Schedule of Investments
March 31, 2024
(Unaudited)
Principal Amount | Value | ||
U.S. Government Sponsored Agency Mortgage-Backed Securities–69.97% | |||
Collateralized Mortgage Obligations–8.17% | |||
Fannie Mae ACES, 3.27%, 02/25/2029 | $4,861,405 | $4,579,048 | |
Fannie Mae REMICs, | |||
7.00%, 09/18/2027 | 15,778 | 15,770 | |
1.50%, 01/25/2028 | 541,218 | 514,425 | |
6.50%, 03/25/2032 | 204,939 | 211,187 | |
5.75%, 10/25/2035 | 42,546 | 42,709 | |
5.73% (30 Day Average SOFR + 0.41%), 05/25/2036(a) | 717,133 | 705,606 | |
5.88% (30 Day Average SOFR + 0.56%), 03/25/2037(a) | 382,507 | 378,884 | |
6.61%, 06/25/2039(b) | 951,437 | 978,749 | |
4.00%, 07/25/2040 | 532,890 | 515,091 | |
5.98% (30 Day Average SOFR + 0.66%), 02/25/2041(a) | 254,778 | 254,568 | |
5.93% (30 Day Average SOFR + 0.61%), 05/25/2041(a) | 233,336 | 232,764 | |
5.95% (30 Day Average SOFR + 0.63%), 11/25/2041(a) | 407,594 | 403,635 | |
5.74% (30 Day Average SOFR + 0.43%), 08/25/2044(a) | 593,286 | 576,122 | |
5.87% (30 Day Average SOFR + 0.59%), 02/25/2056(a) | 1,100,450 | 1,113,325 | |
5.87% (30 Day Average SOFR + 0.53%), 12/25/2056(a) | 1,406,044 | 1,369,341 | |
IO, 2.00%, 03/25/2051(c) | 2,499,269 | 328,142 | |
Freddie Mac Multifamily Structured Pass-Through Ctfs., | |||
Series KS11, Class AFX1, 2.15%, 12/25/2028 | 4,825,483 | 4,499,591 | |
Series K092, Class AM, 3.02%, 04/25/2029 | 5,000,000 | 4,638,065 | |
Freddie Mac REMICs, | |||
5.93% (30 Day Average SOFR + 0.61%), 12/15/2035(a) | 483,052 | 479,850 | |
5.73% (30 Day Average SOFR + 0.41%), 03/15/2036 to 09/15/2044(a) | 719,320 | 714,662 | |
5.80% (30 Day Average SOFR + 0.46%), 11/15/2036(a) | 825,843 | 811,102 | |
5.80% (30 Day Average SOFR + 0.48%), 03/15/2037(a) | 405,484 | 399,372 | |
5.83% (30 Day Average SOFR + 0.51%), 06/15/2037(a) | 625,961 | 617,150 | |
6.29% (30 Day Average SOFR + 0.97%), 11/15/2039(a) | 218,025 | 219,208 | |
5.88% (30 Day Average SOFR + 0.56%), 03/15/2040 to 02/15/2042(a) | 1,721,517 | 1,704,736 | |
Freddie Mac STRIPS, 5.80% (30 Day Average SOFR + 0.46%), 10/15/2037(a) | 626,080 | 614,874 | |
26,917,976 |
Principal Amount | Value | ||
Federal Home Loan Mortgage Corp. (FHLMC)–13.93% | |||
8.00%, 08/01/2024 to 02/01/2035 | $79,819 | $80,445 | |
7.00%, 01/01/2026 to 11/01/2035 | 827,048 | 855,585 | |
8.50%, 05/01/2026 to 08/01/2031 | 43,345 | 44,004 | |
7.05%, 05/20/2027 | 10,384 | 10,365 | |
6.50%, 08/01/2028 to 12/01/2035 | 641,025 | 659,173 | |
6.00%, 09/01/2029 to 12/01/2053 | 6,162,991 | 6,232,098 | |
7.50%, 09/01/2030 to 06/01/2035 | 279,481 | 283,723 | |
6.03%, 10/20/2030 | 250,688 | 251,350 | |
