Consolidated Schedule of Investments
March 31, 2024
(Unaudited)
Interest Rate | Maturity Date | Principal Amount (000) | Value | ||
U.S. Treasury Securities–1.88%(a) | |||||
U.S. Treasury Bills–1.88% | |||||
U.S. Treasury Bills (Cost 8,806,734)(b) | 5.14% | 07/25/2024 | $ 8,950 | $ 8,802,917 | |
Shares | |||||
Money Market Funds–89.92%(c) | |||||
Invesco Government & Agency Portfolio, Institutional Class, 5.24%(d) | 133,438,353 | 133,438,353 | |||
Invesco Government Money Market Fund, Cash Reserve Shares, 5.14%(d) | 57,550,027 | 57,550,027 | |||
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, , Institutional Class (Ireland), Agency Class, 5.52%(d) | 39,066,468 | 39,066,468 | |||
Invesco Premier U.S. Government Money Portfolio, Institutional Class, 5.22%(d) | 71,045,645 | 71,045,645 | |||
Invesco Treasury Obligations Portfolio, Institutional Class, 5.15%(d) | 51,505,418 | 51,505,418 | |||
Invesco Treasury Portfolio, Institutional Class, 5.21%(d) | 58,546,699 | 58,546,699 | |||
Invesco V.I. Government Money Market Fund, Series I, 5.02%(d) | 9,240,310 | 9,240,310 | |||
Total Money Market Funds (Cost $420,392,920) | 420,392,920 | ||||
Options Purchased–0.35% | |||||
(Cost $5,372,607)(e) | 1,603,800 | ||||
TOTAL INVESTMENTS IN SECURITIES–92.15% (Cost $434,572,261) | 430,799,637 | ||||
OTHER ASSETS LESS LIABILITIES–7.85% | 36,707,108 | ||||
NET ASSETS–100.00% | $467,506,745 |
Notes to Consolidated Schedule of Investments:
(a) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. |
(b) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. |
(c) | The rate shown is the 7-day SEC standardized yield as of March 31, 2024. |
(d) | 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 | $125,718,356 | $40,828,641 | $(33,108,644) | $- | $- | $133,438,353 | $1,624,493 |
Invesco Government Money Market Fund, Cash Reserve Shares | 57,361,998 | 6,346,730 | (6,158,701) | - | - | 57,550,027 | 750,602 |
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, , Institutional Class, Agency Class | 41,173,803 | 34,668,720 | (36,776,055) | - | - | 39,066,468 | 600,469 |
Invesco Premier U.S. Government Money Portfolio, Institutional Class | 64,694,230 | 18,664,128 | (12,312,713) | - | - | 71,045,645 | 866,733 |
Invesco Treasury Obligations Portfolio, Institutional Class | 51,505,418 | - | - | - | - | 51,505,418 | 662,518 |
Invesco Treasury Portfolio, Institutional Class | 64,046,146 | 46,461,354 | (51,960,801) | - | - | 58,546,699 | 695,650 |
Invesco V.I. Government Money Market Fund, Series I | 9,240,310 | - | - | - | - | 9,240,310 | 115,099 |
Total | $413,740,261 | $146,969,573 | $(140,316,914) | $- | $- | $420,392,920 | $5,315,564 |
(e) | The table below details options purchased. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Exchange-Traded Index Options Purchased | ||||||||
Description | Type of Contract | Expiration Date | Number of Contracts | Exercise Price | Notional Value(a) | Value | ||
Equity Risk | ||||||||
EURO STOXX 50 Index | Put | 05/17/2024 | 30 | EUR | 4,200.00 | EUR | 1,260,000 | $1,392 |
EURO STOXX 50 Index | Put | 06/21/2024 | 30 | EUR | 4,250.00 | EUR | 1,275,000 | 3,463 |
