3 | |
5 | |
6 | |
13 | |
14 | |
15 | |
16 | |
18 | |
28 | |
28 | |
32 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 3 |
4 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,139.20 | 1,022.38 | 2.66 | 2.51 | 0.50 |
Class 2 | 1,000.00 | 1,000.00 | 1,138.80 | 1,021.13 | 3.99 | 3.77 | 0.75 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 5 |
6 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 7 |
8 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 9 |
10 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 227 | 09/2020 | USD | 40,533,688 | 96,018 | — |
U.S. Ultra Bond 10-Year Note | 115 | 09/2020 | USD | 18,110,703 | 138,054 | — |
Total | 234,072 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (349) | 09/2020 | USD | (48,570,984) | — | (123,803) |
U.S. Ultra Treasury Bond | (69) | 09/2020 | USD | (15,052,781) | — | (291,314) |
Total | — | (415,117) |
(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 June 30, 2020, the total value of these securities amounted to $116,348,775, which represents 6.65% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2020. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(e) | Zero coupon bond. |
(f) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(g) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
61,434,341 | 248,752,917 | (305,641,987) | 2,274 | 4,547,545 | 9,992 | 372,227 | 4,547,545 |
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 | Semiannual Report 2020 | 11 |
■ | 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 | — | 19,658,275 | — | 19,658,275 |
Corporate Bonds & Notes | — | 946,596,836 | — | 946,596,836 |
Foreign Government Obligations | — | 11,316,455 | — | 11,316,455 |
U.S. Treasury Obligations | 700,743,218 | 54,643,779 | — | 755,386,997 |
Money Market Funds | 4,547,545 | — | — | 4,547,545 |
Total Investments in Securities | 705,290,763 | 1,032,215,345 | — | 1,737,506,108 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 234,072 | — | — | 234,072 |
Liability | ||||
Futures Contracts | (415,117) | — | — | (415,117) |
Total | 705,109,718 | 1,032,215,345 | — | 1,737,325,063 |
12 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,449,694,699) | $1,732,958,563 |
Affiliated issuers (cost $4,545,271) | 4,547,545 |
Receivable for: | |
Capital shares sold | 81,227 |
Dividends | 5,899 |
Interest | 12,802,766 |
Foreign tax reclaims | 35,708 |
Variation margin for futures contracts | 123,149 |
Prepaid expenses | 1 |
Trustees’ deferred compensation plan | 94,764 |
Total assets | 1,750,649,622 |
Liabilities | |
Payable for: | |
Capital shares purchased | 1,769,481 |
Variation margin for futures contracts | 133,477 |
Management services fees | 23,459 |
Distribution and/or service fees | 161 |
Service fees | 648 |
Compensation of board members | 4,073 |
Compensation of chief compliance officer | 150 |
Other expenses | 24,680 |
Trustees’ deferred compensation plan | 94,764 |
Total liabilities | 2,050,893 |
Net assets applicable to outstanding capital stock | $1,748,598,729 |
Represented by | |
Paid in capital | 1,334,365,216 |
Total distributable earnings (loss) | 414,233,513 |
Total - representing net assets applicable to outstanding capital stock | $1,748,598,729 |
Class 1 | |
Net assets | $1,725,091,483 |
Shares outstanding | 137,780,438 |
Net asset value per share | $12.52 |
Class 2 | |
Net assets | $23,507,246 |
Shares outstanding | 1,885,133 |
Net asset value per share | $12.47 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 13 |
Net investment income | |
Income: | |
Dividends — affiliated issuers | $372,227 |
Interest | 25,006,822 |
Interfund lending | 118 |
Total income | 25,379,167 |
Expenses: | |
Management services fees | 4,188,400 |
Distribution and/or service fees | |
Class 2 | 24,564 |
Service fees | 5,507 |
Compensation of board members | 17,589 |
Custodian fees | 6,119 |
Printing and postage fees | 5,172 |
Audit fees | 19,642 |
Legal fees | 20,976 |
Compensation of chief compliance officer | 294 |
Other | 19,990 |
Total expenses | 4,308,253 |
Net investment income | 21,070,914 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 29,439,216 |
Investments — affiliated issuers | 9,992 |
Futures contracts | 17,380,048 |
Net realized gain | 46,829,256 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 152,860,227 |
Investments — affiliated issuers | 2,274 |
Futures contracts | 2,847,557 |
Net change in unrealized appreciation (depreciation) | 155,710,058 |
Net realized and unrealized gain | 202,539,314 |
Net increase in net assets resulting from operations | $223,610,228 |
14 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $21,070,914 | $45,787,560 |
Net realized gain | 46,829,256 | 42,806,326 |
Net change in unrealized appreciation (depreciation) | 155,710,058 | 188,344,624 |
Net increase in net assets resulting from operations | 223,610,228 | 276,938,510 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (43,558,568) |
Class 2 | — | (352,059) |
Total distributions to shareholders | — | (43,910,627) |
Decrease in net assets from capital stock activity | (98,355,178) | (34,041,963) |
Total increase in net assets | 125,255,050 | 198,985,920 |
Net assets at beginning of period | 1,623,343,679 | 1,424,357,759 |
Net assets at end of period | $1,748,598,729 | $1,623,343,679 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,536,543 | 17,689,948 | 2,085,164 | 21,680,904 |
Distributions reinvested | — | — | 4,180,285 | 43,558,568 |
Redemptions | (10,057,955) | (120,891,643) | (9,611,724) | (101,225,037) |
Net decrease | (8,521,412) | (103,201,695) | (3,346,275) | (35,985,565) |
Class 2 | ||||
Subscriptions | 526,928 | 6,254,902 | 369,821 | 3,918,512 |
Distributions reinvested | — | — | 33,819 | 352,059 |
Redemptions | (119,920) | (1,408,385) | (228,212) | (2,326,969) |
Net increase | 407,008 | 4,846,517 | 175,428 | 1,943,602 |
Total net decrease | (8,114,404) | (98,355,178) | (3,170,847) | (34,041,963) |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.99 | 0.15 | 1.38 | 1.53 | — | — | — |
Year Ended 12/31/2019 | $9.44 | 0.31 | 1.54 | 1.85 | (0.30) | — | (0.30) |
Year Ended 12/31/2018 | $10.63 | 0.31 | (0.85) | (0.54) | (0.35) | (0.30) | (0.65) |
Year Ended 12/31/2017 | $9.92 | 0.34 | 0.77 | 1.11 | (0.36) | (0.04) | (0.40) |
Year Ended 12/31/2016 | $9.81 | 0.30 | 0.01 | 0.31 | (0.20) | — | (0.20) |
Year Ended 12/31/2015 | $10.02 | 0.21 | (0.22) | (0.01) | (0.20) | — | (0.20) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.95 | 0.13 | 1.39 | 1.52 | — | — | — |
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(d) | 0.28 | (0.17) | — | (0.17) |
Year Ended 12/31/2015 | $9.99 | 0.18 | (0.20) | (0.02) | (0.18) | — | (0.18) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Rounds to zero. |
16 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.52 | 13.92% | 0.50%(c) | 0.50%(c) | 2.47%(c) | 29% | $1,725,091 |
Year Ended 12/31/2019 | $10.99 | 19.74% | 0.50% | 0.50% | 2.94% | 49% | $1,607,152 |
Year Ended 12/31/2018 | $9.44 | (5.11%) | 0.51% | 0.51% | 3.13% | 80% | $1,412,097 |
Year Ended 12/31/2017 | $10.63 | 11.35% | 0.54% | 0.54% | 3.32% | 161% | $1,434,026 |
Year Ended 12/31/2016 | $9.92 | 3.02% | 0.57% | 0.56% | 2.96% | 394% | $1,464,843 |
Year Ended 12/31/2015 | $9.81 | (0.07%) | 0.57% | 0.56% | 2.09% | 414% | $1,483,185 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.47 | 13.88% | 0.75%(c) | 0.75%(c) | 2.21%(c) | 29% | $23,507 |
Year Ended 12/31/2019 | $10.95 | 19.42% | 0.75% | 0.75% | 2.68% | 49% | $16,192 |
Year Ended 12/31/2018 | $9.41 | (5.37%) | 0.76% | 0.76% | 2.87% | 80% | $12,261 |
Year Ended 12/31/2017 | $10.60 | 10.99% | 0.79% | 0.79% | 3.07% | 161% | $16,156 |
Year Ended 12/31/2016 | $9.90 | 2.78% | 0.82% | 0.81% | 2.73% | 394% | $17,042 |
Year Ended 12/31/2015 | $9.79 | (0.22%) | 0.82% | 0.81% | 1.86% | 414% | $12,641 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 17 |
18 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 19 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 234,072* |
20 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 415,117* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 17,380,048 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 2,847,557 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 99,941,414 |
Futures contracts — short | 62,002,742 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 21 |
22 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.55% |
Class 2 | 0.80 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 23 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,454,240,000 | 287,936,000 | (4,851,000) | 283,085,000 |
24 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,000,000 | 0.85 | 5 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 25 |
26 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 27 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
28 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 29 |
30 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 31 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
32 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
24 | |
24 | |
28 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 3 |
4 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 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 | 1,202.60 | 1,020.44 | 4.87 | 4.47 | 0.89 |
Class 2 | 1,000.00 | 1,000.00 | 1,200.60 | 1,019.19 | 6.24 | 5.72 | 1.14 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 5 |
6 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 7 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 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 period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
6,713,926 | 99,864,743 | (93,201,645) | 152 | 13,377,176 | 5,618 | 68,482 | 13,377,176 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
8 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 6,965,649 | — | — | 6,965,649 |
Consumer Discretionary | 63,115,084 | — | — | 63,115,084 |
Energy | 2,528,824 | — | — | 2,528,824 |
Financials | 11,581,489 | — | — | 11,581,489 |
Health Care | 135,570,668 | — | — | 135,570,668 |
Industrials | 68,408,642 | — | — | 68,408,642 |
Information Technology | 84,029,367 | — | — | 84,029,367 |
Materials | 8,193,317 | — | — | 8,193,317 |
Real Estate | 10,977,972 | — | — | 10,977,972 |
Total Common Stocks | 391,371,012 | — | — | 391,371,012 |
Money Market Funds | 13,377,176 | — | — | 13,377,176 |
Total Investments in Securities | 404,748,188 | — | — | 404,748,188 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 9 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $318,178,940) | $391,371,012 |
Affiliated issuers (cost $13,377,176) | 13,377,176 |
Receivable for: | |
Investments sold | 1,884,560 |
Dividends | 156,526 |
Expense reimbursement due from Investment Manager | 195 |
Trustees’ deferred compensation plan | 61,630 |
Total assets | 406,851,099 |
Liabilities | |
Payable for: | |
Capital shares purchased | 179,118 |
Management services fees | 9,449 |
Distribution and/or service fees | 6 |
Service fees | 4,230 |
Compensation of board members | 27,960 |
Compensation of chief compliance officer | 13 |
Other expenses | 14,642 |
Trustees’ deferred compensation plan | 61,630 |
Total liabilities | 297,048 |
Net assets applicable to outstanding capital stock | $406,554,051 |
Represented by | |
Paid in capital | 316,409,895 |
Total distributable earnings (loss) | 90,144,156 |
Total - representing net assets applicable to outstanding capital stock | $406,554,051 |
Class 1 | |
Net assets | $405,715,187 |
Shares outstanding | 18,933,035 |
Net asset value per share | $21.43 |
Class 2 | |
Net assets | $838,864 |
Shares outstanding | 41,581 |
Net asset value per share | $20.17 |
10 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $596,173 |
Dividends — affiliated issuers | 68,482 |
Interfund lending | 30 |
Total income | 664,685 |
Expenses: | |
Management services fees | 1,459,791 |
Distribution and/or service fees | |
Class 2 | 760 |
Service fees | 21,895 |
Compensation of board members | 7,011 |
Custodian fees | 5,322 |
Printing and postage fees | 6,863 |
Audit fees | 15,715 |
Legal fees | 3,898 |
Compensation of chief compliance officer | 63 |
Other | 3,276 |
Total expenses | 1,524,594 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (31,318) |
Total net expenses | 1,493,276 |
Net investment loss | (828,591) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 11,121,460 |
Investments — affiliated issuers | 5,618 |
Foreign currency translations | (903) |
Net realized gain | 11,126,175 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 58,163,749 |
Investments — affiliated issuers | 152 |
Net change in unrealized appreciation (depreciation) | 58,163,901 |
Net realized and unrealized gain | 69,290,076 |
Net increase in net assets resulting from operations | $68,461,485 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment loss | $(828,591) | $(429,095) |
Net realized gain | 11,126,175 | 7,273,513 |
Net change in unrealized appreciation (depreciation) | 58,163,901 | 16,447,388 |
Net increase in net assets resulting from operations | 68,461,485 | 23,291,806 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (6,000,386) |
Class 2 | — | (116,037) |
Total distributions to shareholders | — | (6,116,423) |
Increase (decrease) in net assets from capital stock activity | (47,944) | 295,855,272 |
Total increase in net assets | 68,413,541 | 313,030,655 |
Net assets at beginning of period | 338,140,510 | 25,109,855 |
Net assets at end of period | $406,554,051 | $338,140,510 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 184,995 | 3,202,238 | 17,276,396 | 294,484,935 |
Distributions reinvested | — | — | 344,652 | 6,000,386 |
Redemptions | (194,063) | (3,369,571) | (252,661) | (4,629,598) |
Net increase (decrease) | (9,068) | (167,333) | 17,368,387 | 295,855,723 |
Class 2 | ||||
Subscriptions | 10,398 | 167,341 | 1,128 | 19,974 |
Distributions reinvested | — | — | 7,062 | 116,037 |
Redemptions | (2,893) | (47,952) | (7,597) | (136,462) |
Net increase (decrease) | 7,505 | 119,389 | 593 | (451) |
Total net increase (decrease) | (1,563) | (47,944) | 17,368,980 | 295,855,272 |
12 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 13 |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $17.82 | (0.04) | 3.65 | 3.61 | — | — |
Year Ended 12/31/2019 | $15.64 | (0.06) | 6.33 | 6.27 | (4.09) | (4.09) |
Year Ended 12/31/2018 | $18.71 | (0.06) | 0.02 | (0.04) | (3.03) | (3.03) |
Year Ended 12/31/2017 | $15.31 | (0.06) | 4.43 | 4.37 | (0.97) | (0.97) |
Year Ended 12/31/2016 | $16.85 | (0.02) | 1.93 | 1.91 | (3.45) | (3.45) |
Year Ended 12/31/2015 | $17.04 | (0.08) | 0.82 | 0.74 | (0.93) | (0.93) |
Class 2 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $16.80 | (0.06) | 3.43 | 3.37 | — | — |
Year Ended 12/31/2019 | $14.91 | (0.11) | 6.04 | 5.93 | (4.04) | (4.04) |
Year Ended 12/31/2018 | $17.97 | (0.10) | 0.03 | (0.07) | (2.99) | (2.99) |
Year Ended 12/31/2017 | $14.75 | (0.10) | 4.25 | 4.15 | (0.93) | (0.93) |
Year Ended 12/31/2016 | $16.34 | (0.06) | 1.87 | 1.81 | (3.40) | (3.40) |
Year Ended 12/31/2015 | $16.59 | (0.12) | 0.80 | 0.68 | (0.93) | (0.93) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
14 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $21.43 | 20.26% | 0.91%(c) | 0.89%(c) | (0.49%)(c) | 52% | $405,715 |
Year Ended 12/31/2019 | $17.82 | 40.70% | 0.97% | 0.89% | (0.36%) | 100% | $337,568 |
Year Ended 12/31/2018 | $15.64 | (1.75%) | 1.24% | 0.90% | (0.31%) | 156% | $24,611 |
Year Ended 12/31/2017 | $18.71 | 29.25% | 1.25% | 0.93% | (0.38%) | 153% | $30,341 |
Year Ended 12/31/2016 | $15.31 | 12.74% | 1.29% | 0.94% | (0.13%) | 183% | $26,912 |
Year Ended 12/31/2015 | $16.85 | 3.83% | 1.17% | 0.96% | (0.47%) | 150% | $27,479 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $20.17 | 20.06% | 1.16%(c) | 1.14%(c) | (0.74%)(c) | 52% | $839 |
Year Ended 12/31/2019 | $16.80 | 40.39% | 1.22% | 1.14% | (0.62%) | 100% | $572 |
Year Ended 12/31/2018 | $14.91 | (2.00%) | 1.49% | 1.15% | (0.55%) | 156% | $499 |
Year Ended 12/31/2017 | $17.97 | 28.84% | 1.50% | 1.18% | (0.63%) | 153% | $540 |
Year Ended 12/31/2016 | $14.75 | 12.53% | 1.54% | 1.19% | (0.38%) | 183% | $454 |
Year Ended 12/31/2015 | $16.34 | 3.56% | 1.42% | 1.21% | (0.72%) | 150% | $495 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 15 |
16 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 17 |
18 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Contractual expense cap July 1, 2020 through April 30, 2021 | Voluntary expense cap May 1, 2020 through June 30, 2020 | Contractual expense cap prior to May 1, 2020 | |
Class 1 | 0.90% | 0.89% | 0.89% |
Class 2 | 1.15 | 1.14 | 1.14 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 19 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
331,556,000 | 84,477,000 | (11,285,000) | 73,192,000 |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,700,000 | 0.63 | 1 |
20 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 21 |
22 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 23 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
24 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider; |
• | The Investment Manager’s agreement to voluntarily limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 25 |
26 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 27 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
28 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
3 | |
5 | |
6 | |
12 | |
13 | |
14 | |
16 | |
18 | |
26 | |
26 | |
30 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 3 |
4 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 792.60 | 1,020.34 | 4.06 | 4.57 | 0.91 |
Class 2 | 1,000.00 | 1,000.00 | 791.60 | 1,019.10 | 5.17 | 5.82 | 1.16 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 5 |
6 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 7 |
8 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 9 |
Money Market Funds 0.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(d),(e) | 4,072,056 | 4,072,056 |
Total Money Market Funds (Cost $4,072,089) | 4,072,056 | |
Total Investments in Securities (Cost: $599,226,014) | 514,369,432 | |
Other Assets & Liabilities, Net | (1,601,644) | |
Net Assets | 512,767,788 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $98,142, which represents 0.02% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(e) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
8,853,077 | 63,256,305 | (68,037,498) | 172 | 4,072,056 | 2,738 | 25,544 | 4,072,056 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 7,636,915 | — | — | 7,636,915 |
Consumer Discretionary | 63,839,143 | — | — | 63,839,143 |
Consumer Staples | 13,514,547 | — | — | 13,514,547 |
Energy | 20,460,003 | — | 98,142 | 20,558,145 |
Financials | 178,209,275 | — | — | 178,209,275 |
Health Care | 16,606,908 | — | — | 16,606,908 |
Industrials | 84,452,995 | — | — | 84,452,995 |
Information Technology | 39,115,674 | — | — | 39,115,674 |
Materials | 51,199,483 | — | — | 51,199,483 |
Real Estate | 32,196,066 | — | — | 32,196,066 |
Utilities | 2,968,225 | — | — | 2,968,225 |
Total Common Stocks | 510,199,234 | — | 98,142 | 510,297,376 |
Money Market Funds | 4,072,056 | — | — | 4,072,056 |
Total Investments in Securities | 514,271,290 | — | 98,142 | 514,369,432 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 11 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $595,153,925) | $510,297,376 |
Affiliated issuers (cost $4,072,089) | 4,072,056 |
Receivable for: | |
Investments sold | 294,008 |
Capital shares sold | 100,888 |
Dividends | 600,883 |
Expense reimbursement due from Investment Manager | 1,921 |
Trustees’ deferred compensation plan | 95,941 |
Total assets | 515,463,073 |
Liabilities | |
Payable for: | |
Investments purchased | 2,072,208 |
Capital shares purchased | 361,951 |
Management services fees | 12,031 |
Distribution and/or service fees | 1,766 |
Service fees | 101,130 |
Compensation of board members | 2,759 |
Compensation of chief compliance officer | 39 |
Other expenses | 47,460 |
Trustees’ deferred compensation plan | 95,941 |
Total liabilities | 2,695,285 |
Net assets applicable to outstanding capital stock | $512,767,788 |
Represented by | |
Paid in capital | 592,780,888 |
Total distributable earnings (loss) | (80,013,100) |
Total - representing net assets applicable to outstanding capital stock | $512,767,788 |
Class 1 | |
Net assets | $250,947,414 |
Shares outstanding | 20,208,440 |
Net asset value per share | $12.42 |
Class 2 | |
Net assets | $261,820,374 |
Shares outstanding | 21,268,382 |
Net asset value per share | $12.31 |
12 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,743,047 |
Dividends — affiliated issuers | 25,544 |
Foreign taxes withheld | (35,568) |
Total income | 5,733,023 |
Expenses: | |
Management services fees | 2,186,445 |
Distribution and/or service fees | |
Class 2 | 316,448 |
Service fees | 269,128 |
Compensation of board members | 10,098 |
Custodian fees | 11,140 |
Printing and postage fees | 46,445 |
Audit fees | 15,715 |
Legal fees | 6,460 |
Compensation of chief compliance officer | 108 |
Other | 12,846 |
Total expenses | 2,874,833 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (270,179) |
Total net expenses | 2,604,654 |
Net investment income | 3,128,369 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (23,587,699) |
Investments — affiliated issuers | 2,738 |
Foreign currency translations | (1,161) |
Net realized loss | (23,586,122) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (107,247,391) |
Investments — affiliated issuers | 172 |
Foreign currency translations | (20) |
Net change in unrealized appreciation (depreciation) | (107,247,239) |
Net realized and unrealized loss | (130,833,361) |
Net decrease in net assets resulting from operations | $(127,704,992) |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 13 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $3,128,369 | $2,535,826 |
Net realized gain (loss) | (23,586,122) | 23,050,204 |
Net change in unrealized appreciation (depreciation) | (107,247,239) | 51,584,475 |
