 | |||
Electric 8.4% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 12,175,000 | 13,849,771 | |
Berkshire Hathaway Energy Co.(a) | ||||
10/15/2050 | 4.250% | 940,000 | 1,212,705 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 3,485,000 | 4,006,699 | |
CMS Energy Corp. | ||||
02/15/2027 | 2.950% | 6,374,000 | 6,912,234 | |
03/31/2043 | 4.700% | 1,932,000 | 2,475,570 | |
03/01/2044 | 4.875% | 2,260,000 | 2,997,490 | |
Consolidated Edison Co. of New York, Inc. | ||||
06/15/2046 | 3.850% | 4,315,000 | 5,049,574 | |
04/01/2050 | 3.950% | 1,095,000 | 1,332,979 | |
Dominion Energy, Inc. | ||||
03/15/2049 | 4.600% | 1,900,000 | 2,549,779 | |
DTE Energy Co. | ||||
06/15/2029 | 3.400% | 16,506,000 | 18,750,368 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 5,812,000 | 6,745,507 | |
Duke Energy Indiana LLC | ||||
10/01/2049 | 3.250% | 464,000 | 526,539 | |
04/01/2050 | 2.750% | 3,545,000 | 3,713,594 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 4,435,000 | 5,662,903 | |
Eversource Energy | ||||
01/15/2028 | 3.300% | 3,225,000 | 3,618,841 | |
08/15/2030 | 1.650% | 1,219,000 | 1,215,500 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 15,160,000 | 19,215,290 | |
Oncor Electric Delivery Co. LLC | ||||
09/15/2049 | 3.100% | 1,740,000 | 1,981,427 | |
05/15/2050 | 3.700% | 1,400,000 | 1,746,371 | |
Pacific Gas and Electric Co. | ||||
08/01/2050 | 3.500% | 4,025,000 | 3,992,771 | |
PacifiCorp | ||||
03/15/2051 | 3.300% | 6,615,000 | 7,626,450 | |
PPL Capital Funding, Inc. | ||||
04/15/2030 | 4.125% | 5,475,000 | 6,521,553 | |
San Diego Gas & Electric Co. | ||||
04/15/2050 | 3.320% | 1,720,000 | 1,959,995 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Southern California Edison Co. | ||||
04/01/2047 | 4.000% | 225,000 | 264,626 | |
03/01/2048 | 4.125% | 2,200,000 | 2,626,191 | |
1st Refunding Mortgage | ||||
03/15/2043 | 3.900% | 1,252,000 | 1,410,531 | |
WEC Energy Group, Inc. | ||||
10/15/2030 | 1.800% | 8,630,000 | 8,647,472 | |
Xcel Energy, Inc. | ||||
09/15/2041 | 4.800% | 2,664,000 | 3,414,391 | |
12/01/2049 | 3.500% | 8,155,000 | 9,465,737 | |
Total | 149,492,858 | |||
Environmental 0.1% | ||||
Waste Management, Inc. | ||||
11/15/2050 | 2.500% | 930,000 | 930,791 | |
Finance Companies 1.4% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 21,180,000 | 25,277,835 | |
Food and Beverage 4.8% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 26,529,000 | 34,470,879 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 9,246,000 | 11,724,598 | |
Conagra Brands, Inc. | ||||
11/01/2038 | 5.300% | 4,065,000 | 5,451,567 | |
11/01/2048 | 5.400% | 1,230,000 | 1,754,148 | |
Diageo Capital PLC | ||||
04/29/2032 | 2.125% | 3,430,000 | 3,614,534 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 10,251,000 | 11,047,226 | |
Mars, Inc.(a) | ||||
04/01/2059 | 4.200% | 4,300,000 | 5,684,291 | |
Molson Coors Brewing Co. | ||||
07/15/2046 | 4.200% | 1,122,000 | 1,283,648 | |
PepsiCo, Inc. | ||||
10/06/2046 | 3.450% | 1,410,000 | 1,696,536 | |
03/19/2060 | 3.875% | 5,085,000 | 6,797,850 | |
Tyson Foods, Inc. | ||||
06/02/2047 | 4.550% | 1,410,000 | 1,869,350 | |
Total | 85,394,627 | |||
Health Care 2.0% | ||||
Abbott Laboratories | ||||
11/30/2046 | 4.900% | 1,860,000 | 2,747,078 | |
Becton Dickinson and Co. | ||||
05/20/2050 | 3.794% | 5,100,000 | 6,060,763 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 9 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cigna Corp. | ||||
03/15/2040 | 3.200% | 5,630,000 | 6,191,371 | |
12/15/2048 | 4.900% | 1,180,000 | 1,622,661 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 11,106,000 | 15,015,552 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 3,425,000 | 3,760,502 | |
Total | 35,397,927 | |||
Healthcare Insurance 1.5% | ||||
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 2,865,000 | 3,415,832 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 2,795,000 | 3,682,031 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 2,197,000 | 2,436,343 | |
02/15/2030 | 3.375% | 1,264,000 | 1,329,499 | |
UnitedHealth Group, Inc. | ||||
08/15/2039 | 3.500% | 8,552,000 | 10,126,353 | |
05/15/2040 | 2.750% | 5,255,000 | 5,694,650 | |
Total | 26,684,708 | |||
Independent Energy 0.4% | ||||
Canadian Natural Resources Ltd. | ||||
02/15/2037 | 6.500% | 1,865,000 | 2,458,707 | |
ConocoPhillips Co. | ||||
11/15/2044 | 4.300% | 2,890,000 | 3,647,351 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 1,090,000 | 1,544,925 | |
Total | 7,650,983 | |||
Integrated Energy 0.8% | ||||
BP Capital Markets America, Inc. | ||||
06/04/2051 | 2.939% | 1,350,000 | 1,380,633 | |
Cenovus Energy, Inc. | ||||
06/15/2047 | 5.400% | 3,110,000 | 3,663,902 | |
Shell International Finance BV | ||||
11/07/2049 | 3.125% | 5,280,000 | 5,843,004 | |
Suncor Energy, Inc. | ||||
11/15/2047 | 4.000% | 1,575,000 | 1,784,772 | |
Total Capital International SA | ||||
06/29/2060 | 3.386% | 1,315,000 | 1,495,654 | |
Total | 14,167,965 | |||
Life Insurance 2.6% | ||||
American International Group, Inc. | ||||
07/16/2044 | 4.500% | 2,570,000 | 3,287,579 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 232,000 | 243,777 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 4,935,000 | 6,737,635 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
10/15/2070 | 3.729% | 6,345,000 | 7,084,110 | |
04/01/2077 | 4.900% | 50,000 | 69,052 | |
MetLife, Inc. | ||||
03/01/2045 | 4.050% | 1,100,000 | 1,408,686 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
Subordinated | ||||
09/30/2059 | 3.625% | 7,603,000 | 8,753,652 | |
Prudential Financial, Inc. | ||||
03/13/2051 | 3.700% | 2,725,000 | 3,275,838 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
05/15/2047 | 4.270% | 4,346,000 | 5,414,975 | |
05/15/2050 | 3.300% | 3,435,000 | 3,769,534 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 4,225,000 | 5,336,168 | |
Total | 45,381,006 | |||
Media and Entertainment 1.2% | ||||
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 5,212,000 | 6,907,873 | |
Fox Corp. | ||||
01/25/2049 | 5.576% | 840,000 | 1,226,596 | |
ViacomCBS, Inc. | ||||
01/15/2031 | 4.950% | 2,340,000 | 2,936,134 | |
Walt Disney Co. (The) | ||||
09/15/2044 | 4.750% | 4,000,000 | 5,456,259 | |
05/13/2060 | 3.800% | 3,485,000 | 4,412,415 | |
Total | 20,939,277 | |||
Midstream 2.8% | ||||
Energy Transfer Operating LP | ||||
05/15/2050 | 5.000% | 5,150,000 | 5,580,600 | |
Enterprise Products Operating LLC | ||||
01/31/2060 | 3.950% | 5,315,000 | 5,931,591 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 8,330,000 | 10,145,491 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 7,745,000 | 9,197,955 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 7,040,000 | 7,333,840 |
10 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 2,945,000 | 2,888,822 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 7,525,000 | 9,365,502 | |
Total | 50,443,801 | |||
Natural Gas 1.3% | ||||
NiSource, Inc. | ||||
05/01/2030 | 3.600% | 2,255,000 | 2,613,440 | |
02/15/2043 | 5.250% | 1,575,000 | 2,155,895 | |
02/15/2044 | 4.800% | 3,351,000 | 4,406,849 | |
05/15/2047 | 4.375% | 8,234,000 | 10,487,198 | |
Sempra Energy | ||||
02/01/2048 | 4.000% | 3,650,000 | 4,337,983 | |
Total | 24,001,365 | |||
Oil Field Services 0.1% | ||||
Halliburton Co. | ||||
11/15/2045 | 5.000% | 1,945,000 | 2,294,249 | |
Pharmaceuticals 3.7% | ||||
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 2,925,000 | 3,665,496 | |
06/15/2044 | 4.850% | 3,290,000 | 4,342,033 | |
11/21/2049 | 4.250% | 8,480,000 | 10,666,119 | |
Amgen, Inc. | ||||
02/21/2050 | 3.375% | 9,845,000 | 10,988,059 | |
Bristol-Myers Squibb Co. | ||||
11/13/2040 | 2.350% | 4,840,000 | 4,953,982 | |
02/20/2048 | 4.550% | 497,000 | 689,700 | |
10/26/2049 | 4.250% | 2,017,000 | 2,721,034 | |
Gilead Sciences, Inc. | ||||
10/01/2040 | 2.600% | 6,300,000 | 6,363,589 | |
10/01/2050 | 2.800% | 2,750,000 | 2,745,918 | |
Johnson & Johnson | ||||
12/05/2033 | 4.375% | 10,574,000 | 13,959,882 | |
Pfizer, Inc. | ||||
05/28/2050 | 2.700% | 3,800,000 | 4,074,182 | |
Total | 65,169,994 | |||
Property & Casualty 0.4% | ||||
Berkshire Hathaway Finance Corp. | ||||
10/15/2050 | 2.850% | 1,640,000 | 1,758,906 | |
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 3,880,000 | 4,636,003 | |
Total | 6,394,909 | |||
Railroads 1.2% | ||||
CSX Corp. | ||||
11/01/2066 | 4.250% | 6,013,000 | 7,993,518 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 3,670,000 | 4,667,516 | |
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 5,130,000 | 6,318,302 | |
03/20/2060 | 3.839% | 1,680,000 | 2,071,003 | |
02/05/2070 | 3.750% | 730,000 | 872,658 | |
Total | 21,922,997 | |||
Restaurants 0.4% | ||||
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 6,260,000 | 7,350,698 | |
Retailers 1.3% | ||||
Home Depot, Inc. (The) | ||||
12/06/2048 | 4.500% | 4,370,000 | 6,141,194 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 6,050,000 | 7,563,963 | |
10/15/2050 | 3.000% | 1,145,000 | 1,228,124 | |
Walmart, Inc. | ||||
12/15/2047 | 3.625% | 4,270,000 | 5,409,141 | |
09/24/2049 | 2.950% | 1,810,000 | 2,083,787 | |
Total | 22,426,209 | |||
Supermarkets 0.2% | ||||
Kroger Co. (The) | ||||
04/15/2042 | 5.000% | 1,064,000 | 1,415,074 | |
02/01/2047 | 4.450% | 1,105,000 | 1,405,476 | |
Total | 2,820,550 | |||
Technology 4.5% | ||||
Apple, Inc. | ||||
02/09/2045 | 3.450% | 4,925,000 | 5,972,967 | |
09/11/2049 | 2.950% | 3,590,000 | 4,024,206 | |
Broadcom, Inc. | ||||
11/15/2030 | 4.150% | 7,590,000 | 8,776,242 | |
Corning, Inc. | ||||
11/15/2079 | 5.450% | 1,130,000 | 1,536,596 | |
Intel Corp. | ||||
05/11/2047 | 4.100% | 6,690,000 | 8,461,034 | |
International Business Machines Corp. | ||||
05/15/2040 | 2.850% | 4,070,000 | 4,366,528 | |
05/15/2050 | 2.950% | 6,007,000 | 6,400,062 | |
Microsoft Corp. | ||||
08/08/2046 | 3.700% | 11,545,000 | 14,610,008 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2030 | 3.400% | 1,255,000 | 1,425,751 | |
Oracle Corp. | ||||
07/08/2034 | 4.300% | 3,110,000 | 3,933,687 | |
07/15/2046 | 4.000% | 2,500,000 | 3,064,012 | |
04/01/2050 | 3.600% | 9,405,000 | 10,979,045 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 11 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
QUALCOMM, Inc.(a) | ||||
05/20/2032 | 1.650% | 3,240,000 | 3,251,130 | |
QUALCOMM, Inc. | ||||
05/20/2050 | 3.250% | 2,460,000 | 2,854,355 | |
Total | 79,655,623 | |||
Tobacco 0.2% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 3,270,000 | 3,630,875 | |
Transportation Services 0.4% | ||||
FedEx Corp. | ||||
11/15/2045 | 4.750% | 3,390,000 | 4,421,833 | |
04/01/2046 | 4.550% | 220,000 | 280,907 | |
United Parcel Service, Inc. | ||||
09/01/2049 | 3.400% | 2,540,000 | 3,046,601 | |
Total | 7,749,341 | |||
Wireless 1.6% | ||||
American Tower Corp. | ||||
08/15/2029 | 3.800% | 5,695,000 | 6,612,151 | |
Crown Castle International Corp. | ||||
01/15/2031 | 2.250% | 2,410,000 | 2,496,403 | |
Rogers Communications, Inc. | ||||
11/15/2049 | 3.700% | 5,755,000 | 6,787,355 | |
T-Mobile USA, Inc.(a) | ||||
04/15/2030 | 3.875% | 2,395,000 | 2,768,843 | |
02/15/2041 | 3.000% | 5,900,000 | 6,100,205 | |
Vodafone Group PLC | ||||
09/17/2050 | 4.250% | 2,695,000 | 3,323,686 | |
Total | 28,088,643 | |||
Wirelines 3.6% | ||||
AT&T, Inc.(a) | ||||
09/15/2055 | 3.550% | 12,650,000 | 12,704,986 | |
12/01/2057 | 3.800% | 21,826,000 | 22,797,873 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 5,450,000 | 6,757,434 | |
Verizon Communications, Inc. | ||||
11/20/2040 | 2.650% | 7,430,000 | 7,506,438 | |
08/21/2046 | 4.862% | 10,905,000 | 14,649,033 | |
Total | 64,415,764 | |||
Total Corporate Bonds & Notes (Cost $873,779,128) | 993,732,159 | |||
Foreign Government Obligations(c) 0.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 0.7% | ||||
Mexico Government International Bond | ||||
01/15/2047 | 4.350% | 11,300,000 | 12,906,152 | |
Total Foreign Government Obligations (Cost $10,736,479) | 12,906,152 | |||
U.S. Treasury Obligations 39.7% | ||||
U.S. Treasury | ||||
08/15/2027 | 2.250% | 6,400,000 | 7,096,000 | |
05/15/2028 | 2.875% | 5,000,000 | 5,792,188 | |
05/15/2029 | 2.375% | 3,500,000 | 3,955,547 | |
02/15/2031 | 5.375% | 4,000,000 | 5,741,250 | |
02/15/2036 | 4.500% | 30,000,000 | 44,020,313 | |
05/15/2038 | 4.500% | 30,000,000 | 45,281,250 | |
02/15/2039 | 3.500% | 49,000,000 | 66,502,187 | |
08/15/2040 | 3.875% | 10,000,000 | 14,329,688 | |
02/15/2041 | 4.750% | 8,000,000 | 12,780,000 | |
05/15/2041 | 4.375% | 25,383,000 | 38,911,346 | |
05/15/2043 | 2.875% | 17,600,000 | 22,253,000 | |
08/15/2044 | 3.125% | 16,500,000 | 21,767,109 | |
11/15/2044 | 3.000% | 10,000,000 | 12,946,875 | |
11/15/2045 | 3.000% | 12,000,000 | 15,620,625 | |
11/15/2046 | 2.875% | 8,000,000 | 10,226,250 | |
11/15/2047 | 2.750% | 20,750,000 | 26,057,461 | |
02/15/2048 | 3.000% | 101,200,000 | 132,904,062 | |
08/15/2049 | 2.250% | 2,235,000 | 2,559,424 | |
02/15/2050 | 2.000% | 2,900,000 | 3,151,484 | |
U.S. Treasury(d) | ||||
05/15/2047 | 3.000% | 122,157,900 | 160,065,023 | |
U.S. Treasury(e) | ||||
STRIPS | ||||
02/15/2040 | 0.000% | 38,410,800 | 29,507,297 | |
11/15/2041 | 0.000% | 13,661,000 | 10,026,427 | |
05/15/2043 | 0.000% | 19,069,000 | 13,463,757 | |
Total U.S. Treasury Obligations (Cost $550,040,951) | 704,958,563 |
Money Market Funds 1.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(f),(g) | 34,596,210 | 34,592,750 |
Total Money Market Funds (Cost $34,592,697) | 34,592,750 | |
Total Investments in Securities (Cost: $1,486,641,402) | 1,764,945,004 | |
Other Assets & Liabilities, Net | 11,593,112 | |
Net Assets | 1,776,538,116 |
12 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
December 31, 2020
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 458 | 03/2021 | USD | 79,319,875 | — | (1,020,705) |
U.S. Ultra Treasury Bond | 64 | 03/2021 | USD | 13,668,000 | — | (141,666) |
Total | — | (1,162,371) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (328) | 03/2021 | USD | (45,289,625) | 7,032 | — |
U.S. Ultra Bond 10-Year Note | (28) | 03/2021 | USD | (4,378,063) | 25,972 | — |
Total | 33,004 | — |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At December 31, 2020, the total value of these securities amounted to $107,868,043, which represents 6.07% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2020. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(e) | Zero coupon bond. |
(f) | The rate shown is the seven-day current annualized yield at December 31, 2020. |
(g) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | ||||||||
61,434,341 | 382,780,147 | (409,621,791) | 53 | 34,592,750 | 11,581 | 384,617 | 34,596,210 |
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.). |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 13 |
December 31, 2020
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Agency | — | 18,755,380 | — | 18,755,380 |
Corporate Bonds & Notes | — | 993,732,159 | — | 993,732,159 |
Foreign Government Obligations | — | 12,906,152 | — | 12,906,152 |
U.S. Treasury Obligations | 651,961,082 | 52,997,481 | — | 704,958,563 |
Money Market Funds | 34,592,750 | — | — | 34,592,750 |
Total Investments in Securities | 686,553,832 | 1,078,391,172 | — | 1,764,945,004 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 33,004 | — | — | 33,004 |
Liability | ||||
Futures Contracts | (1,162,371) | — | — | (1,162,371) |
Total | 685,424,465 | 1,078,391,172 | — | 1,763,815,637 |
14 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,452,048,705) | $1,730,352,254 |
Affiliated issuers (cost $34,592,697) | 34,592,750 |
Receivable for: | |
Dividends | 3,955 |
Interest | 12,063,740 |
Foreign tax reclaims | 40,105 |
Variation margin for futures contracts | 198,508 |
Prepaid expenses | 6,440 |
Trustees’ deferred compensation plan | 132,964 |
Total assets | 1,777,390,716 |
Liabilities | |
Payable for: | |
Capital shares purchased | 622,853 |
Variation margin for futures contracts | 42,000 |
Management services fees | 23,716 |
Distribution and/or service fees | 196 |
Service fees | 1,443 |
Compensation of board members | 1,483 |
Compensation of chief compliance officer | 146 |
Other expenses | 27,799 |
Trustees’ deferred compensation plan | 132,964 |
Total liabilities | 852,600 |
Net assets applicable to outstanding capital stock | $1,776,538,116 |
Represented by | |
Paid in capital | 1,382,172,381 |
Total distributable earnings (loss) | 394,365,735 |
Total - representing net assets applicable to outstanding capital stock | $1,776,538,116 |
Class 1 | |
Net assets | $1,747,791,745 |
Shares outstanding | 141,124,310 |
Net asset value per share | $12.38 |
Class 2 | |
Net assets | $28,746,371 |
Shares outstanding | 2,329,043 |
Net asset value per share | $12.34 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 15 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — affiliated issuers | $384,617 |
Interest | 49,775,917 |
Interfund lending | 173 |
Total income | 50,160,707 |
Expenses: | |
Management services fees | 8,538,171 |
Distribution and/or service fees | |
Class 2 | 59,382 |
Service fees | 14,378 |
Compensation of board members | 40,206 |
Custodian fees | 14,413 |
Printing and postage fees | 10,685 |
Audit fees | 39,500 |
Legal fees | 45,166 |
Compensation of chief compliance officer | 596 |
Other | 45,794 |
Total expenses | 8,808,291 |
Net investment income | 41,352,416 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 68,397,090 |
Investments — affiliated issuers | 11,581 |
Futures contracts | 15,906,312 |
Net realized gain | 84,314,983 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 147,899,912 |
Investments — affiliated issuers | 53 |
Futures contracts | 1,899,235 |
Net change in unrealized appreciation (depreciation) | 149,799,200 |
Net realized and unrealized gain | 234,114,183 |
Net increase in net assets resulting from operations | $275,466,599 |
16 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $41,352,416 | $45,787,560 |
Net realized gain | 84,314,983 | 42,806,326 |
Net change in unrealized appreciation (depreciation) | 149,799,200 | 188,344,624 |
Net increase in net assets resulting from operations | 275,466,599 | 276,938,510 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (70,758,692) | (43,558,568) |
Class 2 | (965,457) | (352,059) |
Total distributions to shareholders | (71,724,149) | (43,910,627) |
Decrease in net assets from capital stock activity | (50,548,013) | (34,041,963) |
Total increase in net assets | 153,194,437 | 198,985,920 |
Net assets at beginning of year | 1,623,343,679 | 1,424,357,759 |
Net assets at end of year | $1,776,538,116 | $1,623,343,679 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 3,410,371 | 40,618,650 | 2,085,164 | 21,680,904 |
Distributions reinvested | 5,584,743 | 70,758,692 | 4,180,285 | 43,558,568 |
Redemptions | (14,172,654) | (172,321,382) | (9,611,724) | (101,225,037) |
Net decrease | (5,177,540) | (60,944,040) | (3,346,275) | (35,985,565) |
Class 2 | ||||
Subscriptions | 1,069,779 | 12,981,471 | 369,821 | 3,918,512 |
Distributions reinvested | 76,381 | 965,457 | 33,819 | 352,059 |
Redemptions | (295,242) | (3,550,901) | (228,212) | (2,326,969) |
Net increase | 850,918 | 10,396,027 | 175,428 | 1,943,602 |
Total net decrease | (4,326,622) | (50,548,013) | (3,170,847) | (34,041,963) |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 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 12/31/2020 | $10.99 | 0.29 | 1.62 | 1.91 | (0.33) | (0.19) | (0.52) |
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) |
Class 2 | |||||||
Year Ended 12/31/2020 | $10.95 | 0.26 | 1.62 | 1.88 | (0.30) | (0.19) | (0.49) |
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) |
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 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $12.38 | 17.25% | 0.50% | 0.50% | 2.38% | 46% | $1,747,792 |
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 |
Class 2 | |||||||
Year Ended 12/31/2020 | $12.34 | 17.07% | 0.75% | 0.75% | 2.11% | 46% | $28,746 |
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% | $17,042 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 21 |
December 31, 2020
22 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
December 31, 2020
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 33,004* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,162,371* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 15,906,312 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 1,899,235 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 91,811,258 |
Futures contracts — short | 56,638,879 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2020. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 23 |
December 31, 2020
24 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 25 |
December 31, 2020
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.55% |
Class 2 | 0.80 |
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
55,293 | (55,293) | — |
26 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
December 31, 2020
Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
63,288,473 | 8,435,676 | 71,724,149 | 43,910,627 | — | 43,910,627 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
87,814,794 | 48,345,838 | — | 258,318,934 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,505,496,703 | 258,926,247 | (607,313) | 258,318,934 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 27 |
December 31, 2020
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 975,000 | 0.79 | 8 |
28 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 29 |
December 31, 2020
30 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 31 |
Capital gain dividend | |
$50,847,559 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
32 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 33 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
34 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 | 35 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
36 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 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 – Long Government/Credit Bond Fund | Annual Report 2020 | 37 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
38 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Annual Report 2020 |
December 31, 2020
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
26 | |
27 | |
27 | |
33 |
Average annual total returns (%) (for the period ended December 31, 2020) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | 71.12 | 28.08 | 17.63 | |
Class 2 | 06/01/00 | 70.67 | 27.76 | 17.33 | |
Russell 2000 Growth Index | 34.63 | 16.36 | 13.48 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 3 |
Portfolio breakdown (%) (at December 31, 2020) | |
Common Stocks | 96.3 |
Money Market Funds | 3.7 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2020) | |
Communication Services | 1.3 |
Consumer Discretionary | 16.3 |
Energy | 0.6 |
Financials | 4.5 |
Health Care | 36.5 |
Industrials | 17.1 |
Information Technology | 17.8 |
Materials | 3.6 |
Real Estate | 2.3 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
• | Stock selection in the information technology, health care, consumer discretionary and industrials sectors led the Fund’s strong performance over the benchmark during the period. |
• | Etsy, Inc., in the consumer discretionary sector, operates the world’s leading online marketplace for handmade and artisanal items. The company saw a dramatic increase in sales in April 2020, as gross merchandise sales rose over 100% year-over-year in April 2020, as compared to a mid-20% growth rate in January-February 2020. While demand for face masks accounted for a large portion of the company’s growth boom, gross merchandise sales, excluding face masks, rose 79% as shoppers gravitated to other sales categories on the platform. |
• | Quidel Corp., in the health care sector, develops rapid diagnostic tests for infectious diseases, women’s health and gastrointestinal diseases. Quidel has developed a molecular test as well as a rapid immunoassay antigen test for COVID-19 and expects to have a rapid antibody serology test that will be performed on their installed base of over 65,000 Sofia instruments in doctors’ offices. |
• | Coupa Software, Inc., in information technology, provides a cloud-based spend management platform that connects several organizations with roughly 5 million global suppliers, and offers procurement, invoicing and expense modules that provides analytics and contract and inventory management capabilities. The company had eclipsed our expected value by the end of the period, and the Fund harvested gains in the name. |
• | Avalara, Inc., in the information technology sector, develops cloud-based software solutions designed to improve accuracy and efficiency by automating the process of determining taxability, identifying applicable tax rates, determining |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 5 |
and collecting taxes, preparing and filing returns and maintaining tax records and compliance documents. Avalara continued to benefit from the increasing penetration of online commerce and the necessity of meticulous calculation of sales tax payable in multiple jurisdictions. | |
• | Five9, Inc., within information technology, develops cloud-based customer contact software that assists contact centers in customer service and sales and marketing functions. Five9 benefited from the modernization of communications equipment as customer call centers transition to unified communications with their clients. |
• | Teledoc, in the health care sector, provides on-demand health care services via mobile devices, internet, video and phone and serves thousands of employers, health plans and health systems. Teledoc benefited from the fast tracking of the trend to telemedicine brought on by COVID-19. Its recent merger with “health-care coach” Livongo looked to us to be a significant step in building out a digital end-to-end interface within the health care industry. Following the merger, the company’s market capitalization and valuation reached such a level that we decided to harvest gains, exiting the Fund’s position before the end of the fourth quarter. |
• | Selections within the energy and communication services sectors modestly detracted from performance during the period. |
• | Health care holding Cantel Medical Corp. was the largest detractor in the Fund’s portfolio. Cantel develops infection prevention and control devices for endoscopy labs in hospitals as well as the dental industry. The past few years have been challenging for growth as Cantel has faced hurdles with their dialysis-industry sales as well as in their medical-segment sales. |
• | LendingTree, in the financials sector, is an operator of an online loan marketplace for consumers seeking loans and other credit-based offerings detracted. The company’s stock declined after their business slowed due to slower credit card issuance by providers. |
6 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
(Unaudited)
July 1, 2020 — December 31, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,423.00 | 1,020.61 | 5.48 | 4.57 | 0.90 |
Class 2 | 1,000.00 | 1,000.00 | 1,421.50 | 1,019.36 | 7.00 | 5.84 | 1.15 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 7 |
December 31, 2020
Common Stocks 97.0% | ||
Issuer | Shares | Value ($) |
Communication Services 1.3% | ||
Interactive Media & Services 1.3% | ||
EverQuote, Inc., Class A(a) | 200,115 | 7,474,295 |
Total Communication Services | 7,474,295 | |
Consumer Discretionary 15.8% | ||
Diversified Consumer Services 0.6% | ||
Vivint Smart Home, Inc.(a) | 156,620 | 3,249,865 |
Hotels, Restaurants & Leisure 9.5% | ||
Caesars Entertainment, Inc.(a) | 217,257 | 16,135,677 |
GAN Ltd.(a) | 258,009 | 5,232,423 |
Papa John’s International, Inc. | 65,995 | 5,599,676 |
Penn National Gaming, Inc.(a) | 42,614 | 3,680,571 |
Planet Fitness, Inc., Class A(a) | 238,205 | 18,491,854 |
Texas Roadhouse, Inc. | 44,402 | 3,470,460 |
Wingstop, Inc. | 14,045 | 1,861,665 |
Total | 54,472,326 | |
Internet & Direct Marketing Retail 2.6% | ||
Etsy, Inc.(a) | 52,569 | 9,352,551 |
Fiverr International Ltd.(a) | 28,898 | 5,638,000 |
Total | 14,990,551 | |
Specialty Retail 3.1% | ||
Floor & Decor Holdings, Inc.(a) | 99,570 | 9,245,074 |
Leslie’s, Inc.(a) | 124,783 | 3,462,728 |
Lithia Motors, Inc., Class A | 16,465 | 4,818,812 |
Total | 17,526,614 | |
Total Consumer Discretionary | 90,239,356 | |
Energy 0.6% | ||
Energy Equipment & Services 0.2% | ||
Frank’s International NV(a) | 440,662 | 1,207,414 |
Oil, Gas & Consumable Fuels 0.4% | ||
Delek U.S. Holdings, Inc. | 121,090 | 1,945,916 |
Total Energy | 3,153,330 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 4.4% | ||
Capital Markets 1.9% | ||
Oaktree Acquisition Corp., Class A(a) | 376,479 | 5,496,593 |
Skillz, Inc.(a) | 260,339 | 5,206,780 |
Total | 10,703,373 | |
Consumer Finance 1.7% | ||
LendingTree, Inc.(a) | 35,279 | 9,659,038 |
Thrifts & Mortgage Finance 0.8% | ||
Essent Group Ltd. | 106,127 | 4,584,686 |
Total Financials | 24,947,097 | |
Health Care 35.4% | ||
Biotechnology 6.4% | ||
Annexon, Inc.(a) | 46,543 | 1,164,971 |
Arrowhead Pharmaceuticals, Inc.(a) | 43,751 | 3,357,014 |
Insmed, Inc.(a) | 68,161 | 2,269,080 |
Iovance Biotherapeutics, Inc.(a) | 41,563 | 1,928,523 |
IVERIC bio, Inc.(a) | 157,951 | 1,091,441 |
Natera, Inc.(a) | 114,803 | 11,425,195 |
Novavax, Inc.(a) | 26,653 | 2,972,076 |
Nurix Therapeutics, Inc.(a) | 25,158 | 827,195 |
Olema Pharmaceuticals, Inc.(a) | 45,535 | 2,189,323 |
Revolution Medicines, Inc.(a) | 39,427 | 1,560,915 |
Silverback Therapeutics, Inc.(a) | 52,386 | 2,427,567 |
SpringWorks Therapeutics, Inc.(a) | 37,977 | 2,754,092 |
uniQure NV(a) | 73,946 | 2,671,669 |
Total | 36,639,061 | |
Health Care Equipment & Supplies 9.2% | ||
Acutus Medical, Inc.(a) | 32,767 | 944,017 |
BioLife Solutions, Inc.(a) | 171,790 | 6,852,703 |
Cantel Medical Corp. | 28,870 | 2,276,688 |
GenMark Diagnostics, Inc.(a) | 82,111 | 1,198,821 |
Glaukos Corp.(a) | 68,663 | 5,167,577 |
Heska Corp.(a) | 85,027 | 12,384,183 |
Neogen Corp.(a) | 104,055 | 8,251,562 |
Quidel Corp.(a) | 25,496 | 4,580,356 |
Quotient Ltd.(a) | 436,205 | 2,272,628 |
8 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
December 31, 2020
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Silk Road Medical, Inc.(a) | 55,803 | 3,514,473 |
Tandem Diabetes Care, Inc.(a) | 53,487 | 5,117,636 |
Total | 52,560,644 | |
Health Care Providers & Services 7.1% | ||
Addus HomeCare Corp.(a) | 48,842 | 5,718,910 |
Amedisys, Inc.(a) | 38,836 | 11,391,764 |
Chemed Corp. | 25,804 | 13,743,469 |
HealthEquity, Inc.(a) | 134,602 | 9,383,105 |
Total | 40,237,248 | |
Health Care Technology 2.3% | ||
Accolade, Inc.(a) | 113,399 | 4,932,856 |
American Well Corp., Class A(a) | 36,206 | 917,098 |
Schrodinger, Inc.(a) | 90,433 | 7,160,485 |
Total | 13,010,439 | |
Life Sciences Tools & Services 10.4% | ||
10X Genomics, Inc., Class A(a) | 76,314 | 10,806,063 |
AbCellera Biologics, Inc.(a) | 56,243 | 2,263,218 |
Adaptive Biotechnologies Corp.(a) | 130,717 | 7,729,296 |
Bio-Techne Corp. | 52,832 | 16,776,802 |
Codexis, Inc.(a) | 132,240 | 2,886,799 |
NeoGenomics, Inc.(a) | 165,736 | 8,923,226 |
Quanterix Corp.(a) | 165,055 | 7,675,058 |
Seer, Inc.(a) | 39,880 | 2,238,863 |
Total | 59,299,325 | |
Total Health Care | 201,746,717 | |
Industrials 16.6% | ||
Aerospace & Defense 2.3% | ||
Aerojet Rocketdyne Holdings, Inc.(a) | 102,696 | 5,427,484 |
Axon Enterprise, Inc.(a) | 38,146 | 4,674,029 |
Spirit AeroSystems Holdings, Inc., Class A | 75,114 | 2,936,206 |
Total | 13,037,719 | |
Building Products 1.2% | ||
Simpson Manufacturing Co., Inc. | 71,387 | 6,671,115 |
Commercial Services & Supplies 2.8% | ||
Casella Waste Systems, Inc., Class A(a) | 57,839 | 3,583,126 |
Healthcare Services Group, Inc. | 241,316 | 6,780,980 |
McGrath Rentcorp | 80,622 | 5,409,736 |
Total | 15,773,842 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electrical Equipment 4.5% | ||
Array Technologies, Inc.(a) | 94,630 | 4,082,338 |
Plug Power, Inc.(a) | 210,209 | 7,128,187 |
Sunrun, Inc.(a) | 66,591 | 4,620,084 |
Vertiv Holdings Co. | 529,174 | 9,879,679 |
Total | 25,710,288 | |
Machinery 1.6% | ||
Kornit Digital Ltd.(a) | 104,657 | 9,328,078 |
Road & Rail 1.5% | ||
Saia, Inc.(a) | 49,226 | 8,900,061 |
Trading Companies & Distributors 2.7% | ||
SiteOne Landscape Supply, Inc.(a) | 96,539 | 15,313,982 |
Total Industrials | 94,735,085 | |
Information Technology 17.2% | ||
Electronic Equipment, Instruments & Components 0.5% | ||
908 Devices, Inc.(a) | 51,392 | 2,926,775 |
IT Services 3.0% | ||
Euronet Worldwide, Inc.(a) | 51,591 | 7,476,568 |
Shift4 Payments, Inc., Class A(a) | 132,413 | 9,983,940 |
Total | 17,460,508 | |
Semiconductors & Semiconductor Equipment 2.8% | ||
Advanced Energy Industries, Inc.(a) | 53,057 | 5,144,937 |
CMC Materials, Inc. | 13,799 | 2,087,789 |
Ichor Holdings Ltd.(a) | 196,753 | 5,931,119 |
MKS Instruments, Inc. | 17,944 | 2,699,675 |
Total | 15,863,520 | |
Software 10.9% | ||
Alarm.com Holdings, Inc.(a) | 41,861 | 4,330,520 |
Alteryx, Inc., Class A(a) | 33,871 | 4,125,149 |
Avalara, Inc.(a) | 85,366 | 14,076,000 |
Bill.com Holdings, Inc.(a) | 101,259 | 13,821,853 |
Blackline, Inc.(a) | 57,248 | 7,635,738 |
Five9, Inc.(a) | 32,759 | 5,713,170 |
Medallia, Inc.(a) | 161,554 | 5,366,824 |
Mimecast Ltd.(a) | 36,293 | 2,062,894 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 9 |
December 31, 2020
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
PubMatic, Inc., Class A(a) | 59,935 | 1,675,783 |
Tenable Holdings, Inc.(a) | 63,307 | 3,308,424 |
Total | 62,116,355 | |
Total Information Technology | 98,367,158 | |
Materials 3.5% | ||
Chemicals 2.7% | ||
Balchem Corp. | 53,352 | 6,147,217 |
Livent Corp.(a) | 483,138 | 9,102,320 |
Total | 15,249,537 | |
Metals & Mining 0.8% | ||
Worthington Industries, Inc. | 90,064 | 4,623,886 |
Total Materials | 19,873,423 | |
Real Estate 2.2% | ||
Equity Real Estate Investment Trusts (REITS) 2.2% | ||
Coresite Realty Corp. | 42,948 | 5,380,526 |
STORE Capital Corp. | 212,650 | 7,225,847 |
Total | 12,606,373 | |
Total Real Estate | 12,606,373 | |
Total Common Stocks (Cost $369,199,359) | 553,142,834 | |
Money Market Funds 3.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(b),(c) | 21,201,819 | 21,199,698 |
Total Money Market Funds (Cost $21,199,698) | 21,199,698 | |
Total Investments in Securities (Cost: $390,399,057) | 574,342,532 | |
Other Assets & Liabilities, Net | (3,710,326) | |
Net Assets | 570,632,206 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | ||||||||
6,713,926 | 200,556,820 | (186,071,200) | 152 | 21,199,698 | 3,661 | 82,160 | 21,201,819 |
■ | 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. |
10 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
December 31, 2020
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 7,474,295 | — | — | 7,474,295 |
Consumer Discretionary | 90,239,356 | — | — | 90,239,356 |
Energy | 3,153,330 | — | — | 3,153,330 |
Financials | 24,947,097 | — | — | 24,947,097 |
Health Care | 201,746,717 | — | — | 201,746,717 |
Industrials | 94,735,085 | — | — | 94,735,085 |
Information Technology | 98,367,158 | — | — | 98,367,158 |
Materials | 19,873,423 | — | — | 19,873,423 |
Real Estate | 12,606,373 | — | — | 12,606,373 |
Total Common Stocks | 553,142,834 | — | — | 553,142,834 |
Money Market Funds | 21,199,698 | — | — | 21,199,698 |
Total Investments in Securities | 574,342,532 | — | — | 574,342,532 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 11 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $369,199,359) | $553,142,834 |
Affiliated issuers (cost $21,199,698) | 21,199,698 |
Receivable for: | |
Capital shares sold | 22,762 |
Dividends | 169,124 |
Expense reimbursement due from Investment Manager | 42 |
Prepaid expenses | 1,557 |
Trustees’ deferred compensation plan | 76,364 |
Total assets | 574,612,381 |
Liabilities | |
Payable for: | |
Investments purchased | 3,424,585 |
Capital shares purchased | 404,164 |
Management services fees | 13,527 |
Distribution and/or service fees | 13 |
Service fees | 7,714 |
Compensation of board members | 29,229 |
Compensation of chief compliance officer | 35 |
Other expenses | 24,544 |
Trustees’ deferred compensation plan | 76,364 |
Total liabilities | 3,980,175 |
Net assets applicable to outstanding capital stock | $570,632,206 |
Represented by | |
Paid in capital | 316,848,758 |
Total distributable earnings (loss) | 253,783,448 |
Total - representing net assets applicable to outstanding capital stock | $570,632,206 |
Class 1 | |
Net assets | $568,792,118 |
Shares outstanding | 18,980,863 |
Net asset value per share | $29.97 |
Class 2 | |
Net assets | $1,840,088 |
Shares outstanding | 65,231 |
Net asset value per share | $28.21 |
12 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,252,367 |
Dividends — affiliated issuers | 82,160 |
Interfund lending | 284 |
Total income | 1,334,811 |
Expenses: | |
Management services fees | 3,520,593 |
Distribution and/or service fees | |
Class 2 | 2,266 |
Service fees | 51,843 |
Compensation of board members | 22,247 |
Custodian fees | 17,150 |
Printing and postage fees | 13,438 |
Audit fees | 33,700 |
Legal fees | 10,184 |
Compensation of chief compliance officer | 153 |
Other | 18,304 |
Total expenses | 3,689,878 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (58,334) |
Total net expenses | 3,631,544 |
Net investment loss | (2,296,733) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 72,878,782 |
Investments — affiliated issuers | 3,661 |
Foreign currency translations | (903) |
Net realized gain | 72,881,540 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 168,915,152 |
Investments — affiliated issuers | 152 |
Net change in unrealized appreciation (depreciation) | 168,915,304 |
Net realized and unrealized gain | 241,796,844 |
Net increase in net assets resulting from operations | $239,500,111 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 13 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment loss | $(2,296,733) | $(429,095) |
Net realized gain | 72,881,540 | 7,273,513 |
Net change in unrealized appreciation (depreciation) | 168,915,304 | 16,447,388 |
Net increase in net assets resulting from operations | 239,500,111 | 23,291,806 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (7,383,529) | (6,000,386) |
Class 2 | (15,805) | (116,037) |
Total distributions to shareholders | (7,399,334) | (6,116,423) |
Increase in net assets from capital stock activity | 390,919 | 295,855,272 |
Total increase in net assets | 232,491,696 | 313,030,655 |
Net assets at beginning of year | 338,140,510 | 25,109,855 |
Net assets at end of year | $570,632,206 | $338,140,510 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 285,674 | 5,528,828 | 17,276,396 | 294,484,935 |
Distributions reinvested | 331,100 | 7,383,529 | 344,652 | 6,000,386 |
Redemptions | (578,014) | (13,198,373) | (252,661) | (4,629,598) |
Net increase (decrease) | 38,760 | (286,016) | 17,368,387 | 295,855,723 |
Class 2 | ||||
Subscriptions | 37,571 | 810,632 | 1,128 | 19,974 |
Distributions reinvested | 752 | 15,805 | 7,062 | 116,037 |
Redemptions | (7,168) | (149,502) | (7,597) | (136,462) |
Net increase (decrease) | 31,155 | 676,935 | 593 | (451) |
Total net increase | 69,915 | 390,919 | 17,368,980 | 295,855,272 |
14 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 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 12/31/2020 | $17.82 | (0.12) | 12.66 | 12.54 | (0.39) | (0.39) |
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) |
Class 2 | ||||||
Year Ended 12/31/2020 | $16.80 | (0.17) | 11.92 | 11.75 | (0.34) | (0.34) |
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) |
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 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $29.97 | 71.12% | 0.91% | 0.90% | (0.57%) | 80% | $568,792 |
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 |
Class 2 | |||||||
Year Ended 12/31/2020 | $28.21 | 70.67% | 1.17% | 1.15% | (0.81%) | 80% | $1,840 |
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% | $454 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 17 |
December 31, 2020
18 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
December 31, 2020
Contractual expense cap July 1, 2020 through April 30, 2021 | Voluntary expense cap May 1, 2020 through June 30, 2020 | Contractual expense cap prior to May 1, 2020 | |
Class 1 | 0.90% | 0.89% | 0.89% |
Class 2 | 1.15 | 1.14 | 1.14 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 21 |
December 31, 2020
Excess of distributions over net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
891,423 | (891,423) | — |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
5,163,270 | 2,236,064 | 7,399,334 | 3,378,154 | 2,738,269 | 6,116,423 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
50,454,314 | 21,795,666 | — | 181,627,320 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
392,715,212 | 186,895,823 | (5,268,503) | 181,627,320 |
22 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
December 31, 2020
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,900,000 | 0.64 | 5 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 23 |
December 31, 2020
24 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 25 |
26 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
Dividends received deduction | Capital gain dividend |
6.05% | $22,911,603 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 27 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
28 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 – Small Company Growth Fund | Annual Report 2020 | 29 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
30 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 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 Columbia Funds 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. Petersen, who is the President and Principal Executive Officer, 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 |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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. |
32 | Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
Columbia Variable Portfolio – Small Company Growth Fund | Annual Report 2020 | 33 |
December 31, 2020
3 | |
6 | |
8 | |
9 | |
38 | |
39 | |
40 | |
42 | |
44 | |
63 | |
64 | |
70 |
Average annual total returns (%) (for the period ended December 31, 2020) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 07/05/94 | 6.82 | 6.40 | 5.28 | |
Class 2 | 06/01/00 | 6.62 | 6.16 | 5.03 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.44 | 3.84 | ||
ICE BofA US Cash Pay High Yield Constrained Index | 6.10 | 8.39 | 6.60 | ||
FTSE Non-U.S. World Government Bond (All Maturities) Index - Unhedged | 10.78 | 5.17 | 1.88 | ||
JPMorgan Emerging Markets Bond Index - Global | 5.88 | 6.84 | 5.97 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 3 |
Portfolio breakdown (%) (at December 31, 2020) | |
Asset-Backed Securities — Non-Agency | 9.7 |
Commercial Mortgage-Backed Securities - Non-Agency | 5.4 |
Common Stocks | 0.0(a) |
Corporate Bonds & Notes | 38.8 |
Foreign Government Obligations | 7.8 |
Money Market Funds | 4.1 |
Options Purchased Puts | 0.3 |
Residential Mortgage-Backed Securities - Agency | 9.9 |
Residential Mortgage-Backed Securities - Non-Agency | 16.8 |
Senior Loans | 7.0 |
U.S. Treasury Obligations | 0.2 |
Total | 100.0 |