EURO STOXX 50 Index | Put | 07/19/2024 | 30 | EUR | 4,300.00 | EUR | 1,290,000 | 5,988 |
EURO STOXX 50 Index | Put | 10/18/2024 | 30 | EUR | 4,100.00 | EUR | 1,230,000 | 10,098 |
EURO STOXX 50 Index | Put | 11/15/2024 | 30 | EUR | 4,000.00 | EUR | 1,200,000 | 10,486 |
EURO STOXX 50 Index | Put | 12/20/2024 | 30 | EUR | 4,350.00 | EUR | 1,305,000 | 22,526 |
EURO STOXX 50 Index | Put | 01/17/2025 | 31 | EUR | 4,400.00 | EUR | 1,364,000 | 27,224 |
EURO STOXX 50 Index | Put | 03/21/2025 | 30 | EUR | 4,800.00 | EUR | 1,440,000 | 57,546 |
EURO STOXX 50 Index | Put | 02/21/2025 | 29 | EUR | 4,600.00 | EUR | 1,334,000 | 38,451 |
EURO STOXX 50 Index | Put | 04/19/2024 | 30 | EUR | 4,200.00 | EUR | 1,260,000 | 583 |
EURO STOXX 50 Index | Put | 08/16/2024 | 30 | EUR | 4,400.00 | EUR | 1,320,000 | 10,130 |
EURO STOXX 50 Index | Put | 09/20/2024 | 30 | EUR | 4,200.00 | EUR | 1,260,000 | 9,451 |
FTSE 100 Index | Put | 05/17/2024 | 19 | GBP | 7,800.00 | GBP | 1,482,000 | 13,789 |
FTSE 100 Index | Put | 06/21/2024 | 19 | GBP | 7,575.00 | GBP | 1,439,250 | 9,952 |
FTSE 100 Index | Put | 07/19/2024 | 19 | GBP | 7,575.00 | GBP | 1,439,250 | 14,868 |
FTSE 100 Index | Put | 09/20/2024 | 19 | GBP | 7,500.00 | GBP | 1,425,000 | 21,463 |
FTSE 100 Index | Put | 10/18/2024 | 19 | GBP | 7,500.00 | GBP | 1,425,000 | 26,379 |
FTSE 100 Index | Put | 11/15/2024 | 19 | GBP | 7,275.00 | GBP | 1,382,250 | 21,823 |
FTSE 100 Index | Put | 12/20/2024 | 19 | GBP | 7,450.00 | GBP | 1,415,500 | 33,333 |
FTSE 100 Index | Put | 01/17/2025 | 19 | GBP | 7,625.00 | GBP | 1,448,750 | 47,122 |
FTSE 100 Index | Put | 03/21/2025 | 19 | GBP | 7,625.00 | GBP | 1,448,750 | 53,477 |
FTSE 100 Index | Put | 02/21/2025 | 19 | GBP | 7,550.00 | GBP | 1,434,500 | 47,602 |
FTSE 100 Index | Put | 04/19/2024 | 19 | GBP | 7,575.00 | GBP | 1,439,250 | 1,439 |
FTSE 100 Index | Put | 08/16/2024 | 19 | GBP | 7,500.00 | GBP | 1,425,000 | 16,547 |
MSCI Emerging Markets Index | Put | 05/17/2024 | 24 | USD | 960.00 | USD | 2,304,000 | 4,380 |
MSCI Emerging Markets Index | Put | 06/21/2024 | 24 | USD | 960.00 | USD | 2,304,000 | 11,160 |
MSCI Emerging Markets Index | Put | 07/19/2024 | 24 | USD | 1,000.00 | USD | 2,400,000 | 36,360 |
MSCI Emerging Markets Index | Put | 10/18/2024 | 24 | USD | 950.00 | USD | 2,280,000 | 37,080 |
MSCI Emerging Markets Index | Put | 11/15/2024 | 24 | USD | 920.00 | USD | 2,208,000 | 35,640 |
MSCI Emerging Markets Index | Put | 12/20/2024 | 24 | USD | 990.00 | USD | 2,376,000 | 76,320 |
MSCI Emerging Markets Index | Put | 01/17/2025 | 24 | USD | 1,020.00 | USD | 2,448,000 | 103,560 |
MSCI Emerging Markets Index | Put | 03/21/2025 | 24 | USD | 1,030.00 | USD | 2,472,000 | 137,400 |
MSCI Emerging Markets Index | Put | 02/21/2025 | 24 | USD | 980.00 | USD | 2,352,000 | 82,080 |
MSCI Emerging Markets Index | Put | 04/19/2024 | 24 | USD | 975.00 | USD | 2,340,000 | 1,560 |
MSCI Emerging Markets Index | Put | 08/16/2024 | 24 | USD | 1,050.00 | USD | 2,520,000 | 89,280 |
MSCI Emerging Markets Index | Put | 09/20/2024 | 24 | USD | 990.00 | USD | 2,376,000 | 48,720 |
Nikkei 225 Index | Put | 06/14/2024 | 7 | JPY | 28,250.00 | JPY | 197,750,000 | 1,202 |