Net increase (decrease) in net assets resulting from operations | (127,704,992) | 77,170,505 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (535,774) |
Class 2 | — | (27,808,189) |
Total distributions to shareholders | — | (28,343,963) |
Increase in net assets from capital stock activity | 8,721,268 | 292,643,666 |
Total increase (decrease) in net assets | (118,983,724) | 341,470,208 |
Net assets at beginning of period | 631,751,512 | 290,281,304 |
Net assets at end of period | $512,767,788 | $631,751,512 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 429,374 | 4,600,991 | 19,898,420 | 293,885,795 |
Distributions reinvested | — | — | 36,422 | 535,774 |
Redemptions | (421,275) | (4,991,537) | (122,954) | (1,845,073) |
Net increase (decrease) | 8,099 | (390,546) | 19,811,888 | 292,576,496 |
Class 2 | ||||
Subscriptions | 2,364,060 | 26,687,764 | 1,352,923 | 20,253,011 |
Distributions reinvested | — | — | 1,903,367 | 27,808,189 |
Redemptions | (1,365,701) | (17,575,950) | (3,156,935) | (47,994,030) |
Net increase | 998,359 | 9,111,814 | 99,355 | 67,170 |
Total net increase | 1,006,458 | 8,721,268 | 19,911,243 | 292,643,666 |
14 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $15.67 | 0.08 | (3.33) | (3.25) | — | — | — |
Year Ended 12/31/2019 | $14.22 | 0.15 | 2.79 | 2.94 | (0.09) | (1.40) | (1.49) |
Year Ended 12/31/2018 | $20.30 | 0.10 | (3.12) | (3.02) | (0.08) | (2.98) | (3.06) |
Year Ended 12/31/2017 | $19.11 | 0.08 | 2.52 | 2.60 | (0.10) | (1.31) | (1.41) |
Year Ended 12/31/2016 | $16.02 | 0.10 | 4.82 | 4.92 | (0.11) | (1.72) | (1.83) |
Year Ended 12/31/2015 | $18.42 | 0.10 | (1.15) | (1.05) | (0.15) | (1.20) | (1.35) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $15.55 | 0.07 | (3.31) | (3.24) | — | — | — |
Year Ended 12/31/2019 | $14.12 | 0.08 | 2.79 | 2.87 | (0.04) | (1.40) | (1.44) |
Year Ended 12/31/2018 | $20.17 | 0.05 | (3.08) | (3.03) | (0.04) | (2.98) | (3.02) |
Year Ended 12/31/2017 | $19.01 | 0.03 | 2.50 | 2.53 | (0.06) | (1.31) | (1.37) |
Year Ended 12/31/2016 | $15.94 | 0.06 | 4.80 | 4.86 | (0.07) | (1.72) | (1.79) |
Year Ended 12/31/2015 | $18.33 | 0.06 | (1.14) | (1.08) | (0.11) | (1.20) | (1.31) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.42 | (20.74%) | 1.01%(c) | 0.91%(c) | 1.36%(c) | 38% | $250,947 |
Year Ended 12/31/2019 | $15.67 | 21.34% | 1.04%(d) | 0.92%(d) | 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%(e) | 0.93%(e) | 0.41% | 52% | $7,186 |
Year Ended 12/31/2016 | $19.11 | 33.04% | 0.98% | 0.93% | 0.60% | 62% | $6,081 |
Year Ended 12/31/2015 | $16.02 | (6.12%) | 0.98% | 0.93% | 0.56% | 64% | $6,045 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.31 | (20.84%) | 1.26%(c) | 1.16%(c) | 1.12%(c) | 38% | $261,820 |
Year Ended 12/31/2019 | $15.55 | 20.98% | 1.31%(d) | 1.17%(d) | 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%(e) | 1.18%(e) | 0.14% | 52% | $374,640 |
Year Ended 12/31/2016 | $19.01 | 32.74% | 1.23% | 1.18% | 0.37% | 62% | $398,105 |
Year Ended 12/31/2015 | $15.94 | (6.32%) | 1.23% | 1.18% | 0.32% | 64% | $320,184 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 17 |
18 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 19 |
20 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.88% | 0.92% |
Class 2 | 1.13 | 1.17 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 21 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
599,226,000 | 33,895,000 | (118,752,000) | (84,857,000) |
22 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 23 |
24 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 25 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
26 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 27 |
28 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 29 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
30 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
23 | |
23 | |
27 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 3 |
4 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 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 | 985.40 | 1,021.43 | 3.41 | 3.47 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 984.00 | 1,020.19 | 4.64 | 4.72 | 0.94 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 5 |
6 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 7 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 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 period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
12,377,570 | 209,001,234 | (211,849,751) | — | 9,529,053 | 10,074 | 113,593 | 9,529,053 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
8 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 176,785,503 | — | — | 176,785,503 |
Consumer Discretionary | 167,325,080 | — | — | 167,325,080 |
Consumer Staples | 65,324,087 | — | — | 65,324,087 |
Energy | 44,384,545 | — | — | 44,384,545 |
Financials | 155,718,405 | — | — | 155,718,405 |
Health Care | 179,026,373 | — | — | 179,026,373 |
Industrials | 98,320,958 | — | — | 98,320,958 |
Information Technology | 428,027,372 | — | — | 428,027,372 |
Materials | 41,965,638 | — | — | 41,965,638 |
Real Estate | 16,665,230 | — | — | 16,665,230 |
Utilities | 22,644,687 | — | — | 22,644,687 |
Total Common Stocks | 1,396,187,878 | — | — | 1,396,187,878 |
Money Market Funds | 9,529,053 | — | — | 9,529,053 |
Total Investments in Securities | 1,405,716,931 | — | — | 1,405,716,931 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 9 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,078,738,401) | $1,396,187,878 |
Affiliated issuers (cost $9,529,053) | 9,529,053 |
Receivable for: | |
Investments sold | 5,046,647 |
Capital shares sold | 9,825 |
Dividends | 1,570,546 |
Foreign tax reclaims | 65,733 |
Expense reimbursement due from Investment Manager | 1,964 |
Trustees’ deferred compensation plan | 123,238 |
Total assets | 1,412,534,884 |
Liabilities | |
Payable for: | |
Investments purchased | 2,695,256 |
Capital shares purchased | 2,795,791 |
Management services fees | 27,472 |
Distribution and/or service fees | 735 |
Service fees | 6,328 |
Compensation of board members | 3,753 |
Compensation of chief compliance officer | 139 |
Other expenses | 24,225 |
Trustees’ deferred compensation plan | 123,238 |
Total liabilities | 5,676,937 |
Net assets applicable to outstanding capital stock | $1,406,857,947 |
Represented by | |
Trust capital | $1,406,857,947 |
Total - representing net assets applicable to outstanding capital stock | $1,406,857,947 |
Class 1 | |
Net assets | $1,297,650,184 |
Shares outstanding | 49,213,994 |
Net asset value per share | $26.37 |
Class 2 | |
Net assets | $109,207,763 |
Shares outstanding | 4,225,184 |
Net asset value per share | $25.85 |
10 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $12,647,067 |
Dividends — affiliated issuers | 113,593 |
Foreign taxes withheld | (63,161) |
Total income | 12,697,499 |
Expenses: | |
Management services fees | 5,102,535 |
Distribution and/or service fees | |
Class 2 | 130,524 |
Service fees | 33,495 |
Compensation of board members | 15,951 |
Custodian fees | 6,736 |
Printing and postage fees | 10,110 |
Audit fees | 14,669 |
Legal fees | 17,521 |
Compensation of chief compliance officer | 262 |
Other | 19,071 |
Total expenses | 5,350,874 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (341,859) |
Total net expenses | 5,009,015 |
Net investment income | 7,688,484 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 38,507,872 |
Investments — affiliated issuers | 10,074 |
Foreign currency translations | 3,813 |
Net realized gain | 38,521,759 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (74,962,307) |
Foreign currency translations | (1,346) |
Net change in unrealized appreciation (depreciation) | (74,963,653) |
Net realized and unrealized loss | (36,441,894) |
Net decrease in net assets resulting from operations | $(28,753,410) |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $7,688,484 | $17,172,229 |
Net realized gain | 38,521,759 | 75,122,014 |
Net change in unrealized appreciation (depreciation) | (74,963,653) | 335,016,025 |
Net increase (decrease) in net assets resulting from operations | (28,753,410) | 427,310,268 |
Decrease in net assets from capital stock activity | (110,568,720) | (274,808,345) |
Total increase (decrease) in net assets | (139,322,130) | 152,501,923 |
Net assets at beginning of period | 1,546,180,077 | 1,393,678,154 |
Net assets at end of period | $1,406,857,947 | $1,546,180,077 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 2,658,713 | 71,311,240 | 216,231 | 5,144,391 |
Redemptions | (7,004,369) | (180,017,853) | (11,411,795) | (271,813,544) |
Net decrease | (4,345,656) | (108,706,613) | (11,195,564) | (266,669,153) |
Class 2 | ||||
Subscriptions | 141,337 | 3,397,487 | 169,748 | 4,008,986 |
Redemptions | (210,603) | (5,259,594) | (522,680) | (12,148,178) |
Net decrease | (69,266) | (1,862,107) | (352,932) | (8,139,192) |
Total net decrease | (4,414,922) | (110,568,720) | (11,548,496) | (274,808,345) |
12 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $26.76 | 0.14 | (0.53) | (0.39) |
Year Ended 12/31/2019 | $20.10 | 0.27 | 6.39 | 6.66 |
Year Ended 12/31/2018 | $22.07 | 0.24 | (2.21) | (1.97) |
Year Ended 12/31/2017 | $18.12 | 0.21 | 3.74 | 3.95 |
Year Ended 12/31/2016 | $16.67 | 0.20 | 1.25 | 1.45 |
Year Ended 12/31/2015 | $16.19 | 0.54(e) | (0.06) | 0.48 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $26.27 | 0.11 | (0.53) | (0.42) |
Year Ended 12/31/2019 | $19.78 | 0.21 | 6.28 | 6.49 |
Year Ended 12/31/2018 | $21.77 | 0.19 | (2.18) | (1.99) |
Year Ended 12/31/2017 | $17.92 | 0.16 | 3.69 | 3.85 |
Year Ended 12/31/2016 | $16.53 | 0.16 | 1.23 | 1.39 |
Year Ended 12/31/2015 | $16.09 | 0.58(f) | (0.14) | 0.44 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.40 per share. |
(f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.47 per share. |
14 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $26.37 | (1.46%) | 0.74%(c) | 0.69%(c) | 1.11%(c) | 34% | $1,297,650 |
Year Ended 12/31/2019 | $26.76 | 33.13% | 0.74%(d) | 0.70%(d) | 1.16% | 43% | $1,433,380 |
Year Ended 12/31/2018 | $20.10 | (8.93%) | 0.71% | 0.71% | 1.09% | 63% | $1,301,755 |
Year Ended 12/31/2017 | $22.07 | 21.80% | 0.72% | 0.72% | 1.04% | 46% | $2,383,772 |
Year Ended 12/31/2016 | $18.12 | 8.70% | 0.76% | 0.76% | 1.18% | 53% | $2,216,643 |
Year Ended 12/31/2015 | $16.67 | 2.97% | 0.75% | 0.75% | 3.29% | 67% | $2,278,481 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.85 | (1.60%) | 0.99%(c) | 0.94%(c) | 0.86%(c) | 34% | $109,208 |
Year Ended 12/31/2019 | $26.27 | 32.81% | 0.99%(d) | 0.95%(d) | 0.90% | 43% | $112,800 |
Year Ended 12/31/2018 | $19.78 | (9.14%) | 0.96% | 0.96% | 0.86% | 63% | $91,923 |
Year Ended 12/31/2017 | $21.77 | 21.49% | 0.97% | 0.97% | 0.78% | 46% | $110,867 |
Year Ended 12/31/2016 | $17.92 | 8.41% | 1.01% | 1.01% | 0.94% | 53% | $82,790 |
Year Ended 12/31/2015 | $16.53 | 2.73% | 1.01% | 1.01% | 3.52% | 67% | $55,892 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 15 |
16 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 17 |
18 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.69% |
Class 2 | 0.94 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 19 |
20 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 21 |
22 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 23 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by an independent third-party data provider, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
24 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 25 |
26 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 27 |
3 | |
5 | |
6 | |
11 | |
12 | |
13 | |
14 | |
16 | |
24 | |
24 | |
29 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 3 |
4 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 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 | 876.10 | 1,020.84 | 3.78 | 4.07 | 0.81 |
Class 2 | 1,000.00 | 1,000.00 | 875.20 | 1,019.59 | 4.94 | 5.32 | 1.06 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 5 |
6 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 7 |
8 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
(a) | Non-income producing investment. |
(b) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $4,940,311, which represents 0.33% of total net assets. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
5,296,419 | 330,047,613 | (318,584,896) | (147) | 16,758,989 | (2,027) | 90,271 | 16,758,989 |
■ | 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 | Semiannual Report 2020 | 9 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 89,242,743 | — | 89,242,743 |
Austria | — | 5,158,002 | — | 5,158,002 |
Belgium | — | 7,232,185 | — | 7,232,185 |
China | — | 4,218,347 | — | 4,218,347 |
Denmark | — | 75,415,831 | — | 75,415,831 |
Finland | — | 21,370,217 | — | 21,370,217 |
France | — | 148,347,189 | — | 148,347,189 |
Germany | — | 84,615,020 | — | 84,615,020 |
Hong Kong | — | 48,322,375 | — | 48,322,375 |
Ireland | — | 1,134,886 | — | 1,134,886 |
Italy | — | 28,622,181 | — | 28,622,181 |
Japan | — | 364,722,882 | — | 364,722,882 |
Netherlands | — | 74,578,343 | — | 74,578,343 |
New Zealand | — | 7,591,298 | — | 7,591,298 |
Norway | — | 20,674,532 | — | 20,674,532 |
Singapore | — | 9,635,104 | — | 9,635,104 |
Spain | — | 21,023,715 | — | 21,023,715 |
Sweden | — | 68,612,981 | — | 68,612,981 |
Switzerland | — | 171,874,608 | — | 171,874,608 |
United Kingdom | — | 181,190,988 | — | 181,190,988 |
Total Common Stocks | — | 1,433,583,427 | — | 1,433,583,427 |
Preferred Stocks | ||||
Germany | — | 15,304,159 | — | 15,304,159 |
Total Preferred Stocks | — | 15,304,159 | — | 15,304,159 |
Money Market Funds | 16,758,989 | — | — | 16,758,989 |
Total Investments in Securities | 16,758,989 | 1,448,887,586 | — | 1,465,646,575 |
10 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,317,428,293) | $1,448,887,586 |
Affiliated issuers (cost $16,759,533) | 16,758,989 |
Receivable for: | |
Capital shares sold | 105,476 |
Dividends | 2,287,990 |
Foreign tax reclaims | 9,729,007 |
Trustees’ deferred compensation plan | 111,489 |
Other assets | 24,808 |
Total assets | 1,477,905,345 |
Liabilities | |
Due to custodian | 15,335 |
Foreign currency (cost $28,146) | 27,712 |
Payable for: | |
Capital shares purchased | 1,076,818 |
Management services fees | 33,040 |
Distribution and/or service fees | 150 |
Service fees | 508 |
Compensation of board members | 5,467 |
Compensation of chief compliance officer | 275 |
Custodian fees | 125,935 |
Trustees’ deferred compensation plan | 111,489 |
Total liabilities | 1,396,729 |
Net assets applicable to outstanding capital stock | $1,476,508,616 |
Represented by | |
Paid in capital | 1,647,103,913 |
Total distributable earnings (loss) | (170,595,297) |
Total - representing net assets applicable to outstanding capital stock | $1,476,508,616 |
Class 1 | |
Net assets | $1,454,378,717 |
Shares outstanding | 150,256,609 |
Net asset value per share | $9.68 |
Class 2 | |
Net assets | $22,129,899 |
Shares outstanding | 2,288,321 |
Net asset value per share | $9.67 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 11 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $51,211,889 |
Dividends — affiliated issuers | 90,271 |
Foreign taxes withheld | (5,302,177) |
Total income | 45,999,983 |
Expenses: | |
Management services fees | 9,592,325 |
Distribution and/or service fees | |
Class 2 | 27,150 |
Service fees | 6,083 |
Compensation of board members | 24,307 |
Custodian fees | 160,455 |
Printing and postage fees | 5,357 |
Audit fees | 59,515 |
Legal fees | 33,538 |
Compensation of chief compliance officer | 517 |
Other | 34,939 |
Total expenses | 9,944,186 |
Net investment income | 36,055,797 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (223,912,677) |
Investments — affiliated issuers | (2,027) |
Foreign currency translations | (754,599) |
Net realized loss | (224,669,303) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (193,188,934) |
Investments — affiliated issuers | (147) |
Foreign currency translations | 125,820 |
Net change in unrealized appreciation (depreciation) | (193,063,261) |
Net realized and unrealized loss | (417,732,564) |
Net decrease in net assets resulting from operations | $(381,676,767) |
12 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $36,055,797 | $74,091,611 |
Net realized loss | (224,669,303) | (108,099,124) |
Net change in unrealized appreciation (depreciation) | (193,063,261) | 495,888,047 |
Net increase (decrease) in net assets resulting from operations | (381,676,767) | 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 | (1,166,974,746) | (135,770,094) |
Total increase (decrease) in net assets | (1,553,136,784) | 224,509,126 |
Net assets at beginning of period | 3,029,645,400 | 2,805,136,274 |
Net assets at end of period | $1,476,508,616 | $3,029,645,400 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,823,540 | 43,101,565 | 4,482,831 | 47,157,586 |
Distributions reinvested | 516,748 | 4,449,199 | 9,539,041 | 100,913,605 |
Redemptions | (126,633,899) | (1,215,155,494) | (26,852,935) | (286,602,283) |
Net decrease | (121,293,611) | (1,167,604,730) | (12,831,063) | (138,531,092) |
Class 2 | ||||
Subscriptions | 251,300 | 2,410,803 | 433,206 | 4,548,563 |
Distributions reinvested | 4,189 | 36,072 | 65,003 | 687,709 |
Redemptions | (188,529) | (1,816,891) | (235,575) | (2,475,274) |
Net increase | 66,960 | 629,984 | 262,634 | 2,760,998 |
Total net decrease | (121,226,651) | (1,166,974,746) | (12,568,429) | (135,770,094) |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.07 | 0.14 | (1.51) | (1.37) | (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) |
Year Ended 12/31/2015 | $10.24 | 0.24 | (0.58) | (0.34) | (0.30) | — | (0.30) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.07 | 0.12 | (1.50) | (1.38) | (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) |
Year Ended 12/31/2015 | $10.25 | 0.21 | (0.58) | (0.37) | (0.28) | — | (0.28) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
14 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.68 | (12.39%) | 0.81%(c) | 0.81%(c) | 2.93%(c) | 48% | $1,454,379 |
Year Ended 12/31/2019 | $11.07 | 16.82% | 0.79% | 0.79% | 2.46% | 62% | $3,005,054 |
Year Ended 12/31/2018 | $9.80 | (15.98%) | 0.79% | 0.79% | 2.28% | 73% | $2,785,951 |
Year Ended 12/31/2017 | $11.97 | 24.05% | 0.83% | 0.83% | 1.90% | 71% | $3,009,266 |
Year Ended 12/31/2016 | $9.78 | 4.06% | 0.91% | 0.91% | 2.11% | 129% | $1,327,954 |
Year Ended 12/31/2015 | $9.60 | (3.37%) | 0.92% | 0.92% | 2.35% | 12% | $1,240,134 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.67 | (12.48%) | 1.06%(c) | 1.06%(c) | 2.54%(c) | 48% | $22,130 |
Year Ended 12/31/2019 | $11.07 | 16.58% | 1.04% | 1.04% | 2.18% | 62% | $24,591 |
Year Ended 12/31/2018 | $9.79 | (16.21%) | 1.04% | 1.04% | 2.04% | 73% | $19,185 |
Year Ended 12/31/2017 | $11.96 | 23.64% | 1.08% | 1.08% | 1.55% | 71% | $17,987 |
Year Ended 12/31/2016 | $9.78 | 3.87% | 1.17% | 1.17% | 1.68% | 129% | $5,764 |
Year Ended 12/31/2015 | $9.60 | (3.71%) | 1.17% | 1.17% | 2.09% | 12% | $3,452 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 15 |
16 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 17 |
18 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.88% |
Class 2 | 1.13 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 19 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,334,188,000 | 220,875,000 | (89,416,000) | 131,459,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(62,446,053) | (46,096,718) | (108,542,771) |
20 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 21 |
22 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 23 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
24 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Agreements; |
• | The subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager and the Subadviser under the Agreements, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager and Subadviser, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services, including an assessment of the Investment Manager’s and the Subadviser’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 25 |
26 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 27 |
28 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 29 |
3 | |
5 | |
6 | |
12 | |
13 | |
14 | |
16 | |
18 | |
30 | |
30 | |
34 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 3 |
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 28.6 |
International | 7.6 |
U.S. Large Cap | 16.9 |
U.S. Mid Cap | 1.9 |
U.S. Small Cap | 2.2 |
Exchange-Traded Equity Funds | 4.4 |
International Mid Large Cap | 0.9 |
U.S. Large Cap | 3.5 |
Exchange-Traded Fixed Income Funds | 4.4 |
Investment Grade | 4.4 |
Fixed Income Funds | 36.2 |
Investment Grade | 36.2 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 14.3 |
Options Purchased Puts | 1.0 |
Residential Mortgage-Backed Securities - Agency | 11.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $245.0 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,008.90 | 1,023.42 | 1.45 | 1.46 | 0.29 | 3.65 | 3.67 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 1,008.20 | 1,022.18 | 2.70 | 2.72 | 0.54 | 4.89 | 4.93 | 0.98 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 5 |
6 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
British Pound | 18 | 09/2020 | USD | 1,394,663 | — | (37,991) |
Japanese Yen | 24 | 09/2020 | USD | 2,781,300 | 7,441 | — |
MSCI Singapore Index | 17 | 07/2020 | SGD | 502,945 | — | (5,800) |
S&P 500 Index E-mini | 419 | 09/2020 | USD | 64,739,690 | 1,854,616 | — |
U.S. Long Bond | 174 | 09/2020 | USD | 31,069,875 | 57,826 | — |
U.S. Treasury 10-Year Note | 277 | 09/2020 | USD | 38,550,609 | 101,157 | — |
U.S. Treasury 2-Year Note | 168 | 09/2020 | USD | 37,099,125 | 4,038 | — |
U.S. Treasury 5-Year Note | 616 | 09/2020 | USD | 77,457,188 | 167,177 | — |
U.S. Ultra Treasury Bond | 25 | 09/2020 | USD | 5,453,906 | — | (20,558) |
Total | 2,192,255 | (64,349) |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 7 |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | (24) | 09/2020 | USD | (1,656,000) | 29,191 | — |