(a) | Rounds to zero. |
4 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
Quality breakdown (%) (at December 31, 2020) | |
AAA rating | 11.0 |
AA rating | 4.6 |
A rating | 3.9 |
BBB rating | 22.1 |
BB rating | 25.3 |
B rating | 18.4 |
CCC rating | 4.3 |
D rating | 0.1 |
Not rated | 10.3 |
Total | 100.0 |
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2020)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 664.4 | (535.4) | 129.0 |
Foreign Currency Derivative Contracts | — | (29.0) | (29.0) |
Total Notional Market Value of Derivative Contracts | 664.4 | (564.4) | 100.0 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 5 |
• | While the Fund’s duration positioning was a positive contributor to its absolute performance, it detracted on a relative basis. Such results were mainly due to the Fund having a duration stance approximately three years shorter than that of |
6 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
the benchmark when interest rates dropped significantly during the first quarter 2020 sell-off. This was partially offset by the Fund having a shorter duration than the benchmark during the fourth calendar quarter when interest rates moved higher, which contributed positively to the Fund’s performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates. | |
• | Overall, the only credit sector that detracted from the Fund’s relative performance during the annual period was investment-grade credit, due primarily to the Fund having a modest overweight to the sector during the first quarter of 2020. |
• | Sector allocation decisions as a whole contributed positively to the Fund’s relative results during the annual period. |
• | The relatively high-quality bias the Fund had coming into 2020 was beneficial when markets were in free-fall during March and April. One surprise was the degree to which the higher-rated structured products exposure experienced selling pressure, much of which was due to the elevated level of leverage utilized by some large investors in the sector. Despite that development, we were able to effectively rotate a material amount of the Fund’s exposure from higher quality securities into lower quality securities that had sold off in extreme fashion. Specifically, we increased the Fund’s allocation to high-yield corporate bonds from approximately 10% of the Fund’s total net asset in early 2020 to nearly 30% of the Fund’s total net assets by the end of April. |
• | Additionally, some of the Fund’s exposure within the structured products and investment grade corporate bond sectors was repositioned to lower rated, higher yielding securities that we felt were fundamentally intact. The sector rotation as well as repositioning within sectors contributed positively to the Fund’s relative results for the annual period. |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 7 |
(Unaudited)
July 1, 2020 — December 31, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,080.80 | 1,021.67 | 3.61 | 3.51 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,081.60 | 1,020.41 | 4.92 | 4.77 | 0.94 |
8 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Asset-Backed Securities — Non-Agency 10.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Credit Acceptance Receivables Trust(a) | ||||
Subordinated Series 2018-4 Class F | ||||
10/13/2025 | 6.940% | 500,000 | 530,269 | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class D | ||||
3-month USD LIBOR + 6.550% 10/15/2029 | 6.787% | 500,000 | 479,251 | |
Atrium XIII(a),(b) | ||||
Series 2013A Class B | ||||
3-month USD LIBOR + 1.500% 11/21/2030 | 1.709% | 1,300,000 | 1,277,825 | |
Avant Loans Funding Trust(a) | ||||
Series 2019-A Class B | ||||
12/15/2022 | 3.800% | 319,606 | 321,097 | |
Series 2019-B Class B | ||||
10/15/2026 | 3.150% | 1,500,000 | 1,521,108 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.600% 04/20/2031 | 1.818% | 500,000 | 496,076 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class A2R | ||||
3-month USD LIBOR + 1.400% 10/15/2030 | 1.637% | 2,500,000 | 2,476,482 | |
Series 2015-4A Class A2R | ||||
3-month USD LIBOR + 1.800% 07/20/2032 | 2.018% | 600,000 | 592,577 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2019-A Class A | ||||
10/16/2023 | 3.400% | 60,604 | 60,781 | |
Series 2019-A Class B | ||||
10/16/2023 | 4.360% | 131,122 | 131,276 | |
Series 2019-B Class B | ||||
06/17/2024 | 3.620% | 900,000 | 887,831 | |
Consumer Underlying Bond Securitization(a) | ||||
Series 2018-1 Class A | ||||
02/17/2026 | 4.790% | 513,400 | 524,808 | |
Credit Suisse ABS Trust(a) | ||||
Series 2018-LD1 Class C | ||||
07/25/2024 | 5.170% | 244,634 | 246,826 | |
Dryden Senior Loan Fund(a),(b) | ||||
Series 2015-41A Class BR | ||||
3-month USD LIBOR + 1.300% Floor 1.300% 04/15/2031 | 1.537% | 335,000 | 328,130 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2020-3A Class E | ||||
08/17/2026 | 3.440% | 1,000,000 | 1,018,652 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LendingClub Receivables Trust(a) | ||||
Series 2019-1 Class A | ||||
07/17/2045 | 4.000% | 353,442 | 351,800 | |
Series 2019-11 Class A | ||||
12/15/2045 | 3.750% | 212,107 | 211,408 | |
Series 2019-3 Class A | ||||
10/15/2025 | 3.750% | 541,291 | 538,829 | |
Series 2019-7 Class A | ||||
01/15/2027 | 3.750% | 537,404 | 535,301 | |
Series 2019-8 Class A | ||||
12/15/2045 | 3.750% | 232,724 | 231,871 | |
Series 2020-1 Class A | ||||
01/16/2046 | 3.500% | 636,218 | 634,489 | |
Series 2020-2 Class A | ||||
02/15/2046 | 3.600% | 361,051 | 360,047 | |
Madison Park Funding XXII Ltd.(a),(b) | ||||
Series 2016-22A Class DR | ||||
3-month USD LIBOR + 3.500% Floor 3.500% 01/15/2033 | 3.737% | 400,000 | 396,012 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 1.968% | 600,000 | 597,694 | |
Madison Park Funding XXXII Ltd.(a),(b) | ||||
Series 2018-32A Class D | ||||
3-month USD LIBOR + 4.100% Floor 4.100% 01/22/2031 | 4.316% | 500,000 | 500,143 | |
NRZ Excess Spread-Collateralized Notes(a),(c) | ||||
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 500,000 | 501,358 | |
OHA Credit Partners XIV Ltd.(a),(b) | ||||
Series 2017-14A Class B | ||||
3-month USD LIBOR + 1.500% 01/21/2030 | 1.709% | 1,000,000 | 990,567 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2018-1A Class A | ||||
03/14/2029 | 3.300% | 855,000 | 862,758 | |
OZLM XXI(a),(b) | ||||
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 1.668% | 800,000 | 787,191 | |
Pagaya AI Debt Selection Trust(a),(c) | ||||
Series 2019-1 Class A | ||||
06/15/2026 | 3.690% | 452,330 | 457,136 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 9 |
December 31, 2020
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-3 Class A | ||||
11/16/2026 | 3.821% | 595,603 | 604,662 | |
Subordinated Series 2020-3 Class C | ||||
05/17/2027 | 6.430% | 1,200,000 | 1,206,056 | |
Prosper Marketplace Issuance Trust(a) | ||||
Subordinated Series 2017-2A Class C | ||||
09/15/2023 | 5.370% | 79,935 | 79,959 | |
Subordinated Series 2019-3A Class C | ||||
07/15/2025 | 4.940% | 1,000,000 | 978,876 | |
Theorem Funding Trust(a) | ||||
Series 2020-1A Class A | ||||
10/15/2026 | 2.480% | 504,070 | 507,397 | |
Series 2020-1A Class B | ||||
10/15/2026 | 3.950% | 150,000 | 155,230 | |
Upstart Pass-Through Trust(a) | ||||
Series 2020-ST6 Class A | ||||
01/20/2027 | 3.000% | 500,000 | 500,404 | |
Upstart Securitization Trust(a) | ||||
Subordinated Series 2018-2 Class C | ||||
12/22/2025 | 5.494% | 131,615 | 133,456 | |
Westlake Automobile Receivables Trust(a) | ||||
Subordinated Series 2019-3A Class E | ||||
03/17/2025 | 3.590% | 400,000 | 407,019 | |
Total Asset-Backed Securities — Non-Agency (Cost $23,436,216) | 23,422,652 | |||
Commercial Mortgage-Backed Securities - Non-Agency 5.8% | ||||
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class F | ||||
1-month USD LIBOR + 2.950% Floor 2.950% 10/15/2037 | 3.109% | 550,000 | 447,978 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 2.699% | 250,000 | 223,156 | |
Subordinated Series 2019-DPLO Class D | ||||
1-month USD LIBOR + 1.840% Floor 1.840% 10/15/2034 | 1.999% | 150,000 | 143,051 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 2.559% | 300,000 | 262,139 | |
BX Trust(a) | ||||
Series 2019-OC11 Class E | ||||
12/09/2041 | 4.076% | 900,000 | 898,411 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BX Trust(a),(d) | ||||
Subordinated Series 2019-OC11 Class D | ||||
12/09/2041 | 3.944% | 150,000 | 156,059 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class B | ||||
1-month USD LIBOR + 1.400% Floor 1.200% 11/15/2036 | 1.559% | 500,000 | 491,259 | |
Series 2017-CSMO Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.100% 11/15/2036 | 2.409% | 750,000 | 727,520 | |
Series 2017-CSMO Class E | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 11/15/2036 | 3.159% | 400,000 | 383,014 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 2.880% | 200,000 | 175,004 | |
Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 3.576% | 650,000 | 526,517 | |
Cold Storage Trust(a),(b) | ||||
Subordinated Series 2020-ICE5 Class F | ||||
1-month USD LIBOR + 3.493% Floor 3.333% 11/15/2023 | 3.651% | 700,000 | 697,392 | |
COMM Mortgage Trust(a),(d) | ||||
Series 2020-CBM Class F | ||||
02/10/2037 | 3.633% | 150,000 | 126,383 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 300,000 | 247,662 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 500,000 | 366,100 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 400,000 | 260,050 | |
Credit Suisse Mortgage Capital Trust(a) | ||||
Series 2014-USA Class A2 | ||||
09/15/2037 | 3.953% | 250,000 | 253,182 | |
CSMC Trust(a),(d) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.283% | 600,000 | 471,636 | |
Hilton USA Trust(a),(d) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 1,000,000 | 953,989 |
10 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 600,000 | 600,266 | |
Morgan Stanley Capital I Trust(a),(d) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 600,000 | 457,174 | |
Progress Residential Trust(a) | ||||
Series 2019-SFR1 Class E | ||||
08/17/2035 | 4.466% | 500,000 | 515,456 | |
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 650,000 | 661,587 | |
Subordinated Series 2019-SFR2 Class F | ||||
05/17/2036 | 4.837% | 630,000 | 630,663 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/18/2037 | 6.152% | 500,000 | 532,773 | |
RETL(a),(b) | ||||
Subordinated Series 2019-RVP Class C | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 03/15/2036 | 2.259% | 600,000 | 576,028 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 02/15/2032 | 1.659% | 400,000 | 392,910 | |
Series 2018-NYCH Class E | ||||
1-month USD LIBOR + 2.900% Floor 3.200% 02/15/2032 | 3.059% | 450,000 | 431,136 | |
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 | 1.934% | 400,000 | 336,047 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $13,244,605) | 12,944,542 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Energy —% | ||
Energy Equipment & Services —% | ||
Fieldwood Energy LLC(c),(e) | 8,596 | 0 |
Total Energy | 0 | |
Financials —% | ||
Diversified Financial Services —% | ||
Fairlane Management Corp.(c),(e),(f) | 2,000 | — |
Total Financials | — |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 0.0% | ||
Independent Power and Renewable Electricity Producers 0.0% | ||
Vistra Energy Corp.(e) | 10,418 | 11,460 |
Total Utilities | 11,460 | |
Total Common Stocks (Cost $200,545) | 11,460 |
Corporate Bonds & Notes 41.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.7% | ||||
Bombardier, Inc.(a) | ||||
10/15/2022 | 6.000% | 70,000 | 68,671 | |
12/01/2024 | 7.500% | 38,000 | 36,406 | |
03/15/2025 | 7.500% | 69,000 | 64,321 | |
04/15/2027 | 7.875% | 10,000 | 9,194 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 48,000 | 50,197 | |
Northrop Grumman Corp. | ||||
01/15/2028 | 3.250% | 310,000 | 350,793 | |
TransDigm, Inc. | ||||
07/15/2024 | 6.500% | 137,000 | 139,475 | |
05/15/2025 | 6.500% | 59,000 | 60,806 | |
06/15/2026 | 6.375% | 17,000 | 17,597 | |
03/15/2027 | 7.500% | 73,000 | 78,171 | |
Subordinated | ||||
11/15/2027 | 5.500% | 59,000 | 62,060 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 110,000 | 121,423 | |
03/15/2026 | 6.250% | 480,000 | 511,507 | |
Total | 1,570,621 | |||
Airlines 0.1% | ||||
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 72,000 | 83,060 | |
Delta Air Lines, Inc. | ||||
01/15/2026 | 7.375% | 21,000 | 24,060 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a) | ||||
06/20/2027 | 6.500% | 44,000 | 47,506 | |
Total | 154,626 | |||
Automotive 0.8% | ||||
American Axle & Manufacturing, Inc. | ||||
04/01/2027 | 6.500% | 8,000 | 8,420 | |
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 36,000 | 38,790 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 11 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Motor Co. | ||||
04/21/2023 | 8.500% | 49,000 | 55,102 | |
04/22/2025 | 9.000% | 30,000 | 36,787 | |
04/22/2030 | 9.625% | 9,000 | 12,729 | |
Ford Motor Credit Co. LLC | ||||
03/18/2024 | 5.584% | 99,000 | 107,093 | |
09/08/2024 | 3.664% | 147,000 | 151,243 | |
11/01/2024 | 4.063% | 120,000 | 125,937 | |
06/16/2025 | 5.125% | 265,000 | 287,935 | |
11/13/2025 | 3.375% | 63,000 | 64,371 | |
08/17/2027 | 4.125% | 287,000 | 300,038 | |
11/13/2030 | 4.000% | 30,000 | 31,520 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 89,000 | 94,340 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 218,000 | 224,192 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 156,000 | 169,250 | |
Tenneco, Inc.(a) | ||||
01/15/2029 | 7.875% | 36,000 | 40,421 | |
Total | 1,748,168 | |||
Banking 0.6% | ||||
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 270,000 | 311,839 | |
Citigroup, Inc.(g) | ||||
06/03/2031 | 2.572% | 300,000 | 319,730 | |
Goldman Sachs Group, Inc. (The) | ||||
02/07/2030 | 2.600% | 270,000 | 290,485 | |
JPMorgan Chase & Co.(g) | ||||
10/15/2030 | 2.739% | 360,000 | 391,649 | |
Total | 1,313,703 | |||
Brokerage/Asset Managers/Exchanges 0.2% | ||||
Advisor Group Holdings, Inc.(a) | ||||
08/01/2027 | 10.750% | 28,000 | 30,828 | |
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 28,000 | 28,498 | |
NFP Corp.(a) | ||||
05/15/2025 | 7.000% | 26,000 | 28,077 | |
08/15/2028 | 6.875% | 311,000 | 332,124 | |
Total | 419,527 | |||
Building Materials 0.7% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
05/15/2026 | 5.875% | 161,000 | 167,555 | |
01/15/2028 | 4.000% | 170,000 | 176,654 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 249,000 | 254,862 | |
11/15/2026 | 4.500% | 142,000 | 147,879 | |
Cemex SAB de CV(a) | ||||
11/19/2029 | 5.450% | 389,000 | 427,044 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 218,000 | 224,585 | |
CP Atlas Buyer Inc.(a) | ||||
12/01/2028 | 7.000% | 70,000 | 72,800 | |
Interface, Inc.(a) | ||||
12/01/2028 | 5.500% | 21,000 | 22,127 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 66,000 | 70,246 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 51,000 | 54,400 | |
Total | 1,618,152 | |||
Cable and Satellite 2.9% | ||||
Cable One, Inc.(a) | ||||
11/15/2030 | 4.000% | 53,000 | 55,099 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 164,000 | 173,899 | |
02/01/2028 | 5.000% | 23,000 | 24,286 | |
06/01/2029 | 5.375% | 94,000 | 103,118 | |
03/01/2030 | 4.750% | 172,000 | 185,607 | |
08/15/2030 | 4.500% | 289,000 | 307,982 | |
02/01/2031 | 4.250% | 47,000 | 49,523 | |
05/01/2032 | 4.500% | 136,000 | 145,188 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 30,000 | 37,540 | |
03/01/2050 | 4.800% | 565,000 | 671,045 | |
04/01/2061 | 3.850% | 35,000 | 35,326 | |
Comcast Corp. | ||||
01/15/2051 | 2.800% | 90,000 | 93,739 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 338,000 | 361,175 | |
02/01/2029 | 6.500% | 275,000 | 310,203 | |
01/15/2030 | 5.750% | 117,000 | 128,240 | |
12/01/2030 | 4.125% | 40,000 | 41,800 | |
12/01/2030 | 4.625% | 224,000 | 234,287 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 165,000 | 172,920 | |
07/01/2026 | 7.750% | 373,000 | 417,548 | |
07/01/2028 | 7.375% | 78,000 | 83,373 | |
Quebecor Media, Inc. | ||||
Subordinated | ||||
01/15/2023 | 5.750% | 199,000 | 214,781 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 84,000 | 86,620 | |
09/15/2028 | 6.500% | 162,000 | 171,149 |
12 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 40,000 | 41,464 | |
07/15/2026 | 5.375% | 22,000 | 22,986 | |
07/01/2029 | 5.500% | 51,000 | 56,226 | |
07/01/2030 | 4.125% | 211,000 | 224,571 | |
Sky PLC(a) | ||||
09/16/2024 | 3.750% | 750,000 | 835,482 | |
Viasat, Inc.(a) | ||||
04/15/2027 | 5.625% | 32,000 | 33,638 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 247,000 | 257,157 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 155,000 | 168,159 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 217,000 | 228,873 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 172,000 | 180,845 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 257,000 | 269,363 | |
Total | 6,423,212 | |||
Chemicals 0.9% | ||||
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 109,000 | 109,820 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 116,000 | 117,802 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 88,000 | 88,370 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 90,000 | 95,632 | |
Braskem Netherlands Finance BV(a) | ||||
01/31/2030 | 4.500% | 400,000 | 411,941 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 169,000 | 173,881 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 52,000 | 53,404 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 13,000 | 14,365 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 117,000 | 118,727 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 135,000 | 135,662 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 100,000 | 110,227 | |
Minerals Technologies, Inc.(a) | ||||
07/01/2028 | 5.000% | 61,000 | 63,888 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PQ Corp.(a) | ||||
12/15/2025 | 5.750% | 117,000 | 119,979 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 67,000 | 69,073 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 174,000 | 185,495 | |
WR Grace & Co.(a) | ||||
06/15/2027 | 4.875% | 159,000 | 169,068 | |
Total | 2,037,334 | |||
Construction Machinery 0.2% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 165,000 | 166,724 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 78,000 | 83,329 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 28,000 | 28,801 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 145,000 | 153,458 | |
07/15/2030 | 4.000% | 35,000 | 36,900 | |
02/15/2031 | 3.875% | 62,000 | 65,148 | |
Total | 534,360 | |||
Consumer Cyclical Services 0.6% | ||||
APX Group, Inc. | ||||
12/01/2022 | 7.875% | 260,000 | 260,522 | |
09/01/2023 | 7.625% | 224,000 | 232,515 | |
11/01/2024 | 8.500% | 144,000 | 151,758 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 42,000 | 42,544 | |
12/01/2028 | 6.125% | 25,000 | 25,812 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 120,000 | 124,912 | |
Expedia Group, Inc.(a) | ||||
05/01/2025 | 6.250% | 14,000 | 16,237 | |
05/01/2025 | 7.000% | 7,000 | 7,682 | |
Frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 105,000 | 112,111 | |
Match Group, Inc.(a) | ||||
06/01/2028 | 4.625% | 57,000 | 59,763 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 92,000 | 95,981 | |
04/15/2027 | 10.750% | 19,000 | 18,884 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 152,000 | 164,065 | |
01/15/2028 | 6.250% | 65,000 | 70,682 | |
Total | 1,383,468 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 13 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Products 0.5% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 88,000 | 94,202 | |
Energizer Holdings, Inc.(a) | ||||
01/15/2027 | 7.750% | 73,000 | 81,114 | |
03/31/2029 | 4.375% | 59,000 | 61,092 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 77,000 | 85,491 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 73,000 | 80,153 | |
Newell Brands, Inc. | ||||
06/01/2025 | 4.875% | 31,000 | 34,067 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 115,000 | 117,549 | |
01/15/2028 | 5.125% | 37,000 | 39,394 | |
Scotts Miracle-Gro Co. (The) | ||||
10/15/2029 | 4.500% | 33,000 | 35,511 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 59,000 | 60,916 | |
Valvoline, Inc. | ||||
08/15/2025 | 4.375% | 101,000 | 104,319 | |
Valvoline, Inc.(a) | ||||
02/15/2030 | 4.250% | 241,000 | 255,734 | |
Total | 1,049,542 | |||
Diversified Manufacturing 0.6% | ||||
BWX Technologies, Inc.(a) | ||||
07/15/2026 | 5.375% | 25,000 | 25,963 | |
06/30/2028 | 4.125% | 74,000 | 77,053 | |
Carrier Global Corp. | ||||
04/05/2040 | 3.377% | 185,000 | 202,856 | |
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 23,000 | 23,834 | |
02/15/2026 | 6.375% | 53,000 | 56,684 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 195,000 | 205,416 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 34,000 | 36,869 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 185,000 | 195,112 | |
TriMas Corp.(a) | ||||
10/15/2025 | 4.875% | 38,000 | 38,950 | |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 77,000 | 84,029 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 37,000 | 39,150 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 84,000 | 86,122 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 139,000 | 152,828 | |
06/15/2028 | 7.250% | 76,000 | 86,343 | |
Total | 1,311,209 | |||
Electric 4.5% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 435,000 | 494,838 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 35,000 | 36,225 | |
02/15/2028 | 4.500% | 108,000 | 112,799 | |
03/15/2028 | 5.125% | 99,000 | 104,252 | |
02/01/2029 | 4.625% | 21,000 | 21,554 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 68,000 | 71,655 | |
09/15/2026 | 5.000% | 59,000 | 61,254 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 230,000 | 246,271 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 600,000 | 653,697 | |
02/15/2027 | 2.950% | 165,000 | 178,933 | |
03/31/2043 | 4.700% | 80,000 | 102,508 | |
Consolidated Edison Co. of New York, Inc. | ||||
04/01/2050 | 3.950% | 50,000 | 60,867 | |
DTE Energy Co. | ||||
06/01/2024 | 3.500% | 340,000 | 369,203 | |
10/01/2026 | 2.850% | 1,220,000 | 1,339,830 | |
Duke Energy Corp. | ||||
06/01/2030 | 2.450% | 760,000 | 809,788 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 675,000 | 861,885 | |
Eversource Energy | ||||
01/15/2028 | 3.300% | 170,000 | 190,761 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 125,000 | 158,437 | |
01/30/2050 | 3.700% | 80,000 | 97,048 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 186,000 | 222,132 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 50,000 | 53,610 | |
09/15/2027 | 4.500% | 389,000 | 433,861 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 41,000 | 43,322 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 75,000 | 76,765 | |
06/15/2029 | 5.250% | 151,000 | 165,988 | |
02/15/2031 | 3.625% | 145,000 | 149,237 |
14 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pattern Energy Operations LP/Inc.(a) | ||||
08/15/2028 | 4.500% | 41,000 | 43,294 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 75,000 | 80,127 | |
Progress Energy, Inc. | ||||
04/01/2022 | 3.150% | 382,000 | 392,131 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 572,000 | 719,678 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 97,000 | 108,934 | |
01/15/2030 | 4.750% | 130,000 | 139,728 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 76,000 | 80,796 | |
07/31/2027 | 5.000% | 184,000 | 196,006 | |
Xcel Energy, Inc. | ||||
06/01/2030 | 3.400% | 1,100,000 | 1,263,997 | |
Total | 10,141,411 | |||
Environmental 0.3% | ||||
Clean Harbors, Inc.(a) | ||||
07/15/2027 | 4.875% | 26,000 | 27,452 | |
07/15/2029 | 5.125% | 18,000 | 19,682 | |
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 135,000 | 140,360 | |
08/01/2025 | 3.750% | 99,000 | 101,509 | |
12/15/2026 | 5.125% | 85,000 | 90,549 | |
05/01/2027 | 8.500% | 45,000 | 50,075 | |
08/01/2028 | 4.000% | 79,000 | 79,703 | |
09/01/2028 | 3.500% | 167,000 | 169,970 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 80,000 | 81,566 | |
Total | 760,866 | |||
Finance Companies 1.3% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 1,420,000 | 1,694,737 | |
Global Aircraft Leasing Co., Ltd.(a),(h) | ||||
09/15/2024 | 6.500% | 76,682 | 68,431 | |
Navient Corp. | ||||
07/26/2021 | 6.625% | 43,000 | 44,044 | |
06/15/2022 | 6.500% | 166,000 | 175,178 | |
01/25/2023 | 5.500% | 62,000 | 65,123 | |
09/25/2023 | 7.250% | 46,000 | 50,466 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 186,000 | 188,296 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 107,000 | 109,141 | |
03/01/2031 | 3.875% | 182,000 | 188,736 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SLM Corp. | ||||
10/29/2025 | 4.200% | 67,000 | 70,835 | |
Springleaf Finance Corp. | ||||
05/15/2022 | 6.125% | 46,000 | 48,813 | |
03/15/2023 | 5.625% | 52,000 | 56,040 | |
03/15/2024 | 6.125% | 137,000 | 149,799 | |
03/15/2025 | 6.875% | 35,000 | 40,687 | |
Total | 2,950,326 | |||
Food and Beverage 2.6% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 1,102,000 | 1,431,901 | |
Aramark Services, Inc.(a) | ||||
05/01/2025 | 6.375% | 30,000 | 32,063 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 670,000 | 925,513 | |
Chobani LLC/Finance Corp., Inc.(a) | ||||
11/15/2028 | 4.625% | 43,000 | 43,633 | |
Conagra Brands, Inc. | ||||
11/01/2048 | 5.400% | 330,000 | 470,625 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 296,000 | 304,085 | |
JBS USA LUX SA/USA Finance, Inc.(a) | ||||
02/15/2028 | 6.750% | 80,000 | 89,652 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 1,141,000 | 1,229,625 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 33,000 | 34,496 | |
11/01/2026 | 4.875% | 76,000 | 79,361 | |
05/15/2028 | 4.875% | 36,000 | 40,402 | |
Mondelez International, Inc. | ||||
04/13/2030 | 2.750% | 150,000 | 164,727 | |
Performance Food Group, Inc.(a) | ||||
05/01/2025 | 6.875% | 68,000 | 72,828 | |
10/15/2027 | 5.500% | 94,000 | 99,158 | |
Pilgrim’s Pride Corp.(a) | ||||
03/15/2025 | 5.750% | 108,000 | 110,825 | |
09/30/2027 | 5.875% | 134,000 | 145,276 | |
Post Holdings, Inc.(a) | ||||
08/15/2026 | 5.000% | 169,000 | 174,759 | |
03/01/2027 | 5.750% | 252,000 | 266,898 | |
01/15/2028 | 5.625% | 33,000 | 35,251 | |
04/15/2030 | 4.625% | 180,000 | 189,332 | |
Total | 5,940,410 | |||
Gaming 1.2% | ||||
Boyd Gaming Corp.(a) | ||||
06/01/2025 | 8.625% | 79,000 | 87,782 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 15 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 104,000 | 107,885 | |
08/15/2026 | 6.000% | 58,000 | 60,361 | |
12/01/2027 | 4.750% | 74,000 | 76,813 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 129,000 | 130,218 | |
CCM Merger, Inc.(a) | ||||
05/01/2026 | 6.375% | 89,000 | 93,970 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 95,000 | 100,618 | |
07/01/2025 | 6.250% | 183,000 | 194,853 | |
07/01/2027 | 8.125% | 121,000 | 133,926 | |
International Game Technology PLC(a) | ||||
02/15/2022 | 6.250% | 139,000 | 142,526 | |
02/15/2025 | 6.500% | 144,000 | 161,029 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 1,000 | 1,085 | |
09/01/2026 | 4.500% | 151,000 | 162,713 | |
02/01/2027 | 5.750% | 46,000 | 51,589 | |
01/15/2028 | 4.500% | 161,000 | 171,475 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
06/15/2025 | 4.625% | 54,000 | 57,812 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 242,000 | 249,585 | |
03/15/2026 | 8.250% | 121,000 | 130,311 | |
05/15/2028 | 7.000% | 56,000 | 60,120 | |
11/15/2029 | 7.250% | 174,000 | 190,697 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 52,000 | 54,808 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 61,000 | 63,323 | |
02/15/2027 | 3.750% | 38,000 | 38,846 | |
12/01/2029 | 4.625% | 48,000 | 51,587 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 69,000 | 72,040 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 20,000 | 21,654 | |
Total | 2,667,626 | |||
Health Care 2.4% | ||||
Acadia Healthcare Co., Inc. | ||||
03/01/2024 | 6.500% | 125,000 | 127,958 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 19,000 | 20,427 | |
04/15/2029 | 5.000% | 82,000 | 87,495 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 108,000 | 114,886 | |
Becton Dickinson and Co. | ||||
05/20/2030 | 2.823% | 515,000 | 566,361 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 272,000 | 276,873 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 74,000 | 77,471 | |
05/01/2028 | 4.250% | 27,000 | 28,339 | |
CHS/Community Health Systems, Inc.(a) | ||||
02/15/2025 | 6.625% | 93,000 | 97,894 | |
03/15/2026 | 8.000% | 99,000 | 107,003 | |
03/15/2027 | 5.625% | 35,000 | 37,603 | |
01/15/2029 | 6.000% | 17,000 | 18,350 | |
Cigna Corp. | ||||
12/15/2048 | 4.900% | 235,000 | 323,157 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 785,000 | 1,061,337 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 62,000 | 64,954 | |
02/01/2030 | 4.750% | 74,000 | 79,206 | |
04/01/2031 | 4.625% | 5,000 | 5,302 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 92,000 | 103,386 | |
09/01/2028 | 5.625% | 186,000 | 219,403 | |
02/01/2029 | 5.875% | 104,000 | 125,217 | |
09/01/2030 | 3.500% | 106,000 | 112,077 | |
Hologic, Inc.(a) | ||||
02/01/2028 | 4.625% | 75,000 | 79,678 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 95,000 | 101,078 | |
Ortho-Clinical Diagnostics, Inc./SA(a) | ||||
06/01/2025 | 7.375% | 68,000 | 72,206 | |
02/01/2028 | 7.250% | 25,000 | 26,373 | |
RP Escrow Issuer LLC(a) | ||||
12/15/2025 | 5.250% | 81,000 | 84,630 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 159,000 | 170,997 | |
Surgery Center Holdings, Inc.(a) | ||||
07/01/2025 | 6.750% | 110,000 | 112,113 | |
04/15/2027 | 10.000% | 83,000 | 91,339 | |
Syneos Health, Inc.(a) | ||||
01/15/2029 | 3.625% | 43,000 | 43,105 | |
Teleflex, Inc. | ||||
06/01/2026 | 4.875% | 57,000 | 59,333 | |
11/15/2027 | 4.625% | 53,000 | 56,957 | |
Teleflex, Inc.(a) | ||||
06/01/2028 | 4.250% | 28,000 | 29,762 | |
Tenet Healthcare Corp.(a) | ||||
04/01/2025 | 7.500% | 79,000 | 86,456 | |
02/01/2027 | 6.250% | 148,000 | 156,019 | |
11/01/2027 | 5.125% | 194,000 | 205,655 | |
06/15/2028 | 4.625% | 29,000 | 30,509 |
16 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
10/01/2028 | 6.125% | 285,000 | 296,747 | |
Total | 5,357,656 | |||
Healthcare Insurance 0.3% | ||||
Centene Corp. | ||||
12/15/2027 | 4.250% | 144,000 | 153,267 | |
12/15/2029 | 4.625% | 97,000 | 107,567 | |
02/15/2030 | 3.375% | 119,000 | 125,166 | |
10/15/2030 | 3.000% | 184,000 | 194,454 | |
Total | 580,454 | |||
Home Construction 0.3% | ||||
Lennar Corp. | ||||
11/29/2027 | 4.750% | 111,000 | 131,201 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 44,000 | 46,728 | |
06/06/2027 | 5.125% | 93,000 | 103,904 | |
Shea Homes LP/Funding Corp.(a) | ||||
02/15/2028 | 4.750% | 110,000 | 113,717 | |
04/01/2029 | 4.750% | 12,000 | 12,374 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 52,000 | 58,857 | |
08/01/2030 | 5.125% | 165,000 | 184,769 | |
TRI Pointe Group, Inc. | ||||
06/15/2028 | 5.700% | 21,000 | 23,731 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 35,000 | 38,131 | |
Total | 713,412 | |||
Independent Energy 1.9% | ||||
Apache Corp. | ||||
11/15/2025 | 4.625% | 48,000 | 50,549 | |
11/15/2027 | 4.875% | 117,000 | 123,844 | |
01/15/2030 | 4.250% | 30,000 | 31,460 | |
02/01/2042 | 5.250% | 25,000 | 26,929 | |
04/15/2043 | 4.750% | 11,000 | 11,410 | |
01/15/2044 | 4.250% | 79,000 | 77,915 | |
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 14,000 | 8,021 | |
07/01/2026 | 6.375% | 252,000 | 130,392 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 11,000 | 7,111 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 122,000 | 131,055 | |
01/15/2029 | 6.000% | 33,000 | 33,852 | |
Comstock Resources, Inc. | ||||
08/15/2026 | 9.750% | 26,000 | 28,170 | |
08/15/2026 | 9.750% | 23,000 | 24,541 | |
Continental Resources, Inc.(a) | ||||
01/15/2031 | 5.750% | 80,000 | 88,826 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 197,000 | 200,958 | |
Double Eagle III Midco 1 LLC/Finance Corp.(a) | ||||
12/15/2025 | 7.750% | 168,000 | 178,003 | |
Encana Corp. | ||||
08/15/2034 | 6.500% | 5,000 | 5,755 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
07/15/2025 | 6.625% | 33,000 | 35,360 | |
01/30/2028 | 5.750% | 113,000 | 121,562 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 126,000 | 124,939 | |
01/15/2029 | 5.000% | 70,000 | 73,778 | |
EQT Corp.(g) | ||||
02/01/2030 | 8.750% | 118,000 | 144,774 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 95,000 | 95,759 | |
11/01/2028 | 6.250% | 54,000 | 55,243 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 201,000 | 196,905 | |
Newfield Exploration Co. | ||||
07/01/2024 | 5.625% | 14,000 | 14,982 | |
01/01/2026 | 5.375% | 73,000 | 78,312 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 125,000 | 177,170 | |
Occidental Petroleum Corp. | ||||
08/15/2024 | 2.900% | 282,000 | 271,802 | |
07/15/2025 | 8.000% | 151,000 | 171,797 | |
04/15/2026 | 3.400% | 178,000 | 169,680 | |
08/15/2029 | 3.500% | 70,000 | 64,023 | |
09/01/2030 | 6.625% | 190,000 | 206,202 | |
01/01/2031 | 6.125% | 26,000 | 27,833 | |
04/15/2046 | 4.400% | 306,000 | 266,054 | |
Ovintiv, Inc. | ||||
11/01/2031 | 7.200% | 10,000 | 11,757 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
10/15/2027 | 5.625% | 78,000 | 85,403 | |
02/15/2028 | 4.125% | 73,000 | 77,824 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 70,000 | 76,787 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 32,000 | 26,454 | |
09/15/2026 | 6.750% | 85,000 | 69,257 | |
01/15/2027 | 6.625% | 142,000 | 112,537 | |
Tullow Oil PLC(a) | ||||
03/01/2025 | 7.000% | 200,000 | 131,826 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 107,000 | 116,488 | |
01/15/2030 | 4.500% | 107,000 | 113,481 | |
Total | 4,276,780 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 17 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
07/15/2025 | 5.375% | 142,000 | 160,070 | |
04/15/2027 | 4.250% | 20,000 | 21,749 | |
11/15/2039 | 6.750% | 70,000 | 91,247 | |
Total | 273,066 | |||
Leisure 0.5% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 61,000 | 66,451 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp. | ||||
06/01/2024 | 5.375% | 61,000 | 61,340 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 81,000 | 84,617 | |
10/01/2028 | 6.500% | 46,000 | 49,795 | |
Cinemark USA, Inc. | ||||
06/01/2023 | 4.875% | 274,000 | 261,438 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 104,000 | 113,435 | |
Live Nation Entertainment, Inc.(a) | ||||
05/15/2027 | 6.500% | 49,000 | 54,820 | |
NCL Corp Ltd.(a) | ||||
03/15/2026 | 5.875% | 41,000 | 43,028 | |
Royal Caribbean Cruises Ltd. | ||||
11/15/2022 | 5.250% | 93,000 | 93,612 | |
03/15/2028 | 3.700% | 81,000 | 71,834 | |
Royal Caribbean Cruises Ltd.(a) | ||||
06/15/2023 | 9.125% | 127,000 | 138,109 | |
Silversea Cruise Finance Ltd.(a) | ||||
02/01/2025 | 7.250% | 55,000 | 56,960 | |
Six Flags Entertainment Corp.(a) | ||||
07/31/2024 | 4.875% | 75,000 | 75,075 | |
Vail Resorts, Inc.(a) | ||||
05/15/2025 | 6.250% | 17,000 | 18,226 | |
Viking Cruises Ltd.(a) | ||||
05/15/2025 | 13.000% | 20,000 | 23,980 | |
VOC Escrow Ltd.(a) | ||||
02/15/2028 | 5.000% | 21,000 | 20,727 | |
Total | 1,233,447 | |||
Life Insurance 1.9% | ||||
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 1,089,000 | 1,207,660 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 389,000 | 531,092 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
04/01/2077 | 4.900% | 300,000 | 414,312 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 1,230,000 | 1,363,569 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 340,000 | 458,511 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 170,000 | 214,710 | |
Total | 4,189,854 | |||
Lodging 0.2% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 39,000 | 41,669 | |
05/01/2028 | 5.750% | 43,000 | 46,948 | |
Hilton Domestic Operating Co., Inc. | ||||
05/01/2026 | 5.125% | 113,000 | 117,206 | |
Marriott Ownership Resorts, Inc. | ||||
01/15/2028 | 4.750% | 11,000 | 11,173 | |
Wyndham Hotels & Resorts, Inc.(a) | ||||
04/15/2026 | 5.375% | 48,000 | 49,598 | |
08/15/2028 | 4.375% | 170,000 | 176,711 | |
Total | 443,305 | |||
Media and Entertainment 1.2% | ||||
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 120,000 | 126,382 | |
Clear Channel Worldwide Holdings, Inc. | ||||
02/15/2024 | 9.250% | 102,000 | 103,392 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 201,000 | 205,541 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 37,000 | 30,066 | |
08/15/2027 | 6.625% | 49,000 | 29,641 | |
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 362,000 | 479,787 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 47,791 | 51,048 | |
05/01/2027 | 8.375% | 218,130 | 232,639 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 29,000 | 30,561 | |
01/15/2028 | 4.750% | 116,000 | 119,015 | |
Lamar Media Corp. | ||||
02/15/2028 | 3.750% | 39,000 | 40,080 | |
01/15/2029 | 4.875% | 80,000 | 85,154 | |
02/15/2030 | 4.000% | 24,000 | 24,898 |
18 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Netflix, Inc. | ||||
02/15/2025 | 5.875% | 24,000 | 27,552 | |
04/15/2028 | 4.875% | 194,000 | 218,817 | |
11/15/2028 | 5.875% | 160,000 | 191,693 | |
05/15/2029 | 6.375% | 17,000 | 21,083 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 53,000 | 62,416 | |
06/15/2030 | 4.875% | 81,000 | 93,264 | |
Nexstar Broadcasting, Inc.(a) | ||||
11/01/2028 | 4.750% | 49,000 | 51,306 | |
Nielsen Finance LLC/Co.(a) | ||||
10/01/2028 | 5.625% | 67,000 | 72,856 | |
10/01/2030 | 5.875% | 26,000 | 29,418 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 85,000 | 87,209 | |
03/15/2030 | 4.625% | 125,000 | 127,397 | |
Scripps Escrow II, Inc.(a) | ||||
01/15/2029 | 3.875% | 21,000 | 21,850 | |
01/15/2031 | 5.375% | 41,000 | 43,005 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 30,000 | 31,345 | |
TEGNA, Inc.(a) | ||||
03/15/2026 | 4.750% | 35,000 | 37,299 | |
TEGNA, Inc. | ||||
09/15/2029 | 5.000% | 73,000 | 77,125 | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 55,000 | 58,560 | |
Total | 2,810,399 | |||
Metals and Mining 1.0% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 9,000 | 9,377 | |
09/30/2026 | 7.000% | 108,000 | 115,284 | |
Constellium NV(a) | ||||
05/15/2024 | 5.750% | 38,000 | 38,751 | |
03/01/2025 | 6.625% | 61,000 | 62,325 | |
02/15/2026 | 5.875% | 295,000 | 302,615 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 107,000 | 115,046 | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 139,000 | 154,508 | |
08/01/2030 | 4.625% | 111,000 | 122,289 | |
03/15/2043 | 5.450% | 294,000 | 366,104 | |
Hudbay Minerals, Inc.(a) | ||||
01/15/2025 | 7.625% | 118,000 | 122,805 | |
04/01/2029 | 6.125% | 308,000 | 333,071 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Novelis Corp.(a) | ||||
09/30/2026 | 5.875% | 269,000 | 281,725 | |
01/30/2030 | 4.750% | 118,000 | 127,165 | |
Total | 2,151,065 | |||
Midstream 3.2% | ||||
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 91,000 | 94,925 | |
10/01/2029 | 4.500% | 107,000 | 113,084 | |
Cheniere Energy, Inc.(a) | ||||
10/15/2028 | 4.625% | 118,000 | 124,305 | |
DCP Midstream Operating LP | ||||
05/15/2029 | 5.125% | 93,000 | 103,214 | |
04/01/2044 | 5.600% | 208,000 | 214,357 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 118,000 | 115,926 | |
Enterprise Products Operating LLC | ||||
01/31/2060 | 3.950% | 285,000 | 318,063 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 51,000 | 55,815 | |
07/01/2027 | 6.500% | 48,000 | 53,998 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
09/30/2040 | 3.250% | 200,000 | 211,187 | |
Genesis Energy LP/Finance Corp. | ||||
10/01/2025 | 6.500% | 11,000 | 10,691 | |
02/01/2028 | 7.750% | 47,000 | 45,075 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
02/01/2028 | 5.000% | 98,000 | 98,756 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 835,000 | 987,177 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 305,000 | 371,474 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 230,000 | 273,148 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 107,000 | 113,679 | |
06/01/2026 | 6.000% | 45,000 | 48,646 | |
04/28/2027 | 5.625% | 97,000 | 103,510 | |
10/01/2030 | 6.375% | 51,000 | 57,688 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 836,000 | 870,893 | |
Rockies Express Pipeline LLC(a) | ||||
05/15/2025 | 3.600% | 279,000 | 287,371 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 157,000 | 157,441 | |
Sunoco LP/Finance Corp. | ||||
02/15/2026 | 5.500% | 165,000 | 169,791 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 19 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sunoco LP/Finance Corp.(a) | ||||
05/15/2029 | 4.500% | 35,000 | 36,379 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 6.000% | 26,000 | 26,949 | |
01/15/2028 | 5.500% | 50,000 | 51,062 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 67,000 | 70,375 | |
01/15/2028 | 5.000% | 28,000 | 29,538 | |
03/01/2030 | 5.500% | 386,000 | 418,727 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
02/01/2031 | 4.875% | 83,000 | 90,349 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 94,000 | 94,690 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 580,000 | 568,936 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 676,000 | 841,339 | |
Total | 7,228,558 | |||
Natural Gas 0.8% | ||||
NiSource, Inc. | ||||
05/01/2030 | 3.600% | 320,000 | 370,865 | |
02/15/2043 | 5.250% | 55,000 | 75,285 | |
05/15/2047 | 4.375% | 605,000 | 770,556 | |
Sempra Energy | ||||
06/15/2027 | 3.250% | 450,000 | 502,215 | |
Total | 1,718,921 | |||
Oil Field Services 0.2% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 84,000 | 84,454 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 68,000 | 70,785 | |
Nabors Industries Ltd.(a) | ||||
01/15/2028 | 7.500% | 40,000 | 27,344 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 249,772 | 227,292 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 48,000 | 51,090 | |
Total | 460,965 | |||
Other Industry 0.0% | ||||
Booz Allen Hamilton, Inc.(a) | ||||
09/01/2028 | 3.875% | 54,000 | 55,702 | |
Hillenbrand, Inc. | ||||
06/15/2025 | 5.750% | 20,000 | 21,720 | |
Total | 77,422 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Other REIT 0.2% | ||||
Hospitality Properties Trust | ||||
03/15/2024 | 4.650% | 57,000 | 56,483 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
03/15/2022 | 5.250% | 80,000 | 80,461 | |
10/01/2025 | 5.250% | 201,000 | 200,081 | |
02/01/2027 | 4.250% | 10,000 | 9,834 | |
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) | ||||
10/01/2028 | 5.875% | 108,000 | 115,372 | |
Service Properties Trust | ||||
10/01/2024 | 4.350% | 26,000 | 25,750 | |
Total | 487,981 | |||
Packaging 0.6% | ||||
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
02/15/2025 | 6.000% | 107,000 | 110,850 | |
08/15/2026 | 4.125% | 205,000 | 213,856 | |
08/15/2027 | 5.250% | 148,000 | 154,847 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 50,000 | 53,682 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 34,000 | 34,483 | |
Berry Global, Inc.(a) | ||||