Nikkei 225 Index | Put | 06/14/2024 | 7 | JPY | 29,750.00 | JPY | 208,250,000 | 1,572 |
Nikkei 225 Index | Put | 09/13/2024 | 7 | JPY | 32,250.00 | JPY | 225,750,000 | 11,560 |
Nikkei 225 Index | Put | 09/13/2024 | 7 | JPY | 31,250.00 | JPY | 218,750,000 | 8,786 |
Nikkei 225 Index | Put | 09/13/2024 | 7 | JPY | 32,000.00 | JPY | 224,000,000 | 10,867 |
Nikkei 225 Index | Put | 12/13/2024 | 7 | JPY | 30,250.00 | JPY | 211,750,000 | 15,028 |
Nikkei 225 Index | Put | 12/13/2024 | 7 | JPY | 31,750.00 | JPY | 222,250,000 | 20,577 |
Nikkei 225 Index | Put | 12/13/2024 | 7 | JPY | 32,000.00 | JPY | 224,000,000 | 22,427 |
Nikkei 225 Index | Put | 03/14/2025 | 7 | JPY | 32,000.00 | JPY | 224,000,000 | 31,444 |
Nikkei 225 Index | Put | 03/14/2025 | 7 | JPY | 34,500.00 | JPY | 241,500,000 | 50,634 |
Nikkei 225 Index | Put | 03/14/2025 | 7 | JPY | 38,500.00 | JPY | 269,500,000 | 104,737 |
Nikkei 225 Index | Put | 06/14/2024 | 7 | JPY | 27,000.00 | JPY | 189,000,000 | 879 |
S&P 500 Mini Index | Put | 07/19/2024 | 22 | USD | 453.00 | USD | 996,600 | 4,224 |
S&P 500 Mini Index | Put | 10/18/2024 | 22 | USD | 437.00 | USD | 961,400 | 7,700 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Exchange-Traded Index Options Purchased—(continued) | ||||||||
Description | Type of Contract | Expiration Date | Number of Contracts | Exercise Price | Notional Value(a) | Value | ||
S&P 500 Mini Index | Put | 11/15/2024 | 22 | USD | 428.00 | USD | 941,600 | $8,635 |
S&P 500 Mini Index | Put | 12/20/2024 | 22 | USD | 465.00 | USD | 1,023,000 | 16,841 |
S&P 500 Mini Index | Put | 01/17/2025 | 23 | USD | 480.00 | USD | 1,104,000 | 23,725 |
S&P 500 Mini Index | Put | 03/21/2025 | 22 | USD | 520.00 | USD | 1,144,000 | 46,585 |
S&P 500 Mini Index | Put | 02/21/2025 | 21 | USD | 493.00 | USD | 1,035,300 | 28,917 |
S&P 500 Mini Index | Put | 04/19/2024 | 22 | USD | 415.00 | USD | 913,000 | 220 |
S&P 500 Mini Index | Put | 05/17/2024 | 22 | USD | 420.00 | USD | 924,000 | 638 |
S&P 500 Mini Index | Put | 06/21/2024 | 22 | USD | 425.00 | USD | 935,000 | 1,617 |
S&P 500 Mini Index | Put | 08/16/2024 | 22 | USD | 466.00 | USD | 1,025,200 | 7,403 |
S&P 500 Mini Index | Put | 09/20/2024 | 22 | USD | 460.00 | USD | 1,012,000 | 8,910 |
Total Index Options Purchased | $1,603,800 |
(a) | Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier. |
Open Futures Contracts(a) | |||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Commodity Risk | |||||
Brent Crude | 129 | June-2024 | $11,010,150 | $554,830 | $554,830 |
Gasoline Reformulated Blendstock Oxygenate Blending | 123 | April-2024 | 14,054,620 | 887,638 | 887,638 |
Low Sulphur Gas Oil | 50 | April-2024 | 4,085,000 | 171,885 | 171,885 |
New York Harbor Ultra-Low Sulfur Diesel | 120 | April-2024 | 13,218,408 | (65,585) | (65,585) |
Silver | 26 | May-2024 | 3,239,080 | 237,219 | 237,219 |
WTI Crude | 89 | August-2024 | 7,128,010 | 362,299 | 362,299 |
Subtotal | 2,148,286 | 2,148,286 | |||
Equity Risk | |||||
E-Mini Russell 2000 Index | 403 | June-2024 | 43,239,885 | 820,396 | 820,396 |
E-Mini S&P 500 Index | 7 | June-2024 | 1,857,975 | 40,641 | 40,641 |