Canadian Dollar | (7) | 09/2020 | USD | (515,340) | 8,458 | — |
Euro FX | (6) | 09/2020 | USD | (844,013) | — | (1,570) |
EURO STOXX 50 Index | (197) | 09/2020 | EUR | (6,349,310) | — | (241,790) |
FTSE 100 Index | (53) | 09/2020 | GBP | (3,258,175) | — | (49,158) |
Hang Seng Index | (33) | 07/2020 | HKD | (40,007,550) | 17,056 | — |
New Zealand Dollar | (10) | 09/2020 | USD | (645,500) | 10,513 | — |
OMXS30 Index | (426) | 07/2020 | SEK | (70,982,250) | — | (324,376) |
Russell 2000 Index E-mini | (326) | 09/2020 | USD | (23,432,880) | — | (1,368,378) |
S&P 500 Index E-mini | (570) | 09/2020 | USD | (88,070,700) | — | (1,981,631) |
S&P/TSX 60 Index | (48) | 09/2020 | CAD | (8,913,600) | — | (199,959) |
Swiss Franc | (13) | 09/2020 | USD | (1,719,250) | — | (15,892) |
TOPIX Index | (13) | 09/2020 | JPY | (202,605,000) | — | (28,100) |
Total | 65,218 | (4,210,854) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 155,014,500 | 500 | 2,500.00 | 12/17/2021 | 8,434,359 | 9,175,000 |
S&P 500 Index | JPMorgan | USD | 95,488,932 | 308 | 2,600.00 | 12/17/2021 | 5,305,355 | 6,951,560 |
S&P 500 Index | JPMorgan | USD | 35,653,335 | 115 | 2,400.00 | 12/17/2021 | 2,132,661 | 1,833,100 |
Total | 15,872,375 | 17,959,660 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
279,577,260 | 190,364,828 | (224,965,149) | 39,900 | 245,016,839 | — | 7,210 | 1,280,308 | 245,016,839 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
26,081,069 | 689,850 | (625,798) | (466,011) | 25,679,110 | — | 211,851 | — | 973,800 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
76,543,935 | 2,869,647 | (1,776,529) | (1,792,541) | 75,844,512 | — | 160,248 | — | 1,332,944 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
17,903,007 | 1,357,507 | (36,220) | (2,291,870) | 16,932,424 | — | 2,735 | — | 658,337 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
117,907,590 | 1,092,632 | (3,832,875) | 7,554,109 | 122,721,456 | — | 84,061 | — | 10,802,945 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
23,914,473 | 238,845 | (1,444,171) | 1,531,984 | 24,241,131 | — | 954,934 | — | 1,002,528 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
35,856,087 | 385,875 | (659,794) | 1,164,041 | 36,746,209 | — | (45,656) | — | 3,649,077 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
62,599,357 | 199,887 | (4,720,102) | 7,811,089 | 65,890,231 | — | 725,434 | — | 5,262,798 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
6,764,205 | 176,087 | (358,320) | 258,093 | 6,840,065 | — | 77,706 | — | 197,347 |
8 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Affiliated issuers | Beginning of period($) | 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 – Overseas Core Fund, Class 1 Shares | |||||||||
— | 29,420,413 | — | (373,804) | 29,046,609 | 362,672 | — | 148,054 | 2,474,158 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
12,421,820 | 287,548 | (371,817) | (10,627) | 12,326,924 | — | 46,016 | — | 1,038,494 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
13,679,283 | 1,246,607 | (66,567) | (1,939,803) | 12,919,520 | — | 31,788 | — | 548,134 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
6,790,011 | 816,224 | (31,133) | (1,302,893) | 6,272,209 | — | 3,079 | — | 302,859 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
6,418,653 | 1,038,689 | — | (1,211,969) | 6,245,373 | — | — | — | 502,848 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
6,326,936 | 160,936 | (224,617) | 1,269,773 | 7,533,028 | — | 46,885 | — | 351,518 | |
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 | 456,363 | (835,827) | 1,063,987 | 35,349,750 | — | 4,124 | — | 3,228,288 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
81,215,008 | 753,184 | (1,966,679) | 3,500,218 | 83,501,731 | — | (9,367) | — | 7,267,340 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
48,290,833 | 4,511,310 | (25,229,634) | (3,582,265) | 23,990,244 | — | (2,449,846) | 74,534 | 2,478,331 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
21,528,957 | 163,713 | (1,312,546) | 1,364,328 | 21,744,452 | — | 740,547 | — | 527,138 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
21,495,654 | 311,692 | (1,298,661) | 1,413,286 | 21,921,971 | — | 571,014 | — | 576,439 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
14,613,026 | 1,098,252 | (81,856) | (1,846,945) | 13,782,477 | — | 9,115 | — | 543,688 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
21,016,006 | 202,377 | (2,938,991) | 4,883,002 | 23,162,394 | — | 1,648,009 | — | 491,353 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
13,483,531 | 1,503,383 | (40,199) | (2,411,221) | 12,535,494 | — | 4,728 | — | 586,868 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
118,979,974 | 1,077,594 | (4,103,209) | 7,151,900 | 123,106,259 | — | 112,557 | — | 10,530,903 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
10,074,114 | 1,005,576 | (50,232) | (1,394,711) | 9,634,747 | — | (408) | — | 372,862 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
11,898,172 | 185,849 | (319,129) | 365,381 | 12,130,273 | — | 4,405 | — | 1,144,365 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
10,285,151 | 369,644 | (433,205) | (148,644) | 10,072,946 | — | 189,261 | — | 314,780 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
137,270,041 | 1,276,982 | (4,549,011) | 8,047,422 | 142,045,434 | — | 113,203 | — | 12,017,380 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
29,261,237 | 1,191,276 | (485,388) | (1,203,873) | 28,763,252 | — | 49,284 | — | 1,263,208 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | |||||||||
48,315,671 | 4,213,938 | (4,344,992) | (4,270,487) | 43,914,130 | 143,560 | (526,728) | 97,428 | 4,471,908 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 9 |
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 ($) | End of period shares |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | |||||||||
19,291,378 | 1,096,823 | (3,460,900) | (532,566) | 16,394,735 | 182,515 | (16,362) | 40,318 | 1,485,030 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | |||||||||
18,932,660 | 3,278,211 | (1,577,847) | (3,818,905) | 16,814,119 | — | (342,955) | 120,634 | 2,235,920 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
12,381,369 | 659,533 | (550,832) | 40,281 | 12,530,351 | — | 28,470 | — | 497,631 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
13,425,677 | 2,077,022 | (10,585) | (2,941,806) | 12,550,308 | — | 176 | — | 560,031 | |
Total | 1,380,829,968 | 15,305,445 | 1,358,200,707 | 688,747 | 2,544,063 | 1,761,276 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
TBA | To Be Announced |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 491,692,526 | 491,692,526 |
Exchange-Traded Equity Funds | 75,470,744 | — | — | — | 75,470,744 |
Exchange-Traded Fixed Income Funds | 76,398,050 | — | — | — | 76,398,050 |
Fixed Income Funds | — | — | — | 621,491,342 | 621,491,342 |
Residential Mortgage-Backed Securities - Agency | — | 190,052,219 | — | — | 190,052,219 |
Options Purchased Puts | 17,959,660 | — | — | — | 17,959,660 |
Money Market Funds | 245,016,839 | — | — | — | 245,016,839 |
Total Investments in Securities | 414,845,293 | 190,052,219 | — | 1,113,183,868 | 1,718,081,380 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 2,257,473 | — | — | — | 2,257,473 |
Liability | |||||
Futures Contracts | (4,275,203) | — | — | — | (4,275,203) |
Total | 412,827,563 | 190,052,219 | — | 1,113,183,868 | 1,716,063,650 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 11 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $314,559,786) | $341,921,013 |
Affiliated issuers (cost $1,169,265,324) | 1,358,200,707 |
Options purchased (cost $15,872,375) | 17,959,660 |
Cash collateral held at broker for: | |
TBA | 77,000 |
Margin deposits on: | |
Futures contracts | 20,036,631 |
Receivable for: | |
Investments sold | 1,180,296 |
Dividends | 318,815 |
Interest | 208,799 |
Variation margin for futures contracts | 979,553 |
Trustees’ deferred compensation plan | 75,695 |
Total assets | 1,740,958,169 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 190,152,634 |
Capital shares purchased | 1,686,138 |
Variation margin for futures contracts | 1,735,212 |
Management services fees | 9,163 |
Distribution and/or service fees | 10,530 |
Service fees | 75,799 |
Compensation of board members | 3,812 |
Compensation of chief compliance officer | 133 |
Other expenses | 38,505 |
Trustees’ deferred compensation plan | 75,695 |
Total liabilities | 193,787,621 |
Net assets applicable to outstanding capital stock | $1,547,170,548 |
Represented by | |
Trust capital | $1,547,170,548 |
Total - representing net assets applicable to outstanding capital stock | $1,547,170,548 |
Class 1 | |
Net assets | $297,016 |
Shares outstanding | 21,853 |
Net asset value per share | $13.59 |
Class 2 | |
Net assets | $1,546,873,532 |
Shares outstanding | 114,182,306 |
Net asset value per share | $13.55 |
12 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,501,121 |
Dividends — affiliated issuers | 1,761,276 |
Interest | 22,653 |
Total income | 3,285,050 |
Expenses: | |
Management services fees | 1,611,176 |
Distribution and/or service fees | |
Class 2 | 1,861,903 |
Service fees | 447,138 |
Compensation of board members | 16,275 |
Custodian fees | 15,460 |
Printing and postage fees | 17,382 |
Audit fees | 19,642 |
Legal fees | 18,407 |
Compensation of chief compliance officer | 265 |
Other | 17,299 |
Total expenses | 4,024,947 |
Net investment loss | (739,897) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 2,205,949 |
Investments — affiliated issuers | 2,544,063 |
Capital gain distributions from underlying affiliated funds | 688,747 |
Foreign currency translations | 117,724 |
Futures contracts | (27,214,586) |
Options purchased | 21,928,975 |
Net realized gain | 270,872 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (2,351,623) |
Investments — affiliated issuers | 15,305,445 |
Foreign currency translations | 29,546 |
Futures contracts | (5,241,701) |
Options purchased | 4,650,370 |
Net change in unrealized appreciation (depreciation) | 12,392,037 |
Net realized and unrealized gain | 12,662,909 |
Net increase in net assets resulting from operations | $11,923,012 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 13 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(739,897) | $22,377,977 |
Net realized gain | 270,872 | 18,677,232 |
Net change in unrealized appreciation (depreciation) | 12,392,037 | 141,835,609 |
Net increase in net assets resulting from operations | 11,923,012 | 182,890,818 |
Increase in net assets from capital stock activity | 14,315,711 | 37,059,723 |
Total increase in net assets | 26,238,723 | 219,950,541 |
Net assets at beginning of period | 1,520,931,825 | 1,300,981,284 |
Net assets at end of period | $1,547,170,548 | $1,520,931,825 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 11,103 | 141,983 | 15,903 | 209,249 |
Redemptions | (4,630) | (59,011) | (523) | (6,781) |
Net increase | 6,473 | 82,972 | 15,380 | 202,468 |
Class 2 | ||||
Subscriptions | 4,600,791 | 60,444,522 | 7,647,751 | 98,451,288 |
Redemptions | (3,533,399) | (46,211,783) | (4,845,056) | (61,594,033) |
Net increase | 1,067,392 | 14,232,739 | 2,802,695 | 36,857,255 |
Total net increase | 1,073,865 | 14,315,711 | 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. |
14 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $13.47 | 0.01 | 0.11 | 0.12 |
Year Ended 12/31/2019(d) | $12.36 | 0.16 | 0.95 | 1.11 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $13.44 | (0.01) | 0.12 | 0.11 |
Year Ended 12/31/2019 | $11.79 | 0.20 | 1.45 | 1.65 |
Year Ended 12/31/2018 | $12.32 | 0.15 | (0.68) | (0.53) |
Year Ended 12/31/2017 | $11.08 | 0.11 | 1.13 | 1.24 |
Year Ended 12/31/2016 | $10.74 | 0.07 | 0.27 | 0.34 |
Year Ended 12/31/2015 | $10.94 | 0.09 | (0.29) | (0.20) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.59 | 0.89% | 0.29%(c) | 0.29%(c) | 0.15%(c) | 71% | $297 |
Year Ended 12/31/2019(d) | $13.47 | 8.98% | 0.29%(c) | 0.29%(c) | 1.46%(c) | 137% | $207 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.55 | 0.82% | 0.54%(c) | 0.54%(c) | (0.10%)(c) | 71% | $1,546,874 |
Year Ended 12/31/2019 | $13.44 | 14.00% | 0.54% | 0.54% | 1.58% | 137% | $1,520,725 |
Year Ended 12/31/2018 | $11.79 | (4.30%) | 0.54% | 0.54% | 1.21% | 101% | $1,300,981 |
Year Ended 12/31/2017 | $12.32 | 11.19% | 0.53% | 0.53% | 0.95% | 100% | $1,425,498 |
Year Ended 12/31/2016 | $11.08 | 3.17% | 0.51% | 0.51% | 0.64% | 108% | $1,358,964 |
Year Ended 12/31/2015 | $10.74 | (1.83%) | 0.52% | 0.52% | 0.83% | 118% | $936,541 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 17 |
18 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 19 |
20 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 21 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,871,672* |
Equity risk | Investments, at value — Options Purchased | 17,959,660 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 55,603* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 330,198* |
Total | 20,217,133 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 4,199,192* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 55,453* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 20,558* |
Total | 4,275,203 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (35,503,790) | 21,928,975 | (13,574,815) |
Foreign exchange risk | (1,136,104) | — | (1,136,104) |
Interest rate risk | 9,425,308 | — | 9,425,308 |
Total | (27,214,586) | 21,928,975 | (5,285,611) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (6,357,451) | 4,650,370 | (1,707,081) |
Foreign exchange risk | (219,314) | — | (219,314) |
Interest rate risk | 1,335,064 | — | 1,335,064 |
Total | (5,241,701) | 4,650,370 | (591,331) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 270,538,892 |
Futures contracts — short | 90,186,561 |
22 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 16,553,818 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 23 |
JPMorgan ($) | |
Assets | |
Options purchased puts | 17,959,660 |
Total financial and derivative net assets | 17,959,660 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 17,959,660 |
(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 | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 25 |
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 | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 27 |
28 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 29 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
30 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 33 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
34 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
3 | |
5 | |
6 | |
13 | |
14 | |
15 | |
16 | |
18 | |
31 | |
31 | |
35 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 3 |
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 52.7 |
International | 14.2 |
U.S. Large Cap | 31.9 |
U.S. Mid Cap | 3.4 |
U.S. Small Cap | 3.2 |
Exchange-Traded Equity Funds | 1.0 |
U.S. Large Cap | 1.0 |
Exchange-Traded Fixed Income Funds | 7.4 |
Investment Grade | 7.4 |
Fixed Income Funds | 10.2 |
Investment Grade | 10.2 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 12.9 |
Options Purchased Puts | 1.6 |
Residential Mortgage-Backed Securities - Agency | 14.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $1.6 billion) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 980.60 | 1,023.62 | 1.23 | 1.26 | 0.25 | 3.79 | 3.87 | 0.77 |
Class 2 | 1,000.00 | 1,000.00 | 979.30 | 1,022.38 | 2.46 | 2.51 | 0.50 | 5.02 | 5.13 | 1.02 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 5 |
6 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 68 | 09/2020 | USD | 4,692,000 | — | (83,212) |
British Pound | 88 | 09/2020 | USD | 6,818,350 | — | (185,734) |
DAX Index | 35 | 09/2020 | EUR | 10,784,813 | 298,739 | — |
FTSE/MIB Index | 88 | 09/2020 | EUR | 8,487,160 | 275,147 | — |
Japanese Yen | 259 | 09/2020 | USD | 30,014,863 | 80,303 | — |
MSCI Singapore Index | 205 | 07/2020 | SGD | 6,064,925 | — | (69,944) |
S&P 500 Index E-mini | 5,302 | 09/2020 | USD | 819,212,020 | 22,927,816 | — |
SPI 200 Index | 183 | 09/2020 | AUD | 26,955,900 | 324,862 | — |
TOPIX Index | 69 | 09/2020 | JPY | 1,075,365,000 | — | (430,917) |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 7 |
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 1,723 | 09/2020 | USD | 307,663,188 | 769,055 | — |
U.S. Treasury 10-Year Note | 3,614 | 09/2020 | USD | 502,967,156 | 1,285,994 | — |
U.S. Treasury 2-Year Note | 2,195 | 09/2020 | USD | 484,717,737 | 153,234 | — |
U.S. Treasury 5-Year Note | 3,854 | 09/2020 | USD | 484,610,393 | 952,397 | — |
U.S. Ultra Treasury Bond | 100 | 09/2020 | USD | 21,815,625 | 81,817 | — |
U.S. Ultra Treasury Bond | 373 | 09/2020 | USD | 81,372,281 | — | (139,691) |
Total | 27,149,364 | (909,498) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Dollar | (160) | 09/2020 | USD | (11,779,200) | 193,328 | — |
Euro FX | (178) | 09/2020 | USD | (25,039,038) | — | (46,578) |
EURO STOXX 50 Index | (1,521) | 09/2020 | EUR | (49,021,830) | — | (1,866,814) |
FTSE 100 Index | (437) | 09/2020 | GBP | (26,864,575) | — | (405,320) |
Hang Seng Index | (401) | 07/2020 | HKD | (486,152,350) | 207,254 | — |
New Zealand Dollar | (50) | 09/2020 | USD | (3,227,500) | 52,565 | — |
OMXS30 Index | (4,503) | 07/2020 | SEK | (750,312,375) | — | (3,428,794) |
Russell 2000 Index E-mini | (2,905) | 09/2020 | USD | (208,811,400) | — | (12,193,679) |
S&P 500 Index E-mini | (4,324) | 09/2020 | USD | (668,101,240) | — | (15,025,283) |
S&P/TSX 60 Index | (650) | 09/2020 | CAD | (120,705,000) | — | (2,707,779) |
Swiss Franc | (50) | 09/2020 | USD | (6,612,500) | — | (61,122) |
Total | 453,147 | (35,735,369) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 1,348,626,150 | 4,350 | 2,500.00 | 12/17/2021 | 73,378,025 | 79,822,500 |
S&P 500 Index | JPMorgan | USD | 1,010,694,540 | 3,260 | 2,600.00 | 12/17/2021 | 56,154,183 | 73,578,200 |
S&P 500 Index | JPMorgan | USD | 1,023,095,700 | 3,300 | 2,400.00 | 12/17/2021 | 61,919,172 | 52,602,000 |
Total | 191,451,380 | 206,002,700 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 150,000,000 | 1,563,588 | — | — | 1,563,588 | — |
* | 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. |
8 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 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 period ended June 30, 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, 0.253% | ||||||||
1,764,411,758 | 2,506,620,348 | (2,641,936,539) | 291,506 | 1,629,387,073 | (25,609) | 8,255,223 | 1,629,387,073 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | ||||||||
390,186,423 | — | (19,142,421) | (18,082,544) | 352,961,458 | 12,625,330 | — | 13,384,962 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | ||||||||
1,132,525,668 | 176,045 | (37,357,344) | (50,792,338) | 1,044,552,031 | 20,369,864 | — | 18,357,681 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | ||||||||
267,859,700 | 1,851,869 | (28,258) | (34,860,757) | 234,822,554 | 10,891 | — | 9,129,959 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | ||||||||
225,401,811 | 111,261 | (15,115,458) | 13,467,284 | 223,864,898 | 868,096 | — | 19,706,417 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | ||||||||
362,858,624 | — | (33,888,372) | 9,047,725 | 338,017,977 | 25,824,698 | — | 13,979,238 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | ||||||||
66,178,417 | 58,923 | (3,153,994) | 2,209,759 | 65,293,105 | (176,273) | — | 6,483,923 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | ||||||||
129,570,915 | 759 | (16,119,753) | 14,699,710 | 128,151,631 | 2,787,202 | — | 10,235,753 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | ||||||||
99,645,919 | — | (6,946,422) | 812,590 | 93,512,087 | 3,216,976 | — | 2,697,983 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | ||||||||
— | 403,585,146 | — | (4,951,237) | 398,633,909 | — | 2,035,062 | 33,955,188 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | ||||||||
188,877,177 | — | (12,935,472) | (2,736,641) | 173,205,064 | 2,397,964 | — | 14,591,834 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | ||||||||
233,488,450 | 1,167,128 | (14,890,120) | (35,678,879) | 184,086,579 | 3,872,679 | — | 7,810,207 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | ||||||||
97,278,851 | 3,001,364 | (233,085) | (19,054,243) | 80,992,887 | 27,480 | — | 3,910,810 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | ||||||||
57,290,453 | 921,955 | — | (11,723,333) | 46,489,075 | — | — | 3,743,082 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | ||||||||
56,471,831 | 565,474 | — | 11,602,256 | 68,639,561 | — | — | 3,202,966 | |
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 | 57,984 | (3,170,707) | 1,943,001 | 65,055,918 | 86,487 | — | 5,941,180 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | ||||||||
159,176,943 | 64,571 | (9,651,155) | 6,557,872 | 156,148,231 | 209,536 | — | 13,589,924 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | ||||||||
707,034,872 | 18,608,180 | (355,126,846) | (48,242,226) | 322,273,980 | (42,371,846) | 1,057,280 | 33,292,766 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | ||||||||
328,750,610 | — | (25,546,079) | 4,852,675 | 308,057,206 | 25,153,901 | — | 7,468,053 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | ||||||||
332,019,486 | — | (31,996,822) | 10,482,059 | 310,504,723 | 17,296,766 | — | 8,164,731 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 9 |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
CTIVP® – MFS® Value Fund, Class 1 Shares | ||||||||
204,945,854 | 2,767,046 | (32,277) | (26,438,653) | 181,241,970 | 744 | — | 7,149,585 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | ||||||||
317,566,138 | — | (40,699,011) | 57,378,735 | 334,245,862 | 37,348,751 | — | 7,090,493 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | ||||||||
194,870,920 | 5,987,129 | — | (35,243,501) | 165,614,548 | — | — | 7,753,490 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | ||||||||
243,997,330 | 70,917 | (17,628,426) | 13,315,347 | 239,755,168 | 1,413,873 | — | 20,509,424 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | ||||||||