02/15/2026 | 4.500% | 82,000 | 83,937 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 152,000 | 154,870 | |
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 60,000 | 60,605 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 114,000 | 120,459 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 29,000 | 29,485 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
08/15/2023 | 5.875% | 27,000 | 28,902 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 159,000 | 168,032 | |
08/15/2027 | 8.500% | 61,000 | 67,274 | |
Total | 1,281,282 | |||
Pharmaceuticals 1.4% | ||||
AbbVie, Inc. | ||||
06/15/2044 | 4.850% | 170,000 | 224,360 | |
11/21/2049 | 4.250% | 630,000 | 792,412 | |
Amgen, Inc. | ||||
02/21/2050 | 3.375% | 265,000 | 295,768 |
20 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 10,000 | 10,283 | |
04/15/2025 | 6.125% | 399,000 | 411,100 | |
04/01/2026 | 9.250% | 145,000 | 161,918 | |
01/31/2027 | 8.500% | 103,000 | 114,603 | |
01/30/2028 | 5.000% | 50,000 | 51,492 | |
02/15/2029 | 5.000% | 43,000 | 44,210 | |
02/15/2029 | 6.250% | 100,000 | 108,518 | |
01/30/2030 | 5.250% | 50,000 | 52,418 | |
02/15/2031 | 5.250% | 65,000 | 67,895 | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 95,000 | 96,355 | |
07/15/2027 | 5.000% | 14,000 | 14,779 | |
Emergent BioSolutions, Inc.(a) | ||||
08/15/2028 | 3.875% | 23,000 | 23,811 | |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
07/31/2027 | 9.500% | 64,000 | 71,310 | |
06/30/2028 | 6.000% | 140,000 | 116,484 | |
Jaguar Holding Co. II/PPD Development LP(a) | ||||
06/15/2025 | 4.625% | 39,000 | 41,142 | |
06/15/2028 | 5.000% | 131,000 | 140,980 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 234,000 | 252,686 | |
Total | 3,092,524 | |||
Property & Casualty 0.3% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 91,000 | 92,676 | |
10/15/2027 | 6.750% | 184,000 | 196,509 | |
AssuredPartners, Inc.(a) | ||||
01/15/2029 | 5.625% | 101,000 | 105,315 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 147,000 | 153,675 | |
MGIC Investment Corp. | ||||
08/15/2028 | 5.250% | 16,000 | 17,111 | |
Radian Group, Inc. | ||||
03/15/2025 | 6.625% | 6,000 | 6,802 | |
03/15/2027 | 4.875% | 38,000 | 41,723 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 39,000 | 39,989 | |
Total | 653,800 | |||
Railroads 0.0% | ||||
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 51,000 | 62,814 | |
Restaurants 0.3% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 67,000 | 71,829 | |
01/15/2028 | 3.875% | 39,000 | 39,698 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Golden Nugget, Inc.(a) | ||||
10/15/2024 | 6.750% | 28,000 | 27,762 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 169,000 | 184,389 | |
02/15/2026 | 6.750% | 199,000 | 205,966 | |
Yum! Brands, Inc.(a) | ||||
04/01/2025 | 7.750% | 13,000 | 14,399 | |
01/15/2030 | 4.750% | 100,000 | 109,540 | |
Yum! Brands, Inc. | ||||
03/15/2031 | 3.625% | 72,000 | 72,981 | |
Total | 726,564 | |||
Retailers 0.5% | ||||
Asbury Automotive Group, Inc. | ||||
03/01/2028 | 4.500% | 19,000 | 19,848 | |
03/01/2030 | 4.750% | 12,000 | 12,833 | |
Burlington Coat Factory Warehouse Corp.(a) | ||||
04/15/2025 | 6.250% | 46,000 | 49,015 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 33,000 | 33,982 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 6.875% | 69,000 | 74,872 | |
07/01/2025 | 9.375% | 21,000 | 25,779 | |
10/01/2030 | 6.625% | 35,000 | 38,671 | |
L Brands, Inc. | ||||
02/01/2028 | 5.250% | 41,000 | 42,749 | |
06/15/2029 | 7.500% | 23,000 | 25,544 | |
11/01/2035 | 6.875% | 93,000 | 104,326 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 305,000 | 381,324 | |
Michaels Stores, Inc.(a) | ||||
07/15/2027 | 8.000% | 22,000 | 23,804 | |
Penske Automotive Group, Inc. | ||||
09/01/2025 | 3.500% | 29,000 | 29,483 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 154,000 | 154,006 | |
06/01/2025 | 5.875% | 65,000 | 66,677 | |
Total | 1,082,913 | |||
Supermarkets 0.2% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC | ||||
03/15/2025 | 5.750% | 18,000 | 18,550 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 7.500% | 44,000 | 49,127 | |
02/15/2028 | 5.875% | 92,000 | 100,127 | |
03/15/2029 | 3.500% | 28,000 | 28,317 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 21 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 139,000 | 141,162 | |
01/15/2027 | 4.625% | 19,000 | 20,188 | |
02/15/2030 | 4.875% | 44,000 | 48,418 | |
SEG Holding LLC/Finance Corp.(a) | ||||
10/15/2028 | 5.625% | 30,000 | 31,681 | |
Total | 437,570 | |||
Technology 2.6% | ||||
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 92,000 | 94,906 | |
08/01/2025 | 6.875% | 78,000 | 80,298 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 19,000 | 20,517 | |
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 137,000 | 140,176 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 27,000 | 29,296 | |
03/01/2026 | 9.125% | 16,000 | 17,213 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 870,000 | 976,038 | |
Broadcom, Inc. | ||||
11/15/2030 | 4.150% | 175,000 | 202,351 | |
BY Crown Parent LLC/Bond Finance, Inc.(a) | ||||
01/31/2026 | 4.250% | 29,000 | 29,770 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 54,000 | 56,392 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 57,000 | 60,264 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 77,000 | 78,725 | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 89,000 | 93,948 | |
10/01/2030 | 3.750% | 97,000 | 102,136 | |
Iron Mountain, Inc.(a) | ||||
07/15/2028 | 5.000% | 61,000 | 64,647 | |
09/15/2029 | 4.875% | 39,000 | 41,140 | |
07/15/2030 | 5.250% | 154,000 | 166,669 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 175,000 | 183,247 | |
Microchip Technology, Inc.(a) | ||||
09/01/2025 | 4.250% | 77,000 | 81,391 | |
MSCI, Inc.(a) | ||||
08/01/2026 | 4.750% | 36,000 | 37,515 | |
NCR Corp.(a) | ||||
04/15/2025 | 8.125% | 56,000 | 62,280 | |
10/01/2028 | 5.000% | 167,000 | 175,913 | |
09/01/2029 | 6.125% | 67,000 | 74,315 | |
10/01/2030 | 5.250% | 66,000 | 70,901 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2030 | 3.400% | 90,000 | 102,245 | |
Oracle Corp. | ||||
04/01/2050 | 3.600% | 575,000 | 671,233 | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 397,000 | 398,282 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 21,000 | 21,609 | |
02/15/2028 | 4.000% | 63,000 | 66,092 | |
QualityTech LP/QTS Finance Corp.(a) | ||||
10/01/2028 | 3.875% | 160,000 | 162,803 | |
Refinitiv US Holdings, Inc.(a) | ||||
05/15/2026 | 6.250% | 250,000 | 266,479 | |
11/15/2026 | 8.250% | 113,000 | 123,578 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 21,000 | 25,032 | |
09/01/2025 | 7.375% | 113,000 | 122,926 | |
Sensata Technologies, Inc.(a) | ||||
02/15/2030 | 4.375% | 41,000 | 44,301 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 102,000 | 105,652 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 50,000 | 51,859 | |
Switch Ltd.(a) | ||||
09/15/2028 | 3.750% | 33,000 | 33,590 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 43,000 | 45,659 | |
06/01/2025 | 6.750% | 79,000 | 81,511 | |
Tencent Holdings Ltd.(a) | ||||
06/03/2050 | 3.240% | 400,000 | 415,264 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 151,000 | 164,135 | |
Total | 5,842,298 | |||
Transportation Services 0.4% | ||||
Adani Ports & Special Economic Zone Ltd.(a) | ||||
07/03/2029 | 4.375% | 200,000 | 217,074 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 41,000 | 41,459 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 385,000 | 491,586 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 50,000 | 50,129 | |
Total | 800,248 | |||
Wireless 1.1% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 208,000 | 211,598 |
22 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 317,000 | 333,439 | |
02/01/2027 | 8.125% | 68,000 | 74,933 | |
01/15/2028 | 5.500% | 142,000 | 148,396 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 305,000 | 312,987 | |
SBA Communications Corp.(a) | ||||
02/15/2027 | 3.875% | 69,000 | 72,246 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 221,000 | 291,484 | |
03/15/2032 | 8.750% | 71,000 | 112,397 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 134,000 | 166,323 | |
T-Mobile USA, Inc. | ||||
02/01/2026 | 4.500% | 50,000 | 51,184 | |
02/01/2028 | 4.750% | 147,000 | 157,934 | |
T-Mobile USA, Inc.(a) | ||||
04/15/2030 | 3.875% | 390,000 | 450,876 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 55,000 | 56,285 | |
Total | 2,440,082 | |||
Wirelines 1.4% | ||||
AT&T, Inc.(a) | ||||
09/15/2055 | 3.550% | 974,000 | 978,234 | |
12/01/2057 | 3.800% | 346,000 | 361,407 | |
CenturyLink, Inc. | ||||
12/01/2023 | 6.750% | 52,000 | 57,867 | |
04/01/2024 | 7.500% | 102,000 | 115,148 | |
04/01/2025 | 5.625% | 102,000 | 110,735 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 109,000 | 115,035 | |
02/15/2027 | 4.000% | 44,000 | 45,207 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 179,000 | 179,920 | |
03/01/2028 | 6.125% | 111,000 | 117,630 | |
Level 3 Financing, Inc.(a) | ||||
07/01/2028 | 4.250% | 151,000 | 155,452 | |
01/15/2029 | 3.625% | 220,000 | 219,905 | |
Network i2i Ltd.(a),(g) | ||||
12/31/2049 | 5.650% | 400,000 | 426,225 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 34,000 | 41,390 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 190,000 | 235,580 | |
Total | 3,159,735 | |||
Total Corporate Bonds & Notes (Cost $85,502,536) | 93,607,676 | |||
Foreign Government Obligations(i),(j) 8.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Angola 0.2% | ||||
Angolan Government International Bond(a) | ||||
11/26/2029 | 8.000% | 400,000 | 376,014 | |
Brazil 0.2% | ||||
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 202,000 | 213,172 | |
01/07/2041 | 5.625% | 210,000 | 248,319 | |
Total | 461,491 | |||
Canada 0.2% | ||||
MEGlobal Canada ULC(a) | ||||
05/18/2025 | 5.000% | 200,000 | 225,101 | |
NOVA Chemicals Corp.(a) | ||||
08/01/2023 | 5.250% | 79,000 | 79,611 | |
06/01/2027 | 5.250% | 87,000 | 92,835 | |
Total | 397,547 | |||
China 0.3% | ||||
China Government Bond | ||||
06/04/2027 | 2.850% | CNY | 2,110,000 | 316,593 |
05/21/2030 | 2.680% | CNY | 2,100,000 | 308,148 |
Total | 624,741 | |||
Colombia 0.7% | ||||
Colombia Government International Bond | ||||
01/30/2030 | 3.000% | 400,000 | 421,051 | |
04/15/2031 | 3.125% | 200,000 | 212,621 | |
05/15/2049 | 5.200% | 273,000 | 345,648 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 400,000 | 515,599 | |
Total | 1,494,919 | |||
Dominican Republic 0.9% | ||||
Dominican Republic Bond(a) | ||||
02/05/2027 | 11.250% | DOP | 10,000,000 | 198,825 |
Dominican Republic International Bond(a) | ||||
01/08/2021 | 14.000% | DOP | 3,012,000 | 51,802 |
03/04/2022 | 10.375% | DOP | 17,800,000 | 319,125 |
02/10/2023 | 14.500% | DOP | 3,600,000 | 70,643 |
01/25/2027 | 5.950% | 218,000 | 257,353 | |
01/30/2030 | 4.500% | 150,000 | 163,451 | |
04/30/2044 | 7.450% | 486,000 | 629,693 | |
01/27/2045 | 6.850% | 200,000 | 243,851 | |
Total | 1,934,743 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 23 |
December 31, 2020
Foreign Government Obligations(i),(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Egypt 0.3% | ||||
Egypt Government International Bond(a) | ||||
04/11/2031 | 6.375% | EUR | 100,000 | 131,339 |
01/31/2047 | 8.500% | 250,000 | 283,888 | |
02/21/2048 | 7.903% | 200,000 | 217,545 | |
Total | 632,772 | |||
El Salvador 0.1% | ||||
El Salvador Government International Bond(a) | ||||
01/18/2027 | 6.375% | 200,000 | 189,403 | |
Ghana 0.3% | ||||
Ghana Government International Bond(a) | ||||
02/11/2035 | 7.875% | 400,000 | 411,499 | |
03/26/2051 | 8.950% | 200,000 | 208,625 | |
Total | 620,124 | |||
Guatemala 0.1% | ||||
Guatemala Government Bond(a) | ||||
04/24/2032 | 5.375% | 200,000 | 244,041 | |
India 0.1% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 200,000 | 214,532 | |
Indonesia 0.9% | ||||
Indonesia Government International Bond(a) | ||||
01/17/2038 | 7.750% | 100,000 | 157,316 | |
Indonesia Government International Bond | ||||
10/30/2049 | 3.700% | 409,000 | 448,481 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
05/15/2025 | 4.750% | 200,000 | 221,439 | |
11/15/2048 | 6.757% | 200,000 | 273,296 | |
PT Pertamina Persero(a) | ||||
05/30/2044 | 6.450% | 200,000 | 272,081 | |
01/21/2050 | 4.175% | 320,000 | 345,917 | |
PT Saka Energi Indonesia(a) | ||||
05/05/2024 | 4.450% | 250,000 | 242,168 | |
05/05/2024 | 4.450% | 200,000 | 193,734 | |
Total | 2,154,432 | |||
Ivory Coast 0.3% | ||||
Ivory Coast Government International Bond(a) | ||||
10/17/2031 | 5.875% | EUR | 400,000 | 538,974 |
06/15/2033 | 6.125% | 200,000 | 225,485 | |
Total | 764,459 | |||
Kazakhstan 0.1% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/19/2027 | 4.750% | 200,000 | 232,026 |
Foreign Government Obligations(i),(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Malaysia 0.1% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 200,000 | 230,445 | |
Mexico 0.7% | ||||
Mexican Bonos | ||||
06/10/2021 | 6.500% | MXN | 50,000 | 2,536 |
05/31/2029 | 8.500% | MXN | 8,500,000 | 520,606 |
Mexico Government International Bond | ||||
04/16/2030 | 3.250% | 200,000 | 216,579 | |
Petroleos Mexicanos(a) | ||||
09/12/2024 | 7.190% | MXN | 260,000 | 11,895 |
Petroleos Mexicanos | ||||
01/23/2026 | 4.500% | 80,000 | 79,956 | |
08/04/2026 | 6.875% | 350,000 | 382,072 | |
11/12/2026 | 7.470% | MXN | 4,700,000 | 198,402 |
01/23/2030 | 6.840% | 135,000 | 140,715 | |
01/28/2031 | 5.950% | 22,000 | 21,907 | |
Total | 1,574,668 | |||
Morocco 0.1% | ||||
OCP SA(a) | ||||
04/25/2024 | 5.625% | 200,000 | 221,348 | |
Netherlands 0.1% | ||||
Petrobras Global Finance BV | ||||
03/19/2049 | 6.900% | 200,000 | 254,704 | |
Paraguay 0.2% | ||||
Paraguay Government International Bond(a) | ||||
03/27/2027 | 4.700% | 200,000 | 233,472 | |
08/11/2044 | 6.100% | 200,000 | 268,423 | |
Total | 501,895 | |||
Qatar 0.4% | ||||
Qatar Government International Bond(a) | ||||
03/14/2049 | 4.817% | 725,000 | 990,119 | |
Romania 0.5% | ||||
Romanian Government International Bond(a) | ||||
04/03/2049 | 4.625% | EUR | 700,000 | 1,153,551 |
Russian Federation 0.3% | ||||
Russian Foreign Bond - Eurobond(a) | ||||
03/21/2029 | 4.375% | 400,000 | 466,780 | |
03/28/2035 | 5.100% | 200,000 | 253,078 | |
Total | 719,858 | |||
Serbia 0.1% | ||||
Serbia International Bond(a) | ||||
09/28/2021 | 7.250% | 250,000 | 262,049 |
24 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Foreign Government Obligations(i),(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
South Africa 0.1% | ||||
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 200,000 | 212,669 | |
Switzerland 0.3% | ||||
Syngenta Finance NV(a) | ||||
04/24/2028 | 5.182% | 600,000 | 642,106 | |
Turkey 0.3% | ||||
Turkey Government International Bond | ||||
02/17/2028 | 5.125% | 600,000 | 607,834 | |
Ukraine 0.2% | ||||
Ukraine Government International Bond(a) | ||||
09/01/2026 | 7.750% | 200,000 | 225,577 | |
09/25/2032 | 7.375% | 220,000 | 242,225 | |
Total | 467,802 | |||
United Arab Emirates 0.3% | ||||
DP World Crescent Ltd.(a) | ||||
07/18/2029 | 3.875% | 400,000 | 439,013 | |
DP World PLC(a) | ||||
09/25/2048 | 5.625% | 200,000 | 255,333 | |
Total | 694,346 | |||
Total Foreign Government Obligations (Cost $17,287,463) | 18,874,638 | |||
Residential Mortgage-Backed Securities - Agency 10.6% | ||||
Federal Home Loan Mortgage Corp.(b),(k) | ||||
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 5.791% | 2,459,093 | 461,934 | |
CMO Series 4903 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/25/2049 | 5.902% | 1,772,454 | 386,093 | |
Federal Home Loan Mortgage Corp.(k) | ||||
CMO Series 4120 Class AI | ||||
11/15/2039 | 3.500% | 1,026,697 | 34,608 | |
Federal Home Loan Mortgage Corp.(d),(k) | ||||
CMO Series 4620 Class AS | ||||
11/15/2042 | 2.490% | 1,009,887 | 63,581 | |
Federal National Mortgage Association | ||||
05/01/2041 | 4.000% | 72,392 | 78,061 | |
Federal National Mortgage Association(d),(k) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 2,130,051 | 2 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(k) | ||||
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 693,569 | 34,058 | |
CMO Series 2012-139 Class IL | ||||
04/25/2040 | 3.500% | 948,004 | 42,235 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 1,216,421 | 160,511 | |
Federal National Mortgage Association(b),(k) | ||||
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 6.002% | 417,782 | 76,371 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 5.852% | 822,003 | 180,319 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 07/25/2046 | 5.852% | 1,509,626 | 334,160 | |
CMO Series 2017-47 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 06/25/2047 | 5.952% | 596,750 | 150,550 | |
CMO Series 2017-56 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 6.002% | 1,202,589 | 255,181 | |
CMO Series 2018-76 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 6.002% | 561,518 | 117,582 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 11/25/2049 | 5.902% | 1,581,641 | 350,517 | |
CMO Series 2019-8 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 03/25/2049 | 5.852% | 1,770,772 | 373,158 | |
Government National Mortgage Association(k) | ||||
CMO Series 2014-190 Class AI | ||||
12/20/2038 | 3.500% | 1,168,987 | 119,154 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 25 |
December 31, 2020
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(b),(k) | ||||
CMO Series 2016-20 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 02/20/2046 | 5.948% | 711,180 | 152,863 | |
CMO Series 2017-129 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 6.048% | 647,024 | 127,996 | |
CMO Series 2017-133 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2047 | 6.098% | 736,342 | 143,094 | |
CMO Series 2018-124 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2048 | 6.048% | 1,480,852 | 252,456 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 5.948% | 1,045,576 | 184,036 | |
CMO Series 2018-168 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/20/2048 | 5.948% | 864,317 | 143,141 | |
CMO Series 2018-67 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 6.048% | 1,483,379 | 292,150 | |
CMO Series 2019-152 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 12/20/2049 | 5.898% | 1,832,554 | 288,840 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 5.898% | 564,931 | 118,045 | |
CMO Series 2019-23 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 5.898% | 1,718,916 | 341,073 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-29 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 5.898% | 1,429,805 | 232,801 | |
CMO Series 2019-41 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 5.898% | 1,113,494 | 225,367 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 5.998% | 858,551 | 175,781 | |
CMO Series 2019-59 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 5.998% | 900,774 | 164,262 | |
Government National Mortgage Association TBA(l) | ||||
01/21/2051 | 3.000% | 2,000,000 | 2,091,406 | |
Uniform Mortgage-Backed Security TBA(l) | ||||
01/17/2034 | 3.000% | 1,000,000 | 1,049,444 | |
01/14/2051- 02/11/2051 | 2.000% | 10,000,000 | 10,384,384 | |
01/14/2051 | 2.500% | 4,000,000 | 4,216,563 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $23,244,519) | 23,801,777 | |||
Residential Mortgage-Backed Securities - Non-Agency 18.1% | ||||
Arroyo Mortgage Trust(a) | ||||
CMO Series 2018-1 Class A3 | ||||
04/25/2048 | 4.218% | 371,372 | 383,244 | |
Arroyo Mortgage Trust(a),(d) | ||||
CMO Series 2019-2 Class A3 | ||||
04/25/2049 | 3.800% | 293,217 | 303,701 | |
Banc of America Funding Trust(a),(c),(d),(f) | ||||
CMO Series 2016-R1 Class M2 | ||||
03/25/2040 | 3.500% | 507,334 | 517,024 | |
Bayview Opportunity Master Fund IIIb Trust(a),(d) | ||||
Series 2019-LT2 Class A1 | ||||
10/28/2034 | 3.376% | 47,489 | 47,450 | |
Bayview Opportunity Master Fund IVa Trust(a),(d) | ||||
CMO Series 2020-RN2 Class A1 | ||||
06/28/2035 | 4.424% | 472,934 | 476,530 | |
Bayview Opportunity Master Fund IVb Trust(a),(d) | ||||
CMO Series 2019-RN4 Class A1 | ||||
10/28/2034 | 3.278% | 180,942 | 180,615 |
26 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bayview Opportunity Master Fund Trust(a),(d) | ||||
CMO Series 2020-RN1 Class A1 | ||||
02/28/2035 | 3.228% | 240,582 | 240,036 | |
Bayview Opportunity Master Fund V Trust(a),(d) | ||||
CMO Series 2020-RN3 Class A1 | ||||
09/25/2035 | 3.105% | 373,048 | 373,580 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2018-2A Class M1C | ||||
1-month USD LIBOR + 1.600% 08/25/2028 | 1.748% | 251,007 | 249,019 | |
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 03/25/2029 | 1.450% | 20,604 | 20,602 | |
CMO Series 2019-2A Class M1B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 04/25/2029 | 1.598% | 261,182 | 260,471 | |
CMO Series 2019-2A Class M2 | ||||
1-month USD LIBOR + 3.100% Floor 3.100% 04/25/2029 | 3.248% | 400,000 | 400,363 | |
CMO Series 2019-3A Class M1B | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 07/25/2029 | 1.750% | 1,200,000 | 1,178,827 | |
CMO Series 2020-1A Class M1B | ||||
1-month USD LIBOR + 3.400% 06/25/2030 | 3.572% | 200,000 | 202,294 | |
CMO Series 2020-2A Class M1C | ||||
1-month USD LIBOR + 4.000% Floor 4.000% 08/26/2030 | 4.148% | 650,000 | 663,926 | |
CMO Series 2020-3A Class M2 | ||||
1-month USD LIBOR + 4.850% Floor 4.850% 10/25/2030 | 4.998% | 550,000 | 556,124 | |
CMO Series 2020-4A Class M2A | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 06/25/2030 | 2.750% | 500,000 | 500,334 | |
CMO Series 2020-4A Class M2B | ||||
1-month USD LIBOR + 3.600% Floor 3.600% 06/25/2030 | 3.750% | 300,000 | 300,125 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 2.900% | 500,000 | 492,606 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-HRP1 Class M2 | ||||
1-month USD LIBOR + 2.150% 11/25/2039 | 2.298% | 566,796 | 556,736 | |
CMO Series 2020-R01 Class 1M2 | ||||
1-month USD LIBOR + 2.050% Floor 2.050% 01/25/2040 | 2.198% | 300,000 | 298,410 | |
CSMC Trust(a),(d) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.498% | 824,087 | 827,177 | |
CTS Corp.(a) | ||||
CMO Series 2015-6R Class 3A2 | ||||
02/27/2036 | 3.750% | 418,702 | 400,925 | |
Deephaven Residential Mortgage Trust(a) | ||||
CMO Series 2018-1A Class B1 | ||||
12/25/2057 | 4.340% | 250,000 | 255,763 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 1.948% | 330,861 | 329,318 | |
Subordinated CMO Series 2020-1 Class M1B | ||||
1-month USD LIBOR + 1.450% 01/25/2030 | 1.598% | 1,550,000 | 1,534,123 | |
Subordinated CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 1.800% 01/25/2030 | 1.948% | 350,000 | 331,564 | |
Federal Home Loan Mortgage Corp. STACR REMIC Trust(a),(b) | ||||
CMO Series 2020-HQA4 Class M2 | ||||
1-month USD LIBOR + 3.150% 09/25/2050 | 3.300% | 1,050,000 | 1,059,693 | |
FMC GMSR Issuer Trust(a),(d) | ||||
CMO Series 2019-GT1 Class A | ||||
05/25/2024 | 5.070% | 2,200,000 | 2,224,037 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2020-DNA4 Class B1 | ||||
1-month USD LIBOR + 6.000% 08/25/2050 | 6.148% | 700,000 | 738,437 | |
Subordinated CMO Series 2020-DNA6 Class B1 | ||||
30-day Average SOFR + 3.000% 12/25/2050 | 3.077% | 600,000 | 600,473 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2020-DNA3 Class M2 | ||||
1-month USD LIBOR + 3.000% 06/25/2050 | 3.148% | 550,000 | 552,991 | |
CMO Series 2020-HQA5 Class M2 | ||||
30-day Average SOFR + 2.600% 11/25/2050 | 2.682% | 1,450,000 | 1,456,804 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 27 |
December 31, 2020
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2020-HQA5 Class B1 | ||||
30-day Average SOFR + 4.000% 11/25/2050 | 4.082% | 750,000 | 770,594 | |
GCAT LLC(a),(d) | ||||
CMO Series 2020-4 Class A1 | ||||
12/25/2025 | 2.611% | 700,000 | 700,009 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2019-1 Class M1 | ||||
1-month USD LIBOR + 1.900% Floor 1.900% 11/26/2029 | 2.048% | 700,000 | 698,750 | |
Mortgage Insurance-Linked Notes(a),(b) | ||||
CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 02/25/2030 | 1.898% | 300,000 | 281,164 | |
Subordinated CMO Series 2020-1 Class M2A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 02/25/2030 | 2.148% | 300,000 | 295,547 | |
New Residential Mortgage LLC(a) | ||||
Subordinated CMO Series 2018-FNT1 Class D | ||||
05/25/2023 | 4.690% | 366,246 | 366,241 | |
New Residential Mortgage Loan Trust(a),(d) | ||||
CMO Series 2020-RPL2 Class A1 | ||||
08/25/2025 | 3.578% | 1,458,391 | 1,461,803 | |
OMSR(a),(c),(f) | ||||
CMO Series 2019-PLS1 Class A | ||||
11/25/2024 | 5.069% | 375,725 | 371,968 | |
OSAT Trust(a),(d) | ||||
CMO Series 2020-RPL1 Class A1 | ||||
12/26/2059 | 3.072% | 693,483 | 697,201 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 2.147% | 508,509 | 484,632 | |
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 2.897% | 684,126 | 659,714 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 2.998% | 2,350,000 | 2,310,273 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 2.800% | 3,450,000 | 3,330,974 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pretium Mortgage Credit Partners I LLC(a),(d) | ||||
CMO Series 2020-NPL2 Class A1 | ||||
02/27/2060 | 3.721% | 365,246 | 365,420 | |
CMO Series 2020-RPL1 Class A2 | ||||
05/27/2060 | 6.170% | 434,788 | 437,053 | |
RCO V Mortgage LLC(a),(d) | ||||
CMO Series 2019-2 Class A1 | ||||
11/25/2024 | 3.475% | 1,154,638 | 1,156,089 | |
Stonnington Mortgage Trust(a),(c),(d) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 5.500% | 873,792 | 873,792 | |
Toorak Mortgage Corp., Ltd.(a),(d) | ||||
CMO Series 2018-1 Class A1 | ||||
08/25/2021 | 4.336% | 744,127 | 744,703 | |
CMO Series 2019-1 Class A1 | ||||
03/25/2022 | 4.458% | 600,000 | 603,800 | |
VCAT Asset Securitization LLC(a),(d) | ||||
CMO Series 2019-NPL2 Class A1 | ||||
11/25/2049 | 3.573% | 343,454 | 344,078 | |
Vericrest Opportunity Loan Transferee LXXXVII LLC(a),(d) | ||||
CMO Series 2020-NPL3 Class A1A | ||||
02/25/2050 | 2.981% | 724,406 | 726,442 | |
CMO Series 2020-NPL3 Class A1B | ||||
02/25/2050 | 3.672% | 600,000 | 599,775 | |
Vericrest Opportunity Loan Transferee LXXXVIII LLC(a),(d) | ||||
CMO Series 2020-NPL4 Class A1 | ||||
03/25/2050 | 2.981% | 222,806 | 223,056 | |
Vericrest Opportunity Loan Trust(a),(d) | ||||
CMO Series 2019-NPL5 Class A1B | ||||
09/25/2049 | 4.250% | 250,000 | 249,596 | |
CMO Series 2019-NPL7 Class A1A | ||||
10/25/2049 | 3.179% | 92,158 | 92,252 | |
CMO Series 2020-NPL5 Class A1A | ||||
03/25/2050 | 2.982% | 272,178 | 272,431 | |
CMO Series 2020-NPL6 Class A1B | ||||
04/25/2050 | 4.949% | 550,000 | 540,974 | |
Vericrest Opportunity Loan Trust LXXXV LLC(a),(d) | ||||
CMO Series 2020-NPL1 Class A1B | ||||
01/25/2050 | 3.721% | 300,000 | 300,162 | |
Verus Securitization Trust(a),(d) | ||||
CMO Series 2019-3 Class M1 | ||||
07/25/2059 | 3.139% | 500,000 | 507,843 | |
CMO Series 2020-NPL1 Class A1 | ||||
08/25/2050 | 3.598% | 909,524 | 909,481 | |
Subordinated CMO Series 2019-INV3 Class B1 | ||||
11/25/2059 | 3.731% | 300,000 | 300,579 |
28 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Visio Trust(a),(d) | ||||
CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 100,983 | |
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 205,163 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $39,697,218) | 40,495,864 | |||
Senior Loans 7.5% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.2% | ||||
TransDigm, Inc.(b),(m) | ||||
Tranche F Term Loan | ||||
1-month USD LIBOR + 2.250% 12/09/2025 | 2.397% | �� | 492,494 | 481,979 |
Airlines 0.2% | ||||
American Airlines, Inc.(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 01/29/2027 | 1.898% | 494,792 | 423,047 | |
Automotive 0.2% | ||||
Clarios Global LP(b),(m) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% 04/30/2026 | 3.647% | 484,821 | 482,296 | |
Building Materials 0.2% | ||||
CP Atlas Buyer, Inc./American Bath Group LLC(b),(m),(n) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 4.500% Floor 0.750% 11/19/2027 | 375,000 | 375,469 | ||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 4.500% Floor 0.750% 11/19/2027 | 125,000 | 125,156 | ||
Total | 500,625 | |||
Cable and Satellite 0.5% | ||||
Cogeco Communications II LP(b),(m) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.000% 01/03/2025 | 2.147% | 48,739 | 48,069 | |
Virgin Media Bristol LLC(b),(m) | ||||
Tranche N Term Loan | ||||
3-month USD LIBOR + 2.500% 01/31/2028 | 2.659% | 500,000 | 494,910 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Virgin Media Bristol LLC(b),(m),(n) | ||||
Tranche Q Term Loan | ||||
1-month USD LIBOR + 3.252% 01/31/2029 | 600,000 | 599,028 | ||
Total | 1,142,007 | |||
Chemicals 0.9% | ||||
Chemours Co. (The)(b),(m) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 1.750% 04/03/2025 | 1.900% | 496,174 | 485,734 | |
ColourOz Investment 1 GmbH(b),(m) | ||||
Tranche C 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 09/21/2023 | 5.250% | 67,931 | 63,402 | |
ColourOz Investment 2 LLC(b),(m) | ||||
Tranche B2 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 09/21/2023 | 5.250% | 410,926 | 383,530 | |
Ineos US Finance LLC(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.000% 04/01/2024 | 2.147% | 493,639 | 487,606 | |
Nouryon Finance BV/AkzoNobel(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% 10/01/2025 | 3.153% | 478,577 | 472,992 | |
Total | 1,893,264 | |||
Consumer Cyclical Services 0.4% | ||||
8th Avenue Food & Provisions, Inc.(b),(m) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% 10/01/2025 | 3.652% | 33,914 | 33,799 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% 10/01/2026 | 7.902% | 63,566 | 62,454 | |
Uber Technologies, Inc.(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% 07/13/2023 | 3.647% | 708,933 | 707,161 | |
Total | 803,414 | |||
Diversified Manufacturing 0.4% | ||||
Ingersoll Rand Services Co.(b),(m) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 1.750% 03/01/2027 | 1.897% | 496,250 | 489,178 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 29 |
December 31, 2020
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Vertical Midco GmbH(b),(m) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.250% 07/14/2027 | 4.567% | 498,750 | 500,441 | |
Total | 989,619 | |||
Electric 0.5% | ||||
Exgen Renewables IV LLC(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 1.000% 12/15/2027 | 3.750% | 500,000 | 499,250 | |
PG&E Corp.(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.500% Floor 1.000% 06/23/2025 | 5.500% | 497,500 | 502,599 | |
Total | 1,001,849 | |||
Gaming 0.4% | ||||
Caesars Resort Collection LLC(b),(m),(n) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 4.500% 07/21/2025 | 498,750 | 498,905 | ||
Scientific Games International, Inc.(b),(m) | ||||
Tranche B5 Term Loan | ||||
3-month USD LIBOR + 2.750% 08/14/2024 | 2.897% | 496,174 | 483,893 | |
Total | 982,798 | |||
Leisure 0.2% | ||||
Metro-Goldwyn-Mayer, Inc.(b),(m),(n) | ||||
2nd Lien Term Loan | ||||
3-month USD LIBOR + 4.500% Floor 1.000% 07/03/2026 | 500,000 | 497,500 | ||
Lodging 0.2% | ||||
Four Seasons Holdings, Inc.(b),(m) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 2.000% Floor 0.750% 11/30/2023 | 2.147% | 498,701 | 494,692 | |
Media and Entertainment 0.4% | ||||
Gray Television, Inc.(b),(m) | ||||
Tranche C Term Loan | ||||
3-month USD LIBOR + 2.500% 01/02/2026 | 2.655% | 425,886 | 422,513 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Meredith Corp.(b),(m) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 2.500% 01/31/2025 | 2.647% | 467,033 | 461,517 | |
Total | 884,030 | |||
Oil Field Services 0.0% | ||||
Fieldwood Energy LLC(m),(o) | ||||
1st Lien Term Loan | ||||
04/11/2022 | 0.000% | 275,952 | 62,089 | |
2nd Lien Term Loan | ||||
04/11/2023 | 0.000% | 372,536 | 86 | |
Total | 62,175 | |||
Packaging 0.0% | ||||
ProAmpac PG Borrower LLC(b),(c),(m) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 11/20/2023 | 4.500% | 95,404 | 95,165 | |
Pharmaceuticals 0.2% | ||||
Grifols Worldwide Operations Ltd.(b),(m) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.000% 11/15/2027 | 2.102% | 420,918 | 416,974 | |
Property & Casualty 0.2% | ||||
Asurion LLC(b),(m) | ||||
Tranche B8 Term Loan | ||||
1-month USD LIBOR + 3.250% 12/23/2026 | 3.397% | 447,248 | 442,194 | |
Restaurants 0.2% | ||||
New Red Finance, Inc./Burger King/Tim Hortons(b),(m) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 1.897% | 451,569 | 444,655 | |
Technology 2.0% | ||||
Arches Buyer, Inc./Ancestry.com(b),(m),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 1.000% 12/06/2027 | 500,000 | 500,250 | ||
Ascend Learning LLC(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 4.000% | 35,650 | 35,428 |
30 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Avaya, Inc.(b),(m) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.250% 12/15/2024 | 4.409% | 222,992 | 223,382 | |
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 4.250% 12/15/2027 | 4.409% | 277,008 | 276,892 | |
CommScope, Inc.(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 04/06/2026 | 3.397% | 496,231 | 491,889 | |
Dun & Bradstreet Corp. (The)(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.750% 02/06/2026 | 3.898% | 498,744 | 498,534 | |
MA FinanceCo LLC(b),(m),(n) | ||||
Tranche B4 Term Loan | ||||
1-month USD LIBOR + 4.250% Floor 1.000% 06/05/2025 | 500,000 | 503,335 | ||
Project Alpha Intermediate Holding, Inc.(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.250% 04/26/2024 | 4.480% | 58,294 | 58,003 | |
Refinitiv US Holdings, Inc.(a),(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 10/01/2025 | 3.397% | 1,489,918 | 1,486,819 | |
SCS Holdings I, Inc./Sirius Computer Solutions, Inc.(b),(m) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.500% 07/01/2026 | 3.647% | 295,515 | 293,774 | |
Total | 4,368,306 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 0.2% | ||||
SBA Senior Finance II LLC(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 1.900% | 496,183 | 490,115 | |
Total Senior Loans (Cost $17,468,867) | 16,896,704 | |||
U.S. Treasury Obligations 0.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2048 | 3.000% | 340,000 | 447,525 | |
Total U.S. Treasury Obligations (Cost $337,238) | 447,525 |
Options Purchased Puts 0.3% | ||||
Value ($) | ||||
(Cost $582,600) | 667,749 |
Money Market Funds 4.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(p),(q) | 10,028,790 | 10,027,788 |
Total Money Market Funds (Cost $10,025,758) | 10,027,788 | |
Total Investments in Securities (Cost: $231,027,565) | 241,198,375 | |
Other Assets & Liabilities, Net | (16,963,244) | |
Net Assets | 224,235,131 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
15,538,852 MXN | 765,416 USD | Morgan Stanley | 01/11/2021 | — | (14,907) |
1,513,077 EUR | 1,793,206 USD | UBS | 01/11/2021 | — | (55,519) |
Total | — | (70,426) |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 31 |
December 31, 2020
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-BTP | 47 | 03/2021 | EUR | 7,144,470 | 63,532 | — |
U.S. Treasury 5-Year Note | 38 | 03/2021 | USD | 4,794,234 | 9,112 | — |
Total | 72,644 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bund | (23) | 03/2021 | EUR | (4,085,720) | — | (23,125) |
U.S. Treasury 10-Year Note | (72) | 03/2021 | USD | (9,941,625) | 1,526 | — |
U.S. Ultra Treasury Bond | (65) | 03/2021 | USD | (13,881,563) | 269,246 | — |
U.S. Ultra Treasury Bond | (5) | 03/2021 | USD | (1,067,813) | — | (11,747) |
Total | 270,772 | (34,872) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 14,000,000 | 14,000,000 | 1.00 | 09/30/2021 | 243,600 | 310,086 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 14,000,000 | 14,000,000 | 1.25 | 12/03/2021 | 217,000 | 212,278 |
10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 10,000,000 | 10,000,000 | 1.25 | 11/18/2021 | 122,000 | 145,385 |
Total | 582,600 | 667,749 |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | 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 | 63,108 | — | — | 63,108 | — |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/21/2026 | MXN | 8,000,000 | 23,307 | — | — | 23,307 | — |
Fixed rate of 5.960% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 02/02/2026 | MXN | 20,000,000 | 57,757 | — | — | 57,757 | — |
Fixed rate of 2.165% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Morgan Stanley | 12/18/2030 | USD | 4,800,000 | (32,599) | — | — | — | (32,599) |
3-Month USD LIBOR | Fixed rate of 1.781% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 08/09/2049 | USD | 2,100,000 | (211,610) | — | — | — | (211,610) |
Total | (100,037) | — | — | 144,172 | (244,209) |
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 200,000 | 15,802 | (117) | 7,222 | — | 8,463 | — |
32 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
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 ($) |
Markit CDX North America High Yield Index, Series 35 | Morgan Stanley | 12/20/2025 | 5.000 | Quarterly | USD | 7,997,000 | (83,814) | — | — | — | (83,814) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 5.517 | USD | 500,000 | (61,954) | 292 | — | (114,995) | 53,333 | — |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 5.517 | USD | 500,000 | (61,954) | 292 | — | (107,740) | 46,078 | — |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | 4.368 | USD | 400,000 | (31,602) | 233 | — | (109,808) | 78,439 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 5.517 | USD | 800,000 | (99,124) | 466 | — | (156,083) | 57,425 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 5.517 | USD | 500,000 | (61,954) | 292 | — | (113,880) | 52,218 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 5.517 | USD | 500,000 | (61,953) | 292 | — | (88,215) | 26,554 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 5.517 | USD | 500,000 | (61,953) | 292 | — | (84,946) | 23,285 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 5.517 | USD | 500,000 | (61,953) | 291 | — | (82,203) | 20,541 | — |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | 4.368 | USD | 500,000 | (39,503) | 292 | — | (88,050) | 48,839 | — |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | 4.368 | USD | 300,000 | (23,702) | 175 | — | (46,441) | 22,914 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.517 | USD | 500,000 | (61,953) | 292 | — | (113,552) | 51,891 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.517 | USD | 500,000 | (61,953) | 291 | — | (103,065) | 41,403 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.517 | USD | 500,000 | (61,953) | 292 | — | (84,946) | 23,285 | — |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | 4.368 | USD | 300,000 | (23,701) | 175 | — | (45,858) | 22,332 | — |
Markit CMBX North America Index, Series 12 BBB- | Morgan Stanley | 08/17/2061 | 3.000 | Monthly | 4.247 | USD | 300,000 | (23,906) | 175 | — | (46,707) | 22,976 | — |
Total | (799,118) | 4,142 | — | (1,386,489) | 591,513 | — |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 33 |
December 31, 2020
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 4.481% |
3-Month USD LIBOR | London Interbank Offered Rate | 0.228% |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 1.362% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At December 31, 2020, the total value of these securities amounted to $138,736,124, which represents 61.87% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2020. |
(c) | Valuation based on significant unobservable inputs. |
(d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2020. |
(e) | Non-income producing investment. |
(f) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2020, the total value of these securities amounted to $888,992, which represents 0.40% of total net assets. |
(g) | 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, 2020. |
(h) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(i) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(j) | Principal and interest may not be guaranteed by a governmental entity. |
(k) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(l) | Represents a security purchased on a when-issued basis. |
(m) | The stated interest rate represents the weighted average interest rate at December 31, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(n) | Represents a security purchased on a forward commitment basis. |
(o) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At December 31, 2020, the total value of these securities amounted to $62,175, which represents 0.03% of total net assets. |
(p) | The rate shown is the seven-day current annualized yield at December 31, 2020. |
(q) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | ||||||||
12,682,033 | 84,434,701 | (87,091,049) | 2,103 | 10,027,788 | (1,068) | 54,655 | 10,028,790 |
34 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
CNY | China Yuan Renminbi |
DOP | Dominican Republic Peso |
EUR | Euro |
MXN | Mexican Peso |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 35 |
December 31, 2020
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2020:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 22,464,158 | 958,494 | 23,422,652 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 12,944,542 | — | 12,944,542 |
Common Stocks | ||||
Energy | — | — | 0* | 0* |
Financials | — | — | — | — |
Utilities | — | 11,460 | — | 11,460 |
Total Common Stocks | — | 11,460 | 0* | 11,460 |
Corporate Bonds & Notes | — | 93,607,676 | — | 93,607,676 |
Foreign Government Obligations | — | 18,874,638 | — | 18,874,638 |
Residential Mortgage-Backed Securities - Agency | — | 23,801,777 | — | 23,801,777 |
Residential Mortgage-Backed Securities - Non-Agency | — | 38,733,080 | 1,762,784 | 40,495,864 |
Senior Loans | — | 16,801,539 | 95,165 | 16,896,704 |
U.S. Treasury Obligations | 447,525 | — | — | 447,525 |
Options Purchased Puts | — | 667,749 | — | 667,749 |
Money Market Funds | 10,027,788 | — | — | 10,027,788 |
Total Investments in Securities | 10,475,313 | 227,906,619 | 2,816,443 | 241,198,375 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 343,416 | — | — | 343,416 |
Swap Contracts | — | 744,148 | — | 744,148 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (70,426) | — | (70,426) |
Futures Contracts | (34,872) | — | — | (34,872) |
Swap Contracts | — | (328,023) | — | (328,023) |
Total | 10,783,857 | 228,252,318 | 2,816,443 | 241,852,618 |
* | Rounds to zero. |
Balance as of 12/31/2019 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 12/31/2020 ($) | |
Asset-Backed Securities — Non-Agency | 1,581,662 | 9,714 | (669,480) | 510,276 | 499,999 | (973,677) | — | — | 958,494 |
Common Stocks | — | — | — | (173,356) | — | — | 173,356 | — | 0 |
Residential Mortgage-Backed Securities — Non-Agency | 495,158 | 26,529 | — | 83,452 | 1,523,305 | (365,660) | — | — | 1,762,784 |
Senior Loans | — | (818) | (2,363) | 10,867 | — | (378,364) | 465,843 | — | 95,165 |
Total | 2,076,820 | 35,425 | (671,843) | 431,239 | 2,023,304 | (1,717,701) | 639,199 | — | 2,816,443 |
36 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Financial assets were transferred from Level 2 to Level 3 due to the utilization of unobservable market inputs. As a result, as of period end, management determined to value the security(s) under consistently applied procedures established by and under the general supervision of the Board of Trustees.