EURO STOXX 50 Index | 172 | June-2024 | 9,361,612 | 260,963 | 260,963 |
FTSE 100 Index | 18 | June-2024 | 1,814,769 | 61,252 | 61,252 |
MSCI Emerging Markets Index | 986 | June-2024 | 51,715,700 | 108,459 | 108,459 |
Nikkei 225 Index | 80 | June-2024 | 21,344,960 | 266,511 | 266,511 |
Subtotal | 1,558,222 | 1,558,222 | |||
Interest Rate Risk | |||||
Australia 10 Year Bonds | 790 | June-2024 | 60,013,639 | 127,748 | 127,748 |
Canada 10 Year Bonds | 558 | June-2024 | 49,573,452 | 140,886 | 140,886 |
Euro-Bund | 386 | June-2024 | 55,544,242 | 324,470 | 324,470 |
Japan 10 year Bonds | 90 | June-2024 | 86,605,232 | 82,936 | 82,936 |
Long Gilt | 423 | June-2024 | 53,356,902 | 1,108,163 | 1,108,163 |
U.S. Treasury Long Bonds | 256 | June-2024 | 30,832,000 | 653,619 | 653,619 |
Subtotal | 2,437,822 | 2,437,822 | |||
Total Futures Contracts | $6,144,330 | $6,144,330 |
(a) | Futures contracts collateralized by $15,194,015 cash held with Goldman Sachs International, the futures commission merchant. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Over-The-Counter Total Return Swap Agreements(a)(b) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity(c) | Fixed Rate | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Commodity Risk | |||||||||||
Canadian Imperial Bank of Commerce | Receive | Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 | 0.27% | Monthly | 88,100 | February—2025 | USD | 9,213,269 | $— | $272,713 | $272,713 |
Canadian Imperial Bank of Commerce | Receive | Canadian Imperial Bank of Commerce Seasonally Enhanced Bean Oil Commodity Index | 0.26 | Monthly | 12,800 | February—2025 | USD | 1,488,453 | — | 42,961 | 42,961 |
Canadian Imperial Bank of Commerce | Receive | Canadian Imperial Bank of Commerce Seasonally Enhanced Cotton Commodity Excess Return Index | 0.28 | Monthly | 18,800 | February—2025 | USD | 3,170,861 | — | 27,416 | 27,416 |
Canadian Imperial Bank of Commerce | Receive | Canadian Imperial Bank of Commerce Soybean Meal 1 Excess Return Commodity Index | 0.14 | Monthly | 17,900 | February—2025 | USD | 3,822,531 | — | 5,669 | 5,669 |
Cargill, Inc. | Receive | Single Commodity Index Excess Return | 0.24 | Monthly | 20,300 | February—2025 | USD | 3,193,898 | — | 192,064 | 192,064 |
Cargill, Inc. | Receive | Single Commodity Index Excess Return | 0.20 | Monthly | 10,630 | February—2025 | USD | 5,223,617 | — | 160,726 | 160,726 |
Cargill, Inc. | Receive | Single Commodity Index Excess Return | 0.22 | Monthly | 30,500 | December—2024 | USD | 1,342,250 | — | 82,271 | 82,271 |
Cargill, Inc. | Receive | Single Commodity Index Excess Return | 0.20 | Monthly | 11,400 | July—2024 | USD | 2,141,740 | — | 29,313 | 29,313 |
Cargill, Inc. | Receive | Single Commodity Index Excess Return | 0.12 | Monthly | 720 | December—2024 | USD | 937,892 | — | 25,656 | 25,656 |
Goldman Sachs International | Receive | Enhanced Strategy AB42 on the S&P GSCI Soybeans Excess Return | 0.14 | Monthly | 8,200 | February—2025 | USD | 3,473,427 | — | 86,394 | 86,394 |
Goldman Sachs International | Receive | S&P GSCI Soybean Oil Excess Return Index | 0.25 | Monthly | 27,000 | February—2025 | USD | 3,260,307 | — | 163,831 | 163,831 |