3.00%, 02/01/2032 to 01/01/2050 | 8,705,836 | 7,690,914 | |
2.50%, 09/01/2034 to 12/01/2050 | 12,222,912 | 10,920,575 | |
5.00%, 01/01/2037 to 01/01/2040 | 331,772 | 331,994 | |
4.50%, 01/01/2040 to 08/01/2041 | 1,588,082 | 1,559,194 | |
5.50%, 11/01/2052 to 05/01/2053 | 13,291,715 | 13,287,837 | |
ARM, 6.13% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.88%), 09/01/2035(a) | 761,421 | 782,260 | |
5.68% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.86%), 07/01/2036(a) | 730,629 | 750,437 | |
5.82% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.57%), 10/01/2036(a) | 309,937 | 316,469 | |
6.16% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.91%), 10/01/2036(a) | 30,030 | 30,927 | |
6.20% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.98%), 11/01/2037(a) | 180,333 | 181,766 | |
6.45% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 2.08%), 01/01/2038(a) | 16,579 | 16,670 | |
5.74% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.86%), 07/01/2038(a) | 198,637 | 204,357 | |
5.81% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.78%), 06/01/2043(a) | 259,954 | 267,115 | |
2.92% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.64%), 01/01/2048(a) | 1,135,784 | 1,130,894 | |
45,888,152 |
See accompanying notes which are an integral part of this schedule.
Invesco V.I. Government Securities Fund
Principal Amount | Value | ||
Federal National Mortgage Association (FNMA)–14.95% | |||
8.50%, 09/01/2024 to 12/01/2036 | $153,489 | $159,762 | |
4.50%, 11/01/2024 to 08/01/2041 | 1,567,599 | 1,533,784 | |
7.00%, 09/01/2025 to 02/01/2036 | 356,232 | 366,442 | |
0.50%, 11/07/2025 | 4,000,000 | 3,739,496 | |
6.50%, 07/01/2026 to 11/01/2037 | 519,101 | 539,051 | |
8.00%, 09/01/2026 to 10/01/2037 | 732,910 | 764,574 | |
7.50%, 12/01/2026 to 08/01/2037 | 1,116,852 | 1,132,778 | |
3.50%, 05/01/2027 to 08/01/2027 | 771,207 | 746,218 | |
6.00%, 06/01/2027 to 10/01/2053 | 6,536,272 | 6,677,043 | |
0.75%, 10/08/2027 | 6,000,000 | 5,291,330 | |
3.00%, 12/01/2031 to 03/01/2050 | 4,579,573 | 4,177,342 | |
5.00%, 08/01/2033 to 04/01/2053 | 3,476,972 | 3,402,761 | |
2.50%, 12/01/2034 to 07/01/2035 | 10,333,429 | 9,479,396 | |
5.50%, 04/01/2035 to 05/01/2035 | 491,991 | 502,399 | |
2.00%, 09/01/2035 to 03/01/2051 | 6,771,724 | 5,681,258 | |
4.00%, 09/01/2043 to 12/01/2048 | 4,192,059 | 3,980,631 | |
ARM, 6.45% (1 yr. U.S. Treasury Yield Curve Rate + 2.36%), 10/01/2034(a) | 481,321 | 496,133 | |
5.96% (1 yr. U.S. Treasury Yield Curve Rate + 2.20%), 05/01/2035(a) | 48,627 | 49,955 | |
6.25% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.72%), 03/01/2038(a) | 12,463 | 12,495 | |