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 37 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $220,419,207) | $230,502,838 |
Affiliated issuers (cost $10,025,758) | 10,027,788 |
Options purchased (cost $582,600) | 667,749 |
Cash | 44,690 |
Foreign currency (cost $86,656) | 86,999 |
Cash collateral held at broker for: | |
Swap contracts | 422,000 |
Margin deposits on: | |
Futures contracts | 1,032,572 |
Swap contracts | 1,058,816 |
Unrealized appreciation on swap contracts | 599,976 |
Upfront payments on swap contracts | 7,222 |
Receivable for: | |
Investments sold | 510,851 |
Investments sold on a delayed delivery basis | 2,120,541 |
Capital shares sold | 100,090 |
Dividends | 841 |
Interest | 1,682,236 |
Foreign tax reclaims | 7,383 |
Variation margin for futures contracts | 1,781 |
Variation margin for swap contracts | 352 |
Expense reimbursement due from Investment Manager | 303 |
Prepaid expenses | 742 |
Trustees’ deferred compensation plan | 114,675 |
Total assets | 248,990,445 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 70,426 |
Upfront receipts on swap contracts | 1,386,489 |
Payable for: | |
Investments purchased on a delayed delivery basis | 22,896,787 |
Capital shares purchased | 116,038 |
Variation margin for futures contracts | 60,375 |
Variation margin for swap contracts | 49,973 |
Management services fees | 3,675 |
Distribution and/or service fees | 720 |
Service fees | 14,855 |
Compensation of board members | 724 |
Compensation of chief compliance officer | 17 |
Other expenses | 40,560 |
Trustees’ deferred compensation plan | 114,675 |
Total liabilities | 24,755,314 |
Net assets applicable to outstanding capital stock | $224,235,131 |
Represented by | |
Paid in capital | 207,944,349 |
Total distributable earnings (loss) | 16,290,782 |
Total - representing net assets applicable to outstanding capital stock | $224,235,131 |
Class 1 | |
Net assets | $118,832,445 |
Shares outstanding | 26,977,726 |
Net asset value per share | $4.40 |
Class 2 | |
Net assets | $105,402,686 |
Shares outstanding | 24,193,963 |
Net asset value per share | $4.36 |
38 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $89,043 |
Dividends — affiliated issuers | 54,655 |
Interest | 8,756,235 |
Foreign taxes withheld | (6,563) |
Total income | 8,893,370 |
Expenses: | |
Management services fees | 1,247,470 |
Distribution and/or service fees | |
Class 2 | 245,135 |
Service fees | 125,851 |
Compensation of board members | 16,693 |
Custodian fees | 44,845 |
Printing and postage fees | 20,874 |
Audit fees | 54,768 |
Legal fees | 5,409 |
Interest on collateral | 1,009 |
Compensation of chief compliance officer | 71 |
Other | 25,101 |
Total expenses | 1,787,226 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (98,753) |
Total net expenses | 1,688,473 |
Net investment income | 7,204,897 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 1,462,944 |
Investments — affiliated issuers | (1,068) |
Foreign currency translations | 29,337 |
Forward foreign currency exchange contracts | (71,486) |
Futures contracts | (2,986,067) |
Options purchased | 1,070,030 |
Options contracts written | (1,160,266) |
Swap contracts | 3,171,151 |
Net realized gain | 1,514,575 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 3,762,884 |
Investments — affiliated issuers | 2,103 |
Foreign currency translations | 10,981 |
Forward foreign currency exchange contracts | (32,075) |
Futures contracts | (382,588) |
Options purchased | 85,149 |
Swap contracts | 1,207,048 |
Foreign capital gains tax | 228 |
Net change in unrealized appreciation (depreciation) | 4,653,730 |
Net realized and unrealized gain | 6,168,305 |
Net increase in net assets resulting from operations | $13,373,202 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 39 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $7,204,897 | $7,715,100 |
Net realized gain (loss) | 1,514,575 | (2,033,813) |
Net change in unrealized appreciation (depreciation) | 4,653,730 | 12,477,049 |
Net increase in net assets resulting from operations | 13,373,202 | 18,158,336 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (3,974,116) | (4,041,068) |
Class 2 | (3,277,059) | (3,062,256) |
Total distributions to shareholders | (7,251,175) | (7,103,324) |
Increase in net assets from capital stock activity | 5,642,391 | 33,123,976 |
Total increase in net assets | 11,764,418 | 44,178,988 |
Net assets at beginning of year | 212,470,713 | 168,291,725 |
Net assets at end of year | $224,235,131 | $212,470,713 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 979,700 | 4,110,151 | 653,187 | 2,757,690 |
Distributions reinvested | 946,218 | 3,974,116 | 966,763 | 4,041,068 |
Redemptions | (624,669) | (2,616,503) | (760,175) | (3,203,096) |
Net increase | 1,301,249 | 5,467,764 | 859,775 | 3,595,662 |
Class 2 | ||||
Subscriptions | 4,936,010 | 20,522,083 | 8,274,326 | 34,581,903 |
Distributions reinvested | 787,754 | 3,277,059 | 739,675 | 3,062,256 |
Redemptions | (5,842,822) | (23,624,515) | (1,933,639) | (8,115,845) |
Net increase (decrease) | (119,058) | 174,627 | 7,080,362 | 29,528,314 |
Total net increase | 1,182,191 | 5,642,391 | 7,940,137 | 33,123,976 |
40 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 41 |
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 12/31/2020 | $4.27 | 0.15 | 0.13 | 0.28 | (0.15) | — | (0.15) |
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) |
Class 2 | |||||||
Year Ended 12/31/2020 | $4.23 | 0.14 | 0.13 | 0.27 | (0.14) | — | (0.14) |
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) |
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%. |
42 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $4.40 | 6.82% | 0.74%(c) | 0.69%(c) | 3.58% | 166% | $118,832 |
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 |
Class 2 | |||||||
Year Ended 12/31/2020 | $4.36 | 6.62% | 0.99%(c) | 0.94%(c) | 3.33% | 166% | $105,403 |
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% | $46,676 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 43 |
December 31, 2020
44 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 45 |
December 31, 2020
46 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 47 |
December 31, 2020
48 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 49 |
December 31, 2020
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 599,976* |
Credit risk | Upfront payments on swap contracts | 7,222 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 343,416* |
Interest rate risk | Investments, at value — Options purchased | 667,749 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 144,172* |
Total | 1,762,535 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 83,814* |
Credit risk | Upfront receipts on swap contracts | 1,386,489 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 70,426 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 34,872* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 244,209* |
Total | 1,819,810 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
50 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 2,792,250 | 2,792,250 |
Foreign exchange risk | (71,486) | — | — | — | — | (71,486) |
Interest rate risk | — | (2,986,067) | (1,160,266) | 1,070,030 | 378,901 | (2,697,402) |
Total | (71,486) | (2,986,067) | (1,160,266) | 1,070,030 | 3,171,151 | 23,362 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 1,383,210 | 1,383,210 |
Foreign exchange risk | (32,075) | — | — | — | (32,075) |
Interest rate risk | — | (382,588) | 85,149 | (176,162) | (473,601) |
Total | (32,075) | (382,588) | 85,149 | 1,207,048 | 877,534 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 19,599,451 |
Futures contracts — short | 26,499,395 |
Credit default swap contracts — buy protection | 2,199,250 |
Credit default swap contracts — sell protection | 12,343,892 |
Derivative instrument | Average value ($) |
Options contracts — purchased | 610,068* |
Options contracts — written | (276,763)** |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 36,251 | (19,217) |
Interest rate swap contracts | 172,167 | (588,068) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2020. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2020. |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 51 |
December 31, 2020
52 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Citi ($)(a) | Citi ($)(a) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | |||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | 352 | - | 352 |
Options purchased puts | 522,364 | - | - | 145,385 | - | - | 667,749 |
OTC credit default swap contracts (c) | - | 177,850 | 267,461 | 161,887 | - | - | 607,198 |
Total assets | 522,364 | 177,850 | 267,461 | 307,272 | 352 | - | 1,275,299 |
Liabilities | |||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | 49,973 | - | 49,973 |
Forward foreign currency exchange contracts | - | - | - | 14,907 | - | 55,519 | 70,426 |
OTC credit default swap contracts (c) | - | 332,543 | 659,818 | 394,128 | - | - | 1,386,489 |
Total liabilities | - | 332,543 | 659,818 | 409,035 | 49,973 | 55,519 | 1,506,888 |
Total financial and derivative net assets | 522,364 | (154,693) | (392,357) | (101,763) | (49,621) | (55,519) | (231,589) |
Total collateral received (pledged) (d) | - | - | (392,357) | (2,000) | - | - | (394,357) |
Net amount (e) | 522,364 | (154,693) | - | (99,763) | (49,621) | (55,519) | 162,768 |
(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. |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 53 |
December 31, 2020
54 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 55 |
December 31, 2020
56 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.69% |
Class 2 | 0.94 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(85,780) | 85,780 | — |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
7,251,175 | — | 7,251,175 | 7,103,324 | — | 7,103,324 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 57 |
December 31, 2020
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
7,105,779 | — | (244,779) | 9,518,306 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
232,334,312 | 12,783,573 | (3,265,267) | 9,518,306 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
— | (244,779) | (244,779) | 2,496,031 |
58 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 59 |
December 31, 2020
60 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 61 |
December 31, 2020
62 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 63 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
64 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 65 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
66 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 | 67 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
68 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 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 2020 | 69 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
70 | Columbia Variable Portfolio – Strategic Income Fund | Annual Report 2020 |
December 31, 2020
3 | |
5 | |
7 | |
8 | |
14 | |
15 | |
16 | |
18 | |
20 | |
29 | |
30 | |
30 | |
36 |
Average annual total returns (%) (for the period ended December 31, 2020) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/19/98 | 8.80 | 10.48 | 8.42 | |
Class 2 | 06/01/00 | 8.59 | 10.22 | 8.19 | |
Russell 2000 Value Index | 4.63 | 9.65 | 8.66 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 3 |
Portfolio breakdown (%) (at December 31, 2020) | |
Common Stocks | 99.9 |
Money Market Funds | 0.1 |
Warrants | 0.0(a) |
Total | 100.0 |
(a) | Rounds to zero. |
Equity sector breakdown (%) (at December 31, 2020) | |
Communication Services | 1.4 |
Consumer Discretionary | 12.9 |
Consumer Staples | 2.4 |
Energy | 4.5 |
Financials | 33.3 |
Health Care | 3.7 |
Industrials | 17.4 |
Information Technology | 8.2 |
Materials | 9.0 |
Real Estate | 6.7 |
Utilities | 0.5 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
• | Stock selection drove the Fund to outperform its benchmark during the period, particularly within the materials, consumer discretionary, industrials, financials, real estate and information technology sectors. |
• | Capstone Mining Corp., a copper miner, benefited from outstanding execution and higher demand for copper in the face of supply shortages. |
• | Thor Industries, Inc., the largest manufacturer of RVs in the US, benefited as stay-at-home orders across the country hastened a boom in outdoor recreation. The company graduated out of the small-cap space into the mid-cap space and was no longer viable as a portfolio holding. |
• | Immunomedics, Inc., a biotech company in the health care sector was acquired at a significant premium during the period by Gilead Sciences. |
• | MicroStrategy Incorporated, a software company that has been investing in the cryptocurrency boom, saw its stock price rise as cryptocurrency soared in 2020. |
• | Silvergate Capital Corp., a leading agent in the cryptocurrency market, saw strong growth as cryptocurrency trading soared. We exited the position in the company when it hit our valuation target. |
• | Livent, a leader in manufacturing and selling performance-based lithium chemicals essential for lithium ion batteries, started to see supply and demand prospects improve with global electric vehicle adoption accelerating beyond many investors’ previous expectations. |
• | Dycom Industries, Inc., which provides contracting services to the telecom and infrastructure industry, benefited from the increased demand for communication services such as broadband as much of the country transitioned to stay-at-home as a result of the COVID-19 pandemic. |
• | The Fund’s underweight to, and stock selection within, the health care sector. |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 5 |
• | Stock selection within the consumer staples sector. |
• | Fresh Del Monte Produce was negatively impacted by the shift away from food service, as demand by restaurants for fresh ingredients declined significantly in the wake of the COVID-19 pandemic shutdowns. |
• | Callon Petroleum Company, engaged in the exploration and production of oil and gas properties, suffered from the decline in oil prices and a write-down of oil and gas properties. We sold the position before the close of the period. |
• | Allegheny Technologies Incorporated, a specialty metals company focused primarily on products for aerospace and defense, struggled during the period over concerns for future demands for airplanes and rising materials costs. We sold the position before the close of the period. |
• | Not owning positions in Penn National Gaming and Darling Ingredients Inc., both of which returned strongly for the benchmark. |
6 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
(Unaudited)
July 1, 2020 — December 31, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,372.70 | 1,020.71 | 5.25 | 4.47 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 1,371.70 | 1,019.46 | 6.74 | 5.74 | 1.13 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 7 |
December 31, 2020
Common Stocks 99.9% | ||
Issuer | Shares | Value ($) |
Communication Services 1.4% | ||
Diversified Telecommunication Services 0.3% | ||
Liberty Latin America Ltd., Class C(a) | 163,830 | 1,816,875 |
Entertainment 0.2% | ||
Lions Gate Entertainment Corp., Class B(a) | 154,331 | 1,601,956 |
Interactive Media & Services 0.2% | ||
Trivago NV, ADR(a) | 655,296 | 1,585,816 |
Media 0.4% | ||
Criteo SA, ADR(a) | 132,338 | 2,714,253 |
Wireless Telecommunication Services 0.3% | ||
Shenandoah Telecommunications Co. | 45,289 | 1,958,749 |
Total Communication Services | 9,677,649 | |
Consumer Discretionary 12.9% | ||
Auto Components 2.7% | ||
Cooper Tire & Rubber Co. | 141,806 | 5,743,143 |
Gentherm, Inc.(a) | 67,199 | 4,382,719 |
Modine Manufacturing Co.(a) | 272,652 | 3,424,509 |
Visteon Corp.(a) | 43,080 | 5,407,401 |
Total | 18,957,772 | |
Distributors 0.3% | ||
Educational Development Corp. | 149,601 | 2,297,871 |
Diversified Consumer Services 0.9% | ||
American Public Education, Inc.(a) | 60,806 | 1,853,367 |
Carriage Services, Inc. | 146,150 | 4,577,418 |
Total | 6,430,785 | |
Household Durables 3.4% | ||
Cavco Industries, Inc.(a) | 16,047 | 2,815,446 |
Ethan Allen Interiors, Inc. | 146,643 | 2,963,655 |
Hamilton Beach Brands Holding Co. | 133,702 | 2,341,122 |
Hooker Furniture Corp. | 85,024 | 2,742,024 |
Legacy Housing Corp.(a) | 129,976 | 1,963,937 |
Lifetime Brands, Inc. | 149,359 | 2,270,257 |
Skyline Champion Corp.(a) | 119,950 | 3,711,253 |
TRI Pointe Group, Inc.(a) | 272,567 | 4,701,781 |
Total | 23,509,475 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Leisure Products 0.5% | ||
Malibu Boats, Inc., Class A(a) | 56,552 | 3,531,107 |
Multiline Retail 0.9% | ||
Big Lots, Inc. | 137,687 | 5,910,903 |
Specialty Retail 1.2% | ||
Aaron’s Co., Inc. (The)(a) | 153,470 | 2,909,791 |
Children’s Place, Inc. (The)(a) | 50,688 | 2,539,469 |
Urban Outfitters, Inc.(a) | 107,098 | 2,741,709 |
Total | 8,190,969 | |
Textiles, Apparel & Luxury Goods 3.0% | ||
Canada Goose Holdings, Inc.(a) | 93,730 | 2,790,342 |
Capri Holdings Ltd.(a) | 105,172 | 4,417,224 |
Culp, Inc. | 169,780 | 2,694,409 |
Movado Group, Inc.(a) | 214,043 | 3,557,395 |
Skechers U.S.A., Inc., Class A(a) | 78,181 | 2,809,825 |
Steven Madden Ltd. | 138,510 | 4,892,173 |
Total | 21,161,368 | |
Total Consumer Discretionary | 89,990,250 | |
Consumer Staples 2.4% | ||
Beverages 0.6% | ||
MGP Ingredients, Inc. | 90,560 | 4,261,754 |
Food & Staples Retailing 0.6% | ||
Andersons, Inc. (The) | 168,344 | 4,126,112 |
Food Products 0.8% | ||
Fresh Del Monte Produce, Inc. | 245,489 | 5,908,920 |
Personal Products 0.4% | ||
Inter Parfums, Inc. | 43,482 | 2,630,226 |
Total Consumer Staples | 16,927,012 | |
Energy 4.5% | ||
Energy Equipment & Services 3.1% | ||
ChampionX Corp.(a) | 323,830 | 4,954,599 |
Core Laboratories NV | 97,220 | 2,577,302 |
Dawson Geophysical Co.(a) | 691,944 | 1,466,921 |
Frank’s International NV(a) | 616,981 | 1,690,528 |
Natural Gas Services Group, Inc.(a) | 193,895 | 1,838,125 |
8 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
December 31, 2020
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Newpark Resources, Inc.(a) | 1,183,846 | 2,272,984 |
Pason Systems, Inc. | 317,258 | 1,964,014 |
Profire Energy, Inc.(a) | 909,331 | 775,205 |
ProPetro Holding Corp.(a) | 212,550 | 1,570,744 |
TechnipFMC PLC | 244,590 | 2,299,146 |
Total | 21,409,568 | |
Oil, Gas & Consumable Fuels 1.4% | ||
HollyFrontier Corp. | 107,020 | 2,766,467 |
Range Resources Corp.(a) | 498,780 | 3,341,826 |
Talos Energy, Inc.(a) | 251,420 | 2,071,701 |
W&T Offshore, Inc.(a) | 625,040 | 1,356,337 |
Total | 9,536,331 | |
Total Energy | 30,945,899 | |
Financials 33.3% | ||
Banks 19.5% | ||
Altabancorp | 108,385 | 3,026,109 |
Ameris Bancorp | 168,702 | 6,422,485 |
Atlantic Union Bankshares Corp. | 117,337 | 3,865,081 |
BancFirst Corp. | 91,694 | 5,382,438 |
BankUnited, Inc. | 214,803 | 7,470,848 |
Banner Corp. | 96,477 | 4,494,863 |
Boston Private Financial Holdings, Inc. | 547,076 | 4,622,792 |
Brookline Bancorp, Inc. | 299,028 | 3,600,297 |
Capital Bancorp, Inc.(a) | 173,408 | 2,415,573 |
Capital City Bank Group, Inc. | 128,405 | 3,156,195 |
Central Pacific Financial Corp. | 113,870 | 2,164,669 |
Columbia Banking System, Inc. | 152,594 | 5,478,125 |
Community Trust Bancorp, Inc. | 82,938 | 3,072,853 |
First BanCorp | 742,940 | 6,849,907 |
First BanCorp | 121,959 | 4,125,873 |
First Community Corp. | 188,350 | 3,200,066 |
First Financial Corp. | 108,339 | 4,208,970 |
First Hawaiian, Inc. | 141,470 | 3,335,863 |
First of Long Island Corp. (The) | 177,525 | 3,168,821 |
Heritage Financial Corp. | 157,643 | 3,687,270 |
Hilltop Holdings, Inc. | 201,130 | 5,533,086 |
Investors Bancorp, Inc. | 296,206 | 3,127,935 |
National Bank Holdings Corp., Class A | 102,931 | 3,372,020 |
Northrim BanCorp, Inc. | 141,844 | 4,815,604 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
OFG Bancorp | 248,249 | 4,602,536 |
Popular, Inc. | 179,599 | 10,115,016 |
Sierra Bancorp | 78,301 | 1,872,960 |
Southern First Bancshares, Inc.(a) | 87,394 | 3,089,378 |
Spirit of Texas Bancshares, Inc. | 181,957 | 3,056,878 |
Towne Bank | 209,356 | 4,915,679 |
UMB Financial Corp. | 108,324 | 7,473,273 |
Total | 135,723,463 | |
Capital Markets 0.7% | ||
StoneX Group, Inc.(a) | 80,836 | 4,680,404 |
Consumer Finance 1.6% | ||
Ezcorp, Inc., Class A(a) | 879,080 | 4,210,793 |
FirstCash, Inc. | 45,374 | 3,177,995 |
PROG Holdings, Inc. | 66,940 | 3,606,058 |
Total | 10,994,846 | |
Insurance 5.5% | ||
American Equity Investment Life Holding Co. | 200,517 | 5,546,300 |
American National Group, Inc. | 45,687 | 4,391,434 |
Crawford & Co., Class A | 232,670 | 1,719,431 |
Employers Holdings, Inc. | 86,655 | 2,789,425 |
FBL Financial Group, Inc., Class A | 85,530 | 4,491,180 |
Global Indemnity Group LLC | 193,366 | 5,528,334 |
Heritage Insurance Holdings, Inc. | 217,195 | 2,200,185 |
Horace Mann Educators Corp. | 68,091 | 2,862,546 |
National Western Life Group, Inc., Class A | 13,188 | 2,722,531 |
ProAssurance Corp. | 217,030 | 3,860,964 |
Protective Insurance Corp., Class B | 152,422 | 2,089,706 |
Total | 38,202,036 | |
Mortgage Real Estate Investment Trusts (REITS) 0.8% | ||
Blackstone Mortgage Trust, Inc. | 115,500 | 3,179,715 |
Starwood Property Trust, Inc. | 131,535 | 2,538,625 |
Total | 5,718,340 | |
Thrifts & Mortgage Finance 5.2% | ||
HomeStreet, Inc. | 131,232 | 4,429,080 |
MGIC Investment Corp. | 482,816 | 6,059,341 |
NMI Holdings, Inc., Class A(a) | 210,909 | 4,777,089 |
Provident Financial Holdings, Inc. | 152,452 | 2,395,021 |
Radian Group, Inc. | 347,640 | 7,039,710 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 9 |
December 31, 2020
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Washington Federal, Inc. | 180,325 | 4,641,565 |
Western New England Bancorp, Inc. | 529,513 | 3,648,345 |
WSFS Financial Corp. | 74,865 | 3,359,941 |
Total | 36,350,092 | |
Total Financials | 231,669,181 | |
Health Care 3.7% | ||
Biotechnology 0.8% | ||
Atara Biotherapeutics, Inc.(a) | 75,620 | 1,484,421 |
Coherus Biosciences, Inc.(a) | 124,211 | 2,158,787 |
Spero Therapeutics, Inc.(a) | 100,470 | 1,948,113 |
Total | 5,591,321 | |
Health Care Equipment & Supplies 0.8% | ||
Inogen, Inc.(a) | 88,040 | 3,933,627 |
Quotient Ltd.(a) | 361,202 | 1,881,862 |
Total | 5,815,489 | |
Health Care Providers & Services 0.4% | ||
Triple-S Management Corp., Class B(a) | 118,028 | 2,519,898 |
Pharmaceuticals 1.7% | ||
Aerie Pharmaceuticals, Inc.(a) | 205,590 | 2,777,521 |
ANI Pharmaceuticals, Inc.(a) | 72,872 | 2,116,203 |
Supernus Pharmaceuticals, Inc.(a) | 126,382 | 3,179,771 |
Taro Pharmaceutical Industries Ltd.(a) | 25,847 | 1,897,687 |
TherapeuticsMD, Inc.(a) | 1,761,010 | 2,130,822 |
Total | 12,102,004 | |
Total Health Care | 26,028,712 | |
Industrials 17.4% | ||
Aerospace & Defense 2.2% | ||
Aerojet Rocketdyne Holdings, Inc.(a) | 89,890 | 4,750,687 |
Curtiss-Wright Corp. | 41,390 | 4,815,726 |
Moog, Inc., Class A | 75,590 | 5,994,287 |
Total | 15,560,700 | |
Airlines 0.5% | ||
Skywest, Inc. | 88,910 | 3,583,962 |
Building Products 1.9% | ||
Caesarstone Ltd. | 203,792 | 2,626,879 |
Resideo Technologies, Inc.(a) | 240,956 | 5,122,724 |
UFP Industries, Inc. | 96,896 | 5,382,573 |
Total | 13,132,176 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Commercial Services & Supplies 1.3% | ||
HNI Corp. | 108,970 | 3,755,106 |
IBEX Holdings Ltd.(a) | 134,968 | 2,523,902 |
KAR Auction Services, Inc. | 132,803 | 2,471,464 |
Total | 8,750,472 | |
Construction & Engineering 0.8% | ||
Dycom Industries, Inc.(a) | 74,880 | 5,654,938 |
Electrical Equipment 2.4% | ||
Acuity Brands, Inc. | 31,800 | 3,850,662 |
AZZ, Inc. | 80,200 | 3,804,688 |
Encore Wire Corp. | 112,763 | 6,830,055 |
Thermon(a) | 146,060 | 2,282,918 |
Total | 16,768,323 | |
Machinery 4.1% | ||
Commercial Vehicle Group, Inc.(a) | 383,743 | 3,319,377 |
Gorman-Rupp Co. | 102,264 | 3,318,467 |
Greenbrier Companies, Inc. (The) | 107,470 | 3,909,758 |
LB Foster Co., Class A(a) | 121,247 | 1,824,767 |
Lydall, Inc.(a) | 121,891 | 3,660,387 |
Manitex International, Inc.(a) | 318,886 | 1,645,452 |
Mueller Industries, Inc. | 172,209 | 6,046,258 |
Standex International Corp. | 56,663 | 4,392,516 |
Total | 28,116,982 | |
Marine 0.9% | ||
Atlas Corp. | 375,538 | 4,070,832 |
Costamare, Inc. | 287,347 | 2,379,233 |
Total | 6,450,065 | |
Professional Services 1.0% | ||
Korn/Ferry International | 152,966 | 6,654,021 |
Road & Rail 1.7% | ||
Heartland Express, Inc. | 114,100 | 2,065,210 |
Marten Transport Ltd. | 211,950 | 3,651,898 |
Schneider National, Inc., Class B | 169,571 | 3,510,120 |
Werner Enterprises, Inc. | 65,138 | 2,554,712 |
Total | 11,781,940 |
10 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
December 31, 2020
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Trading Companies & Distributors 0.6% | ||
Textainer Group Holdings Ltd.(a) | 221,559 | 4,249,502 |
Total Industrials | 120,703,081 | |
Information Technology 8.2% | ||
Communications Equipment 2.7% | ||
Casa Systems, Inc.(a) | 402,958 | 2,486,251 |
Digi International, Inc.(a) | 171,905 | 3,249,004 |
KVH Industries, Inc.(a) | 213,619 | 2,424,576 |
NETGEAR, Inc.(a) | 124,290 | 5,049,903 |
Netscout Systems, Inc.(a) | 211,233 | 5,792,009 |
Total | 19,001,743 | |
Electronic Equipment, Instruments & Components 1.7% | ||
Airgain, Inc.(a) | 131,990 | 2,346,782 |
Vishay Intertechnology, Inc. | 366,240 | 7,584,830 |
Vishay Precision Group, Inc.(a) | 49,847 | 1,569,184 |
Total | 11,500,796 | |
IT Services 0.4% | ||
International Money Express, Inc.(a) | 188,115 | 2,919,545 |
Semiconductors & Semiconductor Equipment 0.8% | ||
Cohu, Inc. | 152,423 | 5,819,510 |
Software 2.0% | ||
Asure Software, Inc.(a) | 317,942 | 2,257,388 |
CDK Global, Inc. | 99,744 | 5,169,732 |
MicroStrategy, Inc., Class A(a) | 17,270 | 6,710,258 |
Total | 14,137,378 | |
Technology Hardware, Storage & Peripherals 0.6% | ||
Stratasys Ltd.(a) | 188,285 | 3,901,265 |
Total Information Technology | 57,280,237 | |
Materials 8.9% | ||
Chemicals 2.0% | ||
FutureFuel Corp. | 215,243 | 2,733,586 |
Livent Corp.(a) | 363,312 | 6,844,798 |
Tronox Holdings PLC, Class A | 307,174 | 4,490,884 |
Total | 14,069,268 | |
Construction Materials 0.7% | ||
Eagle Materials, Inc. | 44,380 | 4,497,913 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Containers & Packaging 0.6% | ||
Greif, Inc., Class A | 91,517 | 4,290,317 |
Metals & Mining 4.4% | ||
Ampco-Pittsburgh Corp.(a) | 467,171 | 2,560,097 |
Capstone Mining Corp.(a) | 2,888,034 | 5,399,891 |
Centerra Gold, Inc. | 312,460 | 3,618,242 |
Commercial Metals Co. | 283,660 | 5,826,377 |
Ferroglobe PLC(a) | 1,147,838 | 1,882,454 |
Olympic Steel, Inc. | 178,597 | 2,380,698 |
Pretium Resources, Inc.(a) | 340,529 | 3,903,149 |
Schnitzer Steel Industries, Inc., Class A | 120,098 | 3,832,327 |
Universal Stainless & Alloy Products, Inc.(a) | 174,440 | 1,304,811 |
Total | 30,708,046 | |
Paper & Forest Products 1.2% | ||
Clearwater Paper Corp.(a) | 80,303 | 3,031,438 |
Louisiana-Pacific Corp. | 147,760 | 5,492,239 |
Total | 8,523,677 | |
Total Materials | 62,089,221 | |
Real Estate 6.7% | ||
Equity Real Estate Investment Trusts (REITS) 6.7% | ||
American Assets Trust, Inc. | 167,030 | 4,823,826 |
Braemar Hotels & Resorts, Inc.(a) | 486,650 | 2,243,457 |
Brixmor Property Group, Inc. | 160,280 | 2,652,634 |
Farmland Partners, Inc. | 485,872 | 4,227,086 |
Highwoods Properties, Inc. | 80,200 | 3,178,326 |
Hudson Pacific Properties, Inc. | 109,220 | 2,623,464 |
Macerich Co. (The) | 226,150 | 2,413,021 |
Pebblebrook Hotel Trust | 283,754 | 5,334,575 |
PotlatchDeltic Corp. | 133,602 | 6,682,772 |
RLJ Lodging Trust | 475,378 | 6,726,599 |
Sunstone Hotel Investors, Inc. | 495,558 | 5,614,672 |
Total | 46,520,432 | |
Total Real Estate | 46,520,432 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 11 |
December 31, 2020
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 0.5% | ||
Gas Utilities 0.5% | ||
National Fuel Gas Co. | 83,010 | 3,414,201 |
Total Utilities | 3,414,201 | |
Total Common Stocks (Cost $612,293,103) | 695,245,875 | |
Warrants 0.1% | ||
Materials 0.1% | ||
Metals & Mining 0.1% | ||
Ampco-Pittsburgh Corp.(a) | 421,509 | 370,923 |
Total Materials | 370,923 | |
Total Warrants (Cost $164,961) | 370,923 | |
Money Market Funds 0.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(b),(c) | 461,107 | 461,061 |
Total Money Market Funds (Cost $461,061) | 461,061 | |
Total Investments in Securities (Cost: $612,919,125) | 696,077,859 | |
Other Assets & Liabilities, Net | (488,336) | |
Net Assets | 695,589,523 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | ||||||||
8,853,077 | 131,929,018 | (140,321,239) | 205 | 461,061 | 2,448 | 27,231 | 461,107 |
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 2020 |
December 31, 2020
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 | 9,677,649 | — | — | 9,677,649 |
Consumer Discretionary | 89,990,250 | — | — | 89,990,250 |
Consumer Staples | 16,927,012 | — | — | 16,927,012 |
Energy | 30,945,899 | — | — | 30,945,899 |
Financials | 231,669,181 | — | — | 231,669,181 |
Health Care | 26,028,712 | — | — | 26,028,712 |
Industrials | 120,703,081 | — | — | 120,703,081 |
Information Technology | 57,280,237 | — | — | 57,280,237 |
Materials | 62,089,221 | — | — | 62,089,221 |
Real Estate | 46,520,432 | — | — | 46,520,432 |
Utilities | 3,414,201 | — | — | 3,414,201 |
Total Common Stocks | 695,245,875 | — | — | 695,245,875 |
Warrants | ||||
Materials | 370,923 | — | — | 370,923 |
Total Warrants | 370,923 | — | — | 370,923 |
Money Market Funds | 461,061 | — | — | 461,061 |
Total Investments in Securities | 696,077,859 | — | — | 696,077,859 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 13 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $612,458,064) | $695,616,798 |
Affiliated issuers (cost $461,061) | 461,061 |
Receivable for: | |
Investments sold | 433,225 |
Dividends | 594,904 |
Expense reimbursement due from Investment Manager | 1,924 |
Prepaid expenses | 1,965 |
Trustees’ deferred compensation plan | 115,346 |
Total assets | 697,225,223 |
Liabilities | |
Due to custodian | 258 |
Payable for: | |
Capital shares purchased | 1,302,828 |
Management services fees | 16,262 |
Distribution and/or service fees | 2,204 |
Service fees | 108,749 |
Compensation of board members | 888 |
Compensation of chief compliance officer | 44 |
Other expenses | 89,121 |
Trustees’ deferred compensation plan | 115,346 |
Total liabilities | 1,635,700 |
Net assets applicable to outstanding capital stock | $695,589,523 |
Represented by | |
Paid in capital | 610,686,087 |
Total distributable earnings (loss) | 84,903,436 |
Total - representing net assets applicable to outstanding capital stock | $695,589,523 |
Class 1 | |
Net assets | $373,199,845 |
Shares outstanding | 23,075,996 |
Net asset value per share | $16.17 |
Class 2 | |
Net assets | $322,389,678 |
Shares outstanding | 20,079,397 |
Net asset value per share | $16.06 |
14 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $10,657,514 |
Dividends — affiliated issuers | 27,231 |
Foreign taxes withheld | (76,780) |
Total income | 10,607,965 |
Expenses: | |
Management services fees | 4,705,573 |
Distribution and/or service fees | |
Class 2 | 667,188 |
Service fees | 537,421 |
Compensation of board members | 21,534 |
Custodian fees | 28,575 |
Printing and postage fees | 73,362 |
Audit fees | 33,700 |
Legal fees | 13,908 |
Interest on interfund lending | 83 |
Compensation of chief compliance officer | 199 |
Other | 119,277 |
Total expenses | 6,200,820 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (651,111) |
Total net expenses | 5,549,709 |
Net investment income | 5,058,256 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,720,327) |
Investments — affiliated issuers | 2,448 |
Foreign currency translations | (532) |
Net realized loss | (2,718,411) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 60,767,892 |
Investments — affiliated issuers | 205 |
Foreign currency translations | (20) |
Net change in unrealized appreciation (depreciation) | 60,768,077 |
Net realized and unrealized gain | 58,049,666 |
Net increase in net assets resulting from operations | $63,107,922 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 15 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $5,058,256 | $2,535,826 |
Net realized gain (loss) | (2,718,411) | 23,050,204 |
Net change in unrealized appreciation (depreciation) | 60,768,077 | 51,584,475 |
Net increase in net assets resulting from operations | 63,107,922 | 77,170,505 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (13,046,266) | (535,774) |
Class 2 | (12,850,112) | (27,808,189) |
Total distributions to shareholders | (25,896,378) | (28,343,963) |
Increase in net assets from capital stock activity | 26,626,467 | 292,643,666 |
Total increase in net assets | 63,838,011 | 341,470,208 |
Net assets at beginning of year | 631,751,512 | 290,281,304 |
Net assets at end of year | $695,589,523 | $631,751,512 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 3,580,910 | 45,222,558 | 19,898,420 | 293,885,795 |
Distributions reinvested | 1,090,825 | 13,046,266 | 36,422 | 535,774 |
Redemptions | (1,796,080) | (23,336,890) | (122,954) | (1,845,073) |
Net increase | 2,875,655 | 34,931,934 | 19,811,888 | 292,576,496 |
Class 2 | ||||
Subscriptions | 2,679,431 | 31,305,869 | 1,352,923 | 20,253,011 |
Distributions reinvested | 1,080,749 | 12,850,112 | 1,903,367 | 27,808,189 |
Redemptions | (3,950,806) | (52,461,448) | (3,156,935) | (47,994,030) |
Net increase (decrease) | (190,626) | (8,305,467) | 99,355 | 67,170 |
Total net increase | 2,685,029 | 26,626,467 | 19,911,243 | 292,643,666 |
16 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 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 12/31/2020 | $15.67 | 0.14 | 1.01 | 1.15 | (0.08) | (0.57) | (0.65) |
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) |
Class 2 | |||||||
Year Ended 12/31/2020 | $15.55 | 0.10 | 1.02 | 1.12 | (0.04) | (0.57) | (0.61) |
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) |
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 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $16.17 | 8.80% | 1.02%(c) | 0.90%(c) | 1.05% | 57% | $373,200 |
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 |
Class 2 | |||||||
Year Ended 12/31/2020 | $16.06 | 8.59% | 1.27%(c) | 1.15%(c) | 0.80% | 57% | $322,390 |
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% | $398,105 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 21 |
December 31, 2020
22 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
December 31, 2020
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.88% | 0.92% |
Class 2 | 1.13 | 1.17 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 23 |
December 31, 2020
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(290,947) | 290,947 | — |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
6,836,498 | 19,059,880 | 25,896,378 | 3,042,526 | 25,301,437 | 28,343,963 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
4,810,749 | — | (2,536,831) | 82,729,195 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
613,348,664 | 125,005,153 | (42,275,958) | 82,729,195 |
24 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
December 31, 2020
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
— | (2,536,831) | (2,536,831) | — |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 408,333 | 0.62 | 12 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 25 |
December 31, 2020
26 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 27 |
December 31, 2020
28 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 29 |
Dividends received deduction | |
97.26% |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
30 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 31 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
32 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 | 33 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
34 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 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 Cap Value Fund | Annual Report 2020 | 35 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
36 | Columbia Variable Portfolio – Small Cap Value Fund | Annual Report 2020 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
December 31, 2020
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 | |
32 |
Average annual total returns (%) (for the period ended December 31, 2020) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | 22.35 | 14.45 | 14.66 | |
Class 2 | 04/30/12 | 22.00 | 14.16 | 14.38 | |
Russell 1000 Index | 20.96 | 15.60 | 14.59 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 3 |
Portfolio breakdown (%) (at December 31, 2020) | |
Common Stocks | 98.8 |
Money Market Funds | 1.2 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2020) | |
Communication Services | 12.8 |
Consumer Discretionary | 11.7 |
Consumer Staples | 5.5 |
Energy | 2.6 |
Financials | 12.5 |
Health Care | 11.6 |
Industrials | 8.4 |
Information Technology | 28.9 |
Materials | 4.0 |
Real Estate | 0.2 |
Utilities | 1.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
• | Stock selection within communications services, industrials, consumer discretionary and real estate benefited Fund results during the period. |
• | The Fund’s overweight to the information technology sector helped as the sector was a benchmark winner during the period. |
• | Specific companies that contributed to Fund results included Apple, Inc. (information technology), Amazon.com, Inc. (consumer discretionary), Lam Research Corp. (information technology), PayPal Holdings, Inc. (information technology), eBay, Inc. (consumer discretionary), T-Mobile U.S.A., Inc. (communication services), Uber Technologies, Inc. (industrials), Activision Blizzard, Inc. (communication services), Carrier Global Corp. (industrials), Stryker Corp. (health care), Corteva, Inc. (materials), BlackRock, Inc. (financials) and Newmont Corp. (materials). |
• | Overweight allocations to energy and financials detracted as both sectors delivered negative results for the benchmark. |
• | Stock selection within the health care and information technology sectors detracted from Fund results. |
• | The Fund’s bias toward medical devices within health care detracted from Fund results, as the industry suffered as medical procedures were halted during the pandemic. This bias started to help during the second half when procedures resumed. A value-oriented focus within health care further hampered results as growth-oriented companies outperformed. |
• | Specific companies that detracted from results included EOG Resources, Inc. (energy), Chevron Corp. (energy), Citigroup, Inc. (financials) and Philip Morris International, Inc. (consumer staples). |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 5 |
6 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
(Unaudited)
July 1, 2020 — December 31, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,241.60 | 1,021.67 | 3.89 | 3.51 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,239.90 | 1,020.41 | 5.29 | 4.77 | 0.94 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 7 |
December 31, 2020
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Communication Services 12.7% | ||
Entertainment 2.9% | ||
Activision Blizzard, Inc. | 254,823 | 23,660,316 |
Walt Disney Co. (The)(a) | 123,501 | 22,375,911 |
Total | 46,036,227 | |
Interactive Media & Services 5.3% | ||
Alphabet, Inc., Class A(a) | 14,279 | 25,025,947 |
Alphabet, Inc., Class C(a) | 16,674 | 29,210,847 |
Facebook, Inc., Class A(a) | 107,618 | 29,396,933 |
Total | 83,633,727 | |
Media 3.0% | ||
Comcast Corp., Class A | 884,716 | 46,359,118 |
Wireless Telecommunication Services 1.5% | ||
T-Mobile USA, Inc.(a) | 178,071 | 24,012,874 |
Total Communication Services | 200,041,946 | |
Consumer Discretionary 11.5% | ||
Hotels, Restaurants & Leisure 1.0% | ||
Darden Restaurants, Inc. | 99,268 | 11,824,804 |
McDonald’s Corp. | 18,475 | 3,964,366 |
Total | 15,789,170 | |
Internet & Direct Marketing Retail 6.2% | ||
Amazon.com, Inc.(a) | 23,522 | 76,609,508 |
eBay, Inc. | 430,189 | 21,616,997 |
Total | 98,226,505 | |
Multiline Retail 1.1% | ||
Dollar Tree, Inc.(a) | 157,165 | 16,980,106 |
Specialty Retail 2.6% | ||
AutoZone, Inc.(a) | 8,669 | 10,276,579 |
Lowe’s Companies, Inc. | 175,817 | 28,220,387 |
Ulta Beauty, Inc.(a) | 12,267 | 3,522,592 |
Total | 42,019,558 | |
Textiles, Apparel & Luxury Goods 0.6% | ||
Tapestry, Inc. | 182,990 | 5,687,329 |
Under Armour, Inc., Class A(a) | 208,263 | 3,575,876 |
Total | 9,263,205 | |
Total Consumer Discretionary | 182,278,544 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 5.4% | ||
Beverages 1.7% | ||
Coca-Cola Co. (The) | 492,409 | 27,003,709 |
Food & Staples Retailing 0.8% | ||
Sysco Corp. | 179,234 | 13,309,917 |
Food Products 1.1% | ||
Mondelez International, Inc., Class A | 296,172 | 17,317,177 |
Household Products 0.4% | ||
Colgate-Palmolive Co. | 73,794 | 6,310,125 |
Tobacco 1.4% | ||
Philip Morris International, Inc. | 264,363 | 21,886,613 |
Total Consumer Staples | 85,827,541 | |
Energy 2.5% | ||
Oil, Gas & Consumable Fuels 2.5% | ||
Canadian Natural Resources Ltd. | 681,847 | 16,398,420 |
Chevron Corp. | 180,692 | 15,259,439 |
EOG Resources, Inc. | 167,712 | 8,363,798 |
Total | 40,021,657 | |
Total Energy | 40,021,657 | |
Financials 12.4% | ||
Banks 4.2% | ||
Bank of America Corp. | 501,850 | 15,211,073 |
Citigroup, Inc. | 418,482 | 25,803,600 |
JPMorgan Chase & Co. | 205,738 | 26,143,128 |
Total | 67,157,801 | |
Capital Markets 3.6% | ||
BlackRock, Inc. | 36,739 | 26,508,658 |
Morgan Stanley | 351,771 | 24,106,867 |
State Street Corp. | 93,432 | 6,799,981 |
Total | 57,415,506 | |
Consumer Finance 1.0% | ||
American Express Co. | 126,441 | 15,287,981 |
Diversified Financial Services 2.7% | ||
Berkshire Hathaway, Inc., Class B(a) | 183,089 | 42,452,847 |
8 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
December 31, 2020
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 0.9% | ||
Aon PLC, Class A | 63,720 | 13,462,124 |
Total Financials | 195,776,259 | |
Health Care 11.4% | ||
Biotechnology 1.2% | ||
Alexion Pharmaceuticals, Inc.(a) | 81,018 | 12,658,252 |
BioMarin Pharmaceutical, Inc.(a) | 63,862 | 5,600,059 |
Total | 18,258,311 | |
Health Care Equipment & Supplies 5.0% | ||
Abbott Laboratories | 128,665 | 14,087,531 |
Becton Dickinson and Co. | 63,465 | 15,880,212 |
Dentsply Sirona, Inc. | 181,797 | 9,518,891 |
Medtronic PLC | 262,856 | 30,790,952 |
Stryker Corp. | 39,202 | 9,606,058 |
Total | 79,883,644 | |
Health Care Providers & Services 2.0% | ||
Anthem, Inc. | 35,405 | 11,368,191 |
Cigna Corp. | 56,040 | 11,666,407 |
CVS Health Corp. | 129,489 | 8,844,099 |
Total | 31,878,697 | |
Pharmaceuticals 3.2% | ||
Eli Lilly and Co. | 77,435 | 13,074,125 |
Johnson & Johnson | 239,057 | 37,622,791 |
Total | 50,696,916 | |
Total Health Care | 180,717,568 | |
Industrials 8.3% | ||
Aerospace & Defense 1.6% | ||
Raytheon Technologies Corp. | 355,841 | 25,446,190 |
Airlines 0.1% | ||
Southwest Airlines Co. | 49,546 | 2,309,339 |
Building Products 1.0% | ||
Carrier Global Corp. | 409,523 | 15,447,208 |
Industrial Conglomerates 1.2% | ||
Honeywell International, Inc. | 87,000 | 18,504,900 |
Machinery 1.5% | ||
Stanley Black & Decker, Inc. | 137,259 | 24,508,967 |
Road & Rail 2.9% |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Uber Technologies, Inc.(a) | 398,505 | 20,323,755 |
Union Pacific Corp. | 121,284 | 25,253,754 |
Total | 45,577,509 | |
Total Industrials | 131,794,113 | |
Information Technology 28.5% | ||
Communications Equipment 0.9% | ||
Cisco Systems, Inc. | 312,105 | 13,966,699 |
Electronic Equipment, Instruments & Components 1.6% | ||
TE Connectivity Ltd. | 206,296 | 24,976,257 |
IT Services 6.0% | ||
Fidelity National Information Services, Inc. | 157,934 | 22,341,344 |
Fiserv, Inc.(a) | 187,817 | 21,384,843 |
MasterCard, Inc., Class A | 91,321 | 32,596,118 |
PayPal Holdings, Inc.(a) | 76,686 | 17,959,861 |
Total | 94,282,166 | |
Semiconductors & Semiconductor Equipment 3.4% | ||
Lam Research Corp. | 43,289 | 20,444,096 |
Marvell Technology Group Ltd. | 99,451 | 4,727,900 |
NVIDIA Corp. | 29,305 | 15,303,071 |
NXP Semiconductors NV | 85,362 | 13,573,412 |
Total | 54,048,479 | |
Software 9.7% | ||
Adobe, Inc.(a) | 38,388 | 19,198,607 |
Autodesk, Inc.(a) | 48,238 | 14,728,991 |
Intuit, Inc. | 47,172 | 17,918,284 |
Microsoft Corp. | 377,820 | 84,034,724 |
Palo Alto Networks, Inc.(a) | 51,543 | 18,317,867 |
Total | 154,198,473 | |
Technology Hardware, Storage & Peripherals 6.9% | ||
Apple, Inc. | 738,912 | 98,046,233 |
Western Digital Corp. | 214,342 | 11,872,403 |
Total | 109,918,636 | |
Total Information Technology | 451,390,710 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 9 |
December 31, 2020
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 4.0% | ||
Chemicals 2.6% | ||
Air Products & Chemicals, Inc. | 22,908 | 6,258,924 |
Corteva, Inc. | 320,255 | 12,400,274 |
International Flavors & Fragrances, Inc. | 27,392 | 2,981,345 |
Nutrien Ltd. | 328,300 | 15,810,928 |
Sherwin-Williams Co. (The) | 5,616 | 4,127,254 |
Total | 41,578,725 | |
Metals & Mining 1.4% | ||
Newmont Corp. | 357,555 | 21,413,969 |
Total Materials | 62,992,694 | |
Real Estate 0.2% | ||
Equity Real Estate Investment Trusts (REITS) 0.2% | ||
American Tower Corp. | 14,043 | 3,152,092 |
Total Real Estate | 3,152,092 | |
Utilities 1.8% | ||
Electric Utilities 0.9% | ||
American Electric Power Co., Inc. | 161,212 | 13,424,123 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Independent Power and Renewable Electricity Producers 0.9% | ||
AES Corp. (The) | 625,313 | 14,694,856 |
Total Utilities | 28,118,979 | |
Total Common Stocks (Cost $1,052,535,379) | 1,562,112,103 | |
Money Market Funds 1.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(b),(c) | 18,643,780 | 18,641,916 |
Total Money Market Funds (Cost $18,641,916) | 18,641,916 | |
Total Investments in Securities (Cost: $1,071,177,295) | 1,580,754,019 | |
Other Assets & Liabilities, Net | 1,061,732 | |
Net Assets | 1,581,815,751 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | ||||||||
12,377,570 | 425,029,236 | (418,764,890) | — | 18,641,916 | 8,318 | 120,844 | 18,643,780 |
■ | 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 2020 |
December 31, 2020
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 | 200,041,946 | — | — | 200,041,946 |
Consumer Discretionary | 182,278,544 | — | — | 182,278,544 |
Consumer Staples | 85,827,541 | — | — | 85,827,541 |
Energy | 40,021,657 | — | — | 40,021,657 |
Financials | 195,776,259 | — | — | 195,776,259 |
Health Care | 180,717,568 | — | — | 180,717,568 |
Industrials | 131,794,113 | — | — | 131,794,113 |
Information Technology | 451,390,710 | — | — | 451,390,710 |
Materials | 62,992,694 | — | — | 62,992,694 |
Real Estate | 3,152,092 | — | — | 3,152,092 |
Utilities | 28,118,979 | — | — | 28,118,979 |
Total Common Stocks | 1,562,112,103 | — | — | 1,562,112,103 |