J.P. Morgan Chase Bank, N.A. | Receive | S&P GSCI Gold Index Excess Return | 0.09 | Monthly | 46,000 | October—2024 | USD | 6,676,813 | — | 173,834 | 173,834 |
Macquarie Bank Ltd. | Receive | Macquarie Aluminium Dynamic Selection Index | 0.30 | Monthly | 129,500 | February—2025 | USD | 6,630,115 | — | 33,437 | 33,437 |
Macquarie Bank Ltd. | Receive | Macquarie Aluminum Dynamic Selection Index | 0.15 | Monthly | 20,000 | February—2025 | USD | 2,530,028 | — | 932 | 932 |
Merrill Lynch International | Receive | Merrill Lynch Gold Excess Return Index | 0.12 | Monthly | 36,700 | July—2024 | USD | 8,565,809 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCISCE Excess Return Index | 0.12 | Monthly | 33,000 | February—2025 | USD | 1,567,606 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCX Aluminum Annual Excess Return Index | 0.28 | Monthly | 9,500 | September—2024 | USD | 1,083,364 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCX Natural Gas Annual Excess Return Index | 0.25 | Monthly | 24,000 | June—2024 | USD | 1,611,521 | — | 0 | 0 |
Merrill Lynch International | Receive | MLCX6CTE Excess Return Index | 0.18 | Monthly | 25,000 | February—2025 | USD | 2,560,067 | — | 0 | 0 |
Morgan Stanley and Co. International PLC | Receive | S&P GSCI Aluminum Dynamic Index Excess Return | 0.30 | Monthly | 64,700 | July—2024 | USD | 6,510,502 | — | 150,525 | 150,525 |
Royal Bank of Canada | Receive | RBC Commodity CT01 Excess Return Custom Index | 0.28 | Monthly | 32,200 | February—2025 | USD | 5,004,758 | — | 0 | 0 |
Royal Bank of Canada | Receive | RBC Commodity SO01 Excess Return Custom Index | 0.18 | Monthly | 26,400 | February—2025 | USD | 3,338,655 | — | 0 | 0 |
Subtotal | — | 1,447,742 | 1,447,742 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Over-The-Counter Total Return Swap Agreements(a)(b)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity(c) | Fixed Rate | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Equity Risk | |||||||||||
BNP Paribas S.A. | Receive | BNP Paribas AIR VAR Intraday US Calendar Excess Return Index | 0.10% | Monthly | 11,500 | February—2025 | USD | 2,591,409 | $— | $15,036 | $15,036 |
Goldman Sachs International | Receive | Systematic Volatility Carry DO Series 04 Excess Return Strategy | 0.00 | Monthly | 24,000 | February—2025 | USD | 2,554,601 | — | 10,759 | 10,759 |
Morgan Stanley and Co. International PLC | Receive | Morgan Stanley Volatility Relative Value SPX | 0.00 | Monthly | 15,000 | February—2025 | USD | 2,593,690 | — | 7,609 | 7,609 |
Subtotal | — | 33,404 | 33,404 | ||||||||
Subtotal — Appreciation | — | 1,481,146 | 1,481,146 | ||||||||
Commodity Risk | |||||||||||
Barclays Bank PLC | Receive | Barclays Commodity Strategy 1452 Excess Return Index | 0.17 | Monthly | 7,600 | June—2024 | USD | 5,550,823 | — | (107,303) | (107,303) |
Barclays Bank PLC | Receive | Barclays Soybeans Seasonal Index Excess Return | 0.19 | Monthly | 9,200 | February—2025 | USD | 3,364,870 | — | (20,120) | (20,120) |
Cargill, Inc. | Receive | Single Commodity Index Excess Return | 0.21 | Monthly | 11,600 | November—2024 | USD | 1,200,577 | — | (21,425) | (21,425) |