140,769,178 | 3,334,238 | (845,487) | (20,123,335) | 123,134,594 | 72,571 | — | 4,765,271 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | ||||||||
22,538,267 | 94,324 | (230,043) | 697,157 | 23,099,705 | 3,515 | — | 2,179,218 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | ||||||||
152,211,685 | 64,073 | (11,527,671) | (7,765,027) | 132,983,060 | 7,165,310 | — | 4,155,721 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | ||||||||
393,856,381 | 142,303 | (27,486,808) | 21,751,975 | 388,263,851 | 1,420,352 | — | 32,848,042 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | ||||||||
439,791,573 | 245,729 | (11,910,713) | (23,996,846) | 404,129,743 | 4,628,002 | — | 17,748,342 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | ||||||||
716,487,338 | 20,171,943 | (62,380,289) | (61,353,896) | 612,925,096 | (13,080,289) | 1,396,561 | 62,415,998 | |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | ||||||||
272,553,406 | 6,533,865 | (45,842,700) | (5,086,938) | 228,157,633 | (3,866,080) | 565,700 | 20,666,452 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | ||||||||
258,520,062 | 25,541,420 | — | (56,635,907) | 227,425,575 | — | 1,545,438 | 30,242,763 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | ||||||||
145,554,659 | 13,751,805 | — | 2,816,016 | 162,122,480 | — | — | 6,438,542 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | ||||||||
134,402,018 | 16,039,470 | — | (28,269,486) | 122,172,002 | — | — | 5,451,673 | |
Total | 10,317,372,785 | (324,236,394) | 9,569,921,234 | 108,022,856 | 14,855,264 |
† | Issuer was not an affiliate at the end of period. |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
10 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 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 ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 6,650,901,654 | 6,650,901,654 |
Exchange-Traded Equity Funds | 127,445,188 | — | — | — | 127,445,188 |
Exchange-Traded Fixed Income Funds | 929,687,499 | — | — | — | 929,687,499 |
Fixed Income Funds | — | — | — | 1,289,632,507 | 1,289,632,507 |
Residential Mortgage-Backed Securities - Agency | — | 1,792,513,718 | — | — | 1,792,513,718 |
Options Purchased Puts | 206,002,700 | — | — | — | 206,002,700 |
Money Market Funds | 1,629,387,073 | — | — | — | 1,629,387,073 |
Total Investments in Securities | 2,892,522,460 | 1,792,513,718 | — | 7,940,534,161 | 12,625,570,339 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 27,602,511 | — | — | — | 27,602,511 |
Swap Contracts | — | 1,563,588 | — | — | 1,563,588 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 11 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Liability | |||||
Futures Contracts | (36,644,867) | — | — | — | (36,644,867) |
Total | 2,883,480,104 | 1,794,077,306 | — | 7,940,534,161 | 12,618,091,571 |
12 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,751,790,250) | $2,849,646,405 |
Affiliated issuers (cost $7,713,535,080) | 9,569,921,234 |
Options purchased (cost $191,451,380) | 206,002,700 |
Cash collateral held at broker for: | |
TBA | 1,408,000 |
Margin deposits on: | |
Futures contracts | 200,566,000 |
Swap contracts | 5,649,139 |
Receivable for: | |
Investments sold | 7,149,696 |
Capital shares sold | 138 |
Dividends | 926,711 |
Interest | 1,977,074 |
Variation margin for futures contracts | 12,482,053 |
Variation margin for swap contracts | 208,660 |
Trustees’ deferred compensation plan | 360,730 |
Total assets | 12,856,298,540 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 1,794,609,851 |
Capital shares purchased | 10,213,990 |
Variation margin for futures contracts | 14,531,832 |
Management services fees | 56,829 |
Distribution and/or service fees | 74,940 |
Service fees | 543,022 |
Compensation of board members | 14,353 |
Compensation of chief compliance officer | 1,009 |
Other expenses | 73,991 |
Trustees’ deferred compensation plan | 360,730 |
Total liabilities | 1,820,480,547 |
Net assets applicable to outstanding capital stock | $11,035,817,993 |
Represented by | |
Trust capital | $11,035,817,993 |
Total - representing net assets applicable to outstanding capital stock | $11,035,817,993 |
Class 1 | |
Net assets | $3,499,304 |
Shares outstanding | 238,613 |
Net asset value per share | $14.67 |
Class 2 | |
Net assets | $11,032,318,689 |
Shares outstanding | 753,263,430 |
Net asset value per share | $14.65 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 13 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $9,191,544 |
Dividends — affiliated issuers | 14,855,264 |
Interest | 393,962 |
Total income | 24,440,770 |
Expenses: | |
Management services fees | 9,948,586 |
Distribution and/or service fees | |
Class 2 | 13,483,415 |
Service fees | 3,236,104 |
Compensation of board members | 75,235 |
Custodian fees | 19,631 |
Printing and postage fees | 59,708 |
Audit fees | 19,642 |
Legal fees | 133,777 |
Compensation of chief compliance officer | 1,962 |
Other | 111,238 |
Total expenses | 27,089,298 |
Net investment loss | (2,648,528) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 86,887,510 |
Investments — affiliated issuers | 108,022,856 |
Capital gain distributions from underlying affiliated funds | 9,533,724 |
Foreign currency translations | 609,247 |
Futures contracts | (318,973,951) |
Options purchased | 329,156,626 |
Swap contracts | 246,233 |
Net realized gain | 215,482,245 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (134,887,966) |
Investments — affiliated issuers | (324,236,394) |
Foreign currency translations | 534,945 |
Futures contracts | (51,150,845) |
Options purchased | 49,019,970 |
Swap contracts | 1,563,588 |
Net change in unrealized appreciation (depreciation) | (459,156,702) |
Net realized and unrealized loss | (243,674,457) |
Net decrease in net assets resulting from operations | $(246,322,985) |
14 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(2,648,528) | $98,164,055 |
Net realized gain | 215,482,245 | 134,809,608 |
Net change in unrealized appreciation (depreciation) | (459,156,702) | 1,548,835,619 |
Net increase (decrease) in net assets resulting from operations | (246,322,985) | 1,781,809,282 |
Decrease in net assets from capital stock activity | (170,003,439) | (149,973,121) |
Total increase (decrease) in net assets | (416,326,424) | 1,631,836,161 |
Net assets at beginning of period | 11,452,144,417 | 9,820,308,256 |
Net assets at end of period | $11,035,817,993 | $11,452,144,417 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 128,831 | 1,859,708 | 138,161 | 1,973,792 |
Redemptions | (22,856) | (333,062) | (5,523) | (76,936) |
Net increase | 105,975 | 1,526,646 | 132,638 | 1,896,856 |
Class 2 | ||||
Subscriptions | 3,880,411 | 53,102,299 | 11,338,956 | 159,797,469 |
Redemptions | (15,862,441) | (224,632,384) | (22,198,942) | (311,667,446) |
Net decrease | (11,982,030) | (171,530,085) | (10,859,986) | (151,869,977) |
Total net decrease | (11,876,055) | (170,003,439) | (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. |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $14.96 | 0.01 | (0.30) | (0.29) |
Year Ended 12/31/2019(d) | $13.62 | 0.11 | 1.23 | 1.34 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $14.96 | (0.00) | (0.31) | (0.31) |
Year Ended 12/31/2019 | $12.65 | 0.13 | 2.18 | 2.31 |
Year Ended 12/31/2018 | $13.71 | 0.09 | (1.15) | (1.06) |
Year Ended 12/31/2017 | $11.67 | 0.05 | 1.99 | 2.04 |
Year Ended 12/31/2016 | $11.29 | 0.04 | 0.34 | 0.38 |
Year Ended 12/31/2015 | $11.68 | 0.03 | (0.42) | (0.39) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $14.67 | (1.94%) | 0.25%(c) | 0.25%(c) | 0.21%(c) | 91% | $3,499 |
Year Ended 12/31/2019(d) | $14.96 | 9.84% | 0.25%(c) | 0.25%(c) | 0.88%(c) | 128% | $1,985 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $14.65 | (2.07%) | 0.50%(c) | 0.50%(c) | (0.05%)(c) | 91% | $11,032,319 |
Year Ended 12/31/2019 | $14.96 | 18.26% | 0.49% | 0.49% | 0.91% | 128% | $11,450,160 |
Year Ended 12/31/2018 | $12.65 | (7.73%) | 0.49% | 0.49% | 0.65% | 74% | $9,820,308 |
Year Ended 12/31/2017 | $13.71 | 17.48% | 0.48% | 0.48% | 0.42% | 83% | $10,121,668 |
Year Ended 12/31/2016 | $11.67 | 3.37% | 0.47% | 0.47% | 0.37% | 91% | $8,232,846 |
Year Ended 12/31/2015 | $11.29 | (3.34%) | 0.48% | 0.48% | 0.29% | 74% | $7,441,534 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 17 |
18 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 19 |
20 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 21 |
22 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 1,563,588* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 24,033,818* |
Equity risk | Investments, at value — Options Purchased | 206,002,700 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 326,196* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 3,242,497* |
Total | 235,168,799 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 36,128,530* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 376,646* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 139,691* |
Total | 36,644,867 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 246,233 | 246,233 |
Equity risk | (359,657,819) | 329,156,626 | — | (30,501,193) |
Foreign exchange risk | (11,009,786) | — | — | (11,009,786) |
Interest rate risk | 51,693,654 | — | — | 51,693,654 |
Total | (318,973,951) | 329,156,626 | 246,233 | 10,428,908 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 1,563,588 | 1,563,588 |
Equity risk | (53,412,303) | 49,019,970 | — | (4,392,333) |
Foreign exchange risk | (4,505,290) | — | — | (4,505,290) |
Interest rate risk | 6,766,748 | — | — | 6,766,748 |
Total | (51,150,845) | 49,019,970 | 1,563,588 | (567,287) |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 23 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,877,069,569 |
Futures contracts — short | 1,041,594,294 |
Credit default swap contracts — sell protection | 75,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 197,162,350 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
24 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 208,660 | 208,660 |
Options purchased puts | 206,002,700 | - | 206,002,700 |
Total assets | 206,002,700 | 208,660 | 206,211,360 |
Total financial and derivative net assets | 206,002,700 | 208,660 | 206,211,360 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 206,002,700 | 208,660 | 206,211,360 |
(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 | Semiannual Report 2020 | 25 |
26 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 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 Volatility Growth Fund | Semiannual Report 2020 | 27 |
28 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 29 |
30 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 31 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
32 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 33 |
34 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 35 |
3 | |
5 | |
6 | |
12 | |
13 | |
14 | |
16 | |
18 | |
30 | |
30 | |
34 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 3 |
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 15.7 |
International | 4.0 |
U.S. Large Cap | 9.2 |
U.S. Mid Cap | 1.0 |
U.S. Small Cap | 1.5 |
Exchange-Traded Equity Funds | 4.0 |
International Mid Large Cap | 1.2 |
U.S. Large Cap | 2.8 |
Exchange-Traded Fixed Income Funds | 3.6 |
Investment Grade | 3.6 |
Fixed Income Funds | 50.3 |
Investment Grade | 50.3 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 16.6 |
Options Purchased Puts | 0.7 |
Residential Mortgage-Backed Securities - Agency | 9.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $137.8 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,024.40 | 1,023.37 | 1.51 | 1.51 | 0.30 | 3.52 | 3.52 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,022.90 | 1,022.13 | 2.77 | 2.77 | 0.55 | 4.78 | 4.78 | 0.95 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 5 |
6 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
British Pound | 3 | 09/2020 | USD | 232,444 | — | (6,332) |
Japanese Yen | 1 | 09/2020 | USD | 115,888 | 310 | — |
MSCI Singapore Index | 6 | 07/2020 | SGD | 177,510 | — | (2,047) |
S&P 500 Index E-mini | 132 | 09/2020 | USD | 20,395,320 | 593,525 | — |
U.S. Long Bond | 82 | 09/2020 | USD | 14,642,125 | 27,251 | — |
U.S. Treasury 10-Year Note | 182 | 09/2020 | USD | 25,329,281 | 66,464 | — |
U.S. Treasury 2-Year Note | 74 | 09/2020 | USD | 16,341,281 | 1,778 | — |
U.S. Treasury 5-Year Note | 277 | 09/2020 | USD | 34,830,586 | 75,176 | — |
Total | 764,504 | (8,379) |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 7 |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | (19) | 09/2020 | USD | (1,311,000) | 23,110 | — |
Canadian Dollar | (2) | 09/2020 | USD | (147,240) | 2,417 | — |
Euro FX | (1) | 09/2020 | USD | (140,669) | — | (262) |
EURO STOXX 50 Index | (80) | 09/2020 | EUR | (2,578,400) | — | (98,189) |
FTSE 100 Index | (19) | 09/2020 | GBP | (1,168,025) | — | (17,623) |
Hang Seng Index | (8) | 07/2020 | HKD | (9,698,800) | 4,135 | — |
OMXS30 Index | (161) | 07/2020 | SEK | (26,826,625) | — | (122,593) |
Russell 2000 Index E-mini | (118) | 09/2020 | USD | (8,481,840) | — | (495,303) |
S&P 500 Index E-mini | (150) | 09/2020 | USD | (23,176,500) | — | (521,647) |
S&P/TSX 60 Index | (10) | 09/2020 | CAD | (1,857,000) | — | (41,658) |
SPI 200 Index | (1) | 09/2020 | AUD | (147,300) | — | (2,638) |
Swiss Franc | (3) | 09/2020 | USD | (396,750) | — | (3,667) |
TOPIX Index | (3) | 09/2020 | JPY | (46,755,000) | 11,437 | — |
TOPIX Index | (8) | 09/2020 | JPY | (124,680,000) | — | (17,292) |
U.S. Ultra Treasury Bond | (12) | 09/2020 | USD | (2,617,875) | 17,413 | — |
Total | 58,512 | (1,320,872) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 53,014,959 | 171 | 2,500.00 | 12/17/2021 | 2,884,495 | 3,137,850 |
S&P 500 Index | JPMorgan | USD | 32,553,045 | 105 | 2,600.00 | 12/17/2021 | 1,808,629 | 2,369,850 |
S&P 500 Index | JPMorgan | USD | 9,920,928 | 32 | 2,400.00 | 12/17/2021 | 587,863 | 510,080 |
Total | 5,280,987 | 6,017,780 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
115,040,778 | 89,342,257 | (66,611,655) | 19,070 | 137,790,450 | — | 1,766 | 578,859 | 137,790,450 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
4,938,391 | 2,239,108 | (643,276) | 331,622 | 6,865,845 | — | (4,374) | — | 260,366 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
14,340,260 | 6,992,514 | (1,977,917) | 985,850 | 20,340,707 | — | (62,672) | — | 357,482 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
3,275,984 | 1,651,555 | (331,043) | (225,263) | 4,371,233 | — | (35,402) | — | 169,955 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
62,429,451 | 16,646,938 | (692,402) | 5,171,091 | 83,555,078 | — | 7,494 | — | 7,355,201 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
4,530,074 | 1,825,222 | (656,751) | 864,324 | 6,562,869 | — | 38,146 | — | 271,417 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
18,985,434 | 5,439,927 | (125,580) | 841,030 | 25,140,811 | — | 746 | — | 2,496,605 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
31,626,919 | 7,069,748 | (1,275,331) | 4,968,107 | 42,389,443 | — | 32,761 | — | 3,385,738 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
1,229,333 | 573,028 | (176,422) | 185,886 | 1,811,825 | — | (1) | — | 52,274 |
8 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Affiliated issuers | Beginning of period($) | 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 – Overseas Core Fund, Class 1 Shares | |||||||||
— | 7,415,828 | (11,424) | (89,026) | 7,315,378 | 91,482 | (331) | 37,346 | 623,115 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
2,463,277 | 1,111,194 | (333,518) | 198,012 | 3,438,965 | — | (1,159) | — | 289,719 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
2,474,720 | 1,492,420 | (393,627) | (98,360) | 3,475,153 | — | (45,640) | — | 147,440 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
1,235,752 | 781,744 | (174,680) | (136,158) | 1,706,658 | — | (28,686) | — | 82,407 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
1,697,495 | 1,020,526 | (37,927) | (176,070) | 2,504,024 | — | (2,509) | — | 201,612 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
1,673,240 | 486,067 | (14,075) | 457,057 | 2,602,289 | — | 1,642 | — | 121,432 | |
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 | 5,367,170 | (131,759) | 658,819 | 24,451,089 | — | 376 | — | 2,232,976 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
45,560,315 | 12,850,955 | (523,431) | 2,430,759 | 60,318,598 | — | 1,191 | — | 5,249,660 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
8,596,966 | 5,413,380 | (6,710,173) | (220,238) | 7,079,935 | — | (476,942) | 20,185 | 731,398 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
3,697,845 | 1,335,047 | (409,190) | 634,224 | 5,257,926 | — | 21,418 | — | 127,465 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
3,693,928 | 1,589,196 | (549,653) | 712,482 | 5,445,953 | — | 16,812 | — | 143,201 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
2,457,868 | 1,322,873 | (315,647) | (138,501) | 3,326,593 | — | (30,497) | — | 131,227 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
3,660,352 | 1,419,839 | (671,421) | 1,656,709 | 6,065,479 | — | 43,174 | — | 128,669 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
2,456,745 | 1,435,655 | (279,895) | (285,714) | 3,326,791 | — | (42,862) | — | 155,749 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
62,432,997 | 16,709,842 | (771,196) | 4,350,991 | 82,722,634 | — | 9,945 | — | 7,076,359 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
1,634,911 | 988,048 | (236,149) | (73,133) | 2,313,677 | — | (32,093) | — | 89,539 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
7,660,965 | 2,198,281 | (41,094) | 260,830 | 10,078,982 | — | 183 | — | 950,847 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
1,651,021 | 884,836 | (307,211) | 190,267 | 2,418,913 | — | (6,002) | — | 75,591 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
66,003,274 | 17,885,023 | (834,193) | 4,457,529 | 87,511,633 | — | 10,363 | — | 7,403,692 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
5,327,053 | 2,546,514 | (672,307) | 201,777 | 7,403,037 | — | (26,610) | — | 325,122 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | |||||||||
8,595,700 | 4,442,025 | (1,701,582) | (225,278) | 11,110,865 | 36,370 | (120,348) | 26,814 | 1,131,453 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 9 |
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 ($) | End of period shares |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | |||||||||
2,877,272 | 1,411,015 | (1,028,366) | 109,521 | 3,369,442 | 37,545 | 13,049 | 8,972 | 305,203 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | |||||||||
2,850,201 | 1,923,305 | (211,730) | (499,816) | 4,061,960 | — | (49,671) | 29,956 | 540,154 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
2,458,443 | 1,314,132 | (383,311) | 324,591 | 3,713,855 | — | (20,100) | — | 147,493 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
2,861,661 | 1,927,088 | (359,240) | (410,496) | 4,019,013 | — | (75,974) | — | 179,340 | |
Total | 519,369,480 | 27,286,990 | 683,867,103 | 165,397 | (839,649) | 702,132 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 129,908,385 | 129,908,385 |
Exchange-Traded Equity Funds | 32,839,006 | — | — | — | 32,839,006 |
Exchange-Traded Fixed Income Funds | 29,791,750 | — | — | — | 29,791,750 |
Fixed Income Funds | — | — | — | 416,168,268 | 416,168,268 |
Residential Mortgage-Backed Securities - Agency | — | 75,497,636 | — | — | 75,497,636 |
Options Purchased Puts | 6,017,780 | — | — | — | 6,017,780 |
Money Market Funds | 137,790,450 | — | — | — | 137,790,450 |
Total Investments in Securities | 206,438,986 | 75,497,636 | — | 546,076,653 | 828,013,275 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 823,016 | — | — | — | 823,016 |
Liability | |||||
Futures Contracts | (1,329,251) | — | — | — | (1,329,251) |
Total | 205,932,751 | 75,497,636 | — | 546,076,653 | 827,507,040 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 11 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $128,443,103) | $138,128,392 |
Affiliated issuers (cost $618,164,600) | 683,867,103 |
Options purchased (cost $5,280,987) | 6,017,780 |
Margin deposits on: | |
Futures contracts | 6,339,410 |
Receivable for: | |
Capital shares sold | 1,364,324 |
Dividends | 130,610 |
Interest | 82,736 |
Variation margin for futures contracts | 323,416 |
Trustees’ deferred compensation plan | 44,997 |
Total assets | 836,298,768 |
Liabilities | |
Payable for: | |
Investments purchased | 939,227 |
Investments purchased on a delayed delivery basis | 75,548,990 |
Capital shares purchased | 22,571 |
Variation margin for futures contracts | 516,136 |
Management services fees | 4,475 |
Distribution and/or service fees | 5,157 |
Service fees | 36,847 |
Compensation of board members | 2,940 |
Compensation of chief compliance officer | 48 |
Other expenses | 29,257 |
Trustees’ deferred compensation plan | 44,997 |
Total liabilities | 77,150,645 |
Net assets applicable to outstanding capital stock | $759,148,123 |
Represented by | |
Trust capital | $759,148,123 |
Total - representing net assets applicable to outstanding capital stock | $759,148,123 |
Class 1 | |
Net assets | $107,209 |
Shares outstanding | 8,240 |
Net asset value per share | $13.01 |
Class 2 | |
Net assets | $759,040,914 |
Shares outstanding | 58,519,710 |
Net asset value per share | $12.97 |
12 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $633,911 |
Dividends — affiliated issuers | 702,132 |
Interest | 9,964 |
Total income | 1,346,007 |
Expenses: | |
Management services fees | 723,683 |
Distribution and/or service fees | |
Class 2 | 813,617 |
Service fees | 196,062 |
Compensation of board members | 10,571 |
Custodian fees | 13,931 |
Printing and postage fees | 8,637 |
Audit fees | 19,642 |
Legal fees | 7,449 |
Compensation of chief compliance officer | 103 |
Other | 7,994 |
Total expenses | 1,801,689 |
Net investment loss | (455,682) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 1,328,058 |