Money Market Funds | 18,641,916 | — | — | 18,641,916 |
Total Investments in Securities | 1,580,754,019 | — | — | 1,580,754,019 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 11 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,052,535,379) | $1,562,112,103 |
Affiliated issuers (cost $18,641,916) | 18,641,916 |
Receivable for: | |
Investments sold | 5,016,593 |
Capital shares sold | 516 |
Dividends | 1,121,034 |
Foreign tax reclaims | 75,653 |
Expense reimbursement due from Investment Manager | 1,831 |
Prepaid expenses | 5,177 |
Trustees’ deferred compensation plan | 167,602 |
Total assets | 1,587,142,425 |
Liabilities | |
Payable for: | |
Investments purchased | 3,004,655 |
Capital shares purchased | 2,080,174 |
Management services fees | 30,787 |
Distribution and/or service fees | 902 |
Service fees | 8,234 |
Compensation of board members | 1,337 |
Compensation of chief compliance officer | 120 |
Other expenses | 32,863 |
Trustees’ deferred compensation plan | 167,602 |
Total liabilities | 5,326,674 |
Net assets applicable to outstanding capital stock | $1,581,815,751 |
Represented by | |
Trust capital | $1,581,815,751 |
Total - representing net assets applicable to outstanding capital stock | $1,581,815,751 |
Class 1 | |
Net assets | $1,449,079,381 |
Shares outstanding | 44,265,513 |
Net asset value per share | $32.74 |
Class 2 | |
Net assets | $132,736,370 |
Shares outstanding | 4,141,613 |
Net asset value per share | $32.05 |
12 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $23,209,189 |
Dividends — affiliated issuers | 120,844 |
Foreign taxes withheld | (193,314) |
Total income | 23,136,719 |
Expenses: | |
Management services fees | 10,453,669 |
Distribution and/or service fees | |
Class 2 | 281,694 |
Service fees | 73,135 |
Compensation of board members | 35,513 |
Custodian fees | 14,728 |
Printing and postage fees | 14,788 |
Audit fees | 29,500 |
Legal fees | 37,625 |
Interest on interfund lending | 46 |
Compensation of chief compliance officer | 490 |
Other | 55,717 |
Total expenses | 10,996,905 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (699,823) |
Total net expenses | 10,297,082 |
Net investment income | 12,839,637 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 161,416,348 |
Investments — affiliated issuers | 8,318 |
Foreign currency translations | 2,418 |
Net realized gain | 161,427,084 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 117,164,940 |
Foreign currency translations | (558) |
Net change in unrealized appreciation (depreciation) | 117,164,382 |
Net realized and unrealized gain | 278,591,466 |
Net increase in net assets resulting from operations | $291,431,103 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 13 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $12,839,637 | $17,172,229 |
Net realized gain | 161,427,084 | 75,122,014 |
Net change in unrealized appreciation (depreciation) | 117,164,382 | 335,016,025 |
Net increase in net assets resulting from operations | 291,431,103 | 427,310,268 |
Decrease in net assets from capital stock activity | (255,795,429) | (274,808,345) |
Total increase in net assets | 35,635,674 | 152,501,923 |
Net assets at beginning of year | 1,546,180,077 | 1,393,678,154 |
Net assets at end of year | $1,581,815,751 | $1,546,180,077 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 11,065,514 | 337,414,644 | 216,231 | 5,144,391 |
Redemptions | (20,359,651) | (588,975,938) | (11,411,795) | (271,813,544) |
Net decrease | (9,294,137) | (251,561,294) | (11,195,564) | (266,669,153) |
Class 2 | ||||
Subscriptions | 261,970 | 6,908,429 | 169,748 | 4,008,986 |
Redemptions | (414,807) | (11,142,564) | (522,680) | (12,148,178) |
Net decrease | (152,837) | (4,234,135) | (352,932) | (8,139,192) |
Total net decrease | (9,446,974) | (255,795,429) | (11,548,496) | (274,808,345) |
14 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2020 | $26.76 | 0.25 | 5.73 | 5.98 |
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 |
Class 2 | ||||
Year Ended 12/31/2020 | $26.27 | 0.17 | 5.61 | 5.78 |
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 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $32.74 | 22.35% | 0.74%(c) | 0.69%(c) | 0.91% | 58% | $1,449,079 |
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 |
Class 2 | |||||||
Year Ended 12/31/2020 | $32.05 | 22.00% | 0.99%(c) | 0.94%(c) | 0.65% | 58% | $132,736 |
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% | $82,790 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 17 |
December 31, 2020
18 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
December 31, 2020
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.69% |
Class 2 | 0.94 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 21 |
December 31, 2020
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 866,667 | 0.65 | 3 |
22 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
December 31, 2020
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 23 |
December 31, 2020
24 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 25 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
26 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 27 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
28 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 | 29 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
30 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 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 2020 | 31 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
32 | Columbia Variable Portfolio – Contrarian Core Fund | Annual Report 2020 |
December 31, 2020
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
18 | |
27 | |
28 | |
28 | |
34 |
Average annual total returns (%) (for the period ended December 31, 2020) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | 4.45 | 5.76 | 4.05 | |
Class 2 | 04/30/13 | 4.17 | 5.50 | 3.79 | |
MSCI EAFE Index (Net) | 7.82 | 7.45 | 5.42 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 3 |
Equity sector breakdown (%) (at December 31, 2020) | |
Communication Services | 6.5 |
Consumer Discretionary | 12.1 |
Consumer Staples | 11.2 |
Energy | 2.9 |
Financials | 16.7 |
Health Care | 13.9 |
Industrials | 14.7 |
Information Technology | 7.7 |
Materials | 8.3 |
Real Estate | 2.2 |
Utilities | 3.8 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2020) | |
Australia | 7.6 |
Austria | 0.2 |
Belgium | 0.2 |
China | 0.3 |
Denmark | 3.4 |
Finland | 1.3 |
Country breakdown (%) (at December 31, 2020) | |
France | 9.2 |
Germany | 8.6 |
Hong Kong | 2.3 |
Ireland | 0.6 |
Israel | 0.3 |
Italy | 1.9 |
Japan | 24.7 |
Luxembourg | 0.2 |
Netherlands | 4.0 |
New Zealand | 0.6 |
Norway | 1.8 |
Singapore | 1.2 |
Spain | 2.5 |
Sweden | 4.9 |
Switzerland | 9.9 |
United Kingdom | 13.8 |
United States(a) | 0.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
• | The Fund benefited from holdings in the materials, communication services and energy sectors. |
• | In materials, holdings in hard metals companies (gold and iron ore) and underweight holdings, relative to the benchmark, in several major chemical companies contributed to performance. |
• | The communication services sector was dominated by the global rollout of 5G with several of the European telecoms suffering losses as they announced capital expenditures to upgrade their infrastructure. The Fund’s strong stock selection benefited relative performance. In particular, the Fund benefitted from the decision by NTT to buy their remaining interest in NTT DoCoMo. |
• | Although energy was the worst-performing sector in the benchmark due to excess supply, weakening demand due in part to the pandemic and a shift to alternative energy sources, all of which weighed on the sector, the Fund’s lack of exposure to the largest integrated oils in the sector helped as integrated oils suffered losses averaging close to 40%. |
• | Among countries, Australia was the greatest contributor to the Fund’s relative return as a small overweight position to the country, relative to the benchmark, and successful stock selection benefited the portfolio. With the rally in commodity prices, the resource-dominated exchange enjoyed strong returns, helped by a strengthening in the Australian dollar. Fortescue Metals was the leading contributor to Fund performance as the Australian mining concern benefited from the sharp increase in iron ore prices throughout the year. |
• | An overweight and stock selection in Netherlands provided the greatest benefit to the portfolio as we took significant technology positions in semiconductor manufacturers that posted strong gains. Our holding in Unilever, which was sold at mid-year, also benefitted the portfolio. |
• | France also contributed to the Fund’s 2020 return although a modest underweight position relative to the market detracted. This was more than offset by favorable stock selection. |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 5 |
• | Evolution Gaming, the Swedish gaming company, benefitted from high consumer demand during the quarantine. A significant acquisition broadened its casino game offerings and lowered its operating costs. The company also benefitted from signing an exclusive distribution agreement with Golden Nugget for US distribution of their games in the United States. |
• | The industrial sector was challenging for all of 2020. Our positions in many airline and related stocks at the beginning of the year (Qantas Airways, Japan Airlines Fly Leasing, MTU Aero) hurt as the COVID-19 virus effectively curtailed all air travel. Qantas Airways sold off as airline travel virtually stopped with the outbreak of the pandemic, sending the stock down nearly 70%. We sold the Fund’s position in Qantas. Our exposure to the sector overall was conservatively positioned throughout most of the final three quarters of the year, missing the sharp rally in more cyclical names in the period, including Airbus, Rolls Royce and Siemens. |
• | The consumer discretionary sector also saw significant rotation where we sold homebuilders and more economically sensitive stocks in March and rotated into lower risk names. |
• | In terms of country allocations, Japan was the single largest detractor from performance. Stock selection within the country accounted for the vast majority of the deficit as all underperformed significantly. Real estate, financial and transportation issues all hurt performance. |
• | East Japan Railway struggled throughout the year with low passenger revenue, reporting a drop of over 54% in the first half of the year. Despite efforts to control costs and additional debt, it is estimated that the company will need to regain approximately 90% of their traffic to turn profitable. |
• | Germany also lagged as an underweight to the market and stock selection combined to detract more than 100 basis points in return. |
• | The United Kingdom also detracted as stock selection more than offset the benefit of a modest underweight to the market. |
6 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
(Unaudited)
July 1, 2020 — December 31, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,192.20 | 1,020.91 | 4.63 | 4.27 | 0.84 |
Class 2 | 1,000.00 | 1,000.00 | 1,190.30 | 1,019.61 | 6.06 | 5.58 | 1.10 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 7 |
December 31, 2020
Common Stocks 97.8% | ||
Issuer | Shares | Value ($) |
Australia 7.6% | ||
AGL Energy Ltd. | 351,345 | 3,243,046 |
Aristocrat Leisure Ltd. | 105,313 | 2,528,668 |
BHP Group Ltd. | 195,898 | 6,400,882 |
Breville Group Ltd. | 123,636 | 2,433,485 |
Charter Hall Group | 341,082 | 3,873,541 |
CSL Ltd. | 29,186 | 6,376,924 |
Data#3 Ltd. | 315,502 | 1,368,484 |
Fortescue Metals Group Ltd. | 2,107,491 | 38,066,347 |
Goodman Group | 225,665 | 3,298,652 |
IGO Ltd. | 478,907 | 2,360,253 |
Inghams Group Ltd. | 657,568 | 1,579,675 |
Netwealth Group Ltd. | 245,455 | 3,028,161 |
REA Group Ltd. | 19,132 | 2,191,521 |
Regis Resources Ltd. | 1,014,464 | 2,927,458 |
Santos Ltd. | 3,753,702 | 18,178,093 |
Stockland | 2,465,478 | 7,959,973 |
Total | 105,815,163 | |
Austria 0.2% | ||
OMV AG | 27,846 | 1,112,255 |
Raiffeisen Bank International AG(a) | 54,714 | 1,111,879 |
Total | 2,224,134 | |
Belgium 0.2% | ||
UCB SA | 23,298 | 2,406,622 |
China 0.3% | ||
S-Enjoy Service Group Co., Ltd.(a) | 722,000 | 1,654,676 |
SITC International Holdings Co., Ltd. | 857,000 | 1,850,828 |
Total | 3,505,504 | |
Denmark 3.4% | ||
Coloplast A/S, Class B | 63,601 | 9,726,429 |
Genmab A/S(a) | 3,074 | 1,246,488 |
Novo Nordisk A/S, Class B | 524,333 | 36,577,037 |
Total | 47,549,954 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Finland 1.3% | ||
Metso OYJ | 123,508 | 1,637,960 |
Neste OYJ | 67,644 | 4,911,209 |
UPM-Kymmene OYJ | 29,219 | 1,089,625 |
Valmet OYJ | 376,917 | 10,836,547 |
Total | 18,475,341 | |
France 9.2% | ||
Air Liquide SA | 37,777 | 6,193,422 |
Cie de Saint-Gobain(a) | 478,182 | 21,992,738 |
Cie Generale des Etablissements Michelin CSA | 126,096 | 16,235,724 |
Electricite de France SA(a) | 207,031 | 3,276,128 |
Elis SA(a) | 61,641 | 1,021,147 |
Gaztransport Et Technigaz SA | 26,020 | 2,520,781 |
Hermes International | 3,221 | 3,463,472 |
L’Oreal SA | 45,228 | 17,256,843 |
Orange SA | 520,546 | 6,197,114 |
Peugeot SA(a) | 243,241 | 6,661,313 |
Sartorius Stedim Biotech | 3,651 | 1,298,823 |
Schneider Electric SE | 251,467 | 36,343,880 |
Societe Generale SA(a) | 288,413 | 5,995,708 |
Total | 128,457,093 | |
Germany 7.2% | ||
Allianz SE, Registered Shares | 143,022 | 35,136,643 |
Continental AG | 19,248 | 2,864,781 |
Daimler AG, Registered Shares | 237,319 | 16,821,005 |
Deutsche Bank AG, Registered Shares(a) | 1,100,287 | 12,102,043 |
Deutsche Post AG | 474,534 | 23,506,410 |
DWS Group GmbH & Co. KGaA | 77,597 | 3,298,914 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 24,201 | 7,190,752 |
Total | 100,920,548 | |
Hong Kong 2.3% | ||
CK Hutchison Holdings Ltd. | 1,136,000 | 7,931,364 |
Hong Kong Exchanges and Clearing Ltd. | 93,300 | 5,117,666 |
Man Wah Holdings Ltd. | 1,756,000 | 3,809,095 |
Sun Hung Kai Properties Ltd. | 605,500 | 7,743,728 |
8 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
December 31, 2020
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
WH Group Ltd. | 9,481,000 | 7,950,313 |
Total | 32,552,166 | |
Ireland 0.6% | ||
ICON PLC(a) | 26,907 | 5,246,327 |
Kingspan Group PLC(a) | 45,279 | 3,175,086 |
Total | 8,421,413 | |
Israel 0.3% | ||
Plus500 Ltd. | 180,080 | 3,567,653 |
Italy 1.9% | ||
Banco BPM SpA(a) | 1,200,266 | 2,663,086 |
Buzzi Unicem SpA | 259,760 | 6,201,176 |
De’ Longhi SpA | 37,214 | 1,172,015 |
Fiat Chrysler Automobiles NV(a) | 530,605 | 9,585,947 |
Intesa Sanpaolo SpA(a) | 1,526,304 | 3,607,754 |
Reply SpA | 31,681 | 3,709,112 |
Total | 26,939,090 | |
Japan 24.6% | ||
77 Bank Ltd. (The) | 124,700 | 1,701,728 |
AGC, Inc. | 83,900 | 2,933,903 |
Amada Holdings Co., Ltd. | 1,107,600 | 12,188,236 |
Credit Saison Co., Ltd. | 115,200 | 1,326,275 |
Dai Nippon Printing Co., Ltd. | 283,200 | 5,094,101 |
Dai-ichi Life Holdings, Inc. | 1,318,400 | 19,862,221 |
Daikin Industries Ltd. | 84,100 | 18,709,487 |
Daito Trust Construction Co., Ltd. | 19,500 | 1,822,365 |
DCM Holdings Co., Ltd. | 280,000 | 3,200,702 |
East Japan Railway Co. | 120,600 | 8,045,876 |
EDION Corp. | 335,200 | 3,408,573 |
Electric Power Development Co., Ltd. | 368,100 | 5,079,825 |
Japan Post Bank Co., Ltd. | 618,100 | 5,080,551 |
Japan Tobacco, Inc. | 452,900 | 9,233,347 |
Kao Corp. | 26,700 | 2,062,741 |
KDDI Corp. | 256,400 | 7,602,327 |
Kureha Corp. | 18,700 | 1,320,502 |
McDonald’s Holdings Co. Japan Ltd. | 119,700 | 5,800,811 |
MEIJI Holdings Co., Ltd. | 48,700 | 3,427,493 |
MS&AD Insurance Group Holdings, Inc. | 202,600 | 6,164,114 |
Murata Manufacturing Co., Ltd. | 346,500 | 31,368,487 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Nintendo Co., Ltd. | 45,200 | 29,015,752 |
Nishi-Nippon Financial Holdings, Inc. | 216,800 | 1,388,673 |
Nitori Co., Ltd. | 34,100 | 7,130,361 |
Nitto Denko Corp. | 127,800 | 11,448,330 |
Obayashi Corp. | 580,400 | 5,011,505 |
Okinawa Electric Power Co., Inc. (The) | 87,400 | 1,175,337 |
Ono Pharmaceutical Co., Ltd. | 251,800 | 7,587,944 |
ORIX Corp. | 291,700 | 4,487,547 |
Osaka Gas Co., Ltd. | 239,800 | 4,915,319 |
Sekisui Chemical Co., Ltd. | 448,100 | 8,496,570 |
Sekisui House Ltd. | 689,900 | 14,054,506 |
Seven & I Holdings Co., Ltd. | 389,000 | 13,774,721 |
Shin-Etsu Chemical Co., Ltd. | 144,700 | 25,397,145 |
SoftBank Corp. | 1,740,800 | 21,850,513 |
T&D Holdings, Inc. | 286,800 | 3,392,515 |
Taiheiyo Cement Corp. | 118,700 | 2,973,329 |
Tohoku Electric Power Co., Inc. | 126,000 | 1,039,899 |
Tokyo Electron Ltd. | 37,800 | 14,120,676 |
Trend Micro, Inc.(a) | 196,100 | 11,290,094 |
Total | 343,984,401 | |
Luxembourg 0.2% | ||
ArcelorMittal SA(a) | 98,188 | 2,245,555 |
Netherlands 4.0% | ||
ASM International NV | 57,569 | 12,562,775 |
ASML Holding NV | 28,048 | 13,580,204 |
Koninklijke Ahold Delhaize NV | 633,252 | 17,864,885 |
NN Group NV | 201,206 | 8,698,184 |
Randstad NV(a) | 49,855 | 3,227,249 |
Total | 55,933,297 | |
New Zealand 0.6% | ||
Fisher & Paykel Healthcare Corp., Ltd. | 345,946 | 8,215,782 |
Norway 1.8% | ||
DNB ASA(a) | 405,929 | 7,954,425 |
Orkla | 1,019,723 | 10,352,672 |
Yara International ASA | 149,865 | 6,217,232 |
Total | 24,524,329 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 9 |
December 31, 2020
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Singapore 1.2% | ||
AEM Holdings Ltd. | 1,696,500 | 4,434,245 |
DBS Group Holdings Ltd. | 47,800 | 905,845 |
Genting Singapore Ltd. | 2,853,100 | 1,837,514 |
Oversea-Chinese Banking Corp., Ltd. | 1,093,900 | 8,336,057 |
UOL Group Ltd. | 228,500 | 1,332,401 |
Total | 16,846,062 | |
Spain 2.5% | ||
Amadeus IT Group SA, Class A | 44,721 | 3,301,182 |
Iberdrola SA | 924,996 | 13,292,467 |
Industria de Diseno Textil SA | 592,465 | 18,804,744 |
Total | 35,398,393 | |
Sweden 4.8% | ||
ASSA ABLOY AB, Class B | 282,238 | 6,974,669 |
Axfood AB | 75,899 | 1,768,092 |
Essity AB, Class B | 203,487 | 6,556,184 |
Evolution Gaming Group AB | 139,732 | 14,047,894 |
Husqvarna AB, Class B | 735,821 | 9,549,442 |
Kinnevik AB, Class B(a) | 69,188 | 3,475,772 |
Lundin Energy AB | 79,401 | 2,151,978 |
Sandvik AB(a) | 121,246 | 2,990,359 |
Skandinaviska Enskilda Banken AB, Class A(a) | 580,755 | 5,980,318 |
Swedish Match AB | 116,550 | 9,070,013 |
Thule Group AB(a) | 50,838 | 1,902,067 |
Volvo AB, B Shares(a) | 139,052 | 3,291,793 |
Total | 67,758,581 | |
Switzerland 9.9% | ||
Credit Suisse Group AG, Registered Shares | 604,157 | 7,800,198 |
Geberit AG | 1,887 | 1,181,208 |
Logitech International SA | 72,785 | 7,067,060 |
Nestlé SA, Registered Shares | 40,196 | 4,751,622 |
Novartis AG, Registered Shares | 435,608 | 41,015,958 |
Partners Group Holding AG | 6,535 | 7,678,899 |
Roche Holding AG, Genusschein Shares | 132,608 | 46,187,176 |
Sonova Holding AG(a) | 56,533 | 14,703,872 |
UBS AG | 569,280 | 8,015,370 |
Total | 138,401,363 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
United Kingdom 13.7% | ||
3i Group PLC | 198,343 | 3,137,179 |
Associated British Foods PLC(a) | 240,975 | 7,440,032 |
AstraZeneca PLC | 28,909 | 2,882,613 |
Barclays Bank PLC(a) | 10,828,506 | 21,723,011 |
British American Tobacco PLC | 241,950 | 8,985,270 |
BT Group PLC(a) | 4,308,815 | 7,766,468 |
Computacenter PLC | 41,311 | 1,383,391 |
GlaxoSmithKline PLC | 519,942 | 9,513,885 |
Howden Joinery Group PLC(a) | 92,287 | 869,383 |
IMI PLC | 233,034 | 3,713,496 |
Imperial Brands PLC | 200,639 | 4,208,322 |
Investec PLC | 471,234 | 1,211,046 |
ITV PLC(a) | 1,262,501 | 1,839,702 |
National Grid PLC | 1,764,176 | 20,848,034 |
NatWest Group PLC(a) | 3,184,401 | 7,279,499 |
Persimmon PLC | 262,453 | 9,905,715 |
RELX PLC | 767,094 | 18,768,816 |
Rio Tinto PLC | 26,945 | 2,028,234 |
Royal Dutch Shell PLC, Class A | 613,109 | 10,792,547 |
Segro PLC | 321,874 | 4,176,559 |
Spirent Communications PLC | 544,668 | 1,969,163 |
Standard Chartered PLC(a) | 2,081,320 | 13,216,270 |
Tate & Lyle PLC | 873,530 | 8,048,880 |
Unilever PLC | 93,372 | 5,653,776 |
Vodafone Group PLC | 8,673,495 | 14,246,118 |
Total | 191,607,409 | |
Total Common Stocks (Cost $1,075,665,388) | 1,365,749,853 |
Preferred Stocks 1.4% | |||
Issuer | Shares | Value ($) | |
Germany 1.4% | |||
Henkel AG & Co. KGaA | 137,997 | 15,559,785 | |
Volkswagen AG | 19,976 | 3,733,193 | |
Total | 19,292,978 | ||
Total Preferred Stocks (Cost $18,560,401) | 19,292,978 |
10 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
December 31, 2020
Money Market Funds 0.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(b),(c) | 7,666,145 | 7,665,378 |
Total Money Market Funds (Cost $7,665,378) | 7,665,378 | |
Total Investments in Securities (Cost $1,101,891,167) | 1,392,708,209 | |
Other Assets & Liabilities, Net | 4,130,345 | |
Net Assets | $1,396,838,554 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | ||||||||
5,296,419 | 530,672,528 | (528,303,966) | 397 | 7,665,378 | (3,477) | 98,480 | 7,666,145 |
■ | 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 2020 | 11 |
December 31, 2020
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 | ||||
Australia | — | 105,815,163 | — | 105,815,163 |
Austria | — | 2,224,134 | — | 2,224,134 |
Belgium | — | 2,406,622 | — | 2,406,622 |
China | — | 3,505,504 | — | 3,505,504 |
Denmark | — | 47,549,954 | — | 47,549,954 |
Finland | — | 18,475,341 | — | 18,475,341 |
France | — | 128,457,093 | — | 128,457,093 |
Germany | — | 100,920,548 | — | 100,920,548 |
Hong Kong | — | 32,552,166 | — | 32,552,166 |
Ireland | 5,246,327 | 3,175,086 | — | 8,421,413 |
Israel | — | 3,567,653 | — | 3,567,653 |
Italy | — | 26,939,090 | — | 26,939,090 |
Japan | — | 343,984,401 | — | 343,984,401 |
Luxembourg | — | 2,245,555 | — | 2,245,555 |
Netherlands | — | 55,933,297 | — | 55,933,297 |
New Zealand | — | 8,215,782 | — | 8,215,782 |
Norway | — | 24,524,329 | — | 24,524,329 |
Singapore | — | 16,846,062 | — | 16,846,062 |
Spain | — | 35,398,393 | — | 35,398,393 |
Sweden | — | 67,758,581 | — | 67,758,581 |
Switzerland | — | 138,401,363 | — | 138,401,363 |
United Kingdom | — | 191,607,409 | — | 191,607,409 |
Total Common Stocks | 5,246,327 | 1,360,503,526 | — | 1,365,749,853 |
Preferred Stocks | ||||
Germany | — | 19,292,978 | — | 19,292,978 |
Total Preferred Stocks | — | 19,292,978 | — | 19,292,978 |
Money Market Funds | 7,665,378 | — | — | 7,665,378 |
Total Investments in Securities | 12,911,705 | 1,379,796,504 | — | 1,392,708,209 |
12 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,094,225,789) | $1,385,042,831 |
Affiliated issuers (cost $7,665,378) | 7,665,378 |
Foreign currency (cost $127,649) | 127,515 |
Receivable for: | |
Capital shares sold | 8 |
Dividends | 2,386,806 |
Foreign tax reclaims | 6,335,623 |
Prepaid expenses | 5,800 |
Trustees’ deferred compensation plan | 151,034 |
Total assets | 1,401,714,995 |
Liabilities | |
Due to custodian | 906 |
Payable for: | |
Capital shares purchased | 4,628,299 |
Management services fees | 31,697 |
Distribution and/or service fees | 181 |
Service fees | 1,169 |
Compensation of board members | 1,358 |
Compensation of chief compliance officer | 125 |
Other expenses | 61,672 |
Trustees’ deferred compensation plan | 151,034 |
Total liabilities | 4,876,441 |
Net assets applicable to outstanding capital stock | $1,396,838,554 |
Represented by | |
Paid in capital | 1,297,726,413 |
Total distributable earnings (loss) | 99,112,141 |
Total - representing net assets applicable to outstanding capital stock | $1,396,838,554 |
Class 1 | |
Net assets | $1,370,402,894 |
Shares outstanding | 118,777,978 |
Net asset value per share | $11.54 |
Class 2 | |
Net assets | $26,435,660 |
Shares outstanding | 2,296,168 |
Net asset value per share | $11.51 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 13 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $69,919,775 |
Dividends — affiliated issuers | 98,480 |
Foreign taxes withheld | (6,597,636) |
Total income | 63,420,619 |
Expenses: | |
Management services fees | 15,889,685 |
Distribution and/or service fees | |
Class 2 | 56,951 |
Service fees | 13,883 |
Compensation of board members | 45,767 |
Custodian fees | 225,204 |
Printing and postage fees | 10,166 |
Audit fees | 125,399 |
Legal fees | 53,454 |
Compensation of chief compliance officer | 689 |
Other | 62,829 |
Total expenses | 16,484,027 |
Net investment income | 46,936,592 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (125,467,671) |
Investments — affiliated issuers | (3,477) |
Foreign currency translations | 66,742 |
Net realized loss | (125,404,406) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (33,831,185) |
Investments — affiliated issuers | 397 |
Foreign currency translations | 452,576 |
Net change in unrealized appreciation (depreciation) | (33,378,212) |
Net realized and unrealized loss | (158,782,618) |
Net decrease in net assets resulting from operations | $(111,846,026) |
14 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $46,936,592 | $74,091,611 |
Net realized loss | (125,404,406) | (108,099,124) |
Net change in unrealized appreciation (depreciation) | (33,378,212) | 495,888,047 |
Net increase (decrease) in net assets resulting from operations | (111,846,026) | 461,880,534 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (4,449,199) | (100,913,605) |
Class 2 | (36,072) | (687,709) |
Total distributions to shareholders | (4,485,271) | (101,601,314) |
Decrease in net assets from capital stock activity | (1,516,475,549) | (135,770,094) |
Total increase (decrease) in net assets | (1,632,806,846) | 224,509,126 |
Net assets at beginning of year | 3,029,645,400 | 2,805,136,274 |
Net assets at end of year | $1,396,838,554 | $3,029,645,400 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 7,008,101 | 65,693,083 | 4,482,831 | 47,157,586 |
Distributions reinvested | 516,748 | 4,449,199 | 9,539,041 | 100,913,605 |
Redemptions | (160,297,091) | (1,587,329,123) | (26,852,935) | (286,602,283) |
Net decrease | (152,772,242) | (1,517,186,841) | (12,831,063) | (138,531,092) |
Class 2 | ||||
Subscriptions | 452,565 | 4,491,628 | 433,206 | 4,548,563 |
Distributions reinvested | 4,189 | 36,072 | 65,003 | 687,709 |
Redemptions | (381,947) | (3,816,408) | (235,575) | (2,475,274) |
Net increase | 74,807 | 711,292 | 262,634 | 2,760,998 |
Total net decrease | (152,697,435) | (1,516,475,549) | (12,568,429) | (135,770,094) |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2020 | $11.07 | 0.23 | 0.26(c) | 0.49 | (0.02) | — | (0.02) |
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) |
Class 2 | |||||||
Year Ended 12/31/2020 | $11.07 | 0.18 | 0.28(c) | 0.46 | (0.02) | — | (0.02) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
16 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $11.54 | 4.45% | 0.82% | 0.82% | 2.35% | 99% | $1,370,403 |
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 |
Class 2 | |||||||
Year Ended 12/31/2020 | $11.51 | 4.17% | 1.08% | 1.08% | 1.82% | 99% | $26,436 |
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% | $5,764 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 17 |
December 31, 2020
18 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
December 31, 2020
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
December 31, 2020
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.88% |
Class 2 | 1.13 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 21 |
December 31, 2020
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
440,934 | (564,237) | 123,303 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
4,485,271 | — | 4,485,271 | 86,868,412 | 14,732,902 | 101,601,314 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
43,193,436 | — | (227,307,572) | 282,857,456 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,109,850,753 | 297,233,906 | (14,376,450) | 282,857,456 |
22 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
December 31, 2020
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(155,544,004) | (71,763,568) | (227,307,572) | — |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 23 |
December 31, 2020
24 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
December 31, 2020
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 25 |
December 31, 2020
26 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 27 |
Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
$6,633,706 | $0.05 | $69,834,851 | $0.58 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
28 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 29 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 31 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
32 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
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 Columbia Funds 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. Petersen, who is the President and Principal Executive Officer, 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 |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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. |
CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 | 33 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
34 | CTIVP® – Lazard International Equity Advantage Fund | Annual Report 2020 |
December 31, 2020
3 | |
5 | |
6 | |
7 | |
13 | |
14 | |
15 | |
16 | |
18 | |
30 | |
31 | |
37 |
Average annual total returns (%) (for the period ended December 31, 2020) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 9.35 | 6.54 | 5.16 | |
Class 2 | 04/12/13 | 9.15 | 6.44 | 5.09 | |
Blended Benchmark | 11.45 | 7.64 | 6.35 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.44 | 3.34 |
* | 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 2020 | 3 |
Portfolio Allocation (%) (at December 31, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 31.9 |
International | 8.4 |
U.S. Large Cap | 18.4 |
U.S. Mid Cap | 2.1 |
U.S. Small Cap | 3.0 |
Exchange-Traded Equity Funds | 3.1 |
International Mid Large Cap | 0.8 |
U.S. Large Cap | 2.3 |
Exchange-Traded Fixed Income Funds | 5.7 |
Investment Grade | 5.7 |
Fixed Income Funds | 36.2 |
Investment Grade | 36.2 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 14.7 |
Options Purchased Puts | 0.9 |
Residential Mortgage-Backed Securities - Agency | 7.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $267.6 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
• | Underlying manager performance associated with U.S. equity funds and core fixed-income funds generated strong contributions to relative performance during the period. |
• | The dynamic algorithm, a quantitative tool used by the Fund’s portfolio managers to help determine equity exposure, was a meaningful detractor of relative performance, as its pace for increasing equity exposure following the late first quarter sell-off in risk assets was relatively slow. |
• | Exposure to overseas equities via underlying funds detracted from relative results, as U.S. equities outperformed international developed market equities during the period. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 5 |
(Unaudited)
July 1, 2020 — December 31, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,083.90 | 1,023.68 | 1.52 | 1.48 | 0.29 | 3.88 | 3.76 | 0.74 |
Class 2 | 1,000.00 | 1,000.00 | 1,082.70 | 1,022.42 | 2.83 | 2.75 | 0.54 | 5.18 | 5.03 | 0.99 |
6 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Equity Funds 34.3% | ||
Shares | Value ($) | |
International 9.1% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 2,941,781 | 41,714,461 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 2,068,910 | 23,875,219 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 4,102,831 | 50,013,509 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 1,392,596 | 19,301,384 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 2,005,102 | 18,567,243 |
Total | 153,471,816 | |
U.S. Large Cap 19.7% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 674,316 | 22,077,090 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,263,942 | 84,393,394 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 667,819 | 19,987,818 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 914,261 | 26,952,413 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,836,458 | 26,132,805 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 687,559 | 20,372,381 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 484,587 | 24,006,462 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 420,616 | 20,118,050 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 549,320 | 16,589,460 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 399,691 | 25,008,664 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 681,136 | 18,315,755 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,081,312 | 30,179,412 |
Total | 334,133,704 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 2.3% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 174,639 | 7,851,769 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 283,039 | 7,888,286 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 355,860 | 11,657,979 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 288,421 | 11,833,914 |
Total | 39,231,948 | |
U.S. Small Cap 3.2% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 547,394 | 8,851,360 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 300,556 | 9,007,664 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 538,170 | 18,954,360 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 570,605 | 17,277,912 |
Total | 54,091,296 | |
Total Equity Funds (Cost $355,048,318) | 580,928,764 | |
Exchange-Traded Equity Funds 3.3% | ||
International Mid Large Cap 0.8% | ||
iShares MSCI EAFE ETF | 193,987 | 14,153,292 |
U.S. Large Cap 2.5% | ||
SPDR S&P 500 ETF Trust | 113,625 | 42,482,115 |
Total Exchange-Traded Equity Funds (Cost $32,405,573) | 56,635,407 | |
Exchange-Traded Fixed Income Funds 6.1% | ||
Investment Grade 6.1% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 518,500 | 71,620,405 |
Vanguard Intermediate-Term Corporate Bond ETF | 320,000 | 31,084,800 |
Total | 102,705,205 | |
Total Exchange-Traded Fixed Income Funds (Cost $95,344,731) | 102,705,205 | |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 7 |
December 31, 2020
Fixed Income Funds 38.9% | ||
Shares | Value ($) | |
Investment Grade 38.9% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 11,372,652 | 131,126,676 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,875,208 | 38,984,592 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,583,419 | 69,122,727 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 3,474,393 | 37,627,673 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,650,327 | 89,661,832 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 11,284,685 | 129,999,568 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,247,588 | 12,875,115 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 12,825,414 | 150,313,857 |
Total | 659,712,040 | |
Total Fixed Income Funds (Cost $602,065,640) | 659,712,040 |
Residential Mortgage-Backed Securities - Agency 8.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
01/17/2034- 01/14/2051 | 3.000% | 59,684,000 | 62,573,223 | |
01/19/2036 | 2.500% | 37,021,000 | 38,611,746 | |
01/14/2051 | 3.500% | 34,111,000 | 36,056,393 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $137,078,124) | 137,241,362 |
Options Purchased Puts 0.9% | ||||
Value ($) | ||||
(Cost $18,152,906) | 15,474,170 |
Money Market Funds 15.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(a),(d) | 267,624,130 | 267,597,368 |
Total Money Market Funds (Cost $267,588,832) | 267,597,368 | |
Total Investments in Securities (Cost: $1,507,684,124) | 1,820,294,316 | |
Other Assets & Liabilities, Net | (125,159,156) | |
Net Assets | 1,695,135,160 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 86 | 03/2021 | USD | 6,622,000 | 233,877 | — |
British Pound | 71 | 03/2021 | USD | 6,061,181 | 110,507 | — |
Euro FX | 9 | 03/2021 | USD | 1,377,675 | 10,485 | — |
EURO STOXX 50 Index | 196 | 03/2021 | EUR | 6,958,000 | 109,610 | — |
Japanese Yen | 66 | 03/2021 | USD | 7,993,425 | 59,149 | — |
New Zealand Dollar | 10 | 03/2021 | USD | 718,800 | 13,665 | — |
S&P 500 Index E-mini | 330 | 03/2021 | USD | 61,855,200 | 1,395,082 | — |
SPI 200 Index | 38 | 03/2021 | AUD | 6,210,150 | — | (38,453) |
TOPIX Index | 38 | 03/2021 | JPY | 685,710,000 | 186,105 | — |
U.S. Long Bond | 263 | 03/2021 | USD | 45,548,313 | — | (370,831) |
8 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 284 | 03/2021 | USD | 39,214,188 | 30,615 | — |
U.S. Treasury 2-Year Note | 181 | 03/2021 | USD | 39,996,758 | 34,503 | — |
U.S. Treasury 5-Year Note | 631 | 03/2021 | USD | 79,609,524 | 162,811 | — |
U.S. Ultra Treasury Bond | 6 | 03/2021 | USD | 1,281,375 | 1,181 | — |
U.S. Ultra Treasury Bond | 49 | 03/2021 | USD | 10,464,563 | — | (160,496) |
Total | 2,347,590 | (569,780) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Dollar | (7) | 03/2021 | USD | (548,380) | — | (853) |
FTSE 100 Index | (16) | 03/2021 | GBP | (1,027,200) | — | (4,925) |
Hang Seng Index | (35) | 01/2021 | HKD | (47,633,250) | — | (152,772) |
MSCI Singapore Index | (18) | 01/2021 | SGD | (581,940) | 1,628 | — |
OMXS30 Index | (55) | 01/2021 | SEK | (10,330,375) | 7,816 | — |
Russell 2000 Index E-mini | (60) | 03/2021 | USD | (5,924,400) | — | (57,476) |
S&P 500 Index E-mini | (164) | 03/2021 | USD | (30,740,160) | — | (682,549) |
S&P/TSX 60 Index | (41) | 03/2021 | CAD | (8,436,980) | 72,647 | — |
Swiss Franc | (14) | 03/2021 | USD | (1,981,350) | — | (8,802) |
Total | 82,091 | (907,377) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 37,560,700 | 100 | 2,900.00 | 12/17/2021 | 1,385,508 | 1,034,000 |
S&P 500 Index | JPMorgan | USD | 21,409,599 | 57 | 2,800.00 | 12/17/2021 | 781,190 | 505,305 |
S&P 500 Index | JPMorgan | USD | 187,803,500 | 500 | 2,900.00 | 12/16/2022 | 11,397,832 | 9,820,000 |
S&P 500 Index | JPMorgan | USD | 58,219,085 | 155 | 3,000.00 | 12/16/2022 | 3,643,442 | 3,415,425 |
S&P 500 Index | JPMorgan | USD | 12,770,638 | 34 | 2,800.00 | 12/16/2022 | 766,173 | 591,600 |
S&P 500 Index | JPMorgan | USD | 3,004,856 | 8 | 2,600.00 | 12/16/2022 | 178,761 | 107,840 |
Total | 18,152,906 | 15,474,170 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | |||||||||
279,577,260 | 298,697,025 | (310,693,143) | 16,226 | 267,597,368 | — | 3,076 | 1,478,460 | 267,624,130 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
26,081,069 | 792,465 | (5,520,662) | 724,218 | 22,077,090 | — | 4,816,882 | — | 674,316 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
76,543,935 | 3,767,016 | (6,110,603) | 10,193,046 | 84,393,394 | — | 1,192,661 | — | 1,263,942 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
17,903,007 | 2,444,359 | (905,432) | 545,884 | 19,987,818 | — | 63,410 | — | 667,819 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
117,907,590 | 7,988,600 | (4,342,767) | 9,573,253 | 131,126,676 | 1,421,218 | 92,160 | 3,513,328 | 11,372,652 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 9 |
December 31, 2020
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
23,914,473 | 263,923 | (2,603,614) | 5,377,631 | 26,952,413 | — | 2,189,463 | — | 914,261 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
35,856,087 | 2,735,116 | (764,826) | 1,158,215 | 38,984,592 | — | (49,132) | 997,857 | 3,875,208 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
62,599,357 | 4,971,695 | (5,445,477) | 6,997,152 | 69,122,727 | 971,718 | 805,868 | 1,735,293 | 5,583,419 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
6,764,205 | 176,087 | (817,033) | 1,728,510 | 7,851,769 | — | 530,304 | — | 174,639 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
— | 37,028,010 | (1,132,475) | 5,818,926 | 41,714,461 | 362,672 | 86,330 | 345,497 | 2,941,781 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
12,421,820 | 12,375,068 | (1,274,300) | 2,610,217 | 26,132,805 | — | 195,850 | — | 1,836,458 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
13,679,283 | 6,105,798 | (812,982) | 1,400,282 | 20,372,381 | — | 134,283 | — | 687,559 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
6,790,011 | 951,763 | (597,495) | 744,007 | 7,888,286 | — | 117,462 | — | 283,039 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
6,418,653 | 2,186,124 | (728,222) | 974,805 | 8,851,360 | 304,603 | 22,164 | 44,227 | 547,394 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
6,326,936 | 296,757 | (1,228,828) | 3,612,799 | 9,007,664 | 135,820 | 491,316 | — | 300,556 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
1,622,596 | — | (1,010,188) | (612,408) | — | — | 108,545 | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
34,665,227 | 3,167,785 | (907,285) | 701,946 | 37,627,673 | 128,444 | 2,668 | 933,012 | 3,474,393 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
81,215,008 | 5,262,147 | (2,077,015) | 5,261,692 | 89,661,832 | — | (11,798) | 1,654,729 | 7,650,327 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
48,290,833 | 6,329,641 | (31,200,972) | 455,717 | 23,875,219 | — | (1,798,949) | 74,534 | 2,068,910 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
21,528,957 | 180,702 | (2,197,437) | 4,494,240 | 24,006,462 | — | 1,818,153 | — | 484,587 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
21,495,654 | 311,692 | (4,513,361) | 2,824,065 | 20,118,050 | — | 4,368,414 | — | 420,616 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
14,613,026 | 1,658,333 | (496,683) | 814,784 | 16,589,460 | — | 43,993 | — | 549,320 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
21,016,006 | 486,186 | (5,128,163) | 8,634,635 | 25,008,664 | — | 4,756,283 | — | 399,691 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
13,483,531 | 4,973,451 | (1,072,905) | 931,678 | 18,315,755 | — | 72,837 | — | 681,136 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
118,979,974 | 10,017,252 | (4,444,907) | 5,447,249 | 129,999,568 | 2,027,924 | 102,688 | 2,867,611 | 11,284,685 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
10,074,114 | 1,250,923 | (767,167) | 1,100,109 | 11,657,979 | — | 103,298 | — | 355,860 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
11,898,172 | 1,266,882 | (335,165) | 45,226 | 12,875,115 | 38,807 | 3,936 | 356,017 | 1,247,588 |
10 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
10,285,151 | 381,022 | (962,085) | 2,129,826 | 11,833,914 | — | 660,378 | — | 288,421 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
137,270,041 | 11,236,826 | (5,118,223) | 6,925,213 | 150,313,857 | 1,284,881 | 98,612 | 2,939,851 | 12,825,414 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
29,261,237 | 1,328,332 | (3,879,205) | 3,469,048 | 30,179,412 | — | 1,665,879 | — | 1,081,312 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
48,315,671 | 5,226,474 | (9,684,368) | 6,155,732 | 50,013,509 | 143,560 | (360,867) | 97,428 | 4,102,831 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
19,291,378 | 1,107,853 | (4,502,808) | 3,404,961 | 19,301,384 | 182,515 | 131,187 | 40,318 | 1,392,596 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
18,932,660 | 3,406,206 | (3,881,053) | 109,430 | 18,567,243 | — | (581,894) | 120,635 | 2,005,102 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
12,381,369 | 4,092,816 | (2,027,043) | 4,507,218 | 18,954,360 | — | 409,043 | — | 538,170 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
13,425,677 | 3,652,696 | (1,430,373) | 1,629,912 | 17,277,912 | — | (6,660) | — | 570,605 | |
Total | 1,380,829,968 | 109,905,444 | 1,508,238,172 | 7,002,162 | 22,277,843 | 17,198,797 |
(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, 2020. |
TBA | To Be Announced |
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. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 11 |
December 31, 2020
■ | 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 | — | — | — | 580,928,764 | 580,928,764 |
Exchange-Traded Equity Funds | 56,635,407 | — | — | — | 56,635,407 |
Exchange-Traded Fixed Income Funds | 102,705,205 | — | — | — | 102,705,205 |
Fixed Income Funds | — | — | — | 659,712,040 | 659,712,040 |
Residential Mortgage-Backed Securities - Agency | — | 137,241,362 | — | — | 137,241,362 |
Options Purchased Puts | 15,474,170 | — | — | — | 15,474,170 |
Money Market Funds | 267,597,368 | — | — | — | 267,597,368 |
Total Investments in Securities | 442,412,150 | 137,241,362 | — | 1,240,640,804 | 1,820,294,316 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 2,429,681 | — | — | — | 2,429,681 |
Liability | |||||
Futures Contracts | (1,477,157) | — | — | — | (1,477,157) |
Total | 443,364,674 | 137,241,362 | — | 1,240,640,804 | 1,821,246,840 |
12 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $264,828,428) | $296,581,974 |
Affiliated issuers (cost $1,224,702,790) | 1,508,238,172 |
Options purchased (cost $18,152,906) | 15,474,170 |
Cash collateral held at broker for: | |
TBA | 267,000 |
Margin deposits on: | |
Futures contracts | 11,731,739 |
Receivable for: | |
Investments sold | 1,376,709 |
Capital shares sold | 5,038 |
Dividends | 206,529 |
Interest | 163,855 |
Variation margin for futures contracts | 730,954 |
Prepaid expenses | 5,670 |
Trustees’ deferred compensation plan | 104,760 |
Total assets | 1,834,886,570 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 137,241,979 |
Capital shares purchased | 1,971,765 |
Variation margin for futures contracts | 271,319 |
Management services fees | 9,614 |
Distribution and/or service fees | 11,568 |
Service fees | 85,080 |
Compensation of board members | 1,425 |
Compensation of chief compliance officer | 131 |
Other expenses | 53,769 |
Trustees’ deferred compensation plan | 104,760 |
Total liabilities | 139,751,410 |
Net assets applicable to outstanding capital stock | $1,695,135,160 |
Represented by | |
Trust capital | $1,695,135,160 |
Total - representing net assets applicable to outstanding capital stock | $1,695,135,160 |
Class 1 | |
Net assets | $543,632 |
Shares outstanding | 36,907 |
Net asset value per share | $14.73 |
Class 2 | |
Net assets | $1,694,591,528 |
Shares outstanding | 115,550,264 |
Net asset value per share | $14.67 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 13 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,421,235 |
Dividends — affiliated issuers | 17,198,797 |
Interest | 17,288 |
Total income | 20,637,320 |
Expenses: | |
Management services fees | 3,362,290 |
Distribution and/or service fees | |
Class 2 | 3,908,434 |
Service fees | 938,062 |
Compensation of board members | 37,117 |
Custodian fees | 32,000 |
Printing and postage fees | 22,131 |
Audit fees | 39,500 |
Legal fees | 40,532 |
Compensation of chief compliance officer | 532 |
Other | 70,954 |
Total expenses | 8,451,552 |
Net investment income | 12,185,768 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 12,060,057 |
Investments — affiliated issuers | 22,277,843 |
Capital gain distributions from underlying affiliated funds | 7,002,162 |
Foreign currency translations | 304,209 |
Futures contracts | (35,187,260) |
Options purchased | 13,061,994 |