6.03% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.77%), 02/01/2042(a) | 116,745 | 116,406 | |
5.77% (1 yr. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.52%), 08/01/2043(a) | 165,470 | 164,903 | |
5.94% (1 yr. U.S. Treasury Yield Curve Rate + 1.88%), 05/01/2044(a) | 256,978 | 258,857 | |
49,273,014 |
Principal Amount | Value | ||
Government National Mortgage Association (GNMA)–23.50% | |||
6.50%, 07/15/2024 to 09/15/2034 | $754,731 | $780,729 | |
7.50%, 08/15/2024 to 10/15/2035 | 371,929 | 382,682 | |
7.00%, 09/15/2024 to 12/15/2036 | 280,241 | 282,864 | |
5.00%, 02/15/2025 | 8,525 | 8,482 | |
8.00%, 07/15/2026 to 01/15/2037 | 345,886 | 356,703 | |
6.38%, 10/20/2027 | 25,948 | 25,835 | |
6.00%, 09/15/2029 to 08/15/2033 | 162,947 | 166,595 | |
6.10%, 12/20/2033 | 1,419,920 | 1,462,273 | |
5.67%, 08/20/2034(b) | 349,526 | 354,774 | |
8.50%, 10/15/2036 to 01/15/2037 | 103,678 | 104,566 | |
5.89%, 01/20/2039(b) | 1,370,354 | 1,399,019 | |
6.24% (1 mo. Term SOFR + 0.91%), 09/16/2039(a) | 348,562 | 350,612 | |
6.14% (1 mo. Term SOFR + 0.81%), 05/20/2040(a) | 810,200 | 810,134 | |
4.52%, 07/20/2041(b) | 215,843 | 212,406 | |
3.72%, 09/20/2041 | 755,943 | 738,468 | |
5.69% (1 mo. Term SOFR + 0.36%), 01/20/2042(a) | 8,955 | 8,758 | |
3.50%, 10/20/2042 to 06/20/2050 | 5,113,921 | 4,675,040 | |
5.74% (1 mo. Term SOFR + 0.41%), 08/20/2047(a) | 1,517,958 | 1,478,123 | |
3.00%, 10/20/2048 to 11/20/2049 | 8,418,279 | 7,456,480 | |
2.50%, 07/20/2049 | 2,502,392 | 2,169,425 | |
TBA, 4.00%, 04/01/2054(d) | 3,840,000 | 3,593,646 | |
4.50%, 04/01/2054(d) | 10,700,000 | 10,282,540 | |
5.00%, 04/01/2054(d) | 12,200,000 | 11,991,539 | |
5.50%, 04/01/2054(d) | 12,385,000 | 12,375,304 | |
6.00%, 04/01/2054(d) | 13,500,000 | 13,620,101 | |
Series 2020-137, Class A, 1.50%, 04/16/2062 | 3,091,849 | 2,340,556 | |
77,427,654 | |||
Uniform Mortgage-Backed Securities–9.42% | |||
TBA, 2.00%, 04/01/2054(d) | 8,000,000 | 6,330,403 | |
4.00%, 04/01/2054(d) | 7,500,000 | 6,946,184 | |
5.00%, 04/01/2054(d) | 13,920,000 | 13,583,406 | |
5.50%, 04/01/2054(d) | 4,200,000 | 4,179,809 | |
31,039,802 | |||
Total U.S. Government Sponsored Agency Mortgage-Backed Securities (Cost $241,702,034) | 230,546,598 | ||
U.S. Treasury Securities–23.51% | |||
U.S. Treasury Bills–0.52% | |||
4.79% - 5.31%, 04/18/2024(e)(f) | 1,655,000 | 1,651,307 | |
5.25%, 09/05/2024(e)(f) | 50,000 | 48,885 | |
1,700,192 | |||
U.S. Treasury Bonds–1.04% | |||
5.38%, 02/15/2031 | 3,200,000 | 3,436,375 |
See accompanying notes which are an integral part of this schedule.