Investments — affiliated issuers | (839,649) |
Capital gain distributions from underlying affiliated funds | 165,397 |
Foreign currency translations | 39,328 |
Futures contracts | (7,611,713) |
Options purchased | 3,982,764 |
Net realized loss | (2,935,815) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (1,023,311) |
Investments — affiliated issuers | 27,286,990 |
Foreign currency translations | 6,846 |
Futures contracts | (1,443,138) |
Options purchased | 1,239,910 |
Net change in unrealized appreciation (depreciation) | 26,067,297 |
Net realized and unrealized gain | 23,131,482 |
Net increase in net assets resulting from operations | $22,675,800 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 13 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(455,682) | $9,457,622 |
Net realized gain (loss) | (2,935,815) | 6,851,300 |
Net change in unrealized appreciation (depreciation) | 26,067,297 | 38,388,994 |
Net increase in net assets resulting from operations | 22,675,800 | 54,697,916 |
Increase in net assets from capital stock activity | 163,718,457 | 91,762,250 |
Total increase in net assets | 186,394,257 | 146,460,166 |
Net assets at beginning of period | 572,753,866 | 426,293,700 |
Net assets at end of period | $759,148,123 | $572,753,866 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,290 | 52,686 | 4,222 | 51,550 |
Redemptions | (209) | (2,544) | (63) | (790) |
Net increase | 4,081 | 50,142 | 4,159 | 50,760 |
Class 2 | ||||
Subscriptions | 15,350,325 | 188,944,819 | 10,555,664 | 128,068,194 |
Redemptions | (2,003,377) | (25,276,504) | (3,022,427) | (36,356,704) |
Net increase | 13,346,948 | 163,668,315 | 7,533,237 | 91,711,490 |
Total net increase | 13,351,029 | 163,718,457 | 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. |
14 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $12.70 | 0.01 | 0.30 | 0.31 |
Year Ended 12/31/2019(d) | $11.70 | 0.17 | 0.83 | 1.00 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $12.68 | (0.01) | 0.30 | 0.29 |
Year Ended 12/31/2019 | $11.33 | 0.23 | 1.12 | 1.35 |
Year Ended 12/31/2018 | $11.63 | 0.17 | (0.47) | (0.30) |
Year Ended 12/31/2017 | $10.78 | 0.13 | 0.72 | 0.85 |
Year Ended 12/31/2016 | $10.46 | 0.09 | 0.23 | 0.32 |
Year Ended 12/31/2015 | $10.58 | 0.10 | (0.22) | (0.12) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.01 | 2.44% | 0.30%(c) | 0.30%(c) | 0.09%(c) | 71% | $107 |
Year Ended 12/31/2019(d) | $12.70 | 8.55% | 0.31%(c) | 0.31%(c) | 1.57%(c) | 139% | $53 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.97 | 2.29% | 0.55%(c) | 0.55%(c) | (0.14%)(c) | 71% | $759,041 |
Year Ended 12/31/2019 | $12.68 | 11.91% | 0.57% | 0.57% | 1.90% | 139% | $572,701 |
Year Ended 12/31/2018 | $11.33 | (2.58%) | 0.57% | 0.57% | 1.45% | 119% | $426,294 |
Year Ended 12/31/2017 | $11.63 | 7.88% | 0.55% | 0.55% | 1.17% | 103% | $462,907 |
Year Ended 12/31/2016 | $10.78 | 3.06% | 0.53% | 0.53% | 0.86% | 106% | $444,792 |
Year Ended 12/31/2015 | $10.46 | (1.13%) | 0.56% | 0.56% | 0.98% | 142% | $241,975 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 17 |
18 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 19 |
20 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 21 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 609,097* |
Equity risk | Investments, at value — Options Purchased | 6,017,780 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 25,837* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 188,082* |
Total | 6,840,796 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,318,990* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 10,261* |
Total | 1,329,251 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (11,476,344) | 3,982,764 | (7,493,580) |
Foreign exchange risk | (433,825) | — | (433,825) |
Interest rate risk | 4,298,456 | — | 4,298,456 |
Total | (7,611,713) | 3,982,764 | (3,628,949) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (2,041,089) | 1,239,910 | (801,179) |
Foreign exchange risk | (16,349) | — | (16,349) |
Interest rate risk | 614,300 | — | 614,300 |
Total | (1,443,138) | 1,239,910 | (203,228) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 120,348,741 |
Futures contracts — short | 28,518,803 |
22 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 4,588,075 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 23 |
JPMorgan ($) | |
Assets | |
Options purchased puts | 6,017,780 |
Total financial and derivative net assets | 6,017,780 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 6,017,780 |
(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 | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 25 |
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 | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 27 |
28 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 29 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
30 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 33 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
34 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
29 | |
29 | |
33 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 3 |
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 27.1 |
U.S. Large Cap | 27.1 |
Exchange-Traded Fixed Income Funds | 7.9 |
Investment Grade | 7.9 |
Fixed Income Funds | 33.8 |
High Yield | 1.9 |
Investment Grade | 31.9 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 13.9 |
Options Purchased Puts | 0.6 |
Residential Mortgage-Backed Securities - Agency | 16.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $62.8 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 999.20 | 1,023.32 | 1.54 | 1.56 | 0.31 | 3.48 | 3.52 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 998.40 | 1,022.03 | 2.83 | 2.87 | 0.57 | 4.77 | 4.83 | 0.96 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 5 |
6 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 59 | 09/2020 | USD | 9,116,090 | 261,921 | — |
U.S. Long Bond | 79 | 09/2020 | USD | 14,106,438 | 26,254 | — |
U.S. Treasury 10-Year Note | 143 | 09/2020 | USD | 19,901,578 | 52,222 | — |
U.S. Treasury 2-Year Note | 63 | 09/2020 | USD | 13,912,172 | 1,514 | — |
U.S. Treasury 5-Year Note | 153 | 09/2020 | USD | 19,238,555 | 41,523 | — |
U.S. Ultra Treasury Bond | 27 | 09/2020 | USD | 5,890,219 | — | (22,202) |
Total | 383,434 | (22,202) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (406) | 09/2020 | USD | (62,731,060) | — | (1,412,051) |
S&P/TSX 60 Index | (8) | 09/2020 | CAD | (1,485,600) | — | (33,327) |
Total | — | (1,445,378) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 26,042,436 | 84 | 2,500.00 | 12/17/2021 | 1,417,045 | 1,541,400 |
S&P 500 Index | JPMorgan | USD | 12,401,160 | 40 | 2,600.00 | 12/17/2021 | 689,030 | 902,800 |
S&P 500 Index | JPMorgan | USD | 2,480,232 | 8 | 2,400.00 | 12/17/2021 | 145,081 | 127,520 |
Total | 2,251,156 | 2,571,720 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 18,000,000 | 273,737 | — | — | 273,737 | — |
* | 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 period ended June 30, 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, 0.253% | |||||||||
62,412,483 | 82,251,205 | (81,864,211) | 8,129 | 62,807,606 | — | (2,863) | 305,720 | 62,807,606 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
10,043,912 | 4,131,641 | (1,043,105) | 387,285 | 13,519,733 | — | (89,766) | — | 237,605 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 7 |
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 – Income Opportunities Fund, Class 1 Shares | |||||||||
6,616,297 | 2,578,735 | (308,069) | (124,592) | 8,762,371 | — | (16,654) | — | 1,195,412 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
22,647,920 | 6,819,121 | (1,070,599) | 1,904,711 | 30,301,153 | — | 8,548 | — | 2,667,355 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
20,099,279 | 8,215,958 | (1,899,857) | 579,008 | 26,994,388 | — | (160,473) | — | 1,077,190 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
6,662,698 | 2,195,282 | (244,361) | 295,247 | 8,908,866 | — | (415) | — | 884,694 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
5,414,795 | 1,387,196 | (367,839) | 855,483 | 7,289,635 | — | 232 | — | 582,239 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
10,064,800 | 5,776,771 | (1,663,927) | (662,611) | 13,515,033 | — | (294,226) | — | 573,400 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
6,664,795 | 2,240,637 | (253,839) | 247,713 | 8,899,306 | — | (48) | — | 812,722 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
21,912,796 | 7,114,914 | (868,052) | 1,175,203 | 29,334,861 | — | (1,081) | — | 2,553,078 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
10,043,110 | 3,068,116 | (1,110,804) | 1,545,945 | 13,546,367 | — | 37,153 | — | 328,397 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
10,031,491 | 3,358,748 | (3,257,603) | 3,760,676 | 13,893,312 | — | 460,608 | — | 294,724 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
10,057,817 | 5,910,712 | (1,170,622) | (1,388,105) | 13,409,802 | — | (241,927) | — | 627,800 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
21,218,272 | 6,497,496 | (804,234) | 1,497,805 | 28,409,339 | — | (516) | — | 2,430,226 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
3,043,276 | 1,028,447 | (106,645) | 104,814 | 4,069,892 | — | (7) | — | 383,952 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
19,634,612 | 6,120,657 | (786,837) | 1,342,912 | 26,311,344 | — | 667 | — | 2,226,002 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
20,093,120 | 8,449,335 | (1,837,458) | 270,046 | 26,975,043 | — | (180,770) | — | 1,184,675 | |
Total | 266,661,473 | 11,799,669 | 336,948,051 | — | (481,538) | 305,720 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
TBA | To Be Announced |
CAD | Canada Dollar |
USD | US Dollar |
8 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
■ | 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 | — | — | — | 121,853,678 | 121,853,678 |
Exchange-Traded Fixed Income Funds | 35,677,510 | — | — | — | 35,677,510 |
Fixed Income Funds | — | — | — | 152,286,767 | 152,286,767 |
Residential Mortgage-Backed Securities - Agency | — | 75,243,223 | — | — | 75,243,223 |
Options Purchased Puts | 2,571,720 | — | — | — | 2,571,720 |
Money Market Funds | 62,807,606 | — | — | — | 62,807,606 |
Total Investments in Securities | 101,056,836 | 75,243,223 | — | 274,140,445 | 450,440,504 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 383,434 | — | — | — | 383,434 |
Swap Contracts | — | 273,737 | — | — | 273,737 |
Liability | |||||
Futures Contracts | (1,467,580) | — | — | — | (1,467,580) |
Total | 99,972,690 | 75,516,960 | — | 274,140,445 | 449,630,095 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 9 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $108,787,618) | $110,920,733 |
Affiliated issuers (cost $305,425,849) | 336,948,051 |
Options purchased (cost $2,251,156) | 2,571,720 |
Margin deposits on: | |
Futures contracts | 6,772,515 |
Swap contracts | 677,897 |
Receivable for: | |
Investments sold | 11,823 |
Capital shares sold | 10,361 |
Dividends | 13,300 |
Interest | 80,184 |
Variation margin for futures contracts | 126,359 |
Variation margin for swap contracts | 25,039 |
Trustees’ deferred compensation plan | 18,654 |
Total assets | 458,176,636 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 75,275,302 |
Capital shares purchased | 27,251 |
Variation margin for futures contracts | 961,114 |
Management services fees | 2,279 |
Distribution and/or service fees | 2,598 |
Service fees | 18,679 |
Compensation of board members | 2,606 |
Compensation of chief compliance officer | 22 |
Other expenses | 26,399 |
Trustees’ deferred compensation plan | 18,654 |
Total liabilities | 76,334,904 |
Net assets applicable to outstanding capital stock | $381,841,732 |
Represented by | |
Trust capital | $381,841,732 |
Total - representing net assets applicable to outstanding capital stock | $381,841,732 |
Class 1 | |
Net assets | $20,926 |
Shares outstanding | 1,658 |
Net asset value per share | $12.62 |
Class 2 | |
Net assets | $381,820,806 |
Shares outstanding | 30,352,220 |
Net asset value per share | $12.58 |
10 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $317,499 |
Dividends — affiliated issuers | 305,720 |
Interest | 8,333 |
Total income | 631,552 |
Expenses: | |
Management services fees | 368,244 |
Distribution and/or service fees | |
Class 2 | 414,423 |
Service fees | 99,931 |
Compensation of board members | 8,656 |
Custodian fees | 12,057 |
Printing and postage fees | 8,285 |
Audit fees | 19,642 |
Legal fees | 3,822 |
Compensation of chief compliance officer | 52 |
Other | 5,273 |
Total expenses | 940,385 |
Net investment loss | (308,833) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 1,281,747 |
Investments — affiliated issuers | (481,538) |
Foreign currency translations | (4,971) |
Futures contracts | (13,632,292) |
Options purchased | 4,685,995 |
Swap contracts | 42,300 |
Net realized loss | (8,108,759) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 780,032 |
Investments — affiliated issuers | 11,799,669 |
Foreign currency translations | 4,974 |
Futures contracts | (2,277,891) |
Options purchased | 733,671 |
Swap contracts | 273,737 |
Net change in unrealized appreciation (depreciation) | 11,314,192 |
Net realized and unrealized gain | 3,205,433 |
Net increase in net assets resulting from operations | $2,896,600 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(308,833) | $2,965,061 |
Net realized gain (loss) | (8,108,759) | 2,892,937 |
Net change in unrealized appreciation (depreciation) | 11,314,192 | 21,480,197 |
Net increase in net assets resulting from operations | 2,896,600 | 27,338,195 |
Increase in net assets from capital stock activity | 90,014,898 | 122,530,566 |
Total increase in net assets | 92,911,498 | 149,868,761 |
Net assets at beginning of period | 288,930,234 | 139,061,473 |
Net assets at end of period | $381,841,732 | $288,930,234 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,443 | 17,080 | 221 | 2,540 |
Redemptions | (6) | (77) | — | — |
Net increase | 1,437 | 17,003 | 221 | 2,540 |
Class 2 | ||||
Subscriptions | 8,774,273 | 106,366,528 | 11,038,892 | 131,914,768 |
Redemptions | (1,346,195) | (16,368,633) | (787,233) | (9,386,742) |
Net increase | 7,428,078 | 89,997,895 | 10,251,659 | 122,528,026 |
Total net increase | 7,429,515 | 90,014,898 | 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. |
12 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual 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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $12.63 | (0.00)(c) | (0.01)(d) | (0.01) |
Year Ended 12/31/2019(f) | $11.47 | 0.20 | 0.96 | 1.16 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $12.60 | (0.01) | (0.01)(d) | (0.02) |
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(g) | $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) | Rounds to zero. |
(d) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
(e) | Annualized. |
(f) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(g) | 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 | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.62 | (0.08%) | 0.31%(e) | 0.31%(e) | (0.03%)(e) | 87% | $21 |
Year Ended 12/31/2019(f) | $12.63 | 10.11% | 0.32%(e) | 0.32%(e) | 1.98%(e) | 156% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.58 | (0.16%) | 0.57%(e) | 0.57%(e) | (0.19%)(e) | 87% | $381,821 |
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(g) | $10.07 | 0.70% | 1.08%(e) | 0.66%(e) | (0.28%)(e) | 10% | $18,272 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 15 |
16 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 17 |
18 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 19 |
20 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 273,737* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 261,921* |
Equity risk | Investments, at value — Options Purchased | 2,571,720 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 121,513* |
Total | 3,228,891 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,445,378* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 22,202* |
Total | 1,467,580 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 42,300 | 42,300 |
Equity risk | (15,760,382) | 4,685,995 | — | (11,074,387) |
Interest rate risk | 2,128,090 | — | — | 2,128,090 |
Total | (13,632,292) | 4,685,995 | 42,300 | (8,903,997) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 273,737 | 273,737 |
Equity risk | (2,586,600) | 733,671 | — | (1,852,929) |
Interest rate risk | 308,709 | — | — | 308,709 |
Total | (2,277,891) | 733,671 | 273,737 | (1,270,483) |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 21 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 89,063,798 |
Futures contracts — short | 52,598,757 |
Credit default swap contracts — sell protection | 16,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,407,898 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 25,039 | 25,039 |
Options purchased puts | 2,571,720 | - | 2,571,720 |
Total assets | 2,571,720 | 25,039 | 2,596,759 |
Total financial and derivative net assets | 2,571,720 | 25,039 | 2,596,759 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 2,571,720 | 25,039 | 2,596,759 |
(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 – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 23 |
24 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 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 | Semiannual Report 2020 | 25 |
26 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 27 |
28 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 29 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
30 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 33 |
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
30 | |
30 | |
34 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 3 |
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 47.5 |
U.S. Large Cap | 47.5 |
Exchange-Traded Fixed Income Funds | 7.7 |
Investment Grade | 7.7 |
Fixed Income Funds | 10.2 |
High Yield | 0.6 |
Investment Grade | 9.6 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 11.7 |
Options Purchased Puts | 0.8 |
Residential Mortgage-Backed Securities - Agency | 22.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $476.4 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 961.20 | 1,023.42 | 1.41 | 1.46 | 0.29 | 3.46 | 3.57 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 960.40 | 1,022.23 | 2.58 | 2.66 | 0.53 | 4.63 | 4.78 | 0.95 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 5 |
6 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 817 | 09/2020 | USD | 126,234,670 | 3,583,401 | — |
U.S. Long Bond | 1,058 | 09/2020 | USD | 188,919,125 | 351,609 | — |
U.S. Treasury 10-Year Note | 1,859 | 09/2020 | USD | 258,720,516 | 678,883 | — |
U.S. Treasury 2-Year Note | 1,100 | 09/2020 | USD | 242,910,939 | 26,438 | — |
U.S. Treasury 5-Year Note | 2,353 | 09/2020 | USD | 295,871,368 | 638,585 | — |
U.S. Ultra Treasury Bond | 304 | 09/2020 | USD | 66,319,500 | — | (249,983) |
Total | 5,278,916 | (249,983) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (6,837) | 09/2020 | USD | (1,056,384,870) | — | (23,759,648) |
S&P/TSX 60 Index | (210) | 09/2020 | CAD | (38,997,000) | — | (874,821) |
Total | — | (24,634,469) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 215,470,155 | 695 | 2,600.00 | 12/17/2021 | 11,971,503 | 15,686,150 |
S&P 500 Index | JPMorgan | USD | 217,020,300 | 700 | 2,400.00 | 12/17/2021 | 13,058,997 | 11,158,000 |
S&P 500 Index | JPMorgan | USD | 124,011,600 | 400 | 2,500.00 | 12/17/2021 | 6,747,360 | 7,340,000 |
Total | 31,777,860 | 34,184,150 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 295,000,000 | 4,113,279 | — | — | 4,113,279 | — |
* | 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 period ended June 30, 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, 0.253% | |||||||||
673,395,132 | 1,259,007,322 | (1,456,028,772) | 56,368 | 476,430,050 | — | 11,815 | 3,032,610 | 476,430,050 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
196,936,969 | 27,592,280 | (8,453,328) | (1,626,288) | 214,449,633 | — | (241,530) | — | 3,768,886 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 7 |
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 – Income Opportunities Fund, Class 1 Shares | |||||||||
22,477,582 | 2,868,582 | (425,295) | (849,209) | 24,071,660 | — | (33,816) | — | 3,283,992 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
76,698,396 | 4,294,267 | (2,501,799) | 5,140,393 | 83,631,257 | — | 54,054 | — | 7,361,906 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
394,041,712 | 55,601,857 | (15,714,612) | (5,528,736) | 428,400,221 | — | (276,241) | — | 17,094,981 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
22,486,366 | 1,608,446 | (554,376) | 739,363 | 24,279,799 | — | 740 | — | 2,411,102 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
18,290,049 | 450,299 | (1,099,960) | 2,452,603 | 20,092,991 | — | 111,944 | — | 1,604,872 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
197,282,413 | 50,631,897 | (11,171,641) | (23,624,236) | 213,118,433 | — | (1,249,643) | — | 9,041,936 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
22,501,608 | 1,585,068 | (674,047) | 718,767 | 24,131,396 | — | 8,307 | — | 2,203,780 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
74,322,559 | 4,713,073 | (2,200,871) | 3,337,883 | 80,172,644 | — | (4,255) | — | 6,977,602 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
196,598,041 | 10,815,708 | (10,431,827) | 19,718,899 | 216,700,821 | — | 1,280,925 | — | 5,253,353 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
196,450,873 | 8,175,179 | (32,700,082) | 56,639,195 | 228,565,165 | — | 6,684,320 | — | 4,848,646 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
197,201,156 | 56,857,110 | (11,224,486) | (32,165,708) | 210,668,072 | — | (1,576,823) | — | 9,862,738 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
71,729,830 | 4,005,840 | (2,676,908) | 4,480,721 | 77,539,483 | — | 67,505 | — | 6,632,975 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