Net realized gain | 19,519,005 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 2,040,696 |
Investments — affiliated issuers | 109,905,444 |
Foreign currency translations | 62,613 |
Futures contracts | (2,271,447) |
Options purchased | (115,651) |
Net change in unrealized appreciation (depreciation) | 109,621,655 |
Net realized and unrealized gain | 129,140,660 |
Net increase in net assets resulting from operations | $141,326,428 |
14 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $12,185,768 | $22,377,977 |
Net realized gain | 19,519,005 | 18,677,232 |
Net change in unrealized appreciation (depreciation) | 109,621,655 | 141,835,609 |
Net increase in net assets resulting from operations | 141,326,428 | 182,890,818 |
Increase in net assets from capital stock activity | 32,876,907 | 37,059,723 |
Total increase in net assets | 174,203,335 | 219,950,541 |
Net assets at beginning of year | 1,520,931,825 | 1,300,981,284 |
Net assets at end of year | $1,695,135,160 | $1,520,931,825 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 27,854 | 382,942 | 15,903 | 209,249 |
Redemptions | (6,327) | (83,224) | (523) | (6,781) |
Net increase | 21,527 | 299,718 | 15,380 | 202,468 |
Class 2 | ||||
Subscriptions | 9,339,157 | 126,651,731 | 7,647,751 | 98,451,288 |
Redemptions | (6,903,807) | (94,074,542) | (4,845,056) | (61,594,033) |
Net increase | 2,435,350 | 32,577,189 | 2,802,695 | 36,857,255 |
Total net increase | 2,456,877 | 32,876,907 | 2,818,075 | 37,059,723 |
(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 2020 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2020 | $13.47 | 0.14 | 1.12 | 1.26 |
Year Ended 12/31/2019(c) | $12.36 | 0.16 | 0.95 | 1.11 |
Class 2 | ||||
Year Ended 12/31/2020 | $13.44 | 0.11 | 1.12 | 1.23 |
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 |
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 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $14.73 | 9.35% | 0.29% | 0.29% | 1.06% | 152% | $544 |
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 12/31/2020 | $14.67 | 9.15% | 0.54% | 0.54% | 0.78% | 152% | $1,694,592 |
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% | $1,358,964 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 17 |
December 31, 2020
18 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 21 |
December 31, 2020
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,772,888* |
Equity risk | Investments, at value — Options Purchased | 15,474,170 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 427,683* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 229,110* |
Total | 17,903,851 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 936,175* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 9,655* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 531,327* |
Total | 1,477,157 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (42,202,582) | 13,061,994 | (29,140,588) |
Foreign exchange risk | (563,976) | — | (563,976) |
Interest rate risk | 7,579,298 | — | 7,579,298 |
Total | (35,187,260) | 13,061,994 | (22,125,266) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (3,193,218) | (115,651) | (3,308,869) |
Foreign exchange risk | 198,564 | — | 198,564 |
Interest rate risk | 723,207 | — | 723,207 |
Total | (2,271,447) | (115,651) | (2,387,098) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 290,479,190 |
Futures contracts — short | 70,723,277 |
22 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Derivative instrument | Average value ($)* |
Options contracts — purchased | 15,475,585 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2020. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 23 |
December 31, 2020
JPMorgan ($) | |
Assets | |
Options purchased puts | 15,474,170 |
Total financial and derivative net assets | 15,474,170 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 15,474,170 |
(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 Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 25 |
December 31, 2020
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
26 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 27 |
December 31, 2020
28 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 29 |
30 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 31 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
32 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 33 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
34 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 35 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
36 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Annual Report 2020 | 37 |
December 31, 2020
3 | |
5 | |
6 | |
7 | |
14 | |
15 | |
16 | |
18 | |
20 | |
33 | |
34 | |
40 |
Average annual total returns (%) (for the period ended December 31, 2020) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 11.56 | 8.18 | 6.89 | |
Class 2 | 04/12/13 | 11.30 | 8.08 | 6.83 | |
Blended Benchmark | 14.42 | 10.31 | 8.90 | ||
Russell 3000 Index | 20.89 | 15.43 | 14.05 |
* | 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 – Managed Volatility Growth Fund | Annual Report 2020 | 3 |
Portfolio Allocation (%) (at December 31, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 58.9 |
International | 16.6 |
U.S. Large Cap | 33.8 |
U.S. Mid Cap | 3.9 |
U.S. Small Cap | 4.6 |
Exchange-Traded Equity Funds | 1.1 |
U.S. Large Cap | 1.1 |
Exchange-Traded Fixed Income Funds | 6.7 |
Investment Grade | 6.7 |
Fixed Income Funds | 10.0 |
Investment Grade | 10.0 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 14.4 |
Options Purchased Puts | 1.6 |
Residential Mortgage-Backed Securities - Agency | 7.3 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $1.9 billion) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
• | Underlying manager performance associated with U.S. equity funds and core fixed-income funds generated strong contributions to relative performance during the period. |
• | The dynamic algorithm, a quantitative tool used by the Fund’s portfolio managers to help determine equity exposure, was a meaningful detractor of relative performance, as its pace for increasing equity exposure following the late first quarter sell-off in risk assets was relatively slow. |
• | Exposure to overseas equities via underlying funds detracted from relative results, as U.S. equities outperformed international developed market equities during the period. |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 5 |
(Unaudited)
July 1, 2020 — December 31, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,137.70 | 1,023.88 | 1.34 | 1.27 | 0.25 | 4.14 | 3.92 | 0.77 |
Class 2 | 1,000.00 | 1,000.00 | 1,136.50 | 1,022.62 | 2.69 | 2.54 | 0.50 | 5.48 | 5.19 | 1.02 |
6 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
Equity Funds 62.9% | ||
Shares | Value ($) | |
International 17.7% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 38,378,140 | 544,202,030 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 27,855,822 | 321,456,185 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 64,623,697 | 787,762,864 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 20,173,792 | 279,608,758 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 30,334,451 | 280,897,012 |
Total | 2,213,926,849 | |
U.S. Large Cap 36.0% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 9,274,600 | 303,650,420 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 16,590,180 | 1,107,726,311 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 9,214,799 | 275,798,928 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 12,316,339 | 363,085,688 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 21,860,771 | 311,078,779 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 9,773,989 | 289,603,280 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 6,643,250 | 329,106,610 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 5,830,757 | 278,885,096 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 7,199,401 | 217,421,906 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 5,453,068 | 341,198,444 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 9,768,092 | 262,663,991 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 15,326,708 | 427,768,413 |
Total | 4,507,987,866 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 4.2% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 2,344,723 | 105,418,743 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 3,835,757 | 106,902,559 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 4,681,146 | 153,354,325 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 3,800,347 | 155,928,237 |
Total | 521,603,864 | |
U.S. Small Cap 5.0% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 5,611,569 | 90,739,070 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 3,272,809 | 98,086,081 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 6,673,460 | 235,039,270 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 6,460,248 | 195,616,323 |
Total | 619,480,744 | |
Total Equity Funds (Cost $4,917,331,217) | 7,862,999,323 | |
Exchange-Traded Equity Funds 1.2% | ||
U.S. Large Cap 1.2% | ||
SPDR S&P 500 ETF Trust | 413,300 | 154,524,604 |
Total Exchange-Traded Equity Funds (Cost $72,399,093) | 154,524,604 | |
Exchange-Traded Fixed Income Funds 7.1% | ||
Investment Grade 7.1% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 3,176,000 | 438,700,880 |
Vanguard Intermediate-Term Corporate Bond ETF | 4,695,000 | 456,072,300 |
Total | 894,773,180 | |
Total Exchange-Traded Fixed Income Funds (Cost $833,858,580) | 894,773,180 | |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 7 |
December 31, 2020
Fixed Income Funds 10.7% | ||
Shares | Value ($) | |
Investment Grade 10.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 20,297,067 | 234,025,179 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 6,769,400 | 68,100,159 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 10,421,801 | 129,021,902 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 6,249,125 | 67,678,019 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 13,953,455 | 163,534,496 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 21,474,899 | 247,390,833 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 2,354,135 | 24,294,678 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 34,126,770 | 399,965,749 |
Total | 1,334,011,015 | |
Total Fixed Income Funds (Cost $1,213,674,937) | 1,334,011,015 |
Residential Mortgage-Backed Securities - Agency 7.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
01/17/2034- 01/14/2051 | 3.000% | 450,721,000 | 472,599,317 | |
01/19/2036 | 2.500% | 233,200,000 | 243,220,313 | |
01/14/2051 | 3.500% | 242,000,000 | 255,801,562 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $970,564,100) | 971,621,192 |
Options Purchased Puts 1.7% | ||||
Value ($) | ||||
(Cost $243,488,764) | 210,030,155 |
Money Market Funds 15.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(a),(d) | 1,916,415,234 | 1,916,223,592 |
Total Money Market Funds (Cost $1,916,098,952) | 1,916,223,592 | |
Total Investments in Securities (Cost: $10,167,415,643) | 13,344,183,061 | |
Other Assets & Liabilities, Net | (834,872,763) | |
Net Assets | 12,509,310,298 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 1,218 | 03/2021 | USD | 93,786,000 | 3,318,610 | — |
British Pound | 1,238 | 03/2021 | USD | 105,686,513 | 1,906,669 | — |
DAX Index | 35 | 03/2021 | EUR | 12,027,750 | 571,194 | — |
Euro FX | 442 | 03/2021 | USD | 67,659,150 | 514,952 | — |
EURO STOXX 50 Index | 2,379 | 03/2021 | EUR | 84,454,500 | 1,330,893 | — |
FTSE/MIB Index | 88 | 03/2021 | EUR | 9,736,760 | 150,180 | — |
Japanese Yen | 1,309 | 03/2021 | USD | 158,536,263 | 1,173,126 | — |
New Zealand Dollar | 100 | 03/2021 | USD | 7,188,000 | 136,645 | — |
Russell 2000 Index E-mini | 76 | 03/2021 | USD | 7,504,240 | 239,955 | — |
S&P 500 Index E-mini | 5,073 | 03/2021 | USD | 950,883,120 | 21,529,283 | — |
8 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
SPI 200 Index | 623 | 03/2021 | AUD | 101,813,775 | — | (638,240) |
TOPIX Index | 659 | 03/2021 | JPY | 11,891,655,000 | 3,227,447 | — |
U.S. Long Bond | 1,643 | 03/2021 | USD | 284,547,063 | — | (2,152,931) |
U.S. Treasury 10-Year Note | 1,734 | 03/2021 | USD | 239,427,469 | 238,419 | — |
U.S. Treasury 2-Year Note | 1,335 | 03/2021 | USD | 295,003,710 | 250,161 | — |
U.S. Treasury 5-Year Note | 2,054 | 03/2021 | USD | 259,140,985 | 537,622 | — |
U.S. Ultra Treasury Bond | 726 | 03/2021 | USD | 155,046,375 | — | (1,876,008) |
Total | 35,125,156 | (4,667,179) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Dollar | (210) | 03/2021 | USD | (16,451,400) | — | (25,578) |
FTSE 100 Index | (272) | 03/2021 | GBP | (17,462,400) | — | (209,418) |
Hang Seng Index | (451) | 01/2021 | HKD | (613,788,450) | — | (1,968,572) |
MSCI Singapore Index | (295) | 01/2021 | SGD | (9,537,350) | 26,678 | — |
OMXS30 Index | (453) | 01/2021 | SEK | (85,084,725) | 27,960 | — |
S&P/TSX 60 Index | (535) | 03/2021 | CAD | (110,092,300) | 947,948 | — |
Swiss Franc | (40) | 03/2021 | USD | (5,661,000) | 5,557 | — |
Total | 1,008,143 | (2,203,568) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 525,849,800 | 1,400 | 2,900.00 | 12/17/2021 | 19,397,105 | 14,476,000 |
S&P 500 Index | JPMorgan | USD | 260,295,651 | 693 | 2,800.00 | 12/17/2021 | 9,497,616 | 6,143,445 |
S&P 500 Index | JPMorgan | USD | 1,521,208,350 | 4,050 | 3,000.00 | 12/16/2022 | 95,199,500 | 89,241,750 |
S&P 500 Index | JPMorgan | USD | 1,633,890,450 | 4,350 | 2,900.00 | 12/16/2022 | 99,158,444 | 85,434,000 |
S&P 500 Index | JPMorgan | USD | 228,744,663 | 609 | 2,800.00 | 12/16/2022 | 13,376,159 | 10,596,600 |
S&P 500 Index | JPMorgan | USD | 115,311,349 | 307 | 2,600.00 | 12/16/2022 | 6,859,940 | 4,138,360 |
Total | 243,488,764 | 210,030,155 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 35 | Morgan Stanley | 12/20/2025 | 1.000 | Quarterly | 0.504 | USD | 150,000,000 | 521,648 | — | — | 521,648 | — |
* | 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. |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 9 |
December 31, 2020
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | |||||||||
1,764,411,758 | 3,668,709,616 | (3,517,031,280) | 133,498 | 1,916,223,592 | — | (50,766) | 9,581,005 | 1,916,415,234 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
390,186,423 | 970,592 | (82,549,677) | (4,956,918) | 303,650,420 | — | 77,854,434 | — | 9,274,600 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
1,132,525,668 | 2,729,856 | (105,732,885) | 78,203,672 | 1,107,726,311 | — | 65,848,099 | — | 16,590,180 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
267,859,700 | 5,575,759 | (1,444,896) | 3,808,365 | 275,798,928 | — | 50,244 | — | 9,214,799 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
225,401,811 | 11,887,409 | (20,108,038) | 16,843,997 | 234,025,179 | 2,572,983 | 1,057,406 | 6,360,552 | 20,297,067 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
362,858,624 | 261,148 | (55,638,357) | 55,604,273 | 363,085,688 | — | 48,409,763 | — | 12,316,339 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
66,178,417 | 3,291,462 | (3,566,637) | 2,196,917 | 68,100,159 | — | (192,917) | 1,758,447 | 6,769,400 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
129,570,915 | 7,695,416 | (21,061,308) | 12,816,879 | 129,021,902 | 1,861,749 | 3,301,967 | 3,324,709 | 10,421,801 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
99,645,919 | — | (14,357,795) | 20,130,619 | 105,418,743 | — | 9,669,996 | — | 2,344,723 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
— | 466,206,423 | (1,566,079) | 79,561,686 | 544,202,030 | 4,985,084 | 29,189 | 4,657,231 | 38,378,140 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
188,877,177 | 114,998,783 | (24,147,804) | 31,350,623 | 311,078,779 | — | 5,004,017 | — | 21,860,771 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
233,488,450 | 69,476,826 | (22,493,965) | 9,131,969 | 289,603,280 | — | 6,731,299 | — | 9,773,989 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
97,278,851 | 3,123,301 | (2,063,982) | 8,564,389 | 106,902,559 | — | 229,916 | — | 3,835,757 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
57,290,453 | 24,866,066 | — | 8,582,551 | 90,739,070 | 2,129,816 | — | 309,241 | 5,611,569 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
56,471,831 | 2,569,890 | (448,220) | 39,492,580 | 98,086,081 | 1,250,255 | 105,565 | — | 3,272,809 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
14,054,428 | — | (8,928,153) | (5,126,275) | — | — | 761,962 | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
66,225,640 | 3,625,736 | (3,438,083) | 1,264,726 | 67,678,019 | 233,579 | 90,557 | 1,696,710 | 6,249,125 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
159,176,943 | 5,972,070 | (11,335,008) | 9,720,491 | 163,534,496 | — | 243,636 | 3,065,191 | 13,953,455 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
707,034,872 | 28,272,842 | (421,652,359) | 7,800,830 | 321,456,185 | — | (37,672,912) | 1,057,280 | 27,855,822 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
328,750,610 | 345,365 | (42,058,355) | 42,068,990 | 329,106,610 | — | 46,382,588 | — | 6,643,250 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
332,019,486 | 8,089 | (82,156,605) | 29,014,126 | 278,885,096 | — | 71,176,415 | — | 5,830,757 |
10 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
204,945,854 | 4,186,002 | (32,277) | 8,322,327 | 217,421,906 | — | 744 | — | 7,199,401 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
317,566,138 | 2,655,338 | (77,639,629) | 98,616,597 | 341,198,444 | — | 91,072,868 | — | 5,453,068 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
194,870,820 | 61,240,908 | (2,571,785) | 9,124,048 | 262,663,991 | — | 42,886 | — | 9,768,092 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
243,997,330 | 14,232,890 | (20,657,349) | 9,817,962 | 247,390,833 | 3,913,184 | 1,562,694 | 5,533,487 | 21,474,899 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
140,769,178 | 3,472,460 | (3,201,158) | 12,313,845 | 153,354,325 | — | 392,813 | — | 4,681,146 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
22,538,267 | 2,021,331 | (358,710) | 93,790 | 24,294,678 | 73,040 | 3,462 | 670,069 | 2,354,135 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
152,211,685 | 64,073 | (18,299,007) | 21,951,486 | 155,928,237 | — | 12,971,486 | — | 3,800,347 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
393,856,381 | 19,624,843 | (31,951,953) | 18,436,478 | 399,965,749 | 3,479,178 | 1,585,085 | 7,960,477 | 34,126,770 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
439,791,573 | 245,729 | (49,562,182) | 37,293,293 | 427,768,413 | — | 30,442,813 | — | 15,326,708 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
716,487,338 | 51,411,257 | (67,832,319) | 87,696,588 | 787,762,864 | 2,006,307 | (13,355,716) | 1,396,561 | 64,623,697 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
272,553,406 | 6,630,422 | (51,872,320) | 52,297,250 | 279,608,758 | 2,542,334 | (3,614,503) | 565,700 | 20,173,792 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
258,520,062 | 26,735,247 | (604,214) | (3,754,083) | 280,897,012 | — | (77,022) | 1,545,439 | 30,334,451 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
145,554,659 | 26,499,430 | (4,119,949) | 67,105,130 | 235,039,270 | — | 532,331 | — | 6,673,460 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
134,402,018 | 41,819,074 | (588,346) | 19,983,577 | 195,616,323 | — | 15,233 | — | 6,460,248 | |
Total | 10,317,372,685 | 885,506,276 | 11,113,233,930 | 25,047,509 | 420,605,632 | 49,482,099 |
(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, 2020. |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 11 |
December 31, 2020
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 7,862,999,323 | 7,862,999,323 |
Exchange-Traded Equity Funds | 154,524,604 | — | — | — | 154,524,604 |
Exchange-Traded Fixed Income Funds | 894,773,180 | — | — | — | 894,773,180 |
Fixed Income Funds | — | — | — | 1,334,011,015 | 1,334,011,015 |
Residential Mortgage-Backed Securities - Agency | — | 971,621,192 | — | — | 971,621,192 |
Options Purchased Puts | 210,030,155 | — | — | — | 210,030,155 |
Money Market Funds | 1,916,223,592 | — | — | — | 1,916,223,592 |
Total Investments in Securities | 3,175,551,531 | 971,621,192 | — | 9,197,010,338 | 13,344,183,061 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 36,133,299 | — | — | — | 36,133,299 |
Swap Contracts | — | 521,648 | — | — | 521,648 |
12 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Liability | |||||
Futures Contracts | (6,870,747) | — | — | — | (6,870,747) |
Total | 3,204,814,083 | 972,142,840 | — | 9,197,010,338 | 13,373,967,261 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 13 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,876,821,773) | $2,020,918,976 |
Affiliated issuers (cost $8,047,105,106) | 11,113,233,930 |
Options purchased (cost $243,488,764) | 210,030,155 |
Margin deposits on: | |
Futures contracts | 126,239,323 |
Swap contracts | 4,380,409 |
Receivable for: | |
Investments sold | 6,832,696 |
Capital shares sold | 2,376 |
Dividends | 841,815 |
Interest | 1,174,221 |
Variation margin for futures contracts | 9,403,438 |
Variation margin for swap contracts | 55,554 |
Prepaid expenses | 40,419 |
Trustees’ deferred compensation plan | 497,891 |
Total assets | 13,493,651,203 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 971,738,321 |
Capital shares purchased | 9,763,371 |
Variation margin for futures contracts | 1,376,464 |
Management services fees | 60,491 |
Distribution and/or service fees | 85,314 |
Service fees | 615,793 |
Compensation of board members | 6,317 |
Compensation of chief compliance officer | 937 |
Other expenses | 196,006 |
Trustees’ deferred compensation plan | 497,891 |
Total liabilities | 984,340,905 |
Net assets applicable to outstanding capital stock | $12,509,310,298 |
Represented by | |
Trust capital | $12,509,310,298 |
Total - representing net assets applicable to outstanding capital stock | $12,509,310,298 |
Class 1 | |
Net assets | $6,085,420 |
Shares outstanding | 364,566 |
Net asset value per share | $16.69 |
Class 2 | |
Net assets | $12,503,224,878 |
Shares outstanding | 750,974,780 |
Net asset value per share | $16.65 |
14 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $24,838,772 |
Dividends — affiliated issuers | 49,482,099 |
Interest | 304,126 |
Total income | 74,624,997 |
Expenses: | |
Management services fees | 20,713,899 |
Distribution and/or service fees | |
Class 2 | 28,127,424 |
Service fees | 6,742,410 |
Compensation of board members | 180,642 |
Custodian fees | 41,986 |
Printing and postage fees | 60,954 |
Audit fees | 39,500 |
Legal fees | 291,468 |
Compensation of chief compliance officer | 3,802 |
Other | 426,167 |
Total expenses | 56,628,252 |
Net investment income | 17,996,745 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 87,329,393 |
Investments — affiliated issuers | 420,605,632 |
Capital gain distributions from underlying affiliated funds | 25,047,509 |
Foreign currency translations | 3,211,544 |
Futures contracts | (292,652,583) |
Options purchased | 207,228,984 |
Swap contracts | 1,918,396 |
Net realized gain | 452,688,875 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (88,646,918) |
Investments — affiliated issuers | 885,506,276 |
Foreign currency translations | 1,067,512 |
Futures contracts | (12,845,937) |
Options purchased | 1,010,041 |
Swap contracts | 521,648 |
Net change in unrealized appreciation (depreciation) | 786,612,622 |
Net realized and unrealized gain | 1,239,301,497 |
Net increase in net assets resulting from operations | $1,257,298,242 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 15 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $17,996,745 | $98,164,055 |
Net realized gain | 452,688,875 | 134,809,608 |
Net change in unrealized appreciation (depreciation) | 786,612,622 | 1,548,835,619 |
Net increase in net assets resulting from operations | 1,257,298,242 | 1,781,809,282 |
Decrease in net assets from capital stock activity | (200,132,361) | (149,973,121) |
Total increase in net assets | 1,057,165,881 | 1,631,836,161 |
Net assets at beginning of year | 11,452,144,417 | 9,820,308,256 |
Net assets at end of year | $12,509,310,298 | $11,452,144,417 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 271,876 | 4,115,906 | 138,161 | 1,973,792 |
Redemptions | (39,948) | (600,344) | (5,523) | (76,936) |
Net increase | 231,928 | 3,515,562 | 132,638 | 1,896,856 |
Class 2 | ||||
Subscriptions | 12,219,780 | 184,675,627 | 11,338,956 | 159,797,469 |
Redemptions | (26,490,460) | (388,323,550) | (22,198,942) | (311,667,446) |
Net decrease | (14,270,680) | (203,647,923) | (10,859,986) | (151,869,977) |
Total net decrease | (14,038,752) | (200,132,361) | (10,727,348) | (149,973,121) |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
16 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 17 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2020 | $14.96 | 0.06 | 1.67 | 1.73 |
Year Ended 12/31/2019(c) | $13.62 | 0.11 | 1.23 | 1.34 |
Class 2 | ||||
Year Ended 12/31/2020 | $14.96 | 0.02 | 1.67 | 1.69 |
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 |
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. |
18 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $16.69 | 11.56% | 0.25% | 0.25% | 0.42% | 184% | $6,085 |
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 12/31/2020 | $16.65 | 11.30% | 0.50% | 0.50% | 0.16% | 184% | $12,503,225 |
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% | $8,232,846 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 21 |
December 31, 2020
22 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 23 |
December 31, 2020
24 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 521,648* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 28,051,538* |
Equity risk | Investments, at value — Options Purchased | 210,030,155 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 7,055,559* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 1,026,202* |
Total | 246,685,102 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 2,816,230* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 25,578* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 4,028,939* |
Total | 6,870,747 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 1,918,396 | 1,918,396 |
Equity risk | (335,189,605) | 207,228,984 | — | (127,960,621) |
Foreign exchange risk | 1,218,644 | — | — | 1,218,644 |
Interest rate risk | 41,318,378 | — | — | 41,318,378 |
Total | (292,652,583) | 207,228,984 | 1,918,396 | (83,505,203) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 521,648 | 521,648 |
Equity risk | (16,082,284) | 1,010,041 | — | (15,072,243) |
Foreign exchange risk | 2,575,141 | — | — | 2,575,141 |
Interest rate risk | 661,206 | — | — | 661,206 |
Total | (12,845,937) | 1,010,041 | 521,648 | (11,314,248) |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 25 |
December 31, 2020
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,877,064,107 |
Futures contracts — short | 691,185,535 |
Credit default swap contracts — sell protection | 112,500,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 197,402,639 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2020. |
26 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 55,554 | 55,554 |
Options purchased puts | 210,030,155 | - | 210,030,155 |
Total assets | 210,030,155 | 55,554 | 210,085,709 |
Total financial and derivative net assets | 210,030,155 | 55,554 | 210,085,709 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 210,030,155 | 55,554 | 210,085,709 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 27 |
December 31, 2020
28 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 29 |
December 31, 2020
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
30 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 31 |
December 31, 2020
32 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 33 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
34 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 35 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
36 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 | 37 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
38 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 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 2020 | 39 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
40 | Variable Portfolio – Managed Volatility Growth Fund | Annual Report 2020 |
December 31, 2020
3 | |
5 | |
6 | |
7 | |
13 | |
14 | |
15 | |
16 | |
18 | |
30 | |
31 | |
37 |
Average annual total returns (%) (for the period ended December 31, 2020) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 8.35 | 5.66 | 4.23 | |
Class 2 | 04/12/13 | 8.12 | 5.56 | 4.17 | |
Blended Benchmark | 9.89 | 6.32 | 5.11 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.44 | 3.34 |
* | 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 2020 | 3 |
Portfolio Allocation (%) (at December 31, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 16.5 |
International | 4.0 |
U.S. Large Cap | 9.5 |
U.S. Mid Cap | 1.0 |
U.S. Small Cap | 2.0 |
Exchange-Traded Equity Funds | 4.1 |
International Mid Large Cap | 1.2 |
U.S. Large Cap | 2.9 |
Exchange-Traded Fixed Income Funds | 4.3 |
Investment Grade | 4.3 |
Fixed Income Funds | 53.4 |
Investment Grade | 53.4 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 16.1 |
Options Purchased Puts | 0.5 |
Residential Mortgage-Backed Securities - Agency | 5.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $152.1 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
• | Underlying funds portfolio manager performance associated with U.S. equity funds and core fixed-income funds generated strong contributions to relative performance during the period. |
• | The dynamic algorithm, a quantitative tool used by the Fund’s portfolio managers to help determine equity exposure, was a meaningful detractor of relative performance, as its pace for increasing equity exposure following the late first quarter sell-off in risk assets was relatively slow. |
• | Exposure to overseas equities via underlying funds detracted from relative results, as U.S. equities outperformed international developed market equities during the period. |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 5 |
(Unaudited)
July 1, 2020 — December 31, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,057.60 | 1,023.63 | 1.55 | 1.53 | 0.30 | 3.67 | 3.61 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 1,057.10 | 1,022.37 | 2.84 | 2.80 | 0.55 | 4.96 | 4.88 | 0.96 |
6 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
December 31, 2020
Equity Funds 17.3% | ||
Shares | Value ($) | |
International 4.2% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 868,004 | 12,308,304 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 500,977 | 5,781,275 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 883,742 | 10,772,809 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 295,666 | 4,097,925 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 517,899 | 4,795,747 |
Total | 37,756,060 | |
U.S. Large Cap 10.0% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 265,853 | 8,704,041 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 356,658 | 23,814,027 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 170,826 | 5,112,825 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 252,890 | 7,455,182 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 521,588 | 7,422,195 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 173,713 | 5,147,125 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 119,698 | 5,929,854 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 95,030 | 4,545,296 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 134,126 | 4,050,596 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 96,463 | 6,035,707 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 149,974 | 4,032,798 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 284,273 | 7,934,048 |
Total | 90,183,694 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 1.0% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 45,105 | 2,027,940 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 72,689 | 2,025,833 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 78,493 | 2,571,448 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 63,541 | 2,607,068 |
Total | 9,232,289 | |
U.S. Small Cap 2.1% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 187,837 | 3,037,319 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 102,769 | 3,079,991 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 199,681 | 7,032,777 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 187,217 | 5,668,946 |
Total | 18,819,033 | |
Total Equity Funds (Cost $98,539,805) | 155,991,076 | |
Exchange-Traded Equity Funds 4.3% | ||
International Mid Large Cap 1.2% | ||
iShares MSCI EAFE ETF | 152,532 | 11,128,734 |
U.S. Large Cap 3.1% | ||
SPDR S&P 500 ETF Trust | 73,425 | 27,452,139 |
Total Exchange-Traded Equity Funds (Cost $24,173,334) | 38,580,873 | |
Exchange-Traded Fixed Income Funds 4.5% | ||
Investment Grade 4.5% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 251,500 | 34,739,695 |
Vanguard Intermediate-Term Corporate Bond ETF | 60,000 | 5,828,400 |
Total | 40,568,095 | |
Total Exchange-Traded Fixed Income Funds (Cost $37,785,650) | 40,568,095 | |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 7 |
December 31, 2020
Fixed Income Funds 56.1% | ||
Shares | Value ($) | |
Investment Grade 56.1% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 8,770,140 | 101,119,718 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,037,418 | 30,556,430 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 4,182,972 | 51,785,189 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,750,832 | 29,791,512 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,328,084 | 74,165,141 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 8,685,359 | 100,055,333 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,185,948 | 12,238,978 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 9,064,289 | 106,233,472 |
Total | 505,945,773 | |
Total Fixed Income Funds (Cost $470,129,211) | 505,945,773 |
Residential Mortgage-Backed Securities - Agency 5.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
01/17/2034- 01/14/2051 | 3.000% | 20,539,000 | 21,532,554 | |
01/19/2036 | 2.500% | 12,800,000 | 13,350,000 | |
01/14/2051 | 3.500% | 12,502,000 | 13,215,005 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $48,038,277) | 48,097,559 |
Options Purchased Puts 0.5% | ||||
Value ($) | ||||
(Cost $5,631,416) | 4,853,130 |
Money Market Funds 16.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(a),(d) | 152,138,472 | 152,123,258 |
Total Money Market Funds (Cost $152,120,668) | 152,123,258 | |
Total Investments in Securities (Cost: $836,418,361) | 946,159,764 | |
Other Assets & Liabilities, Net | (43,958,884) | |
Net Assets | 902,200,880 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 36 | 03/2021 | USD | 2,772,000 | 95,528 | — |
British Pound | 21 | 03/2021 | USD | 1,792,744 | 33,023 | — |
Euro FX | 4 | 03/2021 | USD | 612,300 | 4,660 | — |
EURO STOXX 50 Index | 65 | 03/2021 | EUR | 2,307,500 | 36,214 | — |
Japanese Yen | 19 | 03/2021 | USD | 2,301,138 | 17,028 | — |
New Zealand Dollar | 3 | 03/2021 | USD | 215,640 | 4,099 | — |
OMXS30 Index | 7 | 01/2021 | SEK | 1,314,775 | — | (1,045) |
S&P 500 Index E-mini | 107 | 03/2021 | USD | 20,056,080 | 452,345 | — |
SPI 200 Index | 11 | 03/2021 | AUD | 1,797,675 | — | (11,020) |
TOPIX Index | 13 | 03/2021 | JPY | 234,585,000 | 63,667 | — |
U.S. Long Bond | 6 | 03/2021 | USD | 1,039,125 | 4,106 | — |
8 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
December 31, 2020
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 121 | 03/2021 | USD | 20,955,688 | — | (191,133) |
U.S. Treasury 10-Year Note | 295 | 03/2021 | USD | 40,733,047 | 36,908 | — |
U.S. Treasury 2-Year Note | 90 | 03/2021 | USD | 19,887,891 | 18,149 | — |
U.S. Treasury 5-Year Note | 388 | 03/2021 | USD | 48,951,656 | 104,090 | — |
U.S. Ultra Treasury Bond | 1 | 03/2021 | USD | 213,563 | — | (3,275) |
Total | 869,817 | (206,473) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Dollar | (2) | 03/2021 | USD | (156,680) | — | (244) |
FTSE 100 Index | (5) | 03/2021 | GBP | (321,000) | — | (2,617) |
Hang Seng Index | (8) | 01/2021 | HKD | (10,887,600) | — | (34,919) |
MSCI Singapore Index | (1) | 01/2021 | SGD | (32,330) | 90 | — |
Russell 2000 Index E-mini | (44) | 03/2021 | USD | (4,344,560) | — | (42,760) |
S&P 500 Index E-mini | (26) | 03/2021 | USD | (4,873,440) | — | (94,472) |
S&P/TSX 60 Index | (11) | 03/2021 | CAD | (2,263,580) | 19,491 | — |
Swiss Franc | (10) | 03/2021 | USD | (1,415,250) | — | (6,287) |
Total | 19,581 | (181,299) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 12,019,424 | 32 | 2,900.00 | 12/17/2021 | 443,363 | 330,880 |
S&P 500 Index | JPMorgan | USD | 46,199,661 | 123 | 2,900.00 | 12/16/2022 | 2,803,754 | 2,415,720 |
S&P 500 Index | JPMorgan | USD | 23,287,634 | 62 | 3,000.00 | 12/16/2022 | 1,457,377 | 1,366,170 |
S&P 500 Index | JPMorgan | USD | 15,399,887 | 41 | 2,800.00 | 12/16/2022 | 882,232 | 713,400 |
S&P 500 Index | JPMorgan | USD | 751,214 | 2 | 2,600.00 | 12/16/2022 | 44,690 | 26,960 |
Total | 5,631,416 | 4,853,130 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | |||||||||
115,040,778 | 147,024,960 | (109,949,353) | 6,873 | 152,123,258 | — | (1,183) | 691,190 | 152,138,472 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
4,938,391 | 3,583,708 | (1,752,159) | 1,934,101 | 8,704,041 | — | 99,249 | — | 265,853 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
14,340,260 | 9,205,439 | (4,183,653) | 4,451,981 | 23,814,027 | — | 140,078 | — | 356,658 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
3,275,984 | 2,374,331 | (1,040,903) | 503,413 | 5,112,825 | — | 29,105 | — | 170,826 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
62,429,451 | 33,410,690 | (1,593,846) | 6,873,423 | 101,119,718 | 987,146 | (848) | 2,440,277 | 8,770,140 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
4,530,074 | 2,167,816 | (1,380,639) | 2,137,931 | 7,455,182 | — | 180,102 | — | 252,890 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 9 |
December 31, 2020
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
18,985,434 | 10,823,803 | (125,580) | 872,773 | 30,556,430 | — | 746 | 700,209 | 3,037,418 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
31,626,919 | 16,996,979 | (1,415,588) | 4,576,879 | 51,785,189 | 633,900 | 25,524 | 1,132,018 | 4,182,972 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
1,229,333 | 583,501 | (401,319) | 616,425 | 2,027,940 | — | 75,274 | — | 45,105 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
— | 12,184,375 | (1,395,206) | 1,519,135 | 12,308,304 | 91,482 | 75,787 | 92,027 | 868,004 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
2,463,277 | 5,810,252 | (1,819,103) | 967,769 | 7,422,195 | — | 50,492 | — | 521,588 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
2,474,720 | 3,073,637 | (1,170,242) | 769,010 | 5,147,125 | — | 26,584 | — | 173,713 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
1,235,752 | 884,915 | (496,281) | 401,447 | 2,025,833 | — | 15,230 | — | 72,689 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
1,697,495 | 1,402,824 | (713,518) | 650,518 | 3,037,319 | 115,813 | 6,662 | 16,816 | 187,837 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
1,673,240 | 585,260 | (445,832) | 1,267,323 | 3,079,991 | 47,213 | 187,264 | — | 102,769 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
393,996 | — | (248,491) | (145,505) | — | — | 23,158 | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
18,556,859 | 10,940,005 | (131,759) | 426,407 | 29,791,512 | 91,482 | 376 | 664,524 | 2,750,832 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
45,560,315 | 25,239,440 | (523,430) | 3,888,816 | 74,165,141 | — | 1,191 | 1,225,214 | 6,328,084 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
8,596,966 | 5,970,137 | (9,508,408) | 722,580 | 5,781,275 | — | (151,011) | 20,185 | 500,977 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
3,697,845 | 1,643,969 | (997,819) | 1,585,859 | 5,929,854 | — | 119,457 | — | 119,698 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
3,693,928 | 1,802,225 | (2,131,461) | 1,180,604 | 4,545,296 | — | 855,226 | — | 95,030 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
2,457,868 | 1,714,147 | (631,703) | 510,284 | 4,050,596 | — | (3,850) | — | 134,126 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
3,660,352 | 1,694,015 | (1,977,250) | 2,658,590 | 6,035,707 | — | 822,415 | — | 96,463 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
2,456,745 | 1,821,156 | (812,057) | 566,954 | 4,032,798 | — | 15,072 | — | 149,974 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
62,432,997 | 35,932,518 | (1,610,771) | 3,300,589 | 100,055,333 | 1,400,735 | (15,863) | 1,980,727 | 8,685,359 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
1,634,911 | 1,159,638 | (698,853) | 475,752 | 2,571,448 | — | 43,870 | — | 78,493 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
7,660,965 | 4,630,075 | (41,094) | (10,968) | 12,238,978 | 33,249 | 183 | 305,028 | 1,185,948 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
1,651,021 | 980,600 | (726,818) | 702,265 | 2,607,068 | — | 136,210 | — | 63,541 |
10 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
December 31, 2020
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
66,003,274 | 37,457,284 | (1,047,213) | 3,820,127 | 106,233,472 | 813,727 | 5,223 | 1,861,834 | 9,064,289 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
5,327,053 | 3,210,097 | (2,213,113) | 1,610,011 | 7,934,048 | — | 251,700 | — | 284,273 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
8,595,700 | 5,668,743 | (5,441,988) | 1,950,354 | 10,772,809 | 36,370 | 367,836 | 26,814 | 883,742 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
2,877,272 | 1,711,348 | (1,426,996) | 936,301 | 4,097,925 | 37,544 | 51,256 | 8,972 | 295,666 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
2,850,201 | 2,461,938 | (1,021,507) | 505,115 | 4,795,747 | — | (64,584) | 29,956 | 517,899 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
2,458,443 | 4,039,180 | (1,092,416) | 1,627,570 | 7,032,777 | — | 163,553 | — | 199,681 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
2,861,661 | 3,359,925 | (1,546,844) | 994,204 | 5,668,946 | — | (13,023) | — | 187,217 | |
Total | 519,369,480 | 54,854,910 | 814,060,107 | 4,288,661 | 3,518,461 | 11,195,791 |
(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, 2020. |
TBA | To Be Announced |
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 2020 | 11 |
December 31, 2020
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 | — | — | — | 155,991,076 | 155,991,076 |
Exchange-Traded Equity Funds | 38,580,873 | — | — | — | 38,580,873 |
Exchange-Traded Fixed Income Funds | 40,568,095 | — | — | — | 40,568,095 |
Fixed Income Funds | — | — | — | 505,945,773 | 505,945,773 |
Residential Mortgage-Backed Securities - Agency | — | 48,097,559 | — | — | 48,097,559 |
Options Purchased Puts | 4,853,130 | — | — | — | 4,853,130 |
Money Market Funds | 152,123,258 | — | — | — | 152,123,258 |
Total Investments in Securities | 236,125,356 | 48,097,559 | — | 661,936,849 | 946,159,764 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 889,398 | — | — | — | 889,398 |
Liability | |||||
Futures Contracts | (387,772) | — | — | — | (387,772) |
Total | 236,626,982 | 48,097,559 | — | 661,936,849 | 946,661,390 |
12 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $109,997,261) | $127,246,527 |
Affiliated issuers (cost $720,789,684) | 814,060,107 |
Options purchased (cost $5,631,416) | 4,853,130 |
Margin deposits on: | |
Futures contracts | 3,972,595 |
Receivable for: | |
Investments sold | 351,812 |
Dividends | 131,833 |
Interest | 57,254 |
Variation margin for futures contracts | 270,144 |
Prepaid expenses | 2,807 |
Trustees’ deferred compensation plan | 63,303 |
Total assets | 951,009,512 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 48,095,532 |
Capital shares purchased | 502,589 |
Variation margin for futures contracts | 53,228 |
Management services fees | 5,084 |
Distribution and/or service fees | 6,156 |
Service fees | 46,226 |
Compensation of board members | 1,037 |
Compensation of chief compliance officer | 66 |
Other expenses | 35,411 |
Trustees’ deferred compensation plan | 63,303 |
Total liabilities | 48,808,632 |
Net assets applicable to outstanding capital stock | $902,200,880 |
Represented by | |
Trust capital | $902,200,880 |
Total - representing net assets applicable to outstanding capital stock | $902,200,880 |
Class 1 | |
Net assets | $363,302 |
Shares outstanding | 26,394 |
Net asset value per share | $13.76 |
Class 2 | |
Net assets | $901,837,578 |
Shares outstanding | 65,793,742 |
Net asset value per share | $13.71 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 13 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,517,131 |
Dividends — affiliated issuers | 11,195,791 |
Interest | 8,281 |
Total income | 12,721,203 |
Expenses: | |
Management services fees | 1,634,892 |
Distribution and/or service fees | |
Class 2 | 1,874,041 |
Service fees | 451,224 |
Compensation of board members | 24,441 |
Custodian fees | 28,119 |
Printing and postage fees | 18,933 |
Audit fees | 39,500 |
Legal fees | 19,076 |
Compensation of chief compliance officer | 251 |
Other | 32,063 |
Total expenses | 4,122,540 |
Net investment income | 8,598,663 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 1,178,550 |
Investments — affiliated issuers | 3,518,461 |
Capital gain distributions from underlying affiliated funds | 4,288,661 |
Foreign currency translations | 117,492 |
Futures contracts | (9,701,271) |
Options purchased | 1,090,168 |
Net realized gain | 492,061 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 6,540,666 |
Investments — affiliated issuers | 54,854,910 |
Foreign currency translations | 9,499 |
Futures contracts | (435,277) |
Options purchased | (275,169) |
Net change in unrealized appreciation (depreciation) | 60,694,629 |
Net realized and unrealized gain | 61,186,690 |
Net increase in net assets resulting from operations | $69,785,353 |
14 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $8,598,663 | $9,457,622 |
Net realized gain | 492,061 | 6,851,300 |
Net change in unrealized appreciation (depreciation) | 60,694,629 | 38,388,994 |
Net increase in net assets resulting from operations | 69,785,353 | 54,697,916 |
Increase in net assets from capital stock activity | 259,661,661 | 91,762,250 |
Total increase in net assets | 329,447,014 | 146,460,166 |
Net assets at beginning of year | 572,753,866 | 426,293,700 |