J.P. Morgan Chase Bank, N.A. | Receive | J.P. Morgan Contag Beta Gas Oil Excess Return Index | 0.25 | Monthly | 26,700 | February—2025 | USD | 10,916,853 | — | (37,028) | (37,028) |
Macquarie Bank Ltd. | Receive | Macquarie Single Commodity Soymeal type A Excess Return | 0.17 | Monthly | 11,250 | February—2025 | USD | 4,301,750 | — | (50,356) | (50,356) |
Subtotal | — | (236,232) | (236,232) | ||||||||
Equity Risk | |||||||||||
Citibank, N.A. | Receive | Citi EQ US Volatility Carry Series 5 Index | 0.00 | Monthly | 15,000 | February—2025 | USD | 2,572,669 | — | (2,420) | (2,420) |
Subtotal — Depreciation | — | (238,652) | (238,652) | ||||||||
Total — Total Return Swap Agreements | $— | $1,242,494 | $1,242,494 |
(a) | Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held with the swap Counterparties in the amount of $110,000. |
(b) | The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively. |
(c) | The Reference Entity Components table below includes additional information regarding the underlying components of certain reference entities that are not publicly available. |
Open Over-The-Counter Total Return Swap Agreements(a)(b) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation | |
Equity Risk | |||||||||||
Barclays Bank PLC | Receive | MSCI Japan Quality Index | TONAR - 0.200% | Monthly | 123,065 | August—2024 | JPY | 469,154,546 | $30 | $71,979 | $71,949 |
BNP Paribas S.A. | Receive | MSCI EMU Minimum Volatility Index | 1 mo. EURIBOR - 0.335% | Monthly | 2,230 | September—2024 | EUR | 7,613,644 | — | 62,191 | 62,191 |
BNP Paribas S.A. | Receive | MSCI EMU Quality Index | 1mo. EURIBOR - 0.320% | Monthly | 2,020 | July—2024 | EUR | 9,709,231 | — | 112,624 | 112,624 |
BNP Paribas S.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.285% | Monthly | 268,750 | July—2024 | JPY | 953,987,250 | — | 170,379 | 170,379 |
BNP Paribas S.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.288% | Monthly | 252,593 | August—2024 | JPY | 896,634,424 | — | 160,136 | 160,136 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Over-The-Counter Total Return Swap Agreements(a)(b)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation | |
BNP Paribas S.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.298% | Monthly | 56,780 | August—2024 | JPY | 201,553,102 | $— | $35,997 | $35,997 |
BNP Paribas S.A. | Receive | MSCI Japan Quality Index | TONAR - 0.145% | Monthly | 32,000 | June—2024 | JPY | 121,992,000 | — | 18,716 | 18,716 |
BNP Paribas S.A. | Receive | MSCI Japan Quality Index | TONAR - 0.170% | Monthly | 244,891 | July—2024 | JPY | 933,585,715 | — | 143,233 | 143,233 |
BNP Paribas S.A. | Receive | MSCI Japan Quality Index | TONAR - 0.185% | Monthly | 312,044 | August—2024 | JPY | 1,189,589,739 | — | 182,510 | 182,510 |
Citibank, N.A. | Receive | Invesco UK Broad Low Volatility Net Total Return Index | SONIA + 0.190% | Monthly | 450 | May—2024 | GBP | 2,427,529 | — | 76,640 | 76,640 |
Citibank, N.A. | Receive | Invesco UK Broad Low Volatility Net Total Return Index | SONIA + 0.355% | Monthly | 170 | August—2024 | GBP | 906,977 | — | 41,688 | 41,688 |