10,375,742 | 765,310 | (335,334) | 331,998 | 11,137,716 | — | 5,420 | — | 1,050,728 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
66,501,891 | 3,789,093 | (2,408,943) | 4,047,218 | 71,929,259 | — | 58,777 | — | 6,085,386 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
393,925,365 | 58,457,819 | (14,793,938) | (10,607,641) | 426,981,605 | — | (448,768) | — | 18,751,937 | |
Total | 2,831,215,684 | 23,261,590 | 2,832,300,205 | — | 4,452,731 | 3,032,610 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
TBA | To Be Announced |
CAD | Canada Dollar |
USD | US Dollar |
8 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
■ | 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 | — | — | — | 1,938,883,950 | 1,938,883,950 |
Exchange-Traded Fixed Income Funds | 314,628,450 | — | — | — | 314,628,450 |
Fixed Income Funds | — | — | — | 416,986,205 | 416,986,205 |
Residential Mortgage-Backed Securities - Agency | — | 899,770,318 | — | — | 899,770,318 |
Options Purchased Puts | 34,184,150 | — | — | — | 34,184,150 |
Money Market Funds | 476,430,050 | — | — | — | 476,430,050 |
Total Investments in Securities | 825,242,650 | 899,770,318 | — | 2,355,870,155 | 4,080,883,123 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 5,278,916 | — | — | — | 5,278,916 |
Swap Contracts | — | 4,113,279 | — | — | 4,113,279 |
Liability | |||||
Futures Contracts | (24,884,452) | — | — | — | (24,884,452) |
Total | 805,637,114 | 903,883,597 | — | 2,355,870,155 | 4,065,390,866 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 9 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,206,461,809) | $1,214,398,768 |
Affiliated issuers (cost $2,467,184,518) | 2,832,300,205 |
Options purchased (cost $31,777,860) | 34,184,150 |
Cash collateral held at broker for: | |
Purchased options | 578,000 |
Margin deposits on: | |
Futures contracts | 109,128,495 |
Swap contracts | 11,109,974 |
Receivable for: | |
Investments sold | 1,411,711 |
Capital shares sold | 136,434 |
Dividends | 97,880 |
Interest | 961,084 |
Variation margin for futures contracts | 1,753,313 |
Variation margin for swap contracts | 410,365 |
Trustees’ deferred compensation plan | 48,008 |
Total assets | 4,206,518,387 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 900,575,081 |
Capital shares purchased | 2,153,164 |
Variation margin for futures contracts | 15,869,122 |
Management services fees | 19,252 |
Distribution and/or service fees | 22,354 |
Service fees | 160,158 |
Compensation of board members | 5,375 |
Compensation of chief compliance officer | 239 |
Other expenses | 30,706 |
Trustees’ deferred compensation plan | 48,008 |
Total liabilities | 918,883,459 |
Net assets applicable to outstanding capital stock | $3,287,634,928 |
Represented by | |
Trust capital | $3,287,634,928 |
Total - representing net assets applicable to outstanding capital stock | $3,287,634,928 |
Class 1 | |
Net assets | $391,149 |
Shares outstanding | 28,678 |
Net asset value per share | $13.64 |
Class 2 | |
Net assets | $3,287,243,779 |
Shares outstanding | 241,783,506 |
Net asset value per share | $13.60 |
10 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,645,144 |
Dividends — affiliated issuers | 3,032,610 |
Interest | 135,374 |
Total income | 5,813,128 |
Expenses: | |
Management services fees | 3,281,074 |
Distribution and/or service fees | |
Class 2 | 3,820,859 |
Service fees | 918,867 |
Compensation of board members | 25,023 |
Custodian fees | 13,427 |
Printing and postage fees | 21,360 |
Audit fees | 19,641 |
Legal fees | 36,889 |
Compensation of chief compliance officer | 527 |
Other | 28,736 |
Total expenses | 8,166,403 |
Net investment loss | (2,353,275) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 17,382,160 |
Investments — affiliated issuers | 4,452,731 |
Foreign currency translations | (130,476) |
Futures contracts | (235,332,621) |
Options purchased | 106,050,584 |
Swap contracts | 663,289 |
Net realized loss | (106,914,333) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (202,478) |
Investments — affiliated issuers | 23,261,590 |
Foreign currency translations | 130,574 |
Futures contracts | (42,181,463) |
Options purchased | 10,686,080 |
Swap contracts | 4,113,279 |
Net change in unrealized appreciation (depreciation) | (4,192,418) |
Net realized and unrealized loss | (111,106,751) |
Net decrease in net assets resulting from operations | $(113,460,026) |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(2,353,275) | $13,544,586 |
Net realized gain (loss) | (106,914,333) | 48,786,628 |
Net change in unrealized appreciation (depreciation) | (4,192,418) | 356,276,626 |
Net increase (decrease) in net assets resulting from operations | (113,460,026) | 418,607,840 |
Increase in net assets from capital stock activity | 367,970,016 | 908,990,327 |
Total increase in net assets | 254,509,990 | 1,327,598,167 |
Net assets at beginning of period | 3,033,124,938 | 1,705,526,771 |
Net assets at end of period | $3,287,634,928 | $3,033,124,938 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 20,082 | 273,796 | 9,696 | 133,660 |
Redemptions | (682) | (9,050) | (418) | (5,629) |
Net increase | 19,400 | 264,746 | 9,278 | 128,031 |
Class 2 | ||||
Subscriptions | 28,560,671 | 379,753,299 | 69,615,922 | 912,520,970 |
Redemptions | (941,158) | (12,048,029) | (275,141) | (3,658,674) |
Net increase | 27,619,513 | 367,705,270 | 69,340,781 | 908,862,296 |
Total net increase | 27,638,913 | 367,970,016 | 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. |
12 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual 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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $14.19 | 0.00(c) | (0.55) | (0.55) |
Year Ended 12/31/2019(e) | $12.62 | 0.06 | 1.51 | 1.57 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $14.16 | (0.01) | (0.55) | (0.56) |
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(f) | $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) | Rounds to zero. |
(d) | Annualized. |
(e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(f) | 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 | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.64 | (3.88%) | 0.29%(d) | 0.29%(d) | 0.06%(d) | 98% | $391 |
Year Ended 12/31/2019(e) | $14.19 | 12.44% | 0.30%(d) | 0.30%(d) | 0.52%(d) | 132% | $132 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.60 | (3.96%) | 0.53%(d) | 0.53%(d) | (0.15%)(d) | 98% | $3,287,244 |
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(f) | $10.35 | 3.50% | 0.63%(d) | 0.63%(d) | (0.26%)(d) | 12% | $166,632 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 15 |
16 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 17 |
18 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 19 |
20 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 4,113,279* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 3,583,401* |
Equity risk | Investments, at value — Options Purchased | 34,184,150 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 1,695,515* |
Total | 43,576,345 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 24,634,469* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 249,983* |
Total | 24,884,452 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 663,289 | 663,289 |
Equity risk | (250,890,273) | 106,050,584 | — | (144,839,689) |
Interest rate risk | 15,557,652 | — | — | 15,557,652 |
Total | (235,332,621) | 106,050,584 | 663,289 | (128,618,748) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 4,113,279 | 4,113,279 |
Equity risk | (44,128,804) | 10,686,080 | — | (33,442,724) |
Interest rate risk | 1,947,341 | — | — | 1,947,341 |
Total | (42,181,463) | 10,686,080 | 4,113,279 | (27,382,104) |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 21 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,196,205,275 |
Futures contracts — short | 918,437,781 |
Credit default swap contracts — sell protection | 247,500,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 32,945,125 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 410,365 | 410,365 |
Options purchased puts | 34,184,150 | - | 34,184,150 |
Total assets | 34,184,150 | 410,365 | 34,594,515 |
Total financial and derivative net assets | 34,184,150 | 410,365 | 34,594,515 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 34,184,150 | 410,365 | 34,594,515 |
(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 – U.S. Flexible Growth Fund | Semiannual Report 2020 | 23 |
24 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 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 | Semiannual Report 2020 | 25 |
26 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 27 |
28 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 29 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
30 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 33 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
34 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
30 | |
30 | |
34 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 3 |
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 37.7 |
U.S. Large Cap | 37.7 |
Exchange-Traded Fixed Income Funds | 8.1 |
Investment Grade | 8.1 |
Fixed Income Funds | 21.9 |
High Yield | 1.3 |
Investment Grade | 20.6 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 12.5 |
Options Purchased Puts | 0.8 |
Residential Mortgage-Backed Securities - Agency | 19.0 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $282.5 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 981.40 | 1,023.42 | 1.43 | 1.46 | 0.29 | 3.40 | 3.47 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 980.60 | 1,022.18 | 2.66 | 2.72 | 0.54 | 4.63 | 4.73 | 0.94 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 5 |
6 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 413 | 09/2020 | USD | 63,812,630 | 1,815,186 | — |
U.S. Long Bond | 556 | 09/2020 | USD | 99,280,750 | 184,778 | — |
U.S. Treasury 10-Year Note | 815 | 09/2020 | USD | 113,425,078 | 297,627 | — |
U.S. Treasury 2-Year Note | 468 | 09/2020 | USD | 103,347,563 | 11,248 | — |
U.S. Treasury 5-Year Note | 930 | 09/2020 | USD | 116,940,235 | 252,394 | — |
U.S. Ultra Treasury Bond | 166 | 09/2020 | USD | 36,213,938 | — | (136,504) |
Total | 2,561,233 | (136,504) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (2,968) | 09/2020 | USD | (458,585,680) | — | (10,312,608) |
S&P/TSX 60 Index | (90) | 09/2020 | CAD | (16,713,000) | — | (374,923) |
Total | — | (10,687,531) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 158,114,790 | 510 | 2,600.00 | 12/17/2021 | 8,784,870 | 11,510,700 |
S&P 500 Index | JPMorgan | USD | 75,027,018 | 242 | 2,400.00 | 12/17/2021 | 4,501,792 | 3,857,480 |
S&P 500 Index | JPMorgan | USD | 38,753,625 | 125 | 2,500.00 | 12/17/2021 | 2,108,590 | 2,293,750 |
Total | 15,395,252 | 17,661,930 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 125,000,000 | 1,704,731 | — | — | 1,704,731 | — |
* | 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 period ended June 30, 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, 0.253% | |||||||||
379,061,811 | 609,556,499 | (706,120,292) | 35,323 | 282,533,341 | — | 2,906 | 1,708,633 | 282,533,341 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
91,387,243 | 8,901,629 | (3,932,848) | (1,224,136) | 95,131,888 | — | (16,373) | — | 1,671,914 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 7 |
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 – Income Opportunities Fund, Class 1 Shares | |||||||||
27,710,814 | 2,539,121 | (553,050) | (1,065,007) | 28,631,878 | — | (41,643) | — | 3,906,123 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
94,555,648 | 4,172,936 | (5,398,744) | 6,140,419 | 99,470,259 | — | 118,745 | — | 8,756,185 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
183,675,859 | 16,672,280 | (6,293,866) | (3,532,915) | 190,521,358 | — | 109,506 | — | 7,602,608 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
27,822,176 | 1,478,923 | (1,170,771) | 891,769 | 29,022,097 | — | (3,211) | — | 2,882,035 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
22,651,137 | 462,487 | (2,068,896) | 2,922,765 | 23,967,493 | — | 203,026 | — | 1,914,337 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
92,312,417 | 16,965,488 | (2,534,602) | (11,753,387) | 94,989,916 | — | (271,656) | — | 4,030,119 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
27,815,300 | 1,529,540 | (1,406,713) | 866,389 | 28,804,516 | — | 19,543 | — | 2,630,549 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
91,666,736 | 4,225,141 | (4,505,821) | 4,051,398 | 95,437,454 | — | (19,640) | — | 8,306,132 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
91,927,672 | 1,837,248 | (6,800,246) | 8,184,765 | 95,149,439 | — | 1,063,674 | — | 2,306,653 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
91,216,448 | 2,305,002 | (20,243,225) | 23,236,606 | 96,514,831 | — | 5,091,063 | — | 2,047,408 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
91,535,607 | 20,091,074 | (2,391,508) | (15,609,831) | 93,625,342 | — | (315,521) | — | 4,383,209 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
88,522,911 | 3,793,294 | (5,221,673) | 5,374,530 | 92,469,062 | — | 129,088 | — | 7,910,099 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
12,670,335 | 733,813 | (676,506) | 393,840 | 13,121,482 | — | 11,009 | — | 1,237,876 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
82,020,524 | 3,567,829 | (4,766,782) | 4,849,581 | 85,671,152 | — | 122,852 | — | 7,247,982 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
183,152,051 | 18,193,274 | (5,247,179) | (5,781,907) | 190,316,239 | — | (52,176) | — | 8,358,201 | |
Total | 1,679,704,689 | 17,980,202 | 1,635,377,747 | — | 6,151,192 | 1,708,633 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
TBA | To Be Announced |
CAD | Canada Dollar |
USD | US Dollar |
8 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
■ | 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 | — | — | — | 856,249,013 | 856,249,013 |
Exchange-Traded Fixed Income Funds | 184,477,467 | — | — | — | 184,477,467 |
Fixed Income Funds | — | — | — | 496,595,393 | 496,595,393 |
Residential Mortgage-Backed Securities - Agency | — | 431,760,272 | — | — | 431,760,272 |
Options Purchased Puts | 17,661,930 | — | — | — | 17,661,930 |
Money Market Funds | 282,533,341 | — | — | — | 282,533,341 |
Total Investments in Securities | 484,672,738 | 431,760,272 | — | 1,352,844,406 | 2,269,277,416 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 2,561,233 | — | — | — | 2,561,233 |
Swap Contracts | — | 1,704,731 | — | — | 1,704,731 |
Liability | |||||
Futures Contracts | (10,824,035) | — | — | — | (10,824,035) |
Total | 476,409,936 | 433,465,003 | — | 1,352,844,406 | 2,262,719,345 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 9 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $606,294,252) | $616,237,739 |
Affiliated issuers (cost $1,436,603,257) | 1,635,377,747 |
Options purchased (cost $15,395,252) | 17,661,930 |
Cash collateral held at broker for: | |
TBA | 253,000 |
Margin deposits on: | |
Futures contracts | 48,843,878 |
Swap contracts | 4,707,616 |
Receivable for: | |
Investments sold | 1,088,109 |
Dividends | 58,675 |
Interest | 461,846 |
Variation margin for futures contracts | 884,938 |
Variation margin for swap contracts | 173,883 |
Trustees’ deferred compensation plan | 36,684 |
Total assets | 2,325,786,045 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 432,134,612 |
Capital shares purchased | 1,554,441 |
Variation margin for futures contracts | 6,966,816 |
Management services fees | 11,253 |
Distribution and/or service fees | 12,824 |
Service fees | 92,242 |
Compensation of board members | 3,995 |
Compensation of chief compliance officer | 149 |
Other expenses | 30,407 |
Trustees’ deferred compensation plan | 36,684 |
Total liabilities | 440,843,423 |
Net assets applicable to outstanding capital stock | $1,884,942,622 |
Represented by | |
Trust capital | $1,884,942,622 |
Total - representing net assets applicable to outstanding capital stock | $1,884,942,622 |
Class 1 | |
Net assets | $511,878 |
Shares outstanding | 38,901 |
Net asset value per share | $13.16 |
Class 2 | |
Net assets | $1,884,430,744 |
Shares outstanding | 143,633,450 |
Net asset value per share | $13.12 |
10 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,807,044 |
Dividends — affiliated issuers | 1,708,633 |
Interest | 67,559 |
Total income | 3,583,236 |
Expenses: | |
Management services fees | 2,001,699 |
Distribution and/or service fees | |
Class 2 | 2,266,121 |
Service fees | 544,605 |
Compensation of board members | 18,072 |
Custodian fees | 12,363 |
Printing and postage fees | 16,769 |
Audit fees | 19,642 |
Legal fees | 22,313 |
Compensation of chief compliance officer | 319 |
Other | 18,996 |
Total expenses | 4,920,899 |
Net investment loss | (1,337,663) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 9,403,615 |
Investments — affiliated issuers | 6,151,192 |
Foreign currency translations | (55,916) |
Futures contracts | (107,343,411) |
Options purchased | 48,258,758 |
Swap contracts | 276,767 |
Net realized loss | (43,308,995) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 2,160,723 |
Investments — affiliated issuers | 17,980,202 |
Foreign currency translations | 55,960 |
Futures contracts | (19,065,064) |
Options purchased | 6,293,636 |
Swap contracts | 1,704,731 |
Net change in unrealized appreciation (depreciation) | 9,130,188 |
Net realized and unrealized loss | (34,178,807) |
Net decrease in net assets resulting from operations | $(35,516,470) |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(1,337,663) | $15,746,425 |
Net realized gain (loss) | (43,308,995) | 26,142,228 |
Net change in unrealized appreciation (depreciation) | 9,130,188 | 192,384,953 |
Net increase (decrease) in net assets resulting from operations | (35,516,470) | 234,273,606 |
Increase in net assets from capital stock activity | 87,373,013 | 456,784,780 |
Total increase in net assets | 51,856,543 | 691,058,386 |
Net assets at beginning of period | 1,833,086,079 | 1,142,027,693 |
Net assets at end of period | $1,884,942,622 | $1,833,086,079 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 16,791 | 223,083 | 22,369 | 288,470 |
Redemptions | (214) | (2,754) | (45) | (643) |
Net increase | 16,577 | 220,329 | 22,324 | 287,827 |
Class 2 | ||||
Subscriptions | 9,643,590 | 124,679,131 | 37,126,401 | 462,990,250 |
Redemptions | (2,959,272) | (37,526,447) | (505,591) | (6,493,297) |
Net increase | 6,684,318 | 87,152,684 | 36,620,810 | 456,496,953 |
Total net increase | 6,700,895 | 87,373,013 | 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. |
12 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual 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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $13.41 | 0.01 | (0.26) | (0.25) |
Year Ended 12/31/2019(d) | $12.05 | 0.20 | 1.16 | 1.36 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $13.38 | (0.01) | (0.25) | (0.26) |
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) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(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 | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.16 | (1.86%) | 0.29%(c) | 0.29%(c) | 0.09%(c) | 85% | $512 |
Year Ended 12/31/2019(d) | $13.41 | 11.29% | 0.30%(c) | 0.30%(c) | 1.84%(c) | 125% | $299 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.12 | (1.94%) | 0.54%(c) | 0.54%(c) | (0.15%)(c) | 85% | $1,884,431 |
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%(c) | 0.64%(c) | (0.16%)(c) | 16% | $89,784 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 15 |
16 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 17 |
18 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 19 |
20 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 1,704,731* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,815,186* |
Equity risk | Investments, at value — Options Purchased | 17,661,930 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 746,047* |
Total | 21,927,894 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 10,687,531* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 136,504* |
Total | 10,824,035 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 276,767 | 276,767 |
Equity risk | (117,546,280) | 48,258,758 | — | (69,287,522) |
Interest rate risk | 10,202,869 | — | — | 10,202,869 |
Total | (107,343,411) | 48,258,758 | 276,767 | (58,807,886) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 1,704,731 | 1,704,731 |
Equity risk | (20,404,716) | 6,293,636 | — | (14,111,080) |
Interest rate risk | 1,339,652 | — | — | 1,339,652 |
Total | (19,065,064) | 6,293,636 | 1,704,731 | (11,066,697) |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 21 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 546,608,749 |
Futures contracts — short | 386,610,790 |
Credit default swap contracts — sell protection | 102,500,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 16,355,715 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 173,883 | 173,883 |
Options purchased puts | 17,661,930 | - | 17,661,930 |
Total assets | 17,661,930 | 173,883 | 17,835,813 |
Total financial and derivative net assets | 17,661,930 | 173,883 | 17,835,813 |
Total collateral received (pledged) (c) | - | - | - |
Net amount (d) | 17,661,930 | 173,883 | 17,835,813 |
(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 – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 23 |
24 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 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 | Semiannual Report 2020 | 25 |
26 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 27 |
28 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 29 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
30 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 33 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
34 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
30 | |
30 | |
34 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 3 |
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 49.9 |
