| Variable Portfolio – Managed Risk Fund | Quarterly Report 2021 | 1 |
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Australian Dollar | 10 | 12/2021 | USD | 723,400 | — | (15,817) |
| British Pound | 8 | 12/2021 | USD | 673,750 | — | (15,604) |
| Japanese Yen | 17 | 12/2021 | USD | 1,908,463 | — | (20,084) |
| MSCI EAFE Index | 1 | 12/2021 | USD | 113,350 | — | (5,292) |
| New Zealand Dollar | 6 | 12/2021 | USD | 414,270 | — | (11,302) |
| S&P 500 Index E-mini | 109 | 12/2021 | USD | 23,422,738 | — | (845,211) |
| U.S. Long Bond | 20 | 12/2021 | USD | 3,184,375 | — | (62,120) |
| U.S. Treasury 10-Year Note | 53 | 12/2021 | USD | 6,975,297 | — | (74,802) |
| U.S. Treasury 2-Year Note | 1 | 12/2021 | USD | 220,055 | 53 | — |
| U.S. Treasury 2-Year Note | 3 | 12/2021 | USD | 660,164 | — | (402) |
| U.S. Treasury 5-Year Note | 71 | 12/2021 | USD | 8,714,695 | — | (43,894) |
| U.S. Ultra Treasury Bond | 19 | 12/2021 | USD | 3,630,188 | — | (125,415) |
| Total | 53 | (1,219,943) | ||||
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Canadian Dollar | (5) | 12/2021 | USD | (394,950) | 456 | — |
| Euro FX | (12) | 12/2021 | USD | (1,740,000) | 39,592 | — |
| EURO STOXX 50 Index | (49) | 12/2021 | EUR | (1,983,520) | 54,222 | — |
| FTSE 100 Index | (7) | 12/2021 | GBP | (495,145) | — | (8,718) |
| Hang Seng Index | (1) | 10/2021 | HKD | (1,226,200) | — | (2,802) |
| MSCI Singapore Index | (10) | 10/2021 | SGD | (353,500) | 4,440 | — |
| OMXS30 Index | (35) | 10/2021 | SEK | (7,886,375) | 34,719 | — |
| Russell 2000 Index E-mini | (28) | 12/2021 | USD | (3,081,120) | 62,231 | — |
| SPI 200 Index | (3) | 12/2021 | AUD | (546,975) | 3,650 | — |
| Swiss Franc | (14) | 12/2021 | USD | (1,879,850) | 27,370 | — |
| TOPIX Index | (2) | 12/2021 | JPY | (40,610,000) | 4,192 | — |
| Total | 230,872 | (11,520) | ||||
| 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 | 59,444,052 | 138 | 3,500.00 | 12/16/2022 | 2,185,651 | 2,501,940 |
| S&P 500 Index | JPMorgan | USD | 17,230,160 | 40 | 3,400.00 | 12/16/2022 | 739,358 | 643,000 |
| S&P 500 Index | JPMorgan | USD | 6,461,310 | 15 | 3,300.00 | 12/16/2022 | 223,615 | 213,975 |
| S&P 500 Index | JPMorgan | USD | 5,169,048 | 12 | 3,200.00 | 12/16/2022 | 258,085 | 152,580 |
| S&P 500 Index | JPMorgan | USD | 2,584,524 | 6 | 3,600.00 | 12/16/2022 | 96,127 | 122,010 |
| Total | 3,502,836 | 3,633,505 | ||||||
| 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 ($) |
| Markit CDX North America Investment Grade Index, Series 37 | Morgan Stanley | 12/20/2026 | 1.000 | Quarterly | 0.529 | USD | 6,000,000 | 4,353 | — | — | 4,353 | — |
| 2 | Variable Portfolio – Managed Risk Fund | Quarterly Report 2021 |
| * | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended September 30, 2021 are as follows: |
| Affiliated issuers | Beginning of period($) | 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, 0.065% | |||||||||
| 17,852,696 | 31,606,536 | (29,304,899) | 304 | 20,154,637 | — | (303) | 10,406 | 20,156,652 | |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
| 34,031,933 | 457,294 | (16,478,151) | (2,510,927) | 15,500,149 | — | 6,224,693 | — | 196,055 | |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
| 28,524,734 | 8,148,277 | (1,385,034) | (3,224,615) | 32,063,362 | — | 6,364 | 2,401,194 | 3,097,909 | |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
| 3,131,655 | 18,358,786 | (71,194) | 551,315 | 21,970,562 | — | (435) | 405,767 | 1,455,004 | |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
| 2,902,322 | 11,108,883 | (330,802) | 1,717,563 | 15,397,966 | — | 9,737 | — | 934,343 | |
| CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
| 31,136,165 | — | (27,564,517) | (3,571,648) | — | — | 4,783,100 | — | — | |
| CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
| 9,443,932 | 2,144,618 | (42,858) | (427,595) | 11,118,097 | — | (2,771) | 275,169 | 1,121,907 | |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
| 28,434,985 | 7,543,663 | (89,043) | (1,585,059) | 34,304,546 | — | (5,225) | 1,081,846 | 3,079,403 | |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
| 34,454,395 | 17,610,071 | (5,678,318) | 5,139,581 | 51,525,729 | — | 1,515,939 | — | 1,580,059 | |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
| 9,015,731 | 20,549,179 | (6,573,673) | 1,036,264 | 24,027,501 | — | 14,430 | 481,348 | 1,832,762 | |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
| 5,472,822 | 848,411 | (187,107) | 549,595 | 6,683,721 | — | 23,117 | — | 172,974 | |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
| 5,013,166 | 1,487,307 | (597,563) | 780,121 | 6,683,031 | — | 116,247 | — | 188,096 | |
| Total | 209,414,536 | (1,545,101) | 239,429,301 | — | 12,684,893 | 4,655,730 | |||
| (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 September 30, 2021. |
| TBA | To Be Announced |
| AUD | Australian Dollar |
| EUR | Euro |
| GBP | British Pound |
| Variable Portfolio – Managed Risk Fund | Quarterly Report 2021 | 3 |
| HKD | Hong Kong Dollar |
| JPY | Japanese Yen |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| USD | US Dollar |
| 4 | Variable Portfolio – Managed Risk Fund | Quarterly Report 2021 |