Net assets at end of year | $902,200,880 | $572,753,866 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 25,282 | 332,075 | 4,222 | 51,550 |
Redemptions | (3,047) | (40,479) | (63) | (790) |
Net increase | 22,235 | 291,596 | 4,159 | 50,760 |
Class 2 | ||||
Subscriptions | 25,535,509 | 323,847,235 | 10,555,664 | 128,068,194 |
Redemptions | (4,914,529) | (64,477,170) | (3,022,427) | (36,356,704) |
Net increase | 20,620,980 | 259,370,065 | 7,533,237 | 91,711,490 |
Total net increase | 20,643,215 | 259,661,661 | 7,537,396 | 91,762,250 |
(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 2020 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2020 | $12.70 | 0.15 | 0.91 | 1.06 |
Year Ended 12/31/2019(c) | $11.70 | 0.17 | 0.83 | 1.00 |
Class 2 | ||||
Year Ended 12/31/2020 | $12.68 | 0.15 | 0.88 | 1.03 |
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 |
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 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $13.76 | 8.35% | 0.30% | 0.30% | 1.16% | 132% | $363 |
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 12/31/2020 | $13.71 | 8.12% | 0.55% | 0.55% | 1.15% | 132% | $901,838 |
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% | $444,792 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 17 |
December 31, 2020
18 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 21 |
December 31, 2020
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 571,807* |
Equity risk | Investments, at value — Options Purchased | 4,853,130 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 154,338* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 163,253* |
Total | 5,742,528 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 186,833* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 6,531* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 194,408* |
Total | 387,772 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (12,908,595) | 1,090,168 | (11,818,427) |
Foreign exchange risk | (229,647) | — | (229,647) |
Interest rate risk | 3,436,971 | — | 3,436,971 |
Total | (9,701,271) | 1,090,168 | (8,611,103) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (946,222) | (275,169) | (1,221,391) |
Foreign exchange risk | 115,882 | — | 115,882 |
Interest rate risk | 395,063 | — | 395,063 |
Total | (435,277) | (275,169) | (710,446) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 137,545,819 |
Futures contracts — short | 20,788,551 |
22 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
December 31, 2020
Derivative instrument | Average value ($)* |
Options contracts — purchased | 4,460,956 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2020. |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 23 |
December 31, 2020
JPMorgan ($) | |
Assets | |
Options purchased puts | 4,853,130 |
Total financial and derivative net assets | 4,853,130 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 4,853,130 |
(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 Conservative Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 25 |
December 31, 2020
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
26 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 27 |
December 31, 2020
28 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 29 |
30 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 31 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
32 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 33 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
34 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 35 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
36 | Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
Variable Portfolio – Managed Volatility Conservative Fund | Annual Report 2020 | 37 |
December 31, 2020
3 | |
5 | |
6 | |
7 | |
11 | |
12 | |
13 | |
14 | |
16 | |
29 | |
30 | |
36 |
Average annual total returns (%) (for the period ended December 31, 2020) | ||||
Inception | 1 Year | Life | ||
Class 1* | 02/20/19 | 6.18 | 7.30 | |
Class 2 | 11/02/16 | 5.87 | 7.17 | |
Blended Benchmark | 11.95 | 8.89 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.10 | ||
S&P 500 Index | 18.40 | 17.31 |
* | 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 2020 | 3 |
Portfolio Allocation (%) (at December 31, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 30.9 |
U.S. Large Cap | 30.9 |
Exchange-Traded Fixed Income Funds | 8.7 |
Investment Grade | 8.7 |
Fixed Income Funds | 38.8 |
High Yield | 2.1 |
Investment Grade | 36.7 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 16.0 |
Options Purchased Puts | 0.8 |
Residential Mortgage-Backed Securities - Agency | 4.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $69.8 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
• | Allocations to underlying equity funds focused on large-cap growth-oriented strategies contributed favorably to relative results. |
• | The dynamic algorithm, a quantitative tool used by the Fund’s managers to help determine equity exposure, was a meaningful detractor of relative performance, as its pace for increasing equity exposure following the late first quarter sell-off in risk assets was relatively slow. This backward-looking tracking led to a meaningful underweight for equity exposures following dramatic market drawdowns that occurred in the first quarter. Since that period, the dynamic algorithm has only slowly recommended increasing allocations to equities. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 5 |
(Unaudited)
July 1, 2020 — December 31, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,062.60 | 1,023.53 | 1.66 | 1.63 | 0.32 | 3.73 | 3.66 | 0.72 |
Class 2 | 1,000.00 | 1,000.00 | 1,060.40 | 1,022.32 | 2.90 | 2.85 | 0.56 | 4.97 | 4.88 | 0.96 |
6 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Equity Funds 32.3% | ||
Shares | Value ($) | |
U.S. Large Cap 32.3% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 232,578 | 15,529,211 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 990,207 | 30,270,626 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 292,423 | 4,161,183 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 474,517 | 14,059,937 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 300,157 | 14,869,806 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 234,611 | 14,679,603 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 523,242 | 14,069,968 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 980,011 | 27,352,120 |
Total | 134,992,454 | |
Total Equity Funds (Cost $89,936,111) | 134,992,454 | |
Exchange-Traded Fixed Income Funds 9.1% | ||
Investment Grade 9.1% | ||
iShares Core U.S. Aggregate Bond ETF | 22,610 | 2,672,276 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 124,527 | 17,200,915 |
Vanguard Intermediate-Term Corporate Bond ETF | 185,000 | 17,970,900 |
Total | 37,844,091 | |
Total Exchange-Traded Fixed Income Funds (Cost $34,968,399) | 37,844,091 | |
Fixed Income Funds 40.6% | ||
High Yield 2.2% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 1,213,962 | 9,359,648 |
Investment Grade 38.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 2,948,224 | 33,993,027 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 981,115 | 9,870,018 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 669,247 | 8,285,271 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 908,342 | 9,837,343 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 2,799,218 | 32,806,836 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 2,739,566 | 31,559,799 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 440,591 | 4,546,902 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 2,489,651 | 29,178,706 |
Total | 160,077,902 | |
Total Fixed Income Funds (Cost $158,181,823) | 169,437,550 |
Residential Mortgage-Backed Securities - Agency 5.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
01/17/2034- 01/14/2051 | 3.000% | 8,714,000 | 9,138,995 | |
01/19/2036 | 2.500% | 4,832,500 | 5,040,146 | |
01/14/2051 | 3.500% | 6,567,500 | 6,942,053 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $21,099,417) | 21,121,194 |
Options Purchased Puts 0.8% | ||||
Value ($) | ||||
(Cost $4,024,364) | 3,292,345 |
Money Market Funds 16.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(a),(d) | 69,834,193 | 69,827,210 |
Total Money Market Funds (Cost $69,823,997) | 69,827,210 | |
Total Investments in Securities (Cost: $378,034,111) | 436,514,844 | |
Other Assets & Liabilities, Net | (19,142,146) | |
Net Assets | 417,372,698 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 7 |
December 31, 2020
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 115 | 03/2021 | USD | 21,555,600 | 438,281 | — |
U.S. Long Bond | 75 | 03/2021 | USD | 12,989,063 | — | (118,471) |
U.S. Treasury 10-Year Note | 97 | 03/2021 | USD | 13,393,578 | 11,391 | — |
U.S. Treasury 2-Year Note | 27 | 03/2021 | USD | 5,966,367 | 5,661 | — |
U.S. Treasury 5-Year Note | 109 | 03/2021 | USD | 13,751,883 | 29,680 | — |
U.S. Ultra Treasury Bond | 26 | 03/2021 | USD | 5,552,625 | — | (85,161) |
Total | 485,013 | (203,632) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 31,175,381 | 83 | 2,900.00 | 12/17/2021 | 1,224,072 | 858,220 |
S&P 500 Index | JPMorgan | USD | 18,029,136 | 48 | 2,900.00 | 12/16/2022 | 1,094,808 | 942,720 |
S&P 500 Index | JPMorgan | USD | 14,648,673 | 39 | 3,000.00 | 12/16/2022 | 916,737 | 859,365 |
S&P 500 Index | JPMorgan | USD | 12,770,638 | 34 | 2,800.00 | 12/16/2022 | 721,712 | 591,600 |
S&P 500 Index | JPMorgan | USD | 1,126,821 | 3 | 2,600.00 | 12/16/2022 | 67,035 | 40,440 |
Total | 4,024,364 | 3,292,345 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | |||||||||
62,412,483 | 127,278,717 | (119,867,759) | 3,769 | 69,827,210 | — | (5,322) | 355,310 | 69,834,193 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
10,043,912 | 5,488,329 | (2,671,219) | 2,668,189 | 15,529,211 | — | 18,107 | — | 232,578 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
6,616,297 | 3,497,822 | (1,122,966) | 368,495 | 9,359,648 | — | (15,902) | 436,826 | 1,213,962 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
22,647,920 | 10,409,836 | (1,512,131) | 2,447,402 | 33,993,027 | 356,705 | 3,253 | 881,793 | 2,948,224 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
20,099,279 | 9,818,686 | (5,605,969) | 5,958,630 | 30,270,626 | — | 329,587 | — | 990,207 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
6,662,698 | 3,237,110 | (326,871) | 297,081 | 9,870,018 | — | (1,881) | 246,426 | 981,115 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
5,414,795 | 2,574,310 | (483,970) | 780,136 | 8,285,271 | 107,829 | (706) | 192,561 | 669,247 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
— | 4,046,218 | — | 114,965 | 4,161,183 | — | — | — | 292,423 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
10,064,800 | 6,938,769 | (5,257,120) | 2,313,488 | 14,059,937 | — | 181,945 | — | 474,517 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
6,664,795 | 3,352,411 | (337,478) | 157,615 | 9,837,343 | 33,013 | (1,505) | 239,802 | 908,342 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
21,912,796 | 10,196,572 | (1,123,408) | 1,820,876 | 32,806,836 | — | (3,357) | 590,019 | 2,799,218 |
8 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
10,043,110 | 3,742,525 | (2,783,862) | 3,868,033 | 14,869,806 | — | 405,877 | — | 300,157 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
10,031,491 | 4,181,209 | (6,090,199) | 6,557,102 | 14,679,603 | — | 1,976,482 | — | 234,611 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
10,057,817 | 7,118,822 | (4,916,144) | 1,809,473 | 14,069,968 | — | 52,381 | — | 523,242 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
21,218,272 | 10,234,648 | (1,002,536) | 1,109,415 | 31,559,799 | 476,476 | (7,759) | 673,767 | 2,739,566 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
3,043,276 | 1,632,508 | (124,729) | (4,153) | 4,546,902 | 13,288 | (545) | 121,906 | 440,591 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
19,634,612 | 9,339,585 | (930,427) | 1,134,936 | 29,178,706 | 242,241 | (3,569) | 554,256 | 2,489,651 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
20,093,120 | 10,039,601 | (7,967,899) | 5,187,298 | 27,352,120 | — | 855,478 | — | 980,011 | |
Total | 266,661,473 | 36,592,750 | 374,257,214 | 1,229,552 | 3,782,564 | 4,292,666 |
(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, 2020. |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 9 |
December 31, 2020
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 | — | — | — | 134,992,454 | 134,992,454 |
Exchange-Traded Fixed Income Funds | 37,844,091 | — | — | — | 37,844,091 |
Fixed Income Funds | — | — | — | 169,437,550 | 169,437,550 |
Residential Mortgage-Backed Securities - Agency | — | 21,121,194 | — | — | 21,121,194 |
Options Purchased Puts | 3,292,345 | — | — | — | 3,292,345 |
Money Market Funds | 69,827,210 | — | — | — | 69,827,210 |
Total Investments in Securities | 110,963,646 | 21,121,194 | — | 304,430,004 | 436,514,844 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 485,013 | — | — | — | 485,013 |
Liability | |||||
Futures Contracts | (203,632) | — | — | — | (203,632) |
Total | 111,245,027 | 21,121,194 | — | 304,430,004 | 436,796,225 |
10 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $56,067,816) | $58,965,285 |
Affiliated issuers (cost $317,941,931) | 374,257,214 |
Options purchased (cost $4,024,364) | 3,292,345 |
Cash collateral held at broker for: | |
TBA | 119,000 |
Margin deposits on: | |
Futures contracts | 1,763,160 |
Receivable for: | |
Investments sold | 187,972 |
Dividends | 7,058 |
Interest | 25,984 |
Variation margin for futures contracts | 203,083 |
Prepaid expenses | 1,433 |
Trustees’ deferred compensation plan | 26,269 |
Total assets | 438,848,803 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 21,125,401 |
Capital shares purchased | 268,531 |
Management services fees | 2,387 |
Distribution and/or service fees | 2,848 |
Service fees | 21,287 |
Compensation of board members | 822 |
Compensation of chief compliance officer | 32 |
Other expenses | 28,528 |
Trustees’ deferred compensation plan | 26,269 |
Total liabilities | 21,476,105 |
Net assets applicable to outstanding capital stock | $417,372,698 |
Represented by | |
Trust capital | $417,372,698 |
Total - representing net assets applicable to outstanding capital stock | $417,372,698 |
Class 1 | |
Net assets | $96,577 |
Shares outstanding | 7,203 |
Net asset value per share | $13.41 |
Class 2 | |
Net assets | $417,276,121 |
Shares outstanding | 31,268,808 |
Net asset value per share | $13.34 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 11 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $886,854 |
Dividends — affiliated issuers | 4,292,666 |
Interest | 7,372 |
Total income | 5,186,892 |
Expenses: | |
Management services fees | 804,952 |
Distribution and/or service fees | |
Class 2 | 926,673 |
Service fees | 222,844 |
Compensation of board members | 19,004 |
Custodian fees | 24,541 |
Printing and postage fees | 18,812 |
Audit fees | 39,500 |
Legal fees | 9,556 |
Compensation of chief compliance officer | 128 |
Other | 19,190 |
Total expenses | 2,085,200 |
Net investment income | 3,101,692 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 990,280 |
Investments — affiliated issuers | 3,782,564 |
Capital gain distributions from underlying affiliated funds | 1,229,552 |
Foreign currency translations | (3,746) |
Futures contracts | (22,471,381) |
Options purchased | 3,280,714 |
Swap contracts | 326,981 |
Net realized loss | (12,865,036) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 1,544,386 |
Investments — affiliated issuers | 36,592,750 |
Futures contracts | (912,364) |
Options purchased | (318,912) |
Net change in unrealized appreciation (depreciation) | 36,905,860 |
Net realized and unrealized gain | 24,040,824 |
Net increase in net assets resulting from operations | $27,142,516 |
12 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $3,101,692 | $2,965,061 |
Net realized gain (loss) | (12,865,036) | 2,892,937 |
Net change in unrealized appreciation (depreciation) | 36,905,860 | 21,480,197 |
Net increase in net assets resulting from operations | 27,142,516 | 27,338,195 |
Increase in net assets from capital stock activity | 101,299,948 | 122,530,566 |
Total increase in net assets | 128,442,464 | 149,868,761 |
Net assets at beginning of year | 288,930,234 | 139,061,473 |
Net assets at end of year | $417,372,698 | $288,930,234 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 7,001 | 88,002 | 221 | 2,540 |
Redemptions | (19) | (222) | — | — |
Net increase | 6,982 | 87,780 | 221 | 2,540 |
Class 2 | ||||
Subscriptions | 11,855,126 | 145,880,778 | 11,038,892 | 131,914,768 |
Redemptions | (3,510,460) | (44,668,610) | (787,233) | (9,386,742) |
Net increase | 8,344,666 | 101,212,168 | 10,251,659 | 122,528,026 |
Total net increase | 8,351,648 | 101,299,948 | 10,251,880 | 122,530,566 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2020 | $12.63 | 0.09 | 0.69 | 0.78 |
Year Ended 12/31/2019(c) | $11.47 | 0.20 | 0.96 | 1.16 |
Class 2 | ||||
Year Ended 12/31/2020 | $12.60 | 0.11 | 0.63 | 0.74 |
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. |
14 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $13.41 | 6.18% | 0.32% | 0.32% | 0.74% | 243% | $97 |
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 12/31/2020 | $13.34 | 5.87% | 0.56% | 0.56% | 0.84% | 243% | $417,276 |
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% | $18,272 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 15 |
December 31, 2020
16 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 17 |
December 31, 2020
18 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 438,281* |
Equity risk | Investments, at value — Options Purchased | 3,292,345 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 46,732* |
Total | 3,777,358 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 203,632* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 326,981 | 326,981 |
Equity risk | (23,878,692) | 3,280,714 | — | (20,597,978) |
Interest rate risk | 1,407,311 | — | — | 1,407,311 |
Total | (22,471,381) | 3,280,714 | 326,981 | (18,863,686) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (964,862) | (318,912) | (1,283,774) |
Interest rate risk | 52,498 | — | 52,498 |
Total | (912,364) | (318,912) | (1,231,276) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 82,438,486 |
Futures contracts — short | 36,690,579 |
Credit default swap contracts — sell protection | 14,500,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,547,513 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2020. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 21 |
December 31, 2020
22 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
JPMorgan ($) | |
Assets | |
Options purchased puts | 3,292,345 |
Total financial and derivative net assets | 3,292,345 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 3,292,345 |
(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 2020 | 23 |
December 31, 2020
24 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 25 |
December 31, 2020
26 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 27 |
December 31, 2020
28 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 29 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
30 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 31 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
32 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 | 33 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
34 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 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 2020 | 35 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
36 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Annual Report 2020 |
December 31, 2020
3 | |
5 | |
6 | |
7 | |
11 | |
12 | |
13 | |
14 | |
16 | |
29 | |
30 | |
36 |
Average annual total returns (%) (for the period ended December 31, 2020) | ||||
Inception | 1 Year | Life | ||
Class 1* | 02/20/19 | 5.07 | 10.09 | |
Class 2 | 11/02/16 | 4.80 | 9.95 | |
Blended Benchmark | 15.24 | 12.87 | ||
S&P 500 Index | 18.40 | 17.31 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.10 |
* | 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 2020 | 3 |
Portfolio Allocation (%) (at December 31, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 56.6 |
U.S. Large Cap | 56.6 |
Exchange-Traded Fixed Income Funds | 8.1 |
Investment Grade | 8.1 |
Fixed Income Funds | 11.6 |
High Yield | 0.7 |
Investment Grade | 10.9 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 15.2 |
Options Purchased Puts | 1.3 |
Residential Mortgage-Backed Securities - Agency | 7.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $587.3 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
• | Allocations to underlying equity funds focused on large-cap growth-oriented strategies contributed favorably to relative results. |
• | The dynamic algorithm, a quantitative tool used by the Fund’s managers to help determine equity exposure, was a meaningful detractor of relative performance, as its pace for increasing equity exposure following the late first quarter sell-off in risk assets was relatively slow. This backward-looking tracking led to a meaningful underweight for equity exposures following dramatic market drawdowns that occurred in the first quarter. Since that period, the dynamic algorithm has only slowly recommended increasing allocations to equities. |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 5 |
(Unaudited)
July 1, 2020 — December 31, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,093.10 | 1,023.73 | 1.47 | 1.42 | 0.28 | 3.74 | 3.61 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 1,091.20 | 1,022.47 | 2.79 | 2.69 | 0.53 | 5.05 | 4.88 | 0.96 |
6 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
December 31, 2020
Equity Funds 60.6% | ||
Shares | Value ($) | |
U.S. Large Cap 60.6% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 3,598,329 | 240,260,436 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 15,998,733 | 489,081,287 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 3,501,085 | 49,820,436 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 8,027,180 | 237,845,337 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 4,817,931 | 238,680,307 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 3,929,558 | 245,872,426 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 8,928,002 | 240,073,980 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 16,058,513 | 448,193,100 |
Total | 2,189,827,309 | |
Total Equity Funds (Cost $1,463,424,215) | 2,189,827,309 | |
Exchange-Traded Fixed Income Funds 8.6% | ||
Investment Grade 8.6% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,172,100 | 161,902,173 |
Vanguard Intermediate-Term Corporate Bond ETF | 1,550,000 | 150,567,000 |
Total | 312,469,173 | |
Total Exchange-Traded Fixed Income Funds (Cost $297,343,812) | 312,469,173 | |
Fixed Income Funds 12.5% | ||
High Yield 0.8% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 3,439,691 | 26,520,019 |
Investment Grade 11.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 7,749,562 | 89,352,453 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,615,704 | 26,313,985 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 1,751,974 | 21,689,436 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,399,999 | 25,991,990 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,401,627 | 86,747,060 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 7,225,862 | 83,241,934 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,157,891 | 11,949,435 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 6,657,531 | 78,026,259 |
Total | 423,312,552 | |
Total Fixed Income Funds (Cost $415,629,502) | 449,832,571 |
Residential Mortgage-Backed Securities - Agency 7.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
01/17/2034- 01/14/2051 | 3.000% | 123,988,000 | 130,014,192 | |
01/19/2036 | 2.500% | 70,100,000 | 73,112,109 | |
01/14/2051 | 3.500% | 70,500,000 | 74,520,703 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $277,311,595) | 277,647,004 |
Options Purchased Puts 1.4% | ||||
Value ($) | ||||
(Cost $62,138,068) | 51,441,795 |
Money Market Funds 16.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(a),(d) | 587,395,022 | 587,336,282 |
Total Money Market Funds (Cost $587,311,012) | 587,336,282 | |
Total Investments in Securities (Cost: $3,103,158,204) | 3,868,554,134 | |
Other Assets & Liabilities, Net | (255,795,994) | |
Net Assets | 3,612,758,140 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 7 |
December 31, 2020
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 1,583 | 03/2021 | USD | 296,717,520 | 6,803,246 | — |
U.S. Long Bond | 523 | 03/2021 | USD | 90,577,063 | — | (826,136) |
U.S. Treasury 10-Year Note | 615 | 03/2021 | USD | 84,918,047 | 72,221 | — |
U.S. Treasury 2-Year Note | 210 | 03/2021 | USD | 46,405,078 | 44,031 | — |
U.S. Treasury 5-Year Note | 669 | 03/2021 | USD | 84,403,758 | 182,166 | — |
U.S. Ultra Treasury Bond | 163 | 03/2021 | USD | 34,810,688 | — | (533,896) |
Total | 7,101,664 | (1,360,032) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 488,289,100 | 1,300 | 2,900.00 | 12/17/2021 | 19,151,605 | 13,442,000 |
S&P 500 Index | JPMorgan | USD | 378,987,463 | 1,009 | 3,000.00 | 12/16/2022 | 23,717,635 | 22,233,315 |
S&P 500 Index | JPMorgan | USD | 150,242,800 | 400 | 2,900.00 | 12/16/2022 | 9,117,850 | 7,856,000 |
S&P 500 Index | JPMorgan | USD | 145,735,516 | 388 | 2,800.00 | 12/16/2022 | 8,229,301 | 6,751,200 |
S&P 500 Index | JPMorgan | USD | 32,302,202 | 86 | 2,600.00 | 12/16/2022 | 1,921,677 | 1,159,280 |
Total | 62,138,068 | 51,441,795 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | |||||||||
673,395,132 | 1,881,398,631 | (1,967,489,847) | 32,366 | 587,336,282 | — | (13,789) | 3,401,597 | 587,395,022 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
196,936,969 | 29,778,690 | (20,167,786) | 33,712,563 | 240,260,436 | — | 1,032,047 | — | 3,598,329 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
22,477,582 | 4,753,415 | (1,199,541) | 488,563 | 26,520,019 | — | (67,788) | 1,194,800 | 3,439,691 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
76,698,396 | 10,721,352 | (4,578,065) | 6,510,770 | 89,352,453 | 973,779 | 44,338 | 2,407,233 | 7,749,562 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
394,041,712 | 56,861,942 | (43,386,389) | 81,564,022 | 489,081,287 | — | 3,639,803 | — | 15,998,733 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
22,486,366 | 3,928,841 | (837,464) | 736,242 | 26,313,985 | — | (5,286) | 663,787 | 2,615,704 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
18,290,049 | 2,588,563 | (1,390,846) | 2,201,670 | 21,689,436 | 294,747 | 143,889 | 526,360 | 1,751,974 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
— | 48,378,312 | — | 1,442,124 | 49,820,436 | — | — | — | 3,501,085 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
197,282,413 | 53,439,377 | (40,224,867) | 27,348,414 | 237,845,337 | — | 660,851 | — | 8,027,180 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
22,501,608 | 3,947,248 | (929,165) | 472,299 | 25,991,990 | 88,315 | 2,811 | 641,516 | 2,399,999 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
74,322,559 | 10,534,266 | (3,138,364) | 5,028,599 | 86,747,060 | — | (17,027) | 1,599,424 | 7,401,627 |
8 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
December 31, 2020
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
196,598,041 | 11,939,165 | (26,462,684) | 56,605,785 | 238,680,307 | — | 6,212,707 | — | 4,817,931 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
196,450,873 | 10,123,617 | (65,114,472) | 104,412,408 | 245,872,426 | — | 25,935,258 | — | 3,929,558 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
197,201,156 | 61,494,565 | (39,306,267) | 20,684,526 | 240,073,980 | — | (1,030,342) | — | 8,928,002 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
71,729,830 | 11,517,262 | (3,413,221) | 3,408,063 | 83,241,934 | 1,287,419 | 38,349 | 1,820,491 | 7,225,862 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
10,375,742 | 1,970,939 | (435,485) | 38,239 | 11,949,435 | 35,875 | 2,538 | 329,116 | 1,157,891 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
66,501,891 | 11,104,654 | (3,051,805) | 3,471,519 | 78,026,259 | 655,750 | 38,885 | 1,500,378 | 6,657,531 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
393,925,365 | 60,631,055 | (76,982,484) | 70,619,164 | 448,193,100 | — | 10,444,648 | — | 16,058,513 | |
Total | 2,831,215,684 | 418,777,336 | 3,226,996,162 | 3,335,885 | 47,061,892 | 14,084,702 |
(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, 2020. |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 9 |
December 31, 2020
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 | — | — | — | 2,189,827,309 | 2,189,827,309 |
Exchange-Traded Fixed Income Funds | 312,469,173 | — | — | — | 312,469,173 |
Fixed Income Funds | — | — | — | 449,832,571 | 449,832,571 |
Residential Mortgage-Backed Securities - Agency | — | 277,647,004 | — | — | 277,647,004 |
Options Purchased Puts | 51,441,795 | — | — | — | 51,441,795 |
Money Market Funds | 587,336,282 | — | — | — | 587,336,282 |
Total Investments in Securities | 951,247,250 | 277,647,004 | — | 2,639,659,880 | 3,868,554,134 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 7,101,664 | — | — | — | 7,101,664 |
Liability | |||||
Futures Contracts | (1,360,032) | — | — | — | (1,360,032) |
Total | 956,988,882 | 277,647,004 | — | 2,639,659,880 | 3,874,295,766 |
10 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $574,655,407) | $590,116,177 |
Affiliated issuers (cost $2,466,364,729) | 3,226,996,162 |
Options purchased (cost $62,138,068) | 51,441,795 |
Cash collateral held at broker for: | |
TBA | 55,000 |
Margin deposits on: | |
Futures contracts | 20,088,025 |
Receivable for: | |
Investments sold | 1,758,420 |
Capital shares sold | 120 |
Dividends | 56,310 |
Interest | 337,299 |
Variation margin for futures contracts | 2,352,668 |
Prepaid expenses | 12,195 |
Trustees’ deferred compensation plan | 71,061 |
Total assets | 3,893,285,232 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 277,648,895 |
Capital shares purchased | 2,512,148 |
Management services fees | 19,903 |
Distribution and/or service fees | 24,595 |
Service fees | 179,307 |
Compensation of board members | 2,317 |
Compensation of chief compliance officer | 278 |
Other expenses | 68,588 |
Trustees’ deferred compensation plan | 71,061 |
Total liabilities | 280,527,092 |
Net assets applicable to outstanding capital stock | $3,612,758,140 |
Represented by | |
Trust capital | $3,612,758,140 |
Total - representing net assets applicable to outstanding capital stock | $3,612,758,140 |
Class 1 | |
Net assets | $935,820 |
Shares outstanding | 62,760 |
Net asset value per share | $14.91 |
Class 2 | |
Net assets | $3,611,822,320 |
Shares outstanding | 243,314,718 |
Net asset value per share | $14.84 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 11 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $7,564,769 |
Dividends — affiliated issuers | 14,084,702 |
Interest | 112,517 |
Total income | 21,761,988 |
Expenses: | |
Management services fees | 6,812,079 |
Distribution and/or service fees | |
Class 2 | 8,130,563 |
Service fees | 1,951,899 |
Compensation of board members | 61,377 |
Custodian fees | 26,783 |
Printing and postage fees | 31,600 |
Audit fees | 39,500 |
Legal fees | 84,478 |
Compensation of chief compliance officer | 1,127 |
Other | 121,876 |
Total expenses | 17,261,282 |
Net investment income | 4,500,706 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 13,987,016 |
Investments — affiliated issuers | 47,061,892 |
Capital gain distributions from underlying affiliated funds | 3,335,885 |
Foreign currency translations | (98,435) |
Futures contracts | (374,314,438) |
Options purchased | 83,836,782 |
Swap contracts | 4,679,741 |
Net realized loss | (221,511,557) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 7,321,333 |
Investments — affiliated issuers | 418,777,336 |
Futures contracts | (16,834,295) |
Options purchased | (2,416,483) |
Net change in unrealized appreciation (depreciation) | 406,847,891 |
Net realized and unrealized gain | 185,336,334 |
Net increase in net assets resulting from operations | $189,837,040 |
12 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $4,500,706 | $13,544,586 |
Net realized gain (loss) | (221,511,557) | 48,786,628 |
Net change in unrealized appreciation (depreciation) | 406,847,891 | 356,276,626 |
Net increase in net assets resulting from operations | 189,837,040 | 418,607,840 |
Increase in net assets from capital stock activity | 389,796,162 | 908,990,327 |
Total increase in net assets | 579,633,202 | 1,327,598,167 |
Net assets at beginning of year | 3,033,124,938 | 1,705,526,771 |
Net assets at end of year | $3,612,758,140 | $3,033,124,938 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 58,117 | 811,731 | 9,696 | 133,660 |
Redemptions | (4,635) | (64,487) | (418) | (5,629) |
Net increase | 53,482 | 747,244 | 9,278 | 128,031 |
Class 2 | ||||
Subscriptions | 35,856,917 | 482,687,050 | 69,615,922 | 912,520,970 |
Redemptions | (6,706,192) | (93,638,132) | (275,141) | (3,658,674) |
Net increase | 29,150,725 | 389,048,918 | 69,340,781 | 908,862,296 |
Total net increase | 29,204,207 | 389,796,162 | 69,350,059 | 908,990,327 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2020 | $14.19 | 0.05 | 0.67 | 0.72 |
Year Ended 12/31/2019(c) | $12.62 | 0.06 | 1.51 | 1.57 |
Class 2 | ||||
Year Ended 12/31/2020 | $14.16 | 0.02 | 0.66 | 0.68 |
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. |
14 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $14.91 | 5.07% | 0.28% | 0.28% | 0.34% | 279% | $936 |
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 12/31/2020 | $14.84 | 4.80% | 0.53% | 0.53% | 0.14% | 279% | $3,611,822 |
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% | $166,632 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 15 |
December 31, 2020
16 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 17 |
December 31, 2020
18 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
December 31, 2020
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 6,803,246* |
Equity risk | Investments, at value — Options Purchased | 51,441,795 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 298,418* |
Total | 58,543,459 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 1,360,032* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 4,679,741 | 4,679,741 |
Equity risk | (381,047,055) | 83,836,782 | — | (297,210,273) |
Interest rate risk | 6,732,617 | — | — | 6,732,617 |
Total | (374,314,438) | 83,836,782 | 4,679,741 | (285,797,915) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (16,274,490) | (2,416,483) | (18,690,973) |
Interest rate risk | (559,805) | — | (559,805) |
Total | (16,834,295) | (2,416,483) | (19,250,778) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 984,151,484 |
Futures contracts — short | 637,000,591 |
Credit default swap contracts — sell protection | 247,500,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 37,988,243 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2020. |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 21 |
December 31, 2020
22 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
December 31, 2020
JPMorgan ($) | |
Assets | |
Options purchased puts | 51,441,795 |
Total financial and derivative net assets | 51,441,795 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 51,441,795 |
(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 2020 | 23 |
December 31, 2020
24 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
December 31, 2020
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 25 |
December 31, 2020
26 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 27 |
December 31, 2020
28 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 29 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
30 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 31 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
32 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 | 33 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
34 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 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 2020 | 35 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
36 | Variable Portfolio – U.S. Flexible Growth Fund | Annual Report 2020 |
December 31, 2020
3 | |
5 | |
6 | |
7 | |
11 | |
12 | |
13 | |
14 | |
16 | |
29 | |
30 | |
36 |
Average annual total returns (%) (for the period ended December 31, 2020) | ||||
Inception | 1 Year | Life | ||
Class 1* | 02/20/19 | 5.74 | 8.75 | |
Class 2 | 11/02/16 | 5.53 | 8.64 | |
Blended Benchmark | 13.66 | 10.90 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.10 | ||
S&P 500 Index | 18.40 | 17.31 |
* | 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 2020 | 3 |
Portfolio Allocation (%) (at December 31, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 44.4 |
U.S. Large Cap | 44.4 |
Exchange-Traded Fixed Income Funds | 8.6 |
Investment Grade | 8.6 |
Fixed Income Funds | 24.2 |
High Yield | 1.4 |
Investment Grade | 22.8 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 15.4 |
Options Purchased Puts | 1.0 |
Residential Mortgage-Backed Securities - Agency | 6.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $338.3 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
• | Allocations to underlying equity funds focused on large-cap growth-oriented strategies contributed favorably to relative results. |
• | The dynamic algorithm, a quantitative tool used by the Fund’s managers to help determine equity exposure, was a meaningful detractor of relative performance, as its pace for increasing equity exposure following the late first quarter sell-off in risk assets was relatively slow. This backward-looking tracking led to a meaningful underweight for equity exposures following dramatic market drawdowns that occurred in the first quarter. Since that period, the dynamic algorithm has only slowly recommended increasing allocations to equities. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 5 |
(Unaudited)
July 1, 2020 — December 31, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,077.50 | 1,023.68 | 1.51 | 1.48 | 0.29 | 3.66 | 3.56 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,076.20 | 1,022.42 | 2.82 | 2.75 | 0.54 | 4.96 | 4.83 | 0.95 |
6 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
December 31, 2020
Equity Funds 47.2% | ||
Shares | Value ($) | |
U.S. Large Cap 47.2% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,612,177 | 107,645,077 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 7,101,749 | 217,100,469 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,720,918 | 24,488,665 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 3,568,393 | 105,731,495 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 2,123,809 | 105,213,500 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 1,741,778 | 108,983,049 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 3,987,164 | 107,214,832 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 7,143,422 | 199,372,893 |
Total | 975,749,980 | |
Total Equity Funds (Cost $641,434,156) | 975,749,980 | |
Exchange-Traded Fixed Income Funds 9.1% | ||
Investment Grade 9.1% | ||
iShares Core U.S. Aggregate Bond ETF | 206,400 | 24,394,416 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 631,363 | 87,210,171 |
Vanguard Intermediate-Term Corporate Bond ETF | 790,000 | 76,740,600 |
Total | 188,345,187 | |
Total Exchange-Traded Fixed Income Funds (Cost $174,621,486) | 188,345,187 | |
Fixed Income Funds 25.7% | ||
High Yield 1.5% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 4,056,459 | 31,275,296 |
Investment Grade 24.2% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 9,234,476 | 106,473,502 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,072,521 | 30,909,559 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 2,093,580 | 25,918,522 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,842,208 | 30,781,117 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 8,820,232 | 103,373,122 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 8,566,501 | 98,686,087 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,354,237 | 13,975,730 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 7,766,097 | 91,018,658 |
Total | 501,136,297 | |
Total Fixed Income Funds (Cost $491,206,929) | 532,411,593 |
Residential Mortgage-Backed Securities - Agency 6.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
01/17/2034- 01/14/2051 | 3.000% | 62,090,000 | 65,092,275 | |
01/19/2036 | 2.500% | 33,920,000 | 35,377,500 | |
01/14/2051 | 3.500% | 38,000,000 | 40,167,188 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $140,453,980) | 140,636,963 |
Options Purchased Puts 1.1% | ||||
Value ($) | ||||
(Cost $27,347,846) | 22,361,405 |
Money Market Funds 16.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(a),(d) | 338,314,261 | 338,280,430 |
Total Money Market Funds (Cost $338,263,141) | 338,280,430 | |
Total Investments in Securities (Cost: $1,813,327,538) | 2,197,785,558 | |
Other Assets & Liabilities, Net | (129,914,208) | |
Net Assets | 2,067,871,350 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 7 |
December 31, 2020
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 652 | 03/2021 | USD | 122,210,880 | 2,795,744 | — |
U.S. Long Bond | 335 | 03/2021 | USD | 58,017,813 | — | (529,170) |
U.S. Treasury 10-Year Note | 374 | 03/2021 | USD | 51,641,219 | 43,920 | — |
U.S. Treasury 2-Year Note | 138 | 03/2021 | USD | 30,494,766 | 28,935 | — |
U.S. Treasury 5-Year Note | 469 | 03/2021 | USD | 59,170,946 | 127,707 | — |
U.S. Ultra Treasury Bond | 114 | 03/2021 | USD | 24,346,125 | — | (373,400) |
Total | 2,996,306 | (902,570) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 217,852,060 | 580 | 2,900.00 | 12/17/2021 | 8,529,946 | 5,997,200 |
S&P 500 Index | JPMorgan | USD | 125,828,345 | 335 | 3,000.00 | 12/16/2022 | 7,874,537 | 7,381,725 |
S&P 500 Index | JPMorgan | USD | 133,340,485 | 355 | 2,800.00 | 12/16/2022 | 7,513,451 | 6,177,000 |
S&P 500 Index | JPMorgan | USD | 46,950,875 | 125 | 2,900.00 | 12/16/2022 | 2,848,940 | 2,455,000 |
S&P 500 Index | JPMorgan | USD | 9,765,782 | 26 | 2,600.00 | 12/16/2022 | 580,972 | 350,480 |
Total | 27,347,846 | 22,361,405 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | |||||||||
379,061,811 | 895,070,525 | (935,872,583) | 20,677 | 338,280,430 | — | (12,249) | 1,929,125 | 338,314,261 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
91,387,243 | 9,616,745 | (7,898,603) | 14,539,692 | 107,645,077 | — | 463,335 | — | 1,612,177 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
27,710,814 | 4,462,274 | (1,419,085) | 521,293 | 31,275,296 | — | (76,103) | 1,415,696 | 4,056,459 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
94,555,648 | 10,847,628 | (6,704,391) | 7,774,617 | 106,473,502 | 1,155,819 | 111,272 | 2,857,246 | 9,234,476 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
183,675,859 | 17,121,910 | (18,435,848) | 34,738,548 | 217,100,469 | — | 2,254,826 | — | 7,101,749 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
27,822,176 | 3,626,100 | (1,424,184) | 885,467 | 30,909,559 | — | (8,953) | 792,037 | 3,072,521 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
22,651,137 | 3,075,585 | (2,429,224) | 2,621,024 | 25,918,522 | 351,372 | 251,621 | 627,479 | 2,093,580 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
— | 23,781,848 | — | 706,817 | 24,488,665 | — | — | — | 1,720,918 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
92,312,417 | 17,713,933 | (15,022,729) | 10,727,874 | 105,731,495 | — | 726,762 | — | 3,568,393 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
27,815,300 | 4,031,381 | (1,634,649) | 569,085 | 30,781,117 | 105,396 | 14,620 | 765,595 | 2,842,208 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
91,666,736 | 10,858,918 | (5,217,857) | 6,065,325 | 103,373,122 | — | (33,590) | 1,900,772 | 8,820,232 |
8 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
December 31, 2020
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
91,927,672 | 2,268,053 | (13,357,287) | 24,375,062 | 105,213,500 | — | 3,360,859 | — | 2,123,809 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
91,216,448 | 3,470,199 | (30,882,867) | 45,179,269 | 108,983,049 | — | 12,593,713 | — | 1,741,778 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
91,535,607 | 21,490,706 | (13,629,299) | 7,817,818 | 107,214,832 | — | (18,710) | — | 3,987,164 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
88,522,911 | 11,932,639 | (5,863,847) | 4,094,384 | 98,686,087 | 1,532,302 | 102,044 | 2,166,771 | 8,566,501 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
12,670,335 | 2,023,268 | (764,462) | 46,589 | 13,975,730 | 42,277 | 8,487 | 387,847 | 1,354,237 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
82,020,524 | 10,280,867 | (5,446,004) | 4,163,271 | 91,018,658 | 779,760 | 102,276 | 1,784,117 | 7,766,097 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
183,152,051 | 18,553,369 | (32,229,204) | 29,896,677 | 199,372,893 | — | 5,186,648 | — | 7,143,422 | |
Total | 1,679,704,689 | 194,743,489 | 1,846,442,003 | 3,966,926 | 25,026,858 | 14,626,685 |
(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, 2020. |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 9 |
December 31, 2020
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 | — | — | — | 975,749,980 | 975,749,980 |
Exchange-Traded Fixed Income Funds | 188,345,187 | — | — | — | 188,345,187 |
Fixed Income Funds | — | — | — | 532,411,593 | 532,411,593 |
Residential Mortgage-Backed Securities - Agency | — | 140,636,963 | — | — | 140,636,963 |
Options Purchased Puts | 22,361,405 | — | — | — | 22,361,405 |
Money Market Funds | 338,280,430 | — | — | — | 338,280,430 |
Total Investments in Securities | 548,987,022 | 140,636,963 | — | 1,508,161,573 | 2,197,785,558 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 2,996,306 | — | — | — | 2,996,306 |
Liability | |||||
Futures Contracts | (902,570) | — | — | — | (902,570) |
Total | 551,080,758 | 140,636,963 | — | 1,508,161,573 | 2,199,879,294 |
10 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $315,075,466) | $328,982,150 |
Affiliated issuers (cost $1,470,904,226) | 1,846,442,003 |
Options purchased (cost $27,347,846) | 22,361,405 |
Cash collateral held at broker for: | |
TBA | 294,000 |
Margin deposits on: | |
Futures contracts | 9,740,765 |
Receivable for: | |
Investments sold | 974,935 |
Capital shares sold | 6,601 |
Dividends | 33,074 |
Interest | 167,063 |
Variation margin for futures contracts | 1,068,741 |
Prepaid expenses | 6,969 |
Trustees’ deferred compensation plan | 52,884 |
Total assets | 2,210,130,590 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 140,621,043 |
Capital shares purchased | 1,399,364 |