International | 15.4 |
U.S. Large Cap | 30.6 |
U.S. Small Cap | 3.9 |
Exchange-Traded Fixed Income Funds | 8.7 |
Investment Grade | 8.7 |
Fixed Income Funds | 26.2 |
Investment Grade | 26.2 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 4.2 |
Options Purchased Puts | 1.4 |
Residential Mortgage-Backed Securities - Agency | 9.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $8.6 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 972.90 | 1,023.62 | 1.23 | 1.26 | 0.25 | 3.88 | 3.97 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 972.00 | 1,022.38 | 2.45 | 2.51 | 0.50 | 5.10 | 5.23 | 1.04 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 5 |
6 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 78 | 09/2020 | USD | 12,051,780 | 342,142 | — |
U.S. Long Bond | 20 | 09/2020 | USD | 3,571,250 | 15,032 | — |
U.S. Treasury 10-Year Note | 45 | 09/2020 | USD | 6,262,734 | 15,815 | — |
U.S. Treasury 2-Year Note | 17 | 09/2020 | USD | 3,754,078 | 1,512 | — |
U.S. Treasury 5-Year Note | 81 | 09/2020 | USD | 10,185,117 | 20,865 | — |
U.S. Ultra Treasury Bond | 22 | 09/2020 | USD | 4,799,438 | — | (18,091) |
Total | 395,366 | (18,091) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | (18) | 09/2020 | USD | (1,242,000) | 21,893 | — |
British Pound | (13) | 09/2020 | USD | (1,007,256) | 17,896 | — |
Canadian Dollar | (3) | 09/2020 | USD | (220,860) | 3,625 | — |
Euro FX | (7) | 09/2020 | USD | (984,681) | 9,861 | — |
Euro FX | (7) | 09/2020 | USD | (984,681) | — | (1,832) |
EURO STOXX 50 Index | (47) | 09/2020 | EUR | (1,514,810) | — | (57,686) |
FTSE 100 Index | (14) | 09/2020 | GBP | (860,650) | — | (12,985) |
Hang Seng Index | (2) | 07/2020 | HKD | (2,424,700) | 1,034 | — |
Japanese Yen | (24) | 09/2020 | USD | (2,781,300) | 2,098 | — |
MSCI EAFE Index | (3) | 09/2020 | USD | (266,760) | — | (1,792) |
MSCI Singapore Index | (4) | 07/2020 | SGD | (118,340) | 1,027 | — |
New Zealand Dollar | (4) | 09/2020 | USD | (258,200) | 4,205 | — |
OMXS30 Index | (242) | 07/2020 | SEK | (40,323,250) | — | (184,270) |
Russell 2000 Index E-mini | (90) | 09/2020 | USD | (6,469,200) | — | (369,993) |
S&P 500 Index E-mini | (91) | 09/2020 | USD | (14,060,410) | — | (309,503) |
SPI 200 Index | (8) | 09/2020 | AUD | (1,178,400) | — | (21,108) |
Swiss Franc | (12) | 09/2020 | USD | (1,587,000) | — | (12,851) |
TOPIX Index | (14) | 09/2020 | JPY | (218,190,000) | 52,457 | — |
TOPIX Index | (6) | 09/2020 | JPY | (93,510,000) | — | (12,969) |
Total | 114,096 | (984,989) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 35,033,277 | 113 | 2,500.00 | 12/17/2021 | 1,906,125 | 2,073,550 |
S&P 500 Index | JPMorgan | USD | 8,680,812 | 28 | 2,600.00 | 12/17/2021 | 482,258 | 631,960 |
S&P 500 Index | JPMorgan | USD | 4,650,435 | 15 | 2,400.00 | 12/17/2021 | 272,026 | 239,100 |
Total | 2,660,409 | 2,944,610 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 6,000,000 | 49,414 | — | — | 49,414 | — |
* | 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 Risk Fund | Semiannual Report 2020 | 7 |
(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 period ended June 30, 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, 0.253% | |||||||||
14,130,213 | 46,694,175 | (52,189,343) | 126 | 8,635,171 | — | 1,814 | 55,631 | 8,635,171 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
31,621,723 | 3,900,812 | (3,261,506) | (482,942) | 31,778,087 | — | (116,599) | — | 558,490 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
23,806,494 | 1,050,384 | (2,770,277) | 1,450,909 | 23,537,510 | — | 31,234 | — | 2,071,964 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
31,720,147 | 5,998,936 | (2,710,254) | (3,245,997) | 31,762,832 | — | (655,176) | 51,874 | 3,281,284 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
7,938,027 | 621,750 | (1,119,628) | 225,206 | 7,665,355 | — | 24,617 | — | 723,146 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
23,791,467 | 1,464,139 | (3,371,033) | 1,289,210 | 23,173,783 | — | 115,668 | — | 1,960,557 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
31,666,116 | 3,849,618 | (2,802,872) | (1,066,084) | 31,646,778 | — | (114,664) | — | 1,389,846 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
3,948,634 | 555,573 | (512,652) | 96,209 | 4,087,764 | — | (43,881) | — | 162,342 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
3,961,730 | 1,259,250 | (454,849) | (761,475) | 4,004,656 | — | (127,231) | — | 178,699 | |
Total | 172,584,551 | (2,494,838) | 166,291,936 | — | (884,218) | 107,505 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
TBA | To Be Announced |
AUD | Australian Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
8 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 103,280,117 | 103,280,117 |
Exchange-Traded Fixed Income Funds | 17,980,827 | — | — | — | 17,980,827 |
Fixed Income Funds | — | — | — | 54,376,648 | 54,376,648 |
Residential Mortgage-Backed Securities - Agency | — | 19,876,182 | — | — | 19,876,182 |
Options Purchased Puts | 2,944,610 | — | — | — | 2,944,610 |
Money Market Funds | 8,635,171 | — | — | — | 8,635,171 |
Total Investments in Securities | 29,560,608 | 19,876,182 | — | 157,656,765 | 207,093,555 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 509,462 | — | — | — | 509,462 |
Swap Contracts | — | 49,414 | — | — | 49,414 |
Liability | |||||
Futures Contracts | (1,003,080) | — | — | — | (1,003,080) |
Total | 29,066,990 | 19,925,596 | — | 157,656,765 | 206,649,351 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 9 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $36,425,551) | $37,857,009 |
Affiliated issuers (cost $157,581,293) | 166,291,936 |
Options purchased (cost $2,660,409) | 2,944,610 |
Margin deposits on: | |
Futures contracts | 4,469,329 |
Swap contracts | 225,966 |
Receivable for: | |
Investments sold | 122,356 |
Dividends | 1,924 |
Interest | 22,208 |
Variation margin for futures contracts | 203,332 |
Variation margin for swap contracts | 8,346 |
Trustees’ deferred compensation plan | 14,489 |
Total assets | 212,161,505 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 19,922,044 |
Capital shares purchased | 143,949 |
Variation margin for futures contracts | 352,735 |
Management services fees | 759 |
Distribution and/or service fees | 1,303 |
Service fees | 9,444 |
Compensation of board members | 2,492 |
Compensation of chief compliance officer | 15 |
Other expenses | 18,554 |
Trustees’ deferred compensation plan | 14,489 |
Total liabilities | 20,465,784 |
Net assets applicable to outstanding capital stock | $191,695,721 |
Represented by | |
Trust capital | $191,695,721 |
Total - representing net assets applicable to outstanding capital stock | $191,695,721 |
Class 1 | |
Net assets | $2,656 |
Shares outstanding | 239 |
Net asset value per share(a) | $11.13 |
Class 2 | |
Net assets | $191,693,065 |
Shares outstanding | 17,270,007 |
Net asset value per share | $11.10 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
10 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $179,846 |
Dividends — affiliated issuers | 107,505 |
Interest | 2,647 |
Total income | 289,998 |
Expenses: | |
Management services fees | 125,016 |
Distribution and/or service fees | |
Class 2 | 231,552 |
Service fees | 55,639 |
Compensation of board members | 7,906 |
Custodian fees | 11,445 |
Printing and postage fees | 6,008 |
Audit fees | 14,669 |
Legal fees | 2,275 |
Compensation of chief compliance officer | 33 |
Other | 4,455 |
Total expenses | 458,998 |
Net investment loss | (169,000) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 88,822 |
Investments — affiliated issuers | (884,218) |
Foreign currency translations | (55,273) |
Futures contracts | (6,694,894) |
Options purchased | 4,151,850 |
Swap contracts | 9,786 |
Net realized loss | (3,383,927) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 806,082 |
Investments — affiliated issuers | (2,494,838) |
Foreign currency translations | 2,994 |
Futures contracts | (708,886) |
Options purchased | 683,987 |
Swap contracts | 49,414 |
Net change in unrealized appreciation (depreciation) | (1,661,247) |
Net realized and unrealized loss | (5,045,174) |
Net decrease in net assets resulting from operations | $(5,214,174) |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(169,000) | $1,639,256 |
Net realized gain (loss) | (3,383,927) | 1,780,412 |
Net change in unrealized appreciation (depreciation) | (1,661,247) | 16,801,237 |
Net increase (decrease) in net assets resulting from operations | (5,214,174) | 20,220,905 |
Increase in net assets from capital stock activity | 10,156,978 | 69,161,743 |
Total increase in net assets | 4,942,804 | 89,382,648 |
Net assets at beginning of period | 186,752,917 | 97,370,269 |
Net assets at end of period | $191,695,721 | $186,752,917 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | — | — | 239 | 2,500 |
Net increase | — | — | 239 | 2,500 |
Class 2 | ||||
Subscriptions | 1,338,564 | 14,680,341 | 6,558,958 | 70,246,048 |
Redemptions | (421,839) | (4,523,363) | (99,019) | (1,086,805) |
Net increase | 916,725 | 10,156,978 | 6,459,939 | 69,159,243 |
Total net increase | 916,725 | 10,156,978 | 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. |
12 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk Fund | Semiannual 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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $11.44 | 0.01 | (0.32) | (0.31) |
Year Ended 12/31/2019(d) | $10.48 | 0.15 | 0.81 | 0.96 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $11.42 | (0.01) | (0.31) | (0.32) |
Year Ended 12/31/2019 | $9.84 | 0.12 | 1.46 | 1.58 |
Year Ended 12/31/2018 | $10.39 | 0.09 | (0.64) | (0.55) |
Year Ended 12/31/2017(e) | $10.00 | (0.00)(f) | 0.39 | 0.39 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | The Fund commenced operations on September 12, 2017. Per share data and total return reflect activity from that date. |
(f) | Rounds to zero. |
14 | Variable Portfolio – Managed Risk Fund | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.13 | (2.71%) | 0.25%(c) | 0.25%(c) | 0.06%(c) | 40% | $3 |
Year Ended 12/31/2019(d) | $11.44 | 9.16% | 0.25%(c) | 0.25%(c) | 1.57%(c) | 37% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.10 | (2.80%) | 0.50%(c) | 0.50%(c) | (0.18%)(c) | 40% | $191,693 |
Year Ended 12/31/2019 | $11.42 | 16.06% | 0.51% | 0.51% | 1.12% | 37% | $186,750 |
Year Ended 12/31/2018 | $9.84 | (5.29%) | 0.61% | 0.55% | 0.85% | 47% | $97,370 |
Year Ended 12/31/2017(e) | $10.39 | 3.90% | 1.17%(c) | 0.49%(c) | (0.01%)(c) | 75% | $17,803 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 15 |
16 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 17 |
18 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 19 |
20 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 49,414* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 396,660* |
Equity risk | Investments, at value — Options Purchased | 2,944,610 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 59,578* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 53,224* |
Total | 3,503,486 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 970,306* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 14,683* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 18,091* |
Total | 1,003,080 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 21 |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) | ||
Credit risk | — | — | 9,786 | 9,786 | ||
Equity risk | (7,426,050) | 4,151,850 | — | (3,274,200) | ||
Foreign exchange risk | (193,119) | — | — | (193,119) | ||
Interest rate risk | 924,275 | — | — | 924,275 | ||
Total | (6,694,894) | 4,151,850 | 9,786 | (2,533,258) | ||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) | ||
Credit risk | — | — | 49,414 | 49,414 | ||
Equity risk | (958,189) | 683,987 | — | (274,202) | ||
Foreign exchange risk | 65,171 | — | — | 65,171 | ||
Interest rate risk | 184,132 | — | — | 184,132 | ||
Total | (708,886) | 683,987 | 49,414 | 24,515 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 44,293,477 |
Futures contracts — short | 35,105,917 |
Credit default swap contracts — sell protection | 3,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,586,768 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 8,346 | 8,346 |
Options purchased puts | 2,944,610 | - | 2,944,610 |
Total assets | 2,944,610 | 8,346 | 2,952,956 |
Total financial and derivative net assets | 2,944,610 | 8,346 | 2,952,956 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 2,944,610 | 8,346 | 2,952,956 |
(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 | Semiannual Report 2020 | 23 |
24 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 25 |
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 Risk Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 27 |
28 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 29 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
30 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 33 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
34 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
29 | |
29 | |
33 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 3 |
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 48.0 |
U.S. Large Cap | 48.0 |
Exchange-Traded Fixed Income Funds | 8.5 |
Investment Grade | 8.5 |
Fixed Income Funds | 25.8 |
Investment Grade | 25.8 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 4.4 |
Options Purchased Puts | 1.2 |
Residential Mortgage-Backed Securities - Agency | 12.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $10.4 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 986.60 | 1,023.67 | 1.19 | 1.21 | 0.24 | 3.75 | 3.82 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 984.90 | 1,022.43 | 2.42 | 2.46 | 0.49 | 4.98 | 5.08 | 1.01 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 5 |
6 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 74 | 09/2020 | USD | 11,433,740 | 330,059 | — |
U.S. Long Bond | 34 | 09/2020 | USD | 6,071,125 | 19,685 | — |
U.S. Treasury 10-Year Note | 44 | 09/2020 | USD | 6,123,563 | 15,617 | — |
U.S. Treasury 2-Year Note | 20 | 09/2020 | USD | 4,416,563 | 481 | — |
U.S. Treasury 5-Year Note | 91 | 09/2020 | USD | 11,442,539 | 24,462 | — |
U.S. Ultra Treasury Bond | 22 | 09/2020 | USD | 4,799,438 | — | (18,091) |
Total | 390,304 | (18,091) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (270) | 09/2020 | USD | (41,717,700) | — | (938,337) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 32,863,074 | 106 | 2,500.00 | 12/17/2021 | 1,788,020 | 1,945,100 |
S&P 500 Index | JPMorgan | USD | 7,440,696 | 24 | 2,600.00 | 12/17/2021 | 413,415 | 541,680 |
S&P 500 Index | JPMorgan | USD | 7,130,667 | 23 | 2,400.00 | 12/17/2021 | 417,107 | 366,620 |
Total | 2,618,542 | 2,853,400 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 11,000,000 | 84,028 | — | — | 84,028 | — |
* | 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 period ended June 30, 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, 0.253% | |||||||||
12,586,187 | 56,054,106 | (58,250,939) | (359) | 10,388,995 | — | 938 | 49,767 | 10,388,995 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
31,823,122 | 5,806,141 | (2,901,888) | (237,899) | 34,489,476 | — | (216,283) | — | 606,142 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
23,805,850 | 2,644,865 | (2,082,102) | 1,572,583 | 25,941,196 | — | 5,735 | — | 2,283,556 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 7 |
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® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
19,867,017 | 1,920,210 | (1,699,301) | 1,968,892 | 22,056,818 | — | 52,529 | — | 579,985 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
19,908,049 | 6,659,366 | (1,883,097) | (3,231,248) | 21,453,070 | — | (399,164) | — | 1,004,357 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
7,941,018 | 1,342,425 | (906,728) | 243,021 | 8,619,736 | — | 15,395 | — | 813,183 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
23,811,408 | 3,478,468 | (2,752,416) | 1,404,250 | 25,941,710 | — | 61,666 | — | 2,194,730 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
31,837,731 | 6,221,448 | (2,777,303) | (841,486) | 34,440,390 | — | (228,576) | — | 1,512,534 | |
Total | 171,580,382 | 877,754 | 183,331,391 | — | (707,760) | 49,767 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 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). |
8 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 112,439,754 | 112,439,754 |
Exchange-Traded Fixed Income Funds | 19,815,230 | — | — | — | 19,815,230 |
Fixed Income Funds | — | — | — | 60,502,642 | 60,502,642 |
Residential Mortgage-Backed Securities - Agency | — | 28,231,954 | — | — | 28,231,954 |
Options Purchased Puts | 2,853,400 | — | — | — | 2,853,400 |
Money Market Funds | 10,388,995 | — | — | — | 10,388,995 |
Total Investments in Securities | 33,057,625 | 28,231,954 | — | 172,942,396 | 234,231,975 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 390,304 | — | — | — | 390,304 |
Swap Contracts | — | 84,028 | — | — | 84,028 |
Liability | |||||
Futures Contracts | (956,428) | — | — | — | (956,428) |
Total | 32,491,501 | 28,315,982 | — | 172,942,396 | 233,749,879 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 9 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $46,634,442) | $48,047,184 |
Affiliated issuers (cost $167,312,699) | 183,331,391 |
Options purchased (cost $2,618,542) | 2,853,400 |
Margin deposits on: | |
Futures contracts | 4,679,400 |
Swap contracts | 414,270 |
Receivable for: | |
Investments sold | 124,258 |
Dividends | 2,237 |
Interest | 31,026 |
Variation margin for futures contracts | 157,562 |
Variation margin for swap contracts | 15,302 |
Trustees’ deferred compensation plan | 14,294 |
Total assets | 239,670,324 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 28,278,108 |
Capital shares purchased | 146,186 |
Variation margin for futures contracts | 622,094 |
Management services fees | 844 |
Distribution and/or service fees | 1,431 |
Service fees | 10,311 |
Compensation of board members | 2,482 |
Compensation of chief compliance officer | 14 |
Other expenses | 17,738 |
Trustees’ deferred compensation plan | 14,294 |
Total liabilities | 29,093,502 |
Net assets applicable to outstanding capital stock | $210,576,822 |
Represented by | |
Trust capital | $210,576,822 |
Total - representing net assets applicable to outstanding capital stock | $210,576,822 |
Class 1 | |
Net assets | $2,745 |
Shares outstanding | 233 |
Net asset value per share(a) | $11.81 |
Class 2 | |
Net assets | $210,574,077 |
Shares outstanding | 17,894,954 |
Net asset value per share | $11.77 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
10 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $191,476 |
Dividends — affiliated issuers | 49,767 |
Interest | 2,784 |
Total income | 244,027 |
Expenses: | |
Management services fees | 128,823 |
Distribution and/or service fees | |
Class 2 | 241,898 |
Service fees | 58,196 |
Compensation of board members | 7,905 |
Custodian fees | 11,033 |
Printing and postage fees | 5,651 |
Audit fees | 14,669 |
Legal fees | 2,324 |
Compensation of chief compliance officer | 33 |
Other | 4,370 |
Total expenses | 474,902 |
Net investment loss | (230,875) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 268,880 |
Investments — affiliated issuers | (707,760) |
Futures contracts | (7,525,701) |
Options purchased | 4,326,716 |
Swap contracts | 17,909 |
Net realized loss | (3,619,956) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 746,612 |
Investments — affiliated issuers | 877,754 |
Futures contracts | (859,715) |
Options purchased | 596,338 |
Swap contracts | 84,028 |
Net change in unrealized appreciation (depreciation) | 1,445,017 |
Net realized and unrealized loss | (2,174,939) |
Net decrease in net assets resulting from operations | $(2,405,814) |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(230,875) | $804,178 |
Net realized gain (loss) | (3,619,956) | 863,426 |
Net change in unrealized appreciation (depreciation) | 1,445,017 | 19,028,706 |
Net increase (decrease) in net assets resulting from operations | (2,405,814) | 20,696,310 |
Increase in net assets from capital stock activity | 26,778,706 | 85,388,406 |
Total increase in net assets | 24,372,892 | 106,084,716 |
Net assets at beginning of period | 186,203,930 | 80,119,214 |
Net assets at end of period | $210,576,822 | $186,203,930 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | — | — | 233 | 2,500 |
Net increase | — | — | 233 | 2,500 |
Class 2 | ||||
Subscriptions | 2,466,241 | 28,452,123 | 7,945,770 | 88,580,629 |
Redemptions | (152,048) | (1,673,417) | (293,990) | (3,194,723) |
Net increase | 2,314,193 | 26,778,706 | 7,651,780 | 85,385,906 |
Total net increase | 2,314,193 | 26,778,706 | 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. |
12 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual 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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $11.97 | 0.01 | (0.17) | (0.16) |
Year Ended 12/31/2019(d) | $10.75 | 0.10 | 1.12 | 1.22 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $11.95 | (0.01) | (0.17) | (0.18) |
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) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(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 | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.81 | (1.34%) | 0.24%(c) | 0.24%(c) | 0.02%(c) | 43% | $3 |
Year Ended 12/31/2019(d) | $11.97 | 11.35% | 0.25%(c) | 0.25%(c) | 1.02%(c) | 24% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.77 | (1.51%) | 0.49%(c) | 0.49%(c) | (0.24%)(c) | 43% | $210,574 |
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%(c) | 0.52%(c) | (0.26%)(c) | 109% | $12,190 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 15 |
16 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 17 |
18 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 19 |
20 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 84,028* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 330,059* |