Invesco V.I. Government Securities Fund
Principal Amount | Value | ||
U.S. Treasury Notes–21.95% | |||
0.25%, 05/15/2024 | $1,500,000 | $1,490,833 | |
2.00%, 05/31/2024 | 2,500,000 | 2,486,525 | |
2.25%, 11/15/2024 | 3,200,000 | 3,142,095 | |
2.13%, 05/15/2025 | 7,680,000 | 7,444,200 | |
2.25%, 11/15/2025 | 2,800,000 | 2,690,078 | |
0.38% - 2.88%, 11/30/2025 | 10,500,000 | 9,869,356 | |
0.38%, 12/31/2025 | 5,000,000 | 4,638,281 | |
0.88%, 06/30/2026 | 2,000,000 | 1,844,375 | |
1.50%, 08/15/2026 | 7,450,000 | 6,944,215 | |
1.13%, 02/28/2027 | 9,159,000 | 8,341,488 | |
2.38%, 05/15/2027 | 3,700,000 | 3,482,408 | |
0.50%, 06/30/2027 | 1,900,000 | 1,678,939 | |
2.25%, 11/15/2027 | 2,900,000 | 2,698,076 | |
2.75%, 02/15/2028 | 1,900,000 | 1,794,016 | |
1.25%, 06/30/2028 | 4,500,000 | 3,973,975 | |
2.88%, 08/15/2028 | 7,500,000 | 7,083,398 | |
2.38%, 05/15/2029 | 2,600,000 | 2,379,102 | |
1.63%, 08/15/2029 | 400,000 | 351,172 | |
72,332,532 | |||
Total U.S. Treasury Securities (Cost $82,818,368) | 77,469,099 | ||
Asset-Backed Securities–8.95%(g) | |||
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class XA, IO, 0.74%, 09/15/2048(h) | 12,142,744 | 95,141 | |
Bank, Series 2017-BNK5, Class AS, 3.62%, 06/15/2060 | 1,800,000 | 1,683,431 | |
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 12A1, 4.89%, 01/25/2035(b) | 175,063 | 165,801 | |
Chase Mortgage Finance Corp., | |||
Series 2016-SH1, Class M3, 3.75%, 04/25/2045(b)(i) | 792,946 | 709,584 | |
Series 2016-SH2, Class M3, 3.75%, 12/25/2045(b)(i) | 1,050,659 | 938,777 | |
CHNGE Mortgage Trust, Series 2023-3, Class A1, 7.10%, 07/25/2058(i)(j) | 2,547,142 | 2,549,765 | |
COLT Mortgage Loan Trust, Series 2021-4, Class A1, 1.40%, 10/25/2066(b)(i) | 3,776,895 | 3,092,613 | |
FRESB Mortgage Trust, Series 2019-SB63, Class A5, 6.13% (30 Day Average SOFR + 0.81%), 02/25/2039(a) | 2,564,211 | 2,479,976 | |
GCAT Trust, Series 2020-NQM1, Class A3, 3.55%, 01/25/2060(i)(j) | 2,309,394 | 2,185,385 | |
Mello Mortgage Capital Acceptance Trust, Series 2021-INV1, Class A4, 2.50%, 06/25/2051(b)(i) | 483,967 | 422,871 | |
New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S, 6.19% (1 mo. Term SOFR + 0.86%), 01/25/2048(a)(i) | 856,560 | 832,641 | |
NextGear Floorplan Master Owner Trust, Series 2021-1A, Class A, 0.85%, 07/15/2026(i) | 2,000,000 | 1,972,974 | |
SGR Residential Mortgage Trust, Series 2021-2, Class A1, 1.74%, 12/25/2061(b)(i) | 3,128,747 | 2,562,762 | |
SMB Private Education Loan Trust, Series 2021-D, Class A1A, 1.34%, 03/17/2053(i) | 1,433,828 | 1,290,617 |
Principal Amount | Value | ||
Textainer Marine Containers VII Ltd. (China), | |||
Series 2020-3A, Class A, 2.11%, 09/20/2045(i) | $1,701,024 | $1,547,731 | |
Series 2021-2A, Class B, 2.82%, 04/20/2046(i) | 3,066,667 | 2,709,994 | |
Verus Securitization Trust, Series 2023-INV3, Class A3, 7.73%, 11/25/2068(b)(i) | 4,169,843 | 4,250,262 | |
Total Asset-Backed Securities (Cost $31,976,070) | 29,490,325 | ||
Certificates of Deposit–8.81% | |||
Diversified Banks–8.81% | |||
Banco Santander S.A. (Spain), 5.75% , 11/27/2024 | 5,000,000 | 5,013,402 | |
Barclays Bank PLC (United Kingdom), 5.73% (SOFR + 0.40%), 01/31/2025(a) | 2,000,000 | 2,002,821 | |
Mitsubishi UFJ Trust & Banking Corp. (Japan), 5.68% (SOFR + 0.34%), 03/07/2025(a) | 9,000,000 | 9,006,430 | |
Mizuho Bank Ltd. (Japan), 5.68% (SOFR + 0.35%), 01/31/2025(a) | 5,000,000 | 5,001,960 | |