Citibank, N.A. | Receive | Invesco UK Broad Price Momentum Net Total Return Index | SONIA + 0.325% | Monthly | 290 | August—2024 | GBP | 1,955,012 | — | 80,141 | 80,141 |
Citibank, N.A. | Receive | Invesco UK Broad Price Momentum Net Total Return Index | SONIA + 0.355% | Monthly | 110 | August—2024 | GBP | 729,034 | — | 46,203 | 46,203 |
Citibank, N.A. | Receive | Invesco UK Broad Quality Net Total Return Index | SONIA + 0.325% | Monthly | 538 | June—2024 | GBP | 4,028,517 | — | 116,944 | 116,944 |
Citibank, N.A. | Receive | MSCI EMU Minimum Volatility Index | 1 mo. EURIBOR - 0.575% | Monthly | 200 | June—2024 | EUR | 675,478 | — | 13,518 | 13,518 |
Citibank, N.A. | Receive | MSCI EMU Momentum Index | 1 mo. EURIBOR - 0.520% | Monthly | 80 | June—2024 | EUR | 502,092 | — | 15,886 | 15,886 |
Citibank, N.A. | Receive | MSCI EMU Momentum Index | 1mo. EURIBOR - 0.525% | Monthly | 1,450 | June—2024 | EUR | 9,100,412 | — | 287,939 | 287,939 |
Citibank, N.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.20% | Monthly | 40,000 | August—2024 | JPY | 143,691,200 | — | 0 | 0 |
Citibank, N.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.200% | Monthly | 40,000 | August—2024 | JPY | 143,691,200 | — | 14,113 | 14,113 |
Citibank, N.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.260% | Monthly | 85,627 | June—2024 | JPY | 303,951,875 | — | 54,285 | 54,285 |
Citibank, N.A. | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.280% | Monthly | 26,250 | June—2024 | JPY | 93,180,150 | — | 16,642 | 16,642 |
Goldman Sachs International | Receive | MSCI Japan Minimum Volatility Index | TONAR - 0.300% | Monthly | 50,000 | June—2024 | JPY | 177,486,000 | — | 31,698 | 31,698 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Over-The-Counter Total Return Swap Agreements(a)(b)—(continued) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation | |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Large Cap Broad Price Momentum Total Return Index | SOFR + 0.420% | Monthly | 760 | June—2024 | USD | 7,076,421 | $— | $117,633 | $117,633 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Large Cap Broad Quality Total Return Index | SOFR + 0.440% | Monthly | 580 | April—2024 | USD | 7,331,855 | — | 124,897 | 124,897 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Low Volatility Total Return Index | SOFR + 0.415% | Monthly | 950 | June—2024 | USD | 6,781,432 | — | 122,597 | 122,597 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco U.S. Low Volatility Total Return Index | SOFR + 0.415% | Monthly | 70 | June—2024 | USD | 499,684 | — | 9,033 | 9,033 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Low Volatility Net Total Return Index | SONIA + 0.240% | Monthly | 950 | May—2024 | GBP | 5,124,784 | — | 161,797 | 161,797 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Low Volatility Net Total Return Index | SONIA + 0.350% | Monthly | 170 | May—2024 | GBP | 917,067 | — | 28,953 | 28,953 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Price Momentum Net Total Return Index | SONIA + 0.310% | Monthly | 880 | May—2024 | GBP | 5,932,450 | — | 243,186 | 243,186 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Price Momentum Net Total Return Index | SONIA + 0.350% | Monthly | 120 | May—2024 | GBP | 808,970 | — | 33,162 | 33,162 |