Equity risk | Investments, at value — Options Purchased | 2,853,400 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 60,245* |
Total | 3,327,732 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 938,337* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 18,091* |
Total | 956,428 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 17,909 | 17,909 |
Equity risk | (8,462,860) | 4,326,716 | — | (4,136,144) |
Interest rate risk | 937,159 | — | — | 937,159 |
Total | (7,525,701) | 4,326,716 | 17,909 | (3,181,076) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 84,028 | 84,028 |
Equity risk | (1,046,497) | 596,338 | — | (450,159) |
Interest rate risk | 186,782 | — | — | 186,782 |
Total | (859,715) | 596,338 | 84,028 | (179,349) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 47,803,628 |
Futures contracts — short | 35,570,383 |
Credit default swap contracts — sell protection | 5,500,000 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 21 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,472,125 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 15,302 | 15,302 |
Options purchased puts | 2,853,400 | - | 2,853,400 |
Total assets | 2,853,400 | 15,302 | 2,868,702 |
Total financial and derivative net assets | 2,853,400 | 15,302 | 2,868,702 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 2,853,400 | 15,302 | 2,868,702 |
(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 | Semiannual Report 2020 | 23 |
24 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 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 | Semiannual Report 2020 | 25 |
26 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 27 |
28 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 29 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
30 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 33 |
3 | |
5 | |
6 | |
33 | |
34 | |
35 | |
36 | |
38 | |
55 | |
55 | |
59 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 3 |
4 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
January 1, 2020 — June 30, 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 | 988.30 | 1,021.43 | 3.41 | 3.47 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 985.80 | 1,020.19 | 4.64 | 4.72 | 0.94 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 5 |
6 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 7 |
8 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 9 |
10 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 11 |
12 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 13 |
14 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 15 |
16 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 17 |
18 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 19 |
20 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 21 |
22 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 23 |
24 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 25 |
26 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
15,538,852 MXN | 683,178 USD | Morgan Stanley | 07/27/2020 | 9,534 | — |
1,513,077 EUR | 1,694,484 USD | UBS | 07/27/2020 | — | (6,441) |
Total | 9,534 | (6,441) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-BTP | 17 | 09/2020 | EUR | 2,445,960 | 79,839 | — |
Euro-OAT | 11 | 09/2020 | EUR | 1,844,150 | 32,391 | — |
Long Gilt | 67 | 09/2020 | GBP | 9,221,880 | 49,593 | — |
U.S. Treasury 10-Year Note | 44 | 09/2020 | USD | 6,123,563 | 339 | — |
Total | 162,162 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bund | (55) | 09/2020 | EUR | (9,708,600) | — | (81,698) |
U.S. Treasury 5-Year Note | (116) | 09/2020 | USD | (14,586,094) | — | (32,058) |
U.S. Ultra Treasury Bond | (14) | 09/2020 | USD | (3,054,188) | 11,368 | — |
U.S. Ultra Treasury Bond | (8) | 09/2020 | USD | (1,745,250) | — | (38,943) |
Total | 11,368 | (152,699) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 16,700,000 | 16,700,000 | 1.00 | 12/29/2020 | 135,270 | 114,832 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 27 |
Interest rate swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.172% | Receives at Maturity, Pays at Maturity | Citi | 03/17/2030 | USD | 1,880,000 | 55,133 | — | — | — | 55,133 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.185% | Receives at Maturity, Pays at Maturity | Citi | 04/22/2030 | USD | 1,800,000 | 50,542 | — | — | — | 50,542 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.225% | Receives at Maturity, Pays at Maturity | Goldman Sachs International | 03/12/2030 | USD | 9,600,000 | 228,012 | — | — | — | 228,012 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.761% | Receives at Maturity, Pays at Maturity | JPMorgan | 02/26/2030 | USD | 2,900,000 | (94,755) | — | — | — | — | (94,755) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.611% | Receives at Maturity, Pays at Maturity | JPMorgan | 03/09/2030 | USD | 4,000,000 | (73,478) | — | — | — | — | (73,478) |
Total | 165,454 | — | — | — | 333,687 | (168,233) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | 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 | 52,348 | — | — | 52,348 | — |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/21/2026 | MXN | 8,000,000 | 18,072 | — | — | 18,072 | — |
Fixed rate of 5.960% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 02/02/2026 | MXN | 20,000,000 | 44,053 | — | — | 44,053 | — |
3-Month USD LIBOR | Fixed rate of 1.781% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 08/09/2049 | USD | 2,100,000 | (494,461) | — | — | — | (494,461) |
Total | (379,988) | — | — | 114,473 | (494,461) |
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 | 40,908 | (100) | 7,329 | — | 33,479 | — |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | 6.577 | USD | 400,000 | (81,816) | 200 | — | (111,441) | 29,825 | — |
Markit CMBX North America Index, Series 12 AAA | Citi | 08/17/2061 | 0.500 | Monthly | 0.554 | USD | 810,000 | (3,420) | 67 | — | (50,429) | 47,076 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 7.039 | USD | 800,000 | (163,408) | 400 | — | (158,106) | — | (4,902) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 7.039 | USD | 500,000 | (102,130) | 250 | — | (104,400) | 2,520 | — |
Total | (350,774) | 917 | — | (424,376) | 79,421 | (4,902) |
28 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 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. |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | 5.150 | USD | 5,554,960 | 347,717 | — | — | 347,717 | — |
Markit CDX North America High Yield Index, Series 34 | Morgan Stanley | 06/20/2025 | 5.000 | Quarterly | 5.169 | USD | 9,215,000 | 565,154 | — | — | 565,154 | — |
Total | 912,871 | — | — | 912,871 | — |
* | 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 | 5.284% |
3-Month USD LIBOR | London Interbank Offered Rate | 0.344% |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 0.646% |
(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 June 30, 2020, the total value of these securities amounted to $119,761,115, which represents 58.75% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $934,083, which represents 0.46% of total net assets. |
(d) | Valuation based on significant unobservable inputs. |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2020. |
(f) | Non-income producing investment. |
(g) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2020. |
(i) | Represents a security purchased on a when-issued basis. |
(j) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2020, the total value of these securities amounted to $267,400, which represents 0.13% of total net assets. |
(k) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(l) | Principal and interest may not be guaranteed by a governmental entity. |
(m) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(n) | The stated interest rate represents the weighted average interest rate at June 30, 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. |
(o) | Represents a security purchased on a forward commitment basis. |
(p) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 29 |
(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 period ended June 30, 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 ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
12,682,033 | 49,691,922 | (52,036,321) | 2,720 | 10,340,354 | — | (404) | 46,019 | 10,340,354 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
TBA | To Be Announced |
DOP | Dominican Republic Peso |
EUR | Euro |
GBP | British Pound |
MXN | Mexican Peso |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
30 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 18,852,050 | 736,380 | 19,588,430 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 11,675,999 | — | 11,675,999 |
Common Stocks | ||||
Energy | — | — | 860 | 860 |
Financials | — | — | 0* | 0* |
Utilities | — | — | 9,162 | 9,162 |
Total Common Stocks | — | — | 10,022 | 10,022 |
Corporate Bonds & Notes | — | 82,897,866 | — | 82,897,866 |
Foreign Government Obligations | — | 18,201,580 | — | 18,201,580 |
Residential Mortgage-Backed Securities - Agency | — | 23,898,528 | — | 23,898,528 |
Residential Mortgage-Backed Securities - Non-Agency | — | 34,875,614 | 1,867,913 | 36,743,527 |
Senior Loans | — | 12,700,679 | — | 12,700,679 |
U.S. Treasury Obligations | 467,553 | — | — | 467,553 |
Options Purchased Puts | — | 114,832 | — | 114,832 |
Money Market Funds | 10,340,354 | — | — | 10,340,354 |
Total Investments in Securities | 10,807,907 | 203,217,148 | 2,614,315 | 216,639,370 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 9,534 | — | 9,534 |
Futures Contracts | 173,530 | — | — | 173,530 |
Swap Contracts | — | 1,473,931 | — | 1,473,931 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (6,441) | — | (6,441) |
Futures Contracts | (152,699) | — | — | (152,699) |
Swap Contracts | — | (667,596) | — | (667,596) |
Total | 10,828,738 | 204,026,576 | 2,614,315 | 217,469,629 |
* | Rounds to zero. |
Balance as of 12/31/2019 ($) | 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 ($) | Balance as of 06/30/2020 ($) | |
Asset-Backed Securities — Non-Agency | 1,581,662 | 6,942 | (669,480) | 482,687 | — | (665,431) | — | — | 736,380 |
Common Stocks | — | — | — | (174,043) | — | — | 184,065 | — | 10,022 |
Residential Mortgage-Backed Securities — Non-Agency | 495,158 | 6,904 | — | 24,462 | 1,365,805 | (24,416) | — | — | 1,867,913 |
Total | 2,076,820 | 13,846 | (669,480) | 333,106 | 1,365,805 | (689,847) | 184,065 | — | 2,614,315 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 31 |
32 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $206,150,895) | $206,184,184 |
Affiliated issuers (cost $10,337,707) | 10,340,354 |
Options purchased (cost $135,270) | 114,832 |
Cash | 37,352 |
Foreign currency (cost $24,635) | 23,436 |
Cash collateral held at broker for: | |
Swap contracts | 240,000 |
Margin deposits on: | |
Futures contracts | 891,217 |
Swap contracts | 2,388,848 |
Unrealized appreciation on forward foreign currency exchange contracts | 9,534 |
Unrealized appreciation on swap contracts | 446,587 |
Upfront payments on swap contracts | 7,329 |
Receivable for: | |
Investments sold | 1,219,733 |
Investments sold on a delayed delivery basis | 344,303 |
Capital shares sold | 111,240 |
Dividends | 2,289 |
Interest | 1,604,308 |
Foreign tax reclaims | 5,980 |
Variation margin for futures contracts | 45,468 |
Variation margin for swap contracts | 138,152 |
Expense reimbursement due from Investment Manager | 243 |
Trustees’ deferred compensation plan | 93,521 |
Total assets | 224,248,910 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 6,441 |
Unrealized depreciation on swap contracts | 173,135 |
Upfront receipts on swap contracts | 424,376 |
Payable for: | |
Investments purchased | 591,498 |
Investments purchased on a delayed delivery basis | 18,816,073 |
Capital shares purchased | 219,919 |
Variation margin for futures contracts | 21,023 |
Management services fees | 3,336 |
Distribution and/or service fees | 649 |
Service fees | 12,967 |
Compensation of board members | 2,519 |
Compensation of chief compliance officer | 18 |
Other expenses | 34,905 |
Trustees’ deferred compensation plan | 93,521 |
Total liabilities | 20,400,380 |
Net assets applicable to outstanding capital stock | $203,848,530 |
Represented by | |
Paid in capital | 197,122,592 |
Total distributable earnings (loss) | 6,725,938 |
Total - representing net assets applicable to outstanding capital stock | $203,848,530 |
Class 1 | |
Net assets | $108,891,935 |
Shares outstanding | 25,818,465 |
Net asset value per share | $4.22 |
Class 2 | |
Net assets | $94,956,595 |
Shares outstanding | 22,782,729 |
Net asset value per share | $4.17 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 33 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $89,043 |
Dividends — affiliated issuers | 46,019 |
Interest | 4,249,812 |
Foreign taxes withheld | (5,897) |
Total income | 4,378,977 |
Expenses: | |
Management services fees | 600,341 |
Distribution and/or service fees | |
Class 2 | 118,632 |
Service fees | 61,567 |
Compensation of board members | 8,054 |
Custodian fees | 20,624 |
Printing and postage fees | 10,462 |
Audit fees | 25,301 |
Legal fees | 2,548 |
Interest on collateral | 909 |
Compensation of chief compliance officer | 36 |
Other | 5,642 |
Total expenses | 854,116 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (44,680) |
Total net expenses | 809,436 |
Net investment income | 3,569,541 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (182,576) |
Investments — affiliated issuers | (404) |
Foreign currency translations | 30,112 |
Forward foreign currency exchange contracts | 117,523 |
Futures contracts | (2,792,011) |
Options purchased | 1,205,300 |
Options contracts written | (1,160,266) |
Swap contracts | 1,106,283 |
Net realized loss | (1,676,039) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (6,287,458) |
Investments — affiliated issuers | 2,720 |
Foreign currency translations | 228 |
Forward foreign currency exchange contracts | 41,444 |
Futures contracts | (670,301) |
Options purchased | (20,438) |
Swap contracts | 1,597,258 |
Foreign capital gains tax | 228 |
Net change in unrealized appreciation (depreciation) | (5,336,319) |
Net realized and unrealized loss | (7,012,358) |
Net decrease in net assets resulting from operations | $(3,442,817) |
34 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $3,569,541 | $7,715,100 |
Net realized loss | (1,676,039) | (2,033,813) |
Net change in unrealized appreciation (depreciation) | (5,336,319) | 12,477,049 |
Net increase (decrease) in net assets resulting from operations | (3,442,817) | 18,158,336 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (4,041,068) |
Class 2 | — | (3,062,256) |
Total distributions to shareholders | — | (7,103,324) |
Increase (decrease) in net assets from capital stock activity | (5,179,366) | 33,123,976 |
Total increase (decrease) in net assets | (8,622,183) | 44,178,988 |
Net assets at beginning of period | 212,470,713 | 168,291,725 |
Net assets at end of period | $203,848,530 | $212,470,713 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 413,832 | 1,680,315 | 653,187 | 2,757,690 |
Distributions reinvested | — | — | 966,763 | 4,041,068 |
Redemptions | (271,844) | (1,111,167) | (760,175) | (3,203,096) |
Net increase | 141,988 | 569,148 | 859,775 | 3,595,662 |
Class 2 | ||||
Subscriptions | 2,555,636 | 10,460,118 | 8,274,326 | 34,581,903 |
Distributions reinvested | — | — | 739,675 | 3,062,256 |
Redemptions | (4,085,928) | (16,208,632) | (1,933,639) | (8,115,845) |
Net increase (decrease) | (1,530,292) | (5,748,514) | 7,080,362 | 29,528,314 |
Total net increase (decrease) | (1,388,304) | (5,179,366) | 7,940,137 | 33,123,976 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 35 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $4.27 | 0.08 | (0.13) | (0.05) | — | — | — |
Year Ended 12/31/2019 | $4.02 | 0.18 | 0.23 | 0.41 | (0.16) | — | (0.16) |
Year Ended 12/31/2018 | $4.18 | 0.19 | (0.21) | (0.02) | (0.14) | — | (0.14) |
Year Ended 12/31/2017 | $4.05 | 0.18 | 0.08 | 0.26 | (0.13) | — | (0.13) |
Year Ended 12/31/2016 | $4.45 | 0.19 | 0.21 | 0.40 | (0.53) | (0.27) | (0.80) |
Year Ended 12/31/2015 | $8.71 | 0.34 | (0.32)(e) | 0.02 | (3.20) | (1.08) | (4.28) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $4.23 | 0.07 | (0.13) | (0.06) | — | — | — |
Year Ended 12/31/2019 | $3.98 | 0.16 | 0.24 | 0.40 | (0.15) | — | (0.15) |
Year Ended 12/31/2018 | $4.14 | 0.17 | (0.20) | (0.03) | (0.13) | — | (0.13) |
Year Ended 12/31/2017 | $4.02 | 0.17 | 0.07 | 0.24 | (0.12) | — | (0.12) |
Year Ended 12/31/2016 | $4.41 | 0.18 | 0.21 | 0.39 | (0.51) | (0.27) | (0.78) |
Year Ended 12/31/2015 | $8.66 | 0.26 | (0.25)(e) | 0.01 | (3.18) | (1.08) | (4.26) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
36 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $4.22 | (1.17%) | 0.74%(c),(d) | 0.69%(c),(d) | 3.69%(c) | 92% | $108,892 |
Year Ended 12/31/2019 | $4.27 | 10.38% | 0.74%(d) | 0.69%(d) | 4.19% | 193% | $109,698 |
Year Ended 12/31/2018 | $4.02 | (0.39%) | 0.77%(d) | 0.69%(d) | 4.49% | 157% | $99,738 |
Year Ended 12/31/2017 | $4.18 | 6.36% | 0.77% | 0.71% | 4.42% | 162% | $99,806 |
Year Ended 12/31/2016 | $4.05 | 9.15% | 0.73% | 0.66% | 4.50% | 179% | $95,971 |
Year Ended 12/31/2015 | $4.45 | (1.77%) | 0.69% | 0.68% | 4.23% | 192% | $89,998 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $4.17 | (1.42%) | 0.99%(c),(d) | 0.94%(c),(d) | 3.43%(c) | 92% | $94,957 |
Year Ended 12/31/2019 | $4.23 | 10.22% | 0.99%(d) | 0.94%(d) | 3.92% | 193% | $102,773 |
Year Ended 12/31/2018 | $3.98 | (0.64%) | 1.02%(d) | 0.94%(d) | 4.24% | 157% | $68,554 |
Year Ended 12/31/2017 | $4.14 | 5.90% | 1.03% | 0.96% | 4.19% | 162% | $63,882 |
Year Ended 12/31/2016 | $4.02 | 9.05% | 0.98% | 0.90% | 4.24% | 179% | $46,676 |
Year Ended 12/31/2015 | $4.41 | (1.93%) | 0.98% | 0.94% | 4.23% | 192% | $35,854 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 37 |
38 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 39 |
40 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 41 |
42 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 43 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 1,025,771* |
Credit risk | Upfront payments on swap contracts | 7,329 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 9,534 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 173,530* |
Interest rate risk | Investments, at value — Options purchased | 114,832 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 448,160* |
Total | 1,779,156 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 4,902* |
Credit risk | Upfront receipts on swap contracts | 424,376 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 6,441 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 152,699* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 662,694* |
Total | 1,251,112 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 1,116,597 | 1,116,597 |
Foreign exchange risk | 117,523 | — | — | — | — | 117,523 |
Interest rate risk | — | (2,792,011) | (1,160,266) | 1,205,300 | (10,314) | (2,757,291) |
Total | 117,523 | (2,792,011) | (1,160,266) | 1,205,300 | 1,106,283 | (1,523,171) |
44 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 1,887,917 | 1,887,917 |
Foreign exchange risk | 41,444 | — | — | — | 41,444 |
Interest rate risk | — | (670,301) | (20,438) | (290,659) | (981,398) |
Total | 41,444 | (670,301) | (20,438) | 1,597,258 | 947,963 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 24,949,569 |
Futures contracts — short | 22,780,734 |
Credit default swap contracts — buy protection | 200,000 |
Credit default swap contracts — sell protection | 17,157,700 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 729,856 |
Options contracts — written | (630,591) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 65,971 | (3,221) |
Interest rate swap contracts | 224,080 | (877,721) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 45 |
46 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Citi ($) | Goldman Sachs International ($) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | |||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | 116,973 | - | 116,973 |
Centrally cleared interest rate swap contracts (b) | - | - | - | - | 21,179 | - | 21,179 |
Forward foreign currency exchange contracts | - | - | - | 9,534 | - | - | 9,534 |
Options purchased puts | - | - | - | 114,832 | - | - | 114,832 |
OTC credit default swap contracts (c) | - | - | 40,808 | - | - | - | 40,808 |
OTC interest rate swap contracts (c) | 105,675 | 228,012 | - | - | - | - | 333,687 |
Total assets | 105,675 | 228,012 | 40,808 | 124,366 | 138,152 | - | 637,013 |
Liabilities | |||||||
Forward foreign currency exchange contracts | - | - | - | - | - | 6,441 | 6,441 |
OTC credit default swap contracts (c) | 84,969 | - | 163,008 | 101,880 | - | - | 349,857 |
OTC interest rate swap contracts (c) | - | - | 168,233 | - | - | - | 168,233 |
Total liabilities | 84,969 | - | 331,241 | 101,880 | - | 6,441 | 524,531 |
Total financial and derivative net assets | 20,706 | 228,012 | (290,433) | 22,486 | 138,152 | (6,441) | 112,482 |
Total collateral received (pledged) (d) | - | - | (240,000) | - | - | - | (240,000) |
Net amount (e) | 20,706 | 228,012 | (50,433) | 22,486 | 138,152 | (6,441) | 352,482 |
(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 | Semiannual Report 2020 | 47 |
48 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 49 |
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.69% |
Class 2 | 0.94 |
50 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
216,631,000 | 9,618,000 | (8,772,000) | 846,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(285,047) | (2,187,271) | (2,472,318) |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 51 |
52 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 53 |
54 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 55 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the reputation, regulatory history and resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
56 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 57 |
58 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 59 |