Management services fees | 11,736 |
Distribution and/or service fees | 14,081 |
Service fees | 102,956 |
Compensation of board members | 1,592 |
Compensation of chief compliance officer | 159 |
Other expenses | 55,425 |
Trustees’ deferred compensation plan | 52,884 |
Total liabilities | 142,259,240 |
Net assets applicable to outstanding capital stock | $2,067,871,350 |
Represented by | |
Trust capital | $2,067,871,350 |
Total - representing net assets applicable to outstanding capital stock | $2,067,871,350 |
Class 1 | |
Net assets | $1,582,738 |
Shares outstanding | 111,655 |
Net asset value per share | $14.18 |
Class 2 | |
Net assets | $2,066,288,612 |
Shares outstanding | 146,376,666 |
Net asset value per share | $14.12 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 11 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $4,602,528 |
Dividends — affiliated issuers | 14,626,685 |
Interest | 57,595 |
Total income | 19,286,808 |
Expenses: | |
Management services fees | 4,089,046 |
Distribution and/or service fees | |
Class 2 | 4,738,950 |
Service fees | 1,137,437 |
Compensation of board members | 42,034 |
Custodian fees | 24,963 |
Printing and postage fees | 29,032 |
Audit fees | 39,500 |
Legal fees | 49,332 |
Compensation of chief compliance officer | 655 |
Other | 81,066 |
Total expenses | 10,232,015 |
Net investment income | 9,054,793 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,758,217 |
Investments — affiliated issuers | 25,026,858 |
Capital gain distributions from underlying affiliated funds | 3,966,926 |
Foreign currency translations | (42,183) |
Futures contracts | (168,212,377) |
Options purchased | 38,789,503 |
Swap contracts | 1,899,168 |
Net realized loss | (90,813,888) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 6,123,920 |
Investments — affiliated issuers | 194,743,489 |
Futures contracts | (8,708,526) |
Options purchased | (959,483) |
Net change in unrealized appreciation (depreciation) | 191,199,400 |
Net realized and unrealized gain | 100,385,512 |
Net increase in net assets resulting from operations | $109,440,305 |
12 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $9,054,793 | $15,746,425 |
Net realized gain (loss) | (90,813,888) | 26,142,228 |
Net change in unrealized appreciation (depreciation) | 191,199,400 | 192,384,953 |
Net increase in net assets resulting from operations | 109,440,305 | 234,273,606 |
Increase in net assets from capital stock activity | 125,344,966 | 456,784,780 |
Total increase in net assets | 234,785,271 | 691,058,386 |
Net assets at beginning of year | 1,833,086,079 | 1,142,027,693 |
Net assets at end of year | $2,067,871,350 | $1,833,086,079 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 90,433 | 1,227,597 | 22,369 | 288,470 |
Redemptions | (1,102) | (14,728) | (45) | (643) |
Net increase | 89,331 | 1,212,869 | 22,324 | 287,827 |
Class 2 | ||||
Subscriptions | 14,968,143 | 196,630,803 | 37,126,401 | 462,990,250 |
Redemptions | (5,540,609) | (72,498,706) | (505,591) | (6,493,297) |
Net increase | 9,427,534 | 124,132,097 | 36,620,810 | 456,496,953 |
Total net increase | 9,516,865 | 125,344,966 | 36,643,134 | 456,784,780 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2020 | $13.41 | 0.08 | 0.69 | 0.77 |
Year Ended 12/31/2019(c) | $12.05 | 0.20 | 1.16 | 1.36 |
Class 2 | ||||
Year Ended 12/31/2020 | $13.38 | 0.06 | 0.68 | 0.74 |
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. |
14 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $14.18 | 5.74% | 0.29% | 0.29% | 0.63% | 232% | $1,583 |
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 12/31/2020 | $14.12 | 5.53% | 0.54% | 0.54% | 0.48% | 232% | $2,066,289 |
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% | $89,784 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 15 |
December 31, 2020
16 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 17 |
December 31, 2020
18 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
December 31, 2020
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 2,795,744* |
Equity risk | Investments, at value — Options Purchased | 22,361,405 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 200,562* |
Total | 25,357,711 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 902,570* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 1,899,168 | 1,899,168 |
Equity risk | (173,725,942) | 38,789,503 | — | (134,936,439) |
Interest rate risk | 5,513,565 | — | — | 5,513,565 |
Total | (168,212,377) | 38,789,503 | 1,899,168 | (127,523,706) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (8,736,627) | (959,483) | (9,696,110) |
Interest rate risk | 28,101 | — | 28,101 |
Total | (8,708,526) | (959,483) | (9,668,009) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 475,155,060 |
Futures contracts — short | 272,580,195 |
Credit default swap contracts — sell protection | 106,250,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 17,466,203 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2020. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 21 |
December 31, 2020
22 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
December 31, 2020
JPMorgan ($) | |
Assets | |
Options purchased puts | 22,361,405 |
Total financial and derivative net assets | 22,361,405 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 22,361,405 |
(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 2020 | 23 |
December 31, 2020
24 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
December 31, 2020
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 25 |
December 31, 2020
26 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 27 |
December 31, 2020
28 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 29 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
30 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 31 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
32 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 | 33 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
34 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 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 2020 | 35 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
36 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Annual Report 2020 |
December 31, 2020
3 | |
5 | |
6 | |
7 | |
12 | |
13 | |
14 | |
16 | |
18 | |
31 | |
32 | |
38 |
Average annual total returns (%) (for the period ended December 31, 2020) | ||||
Inception | 1 Year | Life | ||
Class 1* | 02/20/19 | 8.13 | 6.69 | |
Class 2 | 09/12/17 | 7.79 | 6.50 | |
Blended Benchmark | 13.01 | 9.09 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.87 | ||
Russell 3000 Index | 20.89 | 15.69 | ||
MSCI EAFE Index (Net) | 7.82 | 5.32 |
* | 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 2020 | 3 |
Portfolio Allocation (%) (at December 31, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 52.2 |
International | 18.0 |
U.S. Large Cap | 29.8 |
U.S. Small Cap | 4.4 |
Exchange-Traded Equity Funds | 1.2 |
International Mid Large Cap | 1.2 |
Exchange-Traded Fixed Income Funds | 5.5 |
Investment Grade | 5.5 |
Fixed Income Funds | 27.7 |
Investment Grade | 27.7 |
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 | 4.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $17.9 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
• | Underlying manager performance associated with small-cap equity and core fixed-income funds contributed positively to Fund performance during the period. |
• | The dynamic algorithm, a quantitative tool used by the Fund’s managers to help determine equity exposure, was a meaningful detractor of relative performance, as its pace for increasing equity exposure following the late first quarter sell-off in risk assets was relatively slow. This backward-looking tracking led to a meaningful underweight for equity exposures following dramatic market drawdowns that occurred in the first quarter. It took until August 2020 for the algorithm to promote an overweight stance for equities versus static benchmark allocations. |
• | Underlying manager performance associated with U.S. and international equities detracted from Fund returns. |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 5 |
(Unaudited)
July 1, 2020 — December 31, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,111.40 | 1,023.88 | 1.33 | 1.27 | 0.25 | 4.25 | 4.07 | 0.80 |
Class 2 | 1,000.00 | 1,000.00 | 1,109.00 | 1,022.62 | 2.65 | 2.54 | 0.50 | 5.57 | 5.34 | 1.05 |
6 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
December 31, 2020
Equity Funds 54.3% | ||
Shares | Value ($) | |
International 18.8% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 220,850 | 3,131,655 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 2,698,108 | 31,136,165 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 739,600 | 9,015,731 |
Total | 43,283,551 | |
U.S. Large Cap 31.0% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 509,689 | 34,031,933 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 203,958 | 2,902,322 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,234,482 | 34,454,395 |
Total | 71,388,650 | |
U.S. Small Cap 4.5% | ||
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 155,390 | 5,472,822 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 165,560 | 5,013,166 |
Total | 10,485,988 | |
Total Equity Funds (Cost $100,416,618) | 125,158,189 | |
Exchange-Traded Equity Funds 1.2% | ||
International Mid Large Cap 1.2% | ||
iShares MSCI EAFE ETF | 40,000 | 2,918,400 |
Total Exchange-Traded Equity Funds (Cost $2,608,800) | 2,918,400 | |
Exchange-Traded Fixed Income Funds 5.8% | ||
Investment Grade 5.8% | ||
iShares Core U.S. Aggregate Bond ETF | 5,750 | 679,592 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 64,220 | 8,870,709 |
Vanguard Intermediate-Term Corporate Bond ETF | 34,000 | 3,302,760 |
Vanguard Total Bond Market ETF | 5,000 | 440,950 |
Total | 13,294,011 | |
Total Exchange-Traded Fixed Income Funds (Cost $11,948,464) | 13,294,011 | |
Fixed Income Funds 28.8% | ||
Shares | Value ($) | |
Investment Grade 28.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 2,473,958 | 28,524,734 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 915,110 | 9,443,932 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 2,426,193 | 28,434,985 |
Total | 66,403,651 | |
Total Fixed Income Funds (Cost $61,431,667) | 66,403,651 |
Residential Mortgage-Backed Securities - Agency 5.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
01/17/2034- 01/14/2051 | 3.000% | 5,600,000 | 5,871,757 | |
01/19/2036 | 2.500% | 2,725,000 | 2,842,090 | |
01/14/2051 | 3.500% | 2,600,000 | 2,748,281 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $11,448,241) | 11,462,128 |
Options Purchased Puts 1.1% | ||||
Value ($) | ||||
(Cost $3,659,792) | 2,546,460 |
Money Market Funds 7.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(a),(d) | 17,854,482 | 17,852,696 |
Total Money Market Funds (Cost $17,852,649) | 17,852,696 | |
Total Investments in Securities (Cost: $209,366,231) | 239,635,535 | |
Other Assets & Liabilities, Net | (9,071,092) | |
Net Assets | 230,564,443 |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 7 |
December 31, 2020
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI Singapore Index | 10 | 01/2021 | SGD | 323,300 | — | (1,144) |
S&P 500 Index E-mini | 109 | 03/2021 | USD | 20,430,960 | 454,304 | — |
U.S. Long Bond | 14 | 03/2021 | USD | 2,424,625 | — | (22,115) |
U.S. Treasury 10-Year Note | 45 | 03/2021 | USD | 6,213,516 | 5,284 | — |
U.S. Treasury 2-Year Note | 4 | 03/2021 | USD | 883,906 | 839 | — |
U.S. Treasury 5-Year Note | 49 | 03/2021 | USD | 6,182,039 | 13,343 | — |
U.S. Ultra Treasury Bond | 4 | 03/2021 | USD | 854,250 | 7,616 | — |
U.S. Ultra Treasury Bond | 14 | 03/2021 | USD | 2,989,875 | — | (45,856) |
Total | 481,386 | (69,115) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | (1) | 03/2021 | USD | (77,000) | — | (2,824) |
British Pound | (3) | 03/2021 | USD | (256,106) | — | (3,270) |
Canadian Dollar | (1) | 03/2021 | USD | (78,340) | — | (123) |
Euro FX | (15) | 03/2021 | USD | (2,296,125) | — | (13,291) |
EURO STOXX 50 Index | (10) | 03/2021 | EUR | (355,000) | — | (3,223) |
FTSE 100 Index | (23) | 03/2021 | GBP | (1,476,600) | 19,266 | — |
Japanese Yen | (12) | 03/2021 | USD | (1,453,350) | — | (8,214) |
Mini MSCI EAFE Index | (3) | 03/2021 | USD | (319,620) | — | (4,777) |
New Zealand Dollar | (4) | 03/2021 | USD | (287,520) | — | (5,514) |
OMXS30 Index | (107) | 01/2021 | SEK | (20,097,275) | 16,367 | — |
S&P/TSX 60 Index | (2) | 03/2021 | CAD | (411,560) | 2,774 | — |
SPI 200 Index | (4) | 03/2021 | AUD | (653,700) | 4,904 | — |
Swiss Franc | (10) | 03/2021 | USD | (1,415,250) | — | (4,187) |
TOPIX Index | (9) | 03/2021 | JPY | (162,405,000) | — | (17,439) |
Total | 43,311 | (62,862) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 32,302,202 | 86 | 2,750.00 | 12/17/2021 | 1,449,022 | 706,060 |
S&P 500 Index | JPMorgan | USD | 10,892,603 | 29 | 2,800.00 | 12/17/2021 | 471,924 | 257,085 |
S&P 500 Index | JPMorgan | USD | 4,507,284 | 12 | 2,900.00 | 12/17/2021 | 166,261 | 124,080 |
S&P 500 Index | JPMorgan | USD | 24,414,455 | 65 | 3,000.00 | 12/16/2022 | 1,527,895 | 1,432,275 |
S&P 500 Index | JPMorgan | USD | 751,214 | 2 | 2,600.00 | 12/16/2022 | 44,690 | 26,960 |
Total | 3,659,792 | 2,546,460 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 35 | Morgan Stanley | 12/20/2025 | 1.000 | Quarterly | 0.504 | USD | 6,000,000 | 20,866 | — | — | 20,866 | — |
8 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
December 31, 2020
* | 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. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | |||||||||
14,130,213 | 72,288,419 | (68,565,995) | 59 | 17,852,696 | — | 625 | 64,961 | 17,854,482 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
31,621,723 | 6,276,144 | (8,259,136) | 4,393,202 | 34,031,933 | — | 550,526 | — | 509,689 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
23,806,494 | 5,753,171 | (2,941,319) | 1,906,388 | 28,524,734 | 276,512 | 26,059 | 683,553 | 2,473,958 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
— | 3,167,030 | (85,852) | 50,477 | 3,131,655 | — | 1,600 | 8,629 | 220,850 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
— | 2,893,568 | (78,795) | 87,549 | 2,902,322 | — | 1,656 | — | 203,958 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
31,720,147 | 8,252,020 | (12,088,345) | 3,252,343 | 31,136,165 | — | (1,021,434) | 51,874 | 2,698,108 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
7,938,027 | 2,676,200 | (1,190,694) | 20,399 | 9,443,932 | 25,331 | 22,515 | 232,382 | 915,110 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
23,791,467 | 7,057,681 | (3,533,882) | 1,119,719 | 28,434,985 | 215,483 | 110,639 | 493,034 | 2,426,193 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
31,666,116 | 4,962,956 | (7,322,659) | 5,147,982 | 34,454,395 | — | 759,412 | — | 1,234,482 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
— | 9,001,820 | (244,773) | 258,684 | 9,015,731 | — | 5,995 | — | 739,600 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
3,948,634 | 1,047,200 | (1,097,125) | 1,574,113 | 5,472,822 | — | 40,892 | — | 155,390 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
3,961,730 | 1,542,856 | (1,188,626) | 697,206 | 5,013,166 | — | (171,663) | — | 165,560 | |
Total | 172,584,551 | 18,508,121 | 209,414,536 | 517,326 | 326,822 | 1,534,433 |
(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, 2020. |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 9 |
December 31, 2020
GBP | British Pound |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 125,158,189 | 125,158,189 |
Exchange-Traded Equity Funds | 2,918,400 | — | — | — | 2,918,400 |
Exchange-Traded Fixed Income Funds | 13,294,011 | — | — | — | 13,294,011 |
Fixed Income Funds | — | — | — | 66,403,651 | 66,403,651 |
Residential Mortgage-Backed Securities - Agency | — | 11,462,128 | — | — | 11,462,128 |
Options Purchased Puts | 2,546,460 | — | — | — | 2,546,460 |
Money Market Funds | 17,852,696 | — | — | — | 17,852,696 |
Total Investments in Securities | 36,611,567 | 11,462,128 | — | 191,561,840 | 239,635,535 |
Investments in Derivatives |
10 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
December 31, 2020
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Asset | |||||
Futures Contracts | 524,697 | — | — | — | 524,697 |
Swap Contracts | — | 20,866 | — | — | 20,866 |
Liability | |||||
Futures Contracts | (131,977) | — | — | — | (131,977) |
Total | 37,004,287 | 11,482,994 | — | 191,561,840 | 240,049,121 |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 11 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $26,005,505) | $27,674,539 |
Affiliated issuers (cost $179,700,934) | 209,414,536 |
Options purchased (cost $3,659,792) | 2,546,460 |
Margin deposits on: | |
Futures contracts | 2,044,311 |
Swap contracts | 175,216 |
Receivable for: | |
Investments sold | 119,106 |
Dividends | 1,642 |
Interest | 13,842 |
Variation margin for futures contracts | 215,137 |
Variation margin for swap contracts | 2,222 |
Prepaid expenses | 714 |
Trustees’ deferred compensation plan | 20,992 |
Total assets | 242,228,717 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 11,462,085 |
Capital shares purchased | 140,125 |
Variation margin for futures contracts | 4,359 |
Management services fees | 869 |
Distribution and/or service fees | 1,572 |
Service fees | 11,376 |
Compensation of board members | 720 |
Compensation of chief compliance officer | 16 |
Other expenses | 22,160 |
Trustees’ deferred compensation plan | 20,992 |
Total liabilities | 11,664,274 |
Net assets applicable to outstanding capital stock | $230,564,443 |
Represented by | |
Trust capital | $230,564,443 |
Total - representing net assets applicable to outstanding capital stock | $230,564,443 |
Class 1 | |
Net assets | $2,950 |
Shares outstanding | 239 |
Net asset value per share(a) | $12.37 |
Class 2 | |
Net assets | $230,561,493 |
Shares outstanding | 18,731,550 |
Net asset value per share | $12.31 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
12 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $423,251 |
Dividends — affiliated issuers | 1,534,433 |
Interest | 4,714 |
Total income | 1,962,398 |
Expenses: | |
Management services fees | 268,619 |
Distribution and/or service fees | |
Class 2 | 494,310 |
Service fees | 118,589 |
Compensation of board members | 16,482 |
Custodian fees | 22,931 |
Printing and postage fees | 14,047 |
Audit fees | 29,500 |
Legal fees | 5,096 |
Interest on collateral | 11,493 |
Compensation of chief compliance officer | 68 |
Other | 16,092 |
Total expenses | 997,227 |
Net investment income | 965,171 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 497,369 |
Investments — affiliated issuers | 326,822 |
Capital gain distributions from underlying affiliated funds | 517,326 |
Foreign currency translations | (390,215) |
Futures contracts | (7,153,095) |
Options purchased | 2,875,962 |
Swap contracts | 63,543 |
Net realized loss | (3,262,288) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 1,043,658 |
Investments — affiliated issuers | 18,508,121 |
Foreign currency translations | 19,870 |
Futures contracts | 177,452 |
Options purchased | (713,546) |
Swap contracts | 20,866 |
Net change in unrealized appreciation (depreciation) | 19,056,421 |
Net realized and unrealized gain | 15,794,133 |
Net increase in net assets resulting from operations | $16,759,304 |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 13 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $965,171 | $1,639,256 |
Net realized gain (loss) | (3,262,288) | 1,780,412 |
Net change in unrealized appreciation (depreciation) | 19,056,421 | 16,801,237 |
Net increase in net assets resulting from operations | 16,759,304 | 20,220,905 |
Increase in net assets from capital stock activity | 27,052,222 | 69,161,743 |
Total increase in net assets | 43,811,526 | 89,382,648 |
Net assets at beginning of year | 186,752,917 | 97,370,269 |
Net assets at end of year | $230,564,443 | $186,752,917 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | — | — | 239 | 2,500 |
Net increase | — | — | 239 | 2,500 |
Class 2 | ||||
Subscriptions | 3,077,116 | 34,821,098 | 6,558,958 | 70,246,048 |
Redemptions | (698,848) | (7,768,876) | (99,019) | (1,086,805) |
Net increase | 2,378,268 | 27,052,222 | 6,459,939 | 69,159,243 |
Total net increase | 2,378,268 | 27,052,222 | 6,460,178 | 69,161,743 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
14 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2020 | $11.44 | 0.09 | 0.84 | 0.93 |
Year Ended 12/31/2019(d) | $10.48 | 0.15 | 0.81 | 0.96 |
Class 2 | ||||
Year Ended 12/31/2020 | $11.42 | 0.06 | 0.83 | 0.89 |
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(f) | $10.00 | (0.00)(g) | 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) | Ratios include interest on collateral expense. If interest on collateral expense had been excluded, expenses would have been lower by 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | Annualized. |
(f) | The Fund commenced operations on September 12, 2017. Per share data and total return reflect activity from that date. |
(g) | Rounds to zero. |
16 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $12.37 | 8.13% | 0.25%(c) | 0.25%(c) | 0.75% | 89% | $3 |
Year Ended 12/31/2019(d) | $11.44 | 9.16% | 0.25%(e) | 0.25%(e) | 1.57%(e) | 37% | $3 |
Class 2 | |||||||
Year Ended 12/31/2020 | $12.31 | 7.79% | 0.50%(c) | 0.50%(c) | 0.49% | 89% | $230,561 |
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(f) | $10.39 | 3.90% | 1.17%(e) | 0.49%(e) | (0.01%)(e) | 75% | $17,803 |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 17 |
December 31, 2020
18 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 21 |
December 31, 2020
22 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
December 31, 2020
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 20,866* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 497,615* |
Equity risk | Investments, at value — Options Purchased | 2,546,460 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 27,082* |
Total | 3,092,023 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 26,583* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 37,423* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 67,971* |
Total | 131,977 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 63,543 | 63,543 |
Equity risk | (7,570,345) | 2,875,962 | — | (4,694,383) |
Foreign exchange risk | (468,495) | — | — | (468,495) |
Interest rate risk | 885,745 | — | — | 885,745 |
Total | (7,153,095) | 2,875,962 | 63,543 | (4,213,590) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 20,866 | 20,866 |
Equity risk | 86,489 | (713,546) | — | (627,057) |
Foreign exchange risk | (17,147) | — | — | (17,147) |
Interest rate risk | 108,110 | — | — | 108,110 |
Total | 177,452 | (713,546) | 20,866 | (515,228) |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 23 |
December 31, 2020
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 42,598,375 |
Futures contracts — short | 23,596,639 |
Credit default swap contracts — sell protection | 4,500,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,748,225 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2020. |
24 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
December 31, 2020
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 2,222 | 2,222 |
Options purchased puts | 2,546,460 | - | 2,546,460 |
Total assets | 2,546,460 | 2,222 | 2,548,682 |
Total financial and derivative net assets | 2,546,460 | 2,222 | 2,548,682 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 2,546,460 | 2,222 | 2,548,682 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 25 |
December 31, 2020
26 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 27 |
December 31, 2020
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
28 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 29 |
December 31, 2020
30 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 31 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
32 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 33 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
34 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
Variable Portfolio – Managed Risk Fund | Annual Report 2020 | 35 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
36 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 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 2020 | 37 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
38 | Variable Portfolio – Managed Risk Fund | Annual Report 2020 |
December 31, 2020
3 | |
5 | |
6 | |
7 | |
11 | |
12 | |
13 | |
14 | |
16 | |
29 | |
30 | |
36 |
Average annual total returns (%) (for the period ended December 31, 2020) | ||||
Inception | 1 Year | Life | ||
Class 1* | 02/20/19 | 10.11 | 8.75 | |
Class 2 | 09/12/17 | 9.79 | 8.57 | |
Blended Benchmark | 13.66 | 10.45 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.87 | ||
S&P 500 Index | 18.40 | 15.37 |
* | 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 2020 | 3 |
Portfolio Allocation (%) (at December 31, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 52.6 |
U.S. Large Cap | 52.6 |
Exchange-Traded Fixed Income Funds | 5.3 |
Investment Grade | 5.3 |
Fixed Income Funds | 27.5 |
Investment Grade | 27.5 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 9.3 |
Options Purchased Puts | 1.1 |
Residential Mortgage-Backed Securities - Agency | 4.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $27.4 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
• | Underlying manager performance associated with small-cap equity and core fixed-income funds contributed positively to Fund performance during the period. |
• | The dynamic algorithm, a quantitative tool used by the Fund’s managers to help determine equity exposure, was a meaningful detractor of relative performance, as its pace for increasing equity exposure following the late first quarter sell-off in risk assets was relatively slow. This backward-looking tracking led to a meaningful underweight for equity exposures following dramatic market drawdowns that occurred in the first quarter. It took until August 2020 for the algorithm to promote an overweight stance for equities versus static benchmark allocations. |
• | Underlying manager performance associated with U.S. and international equities detracted from Fund returns. |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 5 |
(Unaudited)
July 1, 2020 — December 31, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,116.00 | 1,023.88 | 1.33 | 1.27 | 0.25 | 4.04 | 3.87 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 1,114.70 | 1,022.67 | 2.60 | 2.49 | 0.49 | 5.32 | 5.08 | 1.00 |
6 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
December 31, 2020
Equity Funds 54.5% | ||
Shares | Value ($) | |
U.S. Large Cap 54.5% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 694,184 | 46,350,701 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 526,218 | 7,488,076 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 23,356 | 1,157,073 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 544,730 | 26,054,438 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 1,064,440 | 28,622,786 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,620,334 | 45,223,526 |
Total | 154,896,600 | |
Total Equity Funds (Cost $118,484,726) | 154,896,600 | |
Exchange-Traded Fixed Income Funds 5.5% | ||
Investment Grade 5.5% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 63,685 | 8,796,809 |
Vanguard Intermediate-Term Corporate Bond ETF | 71,000 | 6,896,940 |
Total | 15,693,749 | |
Total Exchange-Traded Fixed Income Funds (Cost $14,580,660) | 15,693,749 | |
Fixed Income Funds 28.6% | ||
Investment Grade 28.6% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 3,017,566 | 34,792,541 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,119,041 | 11,548,504 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 2,969,200 | 34,799,019 |
Total | 81,140,064 | |
Total Fixed Income Funds (Cost $75,986,815) | 81,140,064 |
Residential Mortgage-Backed Securities - Agency 4.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
01/17/2034- 01/14/2051 | 3.000% | 5,975,000 | 6,265,299 | |
01/19/2036 | 2.500% | 2,925,000 | 3,050,683 | |
01/14/2051 | 3.500% | 2,975,000 | 3,144,668 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $12,445,048) | 12,460,650 |
Options Purchased Puts 1.1% | ||||
Value ($) | ||||
(Cost $4,313,198) | 3,148,050 |
Money Market Funds 9.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.107%(a),(d) | 27,380,424 | 27,377,686 |
Total Money Market Funds (Cost $27,378,220) | 27,377,686 | |
Total Investments in Securities (Cost: $253,188,667) | 294,716,799 | |
Other Assets & Liabilities, Net | (10,676,839) | |
Net Assets | 284,039,960 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 7 |
December 31, 2020
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 94 | 03/2021 | USD | 17,619,360 | 403,558 | — |
U.S. Long Bond | 24 | 03/2021 | USD | 4,156,500 | — | (37,910) |
U.S. Treasury 10-Year Note | 47 | 03/2021 | USD | 6,489,672 | 5,519 | — |
U.S. Treasury 2-Year Note | 3 | 03/2021 | USD | 662,930 | 629 | — |
U.S. Treasury 5-Year Note | 62 | 03/2021 | USD | 7,822,172 | 16,882 | — |
U.S. Ultra Treasury Bond | 8 | 03/2021 | USD | 1,708,500 | 15,232 | — |
U.S. Ultra Treasury Bond | 16 | 03/2021 | USD | 3,417,000 | — | (52,407) |
Total | 441,820 | (90,317) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 31,175,381 | 83 | 2,750.00 | 12/17/2021 | 1,398,475 | 681,430 |
S&P 500 Index | JPMorgan | USD | 12,770,638 | 34 | 2,800.00 | 12/17/2021 | 546,659 | 301,410 |
S&P 500 Index | JPMorgan | USD | 5,634,105 | 15 | 2,900.00 | 12/17/2021 | 207,826 | 155,100 |
S&P 500 Index | JPMorgan | USD | 33,804,630 | 90 | 3,000.00 | 12/16/2022 | 2,115,548 | 1,983,150 |
S&P 500 Index | JPMorgan | USD | 751,214 | 2 | 2,600.00 | 12/16/2022 | 44,690 | 26,960 |
Total | 4,313,198 | 3,148,050 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 35 | Morgan Stanley | 12/20/2025 | 1.000 | Quarterly | 0.504 | USD | 11,000,000 | 38,254 | — | — | 38,254 | — |
* | 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. The value of the holdings and transactions in these affiliated companies during the year ended December 31, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.107% | |||||||||
12,586,187 | 95,212,794 | (80,420,814) | (481) | 27,377,686 | — | (793) | 63,529 | 27,380,424 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
31,823,122 | 14,769,968 | (6,468,370) | 6,225,981 | 46,350,701 | — | (151,397) | — | 694,184 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
23,805,850 | 11,046,035 | (2,185,660) | 2,126,316 | 34,792,541 | 309,430 | 1,871 | 764,928 | 3,017,566 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
— | 7,289,095 | — | 198,981 | 7,488,076 | — | — | — | 526,218 |
8 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
December 31, 2020
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
— | 1,150,002 | — | 7,071 | 1,157,073 | — | — | — | 23,356 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
19,867,017 | 6,241,359 | (6,908,735) | 6,854,797 | 26,054,438 | — | 879,852 | — | 544,730 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
19,908,049 | 10,345,496 | (4,283,991) | 2,653,232 | 28,622,786 | — | (317,755) | — | 1,064,440 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
7,941,018 | 4,543,771 | (947,355) | 11,070 | 11,548,504 | 28,759 | 14,193 | 263,835 | 1,119,041 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
23,811,408 | 12,607,056 | (2,849,529) | 1,230,084 | 34,799,019 | 242,833 | 58,491 | 555,610 | 2,969,200 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
31,837,731 | 13,928,667 | (7,659,472) | 7,116,600 | 45,223,526 | — | (4,295) | — | 1,620,334 | |
Total | 171,580,382 | 26,423,651 | 263,414,350 | 581,022 | 480,167 | 1,647,902 |
(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, 2020. |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 9 |
December 31, 2020
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 | — | — | — | 154,896,600 | 154,896,600 |
Exchange-Traded Fixed Income Funds | 15,693,749 | — | — | — | 15,693,749 |
Fixed Income Funds | — | — | — | 81,140,064 | 81,140,064 |
Residential Mortgage-Backed Securities - Agency | — | 12,460,650 | — | — | 12,460,650 |
Options Purchased Puts | 3,148,050 | — | — | — | 3,148,050 |
Money Market Funds | 27,377,686 | — | — | — | 27,377,686 |
Total Investments in Securities | 46,219,485 | 12,460,650 | — | 236,036,664 | 294,716,799 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 441,820 | — | — | — | 441,820 |
Swap Contracts | — | 38,254 | — | — | 38,254 |
Liability | |||||
Futures Contracts | (90,317) | — | — | — | (90,317) |
Total | 46,570,988 | 12,498,904 | — | 236,036,664 | 295,106,556 |
10 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
December 31, 2020
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $27,025,708) | $28,154,399 |
Affiliated issuers (cost $221,849,761) | 263,414,350 |
Options purchased (cost $4,313,198) | 3,148,050 |
Margin deposits on: | �� |
Futures contracts | 1,340,815 |
Swap contracts | 321,230 |
Receivable for: | |
Investments sold | 65,768 |
Dividends | 2,638 |
Interest | 15,129 |
Variation margin for futures contracts | 149,987 |
Variation margin for swap contracts | 4,074 |
Prepaid expenses | 790 |
Trustees’ deferred compensation plan | 20,829 |
Total assets | 296,638,059 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 12,460,177 |
Capital shares purchased | 77,374 |
Management services fees | 1,069 |
Distribution and/or service fees | 1,931 |
Service fees | 13,818 |
Compensation of board members | 732 |
Compensation of chief compliance officer | 18 |
Other expenses | 22,151 |
Trustees’ deferred compensation plan | 20,829 |
Total liabilities | 12,598,099 |
Net assets applicable to outstanding capital stock | $284,039,960 |
Represented by | |
Trust capital | $284,039,960 |
Total - representing net assets applicable to outstanding capital stock | $284,039,960 |
Class 1 | |
Net assets | $3,064 |
Shares outstanding | 233 |
Net asset value per share(a) | $13.18 |
Class 2 | |
Net assets | $284,036,896 |
Shares outstanding | 21,647,136 |
Net asset value per share | $13.12 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 11 |
Year Ended December 31, 2020
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $428,496 |
Dividends — affiliated issuers | 1,647,902 |
Interest | 2,233 |
Total income | 2,078,631 |
Expenses: | |
Management services fees | 293,609 |
Distribution and/or service fees | |
Class 2 | 543,291 |
Service fees | 130,455 |
Compensation of board members | 16,686 |
Custodian fees | 22,644 |
Printing and postage fees | 14,681 |
Audit fees | 29,500 |
Legal fees | 5,539 |
Compensation of chief compliance officer | 73 |
Other | 16,228 |
Total expenses | 1,072,706 |
Net investment income | 1,005,925 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 944,802 |
Investments — affiliated issuers | 480,167 |
Capital gain distributions from underlying affiliated funds | 581,022 |
Futures contracts | (7,832,296) |
Options purchased | 2,790,795 |
Swap contracts | 109,900 |
Net realized loss | (2,925,610) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 462,561 |
Investments — affiliated issuers | 26,423,651 |
Futures contracts | 57,912 |
Options purchased | (803,668) |
Swap contracts | 38,254 |
Net change in unrealized appreciation (depreciation) | 26,178,710 |
Net realized and unrealized gain | 23,253,100 |
Net increase in net assets resulting from operations | $24,259,025 |
12 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $1,005,925 | $804,178 |
Net realized gain (loss) | (2,925,610) | 863,426 |
Net change in unrealized appreciation (depreciation) | 26,178,710 | 19,028,706 |
Net increase in net assets resulting from operations | 24,259,025 | 20,696,310 |
Increase in net assets from capital stock activity | 73,577,005 | 85,388,406 |
Total increase in net assets | 97,836,030 | 106,084,716 |
Net assets at beginning of year | 186,203,930 | 80,119,214 |
Net assets at end of year | $284,039,960 | $186,203,930 |
Year Ended | Year Ended | |||
December 31, 2020 | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | — | — | 233 | 2,500 |
Net increase | — | — | 233 | 2,500 |
Class 2 | ||||
Subscriptions | 6,496,681 | 78,688,976 | 7,945,770 | 88,580,629 |
Redemptions | (430,306) | (5,111,971) | (293,990) | (3,194,723) |
Net increase | 6,066,375 | 73,577,005 | 7,651,780 | 85,385,906 |
Total net increase | 6,066,375 | 73,577,005 | 7,652,013 | 85,388,406 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2020 | $11.97 | 0.09 | 1.12 | 1.21 |
Year Ended 12/31/2019(c) | $10.75 | 0.10 | 1.12 | 1.22 |
Class 2 | ||||
Year Ended 12/31/2020 | $11.95 | 0.06 | 1.11 | 1.17 |
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 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2020 | $13.18 | 10.11% | 0.24% | 0.24% | 0.75% | 94% | $3 |
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 12/31/2020 | $13.12 | 9.79% | 0.49% | 0.49% | 0.46% | 94% | $284,037 |
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% | $12,190 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 15 |
December 31, 2020
16 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 17 |
December 31, 2020
18 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 19 |
December 31, 2020
20 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
December 31, 2020
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 38,254* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 403,558* |
Equity risk | Investments, at value — Options Purchased | 3,148,050 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 38,262* |
Total | 3,628,124 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 90,317* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 109,900 | 109,900 |
Equity risk | (8,697,469) | 2,790,795 | — | (5,906,674) |
Interest rate risk | 865,173 | — | — | 865,173 |
Total | (7,832,296) | 2,790,795 | 109,900 | (4,931,601) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 38,254 | 38,254 |
Equity risk | (34,661) | (803,668) | — | (838,329) |
Interest rate risk | 92,573 | — | — | 92,573 |
Total | 57,912 | (803,668) | 38,254 | (707,502) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 43,563,038 |
Futures contracts — short | 17,785,192 |
Credit default swap contracts — sell protection | 8,250,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,944,796 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 21 |
December 31, 2020
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2020. |
22 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
December 31, 2020
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 4,074 | 4,074 |
Options purchased puts | 3,148,050 | - | 3,148,050 |
Total assets | 3,148,050 | 4,074 | 3,152,124 |
Total financial and derivative net assets | 3,148,050 | 4,074 | 3,152,124 |
Total collateral received (pledged) (b) | - | - | |
Net amount (c) | 3,148,050 | 4,074 | 3,152,124 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 23 |
December 31, 2020
24 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
December 31, 2020
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 25 |
December 31, 2020
26 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
December 31, 2020
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 27 |
December 31, 2020
28 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 29 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 175 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 175 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 175 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
30 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 173 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 173 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 173 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 175 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 175 | Trustee, Catholic Schools Foundation since 2004 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 31 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II and CFVST II since 2021 | 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 | 173 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 173 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 173 | 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 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Co-Chair since 2021; Chair of CFST, CFST II and CFVST II since 2020; Trustee of CFST, CFSTII and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 175 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
32 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 175 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 175 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; 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 | 173 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 175 | Director, NAPE Education Foundation, October 2016-October 2020 |
Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 | 33 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFSTI), Columbia Funds Series Trust II (CFSTII), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees, effective January 1, 2021. |
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 |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | 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 | 175 | None |
* | 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. |
(a) | Mr. Petersen serves as the President and Principal Executive Officer of the Columbia Funds (since 2015). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | 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). |
34 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 225 Franklin Street Boston, MA 02110 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 225 Franklin Street Boston, MA 02110 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 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 March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 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 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 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 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 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 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 2020 | 35 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 25,278,256,750 | 1,069,380,274 | 0 |
Kathleen Blatz | 25,333,863,176 | 1,013,773,848 | 0 |
Pamela G. Carlton | 25,359,731,871 | 987,905,153 | 0 |
Janet L. Carrig | 25,346,863,514 | 1,000,773,510 | 0 |
J. Kevin Connaughton | 25,307,649,476 | 1,039,987,548 | 0 |
Olive M. Darragh | 25,421,957,064 | 925,679,960 | 0 |
Patricia M. Flynn | 25,366,448,593 | 981,188,431 | 0 |
Brian J. Gallagher | 25,277,827,066 | 1,069,809,958 | 0 |
Douglas A. Hacker | 25,270,719,528 | 1,076,917,496 | 0 |
Nancy T. Lukitsh | 25,364,179,668 | 983,457,356 | 0 |
David M. Moffett | 25,267,497,728 | 1,080,139,297 | 0 |
Catherine James Paglia | 25,371,190,484 | 976,446,540 | 0 |
Anthony M. Santomero | 25,261,027,848 | 1,086,609,176 | 0 |
Minor M. Shaw | 25,250,408,167 | 1,097,228,857 | 0 |
Natalie A. Trunow | 25,423,902,431 | 923,734,593 | 0 |
Sandra Yeager | 25,362,198,553 | 985,438,471 | 0 |
Christopher O. Petersen | 25,330,911,773 | 1,016,725,251 | 0 |
36 | Variable Portfolio – Managed Risk U.S. Fund | Annual Report 2020 |
Item 2. Code of Ethics.
(a)The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b)During the period covered by this report, there were not any amendments to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item.
(c)During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the code of ethics to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party that relates to one or more of the items set forth in paragraph (b) of this Item.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that David M. Moffett, Brian J. Gallagher, J. Kevin Connaughton, and Sandra L. Yeager, each of whom are members of the registrant's Board of Trustees and Audit Committee, each qualify as an audit committee financial expert. Mr. Moffett, Mr. Gallagher, Mr. Connaughton, and Ms. Yeager are each independent trustees, as defined in paragraph (a)(2) of this item's instructions.
Item 4. Principal Accountant Fees and Services.
Fee information below is disclosed for the fourteen series of the registrant whose reports to stockholders are included in this annual filing. Fiscal Year 2020 also includes fees from three funds that liquidated during the period.
(a)Audit Fees. Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended December 31, 2020 and December 31,
2019 are approximately as follows:
20202019
$284,800 $554,000
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, 2020 and December 31, 2019 are approximately as follows:
20202019
$14,400 $8,700
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, 2020 and December 31, 2019, 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, 2020 and December 31, 2019 are approximately as follows:
2020 | 2019 |
$5,200 | $117,300 |
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.
During the fiscal years ended December 31, 2020 and December 31, 2019, 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,
2020 and December 31, 2019 are approximately as follows:
2020 | 2019 |
$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, 2020 and December 31, 2019 are approximately as follows:
20202019
$235,000 $235,000
In fiscal years 2020 and 2019, 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.
*****
(e)(2) None, or 0%, of the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund or affiliated entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
(f)Not applicable.
(g)The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal years ended December 31, 2020 and December 31, 2019 are approximately as follows:
20202019
$254,600 $361,000
(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)(3) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized. |
| ||
(registrant) |
| Columbia Funds Variable Insurance Trust | |
By (Signature and Title) | /s/ Christopher O. Petersen | ||
|
|
| Christopher O. Petersen, President and Principal Executive Officer |
Date |
| February 19, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Christopher O. Petersen | ||
|
| Christopher O. Petersen, President and Principal Executive Officer | |
Date |
| February 19, 2021 |
|
By (Signature and Title) | /s/ Michael G. Clarke | ||
|
| Michael G. Clarke, Chief Financial Officer, Principal Financial Officer | |
|
| and Senior Vice President | |
Date |
| February 19, 2021 |
|
By (Signature and Title) | /s/ Joseph Beranek | ||
|
| Joseph Beranek, Treasurer, Chief Accounting Officer and Principal | |
|
| Financial Officer | |
Date |
| February 19, 2021 |
|