Sumitomo Mitsui Banking Corp. (Japan), 5.66% (SOFR + 0.34%), 03/18/2025(a) | 8,000,000 | 8,000,836 | |
Total Certificates of Deposit (Cost $29,000,396) | 29,025,449 | ||
Commercial Paper–6.04% | |||
Diversified Banks–1.49% | |||
Bank of Montreal (Canada), 5.79% (SOFR + 0.47%), 12/13/2024(a) | 2,900,000 | 2,905,643 | |
UBS AG (Switzerland), 6.01% (SOFR + 0.65%), 05/02/2024(a)(i) | 2,000,000 | 2,000,000 | |
4,905,643 | |||
Investment Banking & Brokerage–2.43% | |||
BofA Securities, Inc., 5.67% (SOFR + 0.32%), 03/18/2025(a) | 8,000,000 | 8,002,988 | |
Regional Banks–2.12% | |||
ING (U.S.) Funding LLC (Netherlands), 5.91% (SOFR + 0.59%), 04/24/2024(a)(i) | 7,000,000 | 6,999,999 | |
Total Commercial Paper (Cost $19,899,999) | 19,908,630 | ||
U.S. Government Sponsored Agency Securities–4.20% | |||
Federal Home Loan Bank (FHLB)–4.20% | |||
Federal Home Loan Bank, 0.50%, 04/14/2025 (Cost $14,505,778) | 14,500,000 | 13,823,970 | |
Agency Credit Risk Transfer Notes–1.23% | |||
Freddie Mac, Series 2022-HQA3, Class M1, STACR®, 7.62% (30 Day Average SOFR + 2.30%), 08/25/2042 (Cost $3,978,500)(a)(i) | 3,954,484 | 4,040,959 | |
U.S. Dollar Denominated Bonds & Notes–1.15% | |||
Sovereign Debt–1.15% | |||
Israel Government AID Bond, 5.13%, 11/01/2024 (Cost $3,801,716) | 3,800,000 | 3,791,525 |
See accompanying notes which are an integral part of this schedule.
Invesco V.I. Government Securities Fund
Shares | Value | ||
Money Market Funds–0.93% | |||
Invesco Government & Agency Portfolio, Institutional Class, 5.24%(k)(l) (Cost $3,059,360) | 3,059,360 | $3,059,360 | |
TOTAL INVESTMENTS IN SECURITIES–124.79% (Cost $430,742,221) | 411,155,915 | ||
OTHER ASSETS LESS LIABILITIES—(24.79)% | (81,677,549) | ||
NET ASSETS–100.00% | $329,478,366 |
Investment Abbreviations:
ACES | – Automatically Convertible Extendable Security |
ARM | – Adjustable Rate Mortgage |
Ctfs. | – Certificates |
IBOR | – Interbank Offered Rate |
IO | – Interest Only |
REMICs | – Real Estate Mortgage Investment Conduits |
SOFR | – Secured Overnight Financing Rate |
STACR® | – Structured Agency Credit Risk |
STRIPS | – Separately Traded Registered Interest and Principal Security |
TBA | – To Be Announced |
USD | – U.S. Dollar |
Notes to Schedule of Investments:
(a) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on March 31, 2024. |
(b) | Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on March 31, 2024. |
(c) | Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. |
(d) | Security purchased on a forward commitment basis. This security is subject to dollar roll transactions. |
(e) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. |
(f) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. |
(g) | Non-U.S. government sponsored securities. |
(h) | Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on March 31, 2024. |
(i) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at March 31, 2024 was $38,106,934, which represented 11.57% of the Fund’s Net Assets. |
(j) | Step coupon bond. The interest rate represents the coupon rate at which the bond will accrue at a specified future date. |
(k) | Affiliated holding. Affiliated holdings are investments in entities which are under common ownership or control of Invesco Ltd. or are investments in entities in which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the three months ended March 31, 2024. |
Value December 31, 2023 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation | Realized Gain | Value March 31, 2024 | Dividend Income | |
Investments in Affiliated Money Market Funds: | |||||||
Invesco Government & Agency Portfolio, Institutional Class | $1,926,814 | $50,173,634 | $(49,041,088) | $- | $- | $3,059,360 | $55,183 |
(l) | The rate shown is the 7-day SEC standardized yield as of March 31, 2024. |
Open Futures Contracts | |||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Interest Rate Risk | |||||
U.S. Treasury 2 Year Notes | 357 | June-2024 | $73,000,922 | $(61,321) | $(61,321) |
U.S. Treasury 5 Year Notes | 671 | June-2024 | 71,807,484 | 129,984 | 129,984 |
U.S. Treasury 10 Year Notes | 469 | June-2024 | 51,963,734 | 343,213 | 343,213 |
U.S. Treasury 10 Year Ultra Notes | 34 | June-2024 | 3,896,719 | 14,983 | 14,983 |
Subtotal—Long Futures Contracts | 426,859 | 426,859 |
See accompanying notes which are an integral part of this schedule.
Invesco V.I. Government Securities Fund
Open Futures Contracts—(continued) | |||||
Short Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Interest Rate Risk | |||||
U.S. Treasury Long Bonds | 223 | June-2024 | $(26,857,562) | $(314,008) | $(314,008) |
U.S. Treasury Ultra Bonds | 31 | June-2024 | (3,999,000) | (43,188) | (43,188) |
Subtotal—Short Futures Contracts | (357,196) | (357,196) | |||
Total Futures Contracts | $69,663 | $69,663 |
The valuation policy and a listing of other significant accounting policies are available in the most recent shareholder report.
See accompanying notes which are an integral part of this schedule.
Invesco V.I. Government Securities Fund
Notes to Quarterly Schedule of Portfolio Holdings
March 31, 2024
(Unaudited)
NOTE 1—Additional Valuation Information
Generally Accepted Accounting Principles ("GAAP") defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:
Level 1 – Prices are determined using quoted prices in an active market for identical assets.
Level 2 – Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.
Level 3 – Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect Invesco Advisers, Inc.’s assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.
The following is a summary of the tiered valuation input levels, as of March 31, 2024. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.
Level 1 | Level 2 | Level 3 | Total | |
Investments in Securities | ||||
U.S. Government Sponsored Agency Mortgage-Backed Securities | $— | $230,546,598 | $— | $230,546,598 |
U.S. Treasury Securities | — | 77,469,099 | — | 77,469,099 |
Asset-Backed Securities | — | 29,490,325 | — | 29,490,325 |
Certificates of Deposit | — | 29,025,449 | — | 29,025,449 |
Commercial Paper | — | 19,908,630 | — | 19,908,630 |
U.S. Government Sponsored Agency Securities | — | 13,823,970 | — | 13,823,970 |
Agency Credit Risk Transfer Notes | — | 4,040,959 | — | 4,040,959 |
U.S. Dollar Denominated Bonds & Notes | — | 3,791,525 | — | 3,791,525 |
Money Market Funds | 3,059,360 | — | — | 3,059,360 |
Total Investments in Securities | 3,059,360 | 408,096,555 | — | 411,155,915 |
Other Investments - Assets* | ||||
Futures Contracts | 488,180 | — | — | 488,180 |
Other Investments - Liabilities* | ||||
Futures Contracts | (418,517) | — | — | (418,517) |
Total Other Investments | 69,663 | — | — | 69,663 |
Total Investments | $3,129,023 | $408,096,555 | $— | $411,225,578 |
* | Unrealized appreciation (depreciation). |
Invesco V.I. Government Securities Fund