J.P. Morgan Chase Bank, N.A. | Receive | Invesco UK Broad Quality Net Total Return Index | SONIA + 0.370% | Monthly | 130 | April—2024 | GBP | 973,433 | — | 28,258 | 28,258 |
J.P. Morgan Chase Bank, N.A. | Receive | MSCI EMU Minimum Volatility Index | 1 mo. EURIBOR - 0.585% | Monthly | 320 | July—2024 | EUR | 1,080,765 | — | 21,629 | 21,629 |
Merrill Lynch International | Receive | Invesco UK Broad Quality Net Total Return Index | SONIA + 0.325% | Monthly | 532 | July—2024 | GBP | 3,983,589 | — | 115,639 | 115,639 |
Total — Total Return Swap Agreements | $30 | $2,760,246 | $2,760,216 |
(a) | Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held with the swap Counterparties in the amount of $110,000. |
(b) | The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively. |
Reference Entity Components | ||
Reference Entity | Underlying Components | Percentage |
Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 | ||
Long Futures Contracts | ||
Copper | 100% |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Reference Entity Components—(continued) | ||
Reference Entity | Underlying Components | Percentage |
Canadian Imperial Bank of Commerce Seasonally Enhanced Bean Oil Commodity Index | ||
Long Futures Contracts | ||
Soybean Oil | 100% | |
Canadian Imperial Bank of Commerce Seasonally Enhanced Cotton Commodity Excess Return Index | ||
Long Futures Contracts | ||
Cotton | 100% | |
Canadian Imperial Bank of Commerce Soybean Meal 1 Excess Return Commodity Index | ||
Long Futures Contracts | ||
Soybean Meal | 100% | |
Single Commodity Index Excess Return | ||
Long Futures Contracts | ||
Coffee | 100% | |
Enhanced Strategy AB42 on the S&P GSCI Soybeans Excess Return | ||
Long Futures Contracts | ||
Soybean | 100% | |
S&P GSCI Soybean Oil Excess Return Index | ||
Long Futures Contracts | ||
Soybean Oil | 100% | |
S&P GSCI Gold Index Excess Return | ||
Long Futures Contracts | ||
Gold | 100% | |
Macquarie Aluminium Dynamic Selection Index | ||
Long Futures Contracts | ||
Aluminium | 100% | |
Merrill Lynch Gold Excess Return Index | ||
Long Futures Contracts | ||
Gold | 100% | |
MLCISCE Excess Return Index | ||
Long Futures Contracts | ||
Corn | 100% | |
MLCX Aluminum Annual Excess Return Index | ||
Long Futures Contracts | ||
Aluminium | 100% | |
MLCX Natural Gas Annual Excess Return Index | ||
Long Futures Contracts | ||
Natural Gas | 100% | |
MLCX6CTE Excess Return Index | ||
Long Futures Contracts | ||
Cotton | 100% |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Reference Entity Components—(continued) | ||
Reference Entity | Underlying Components | Percentage |
S&P GSCI Aluminum Dynamic Index Excess Return | ||
Long Futures Contracts | ||
Aluminium | 100% | |
RBC Commodity CT01 Excess Return Custom Index | ||
Long Futures Contracts | ||
Cotton | 100% | |
RBC Commodity SO01 Excess Return Custom Index | ||
Long Futures Contracts | ||
Soybean | 100% | |
Barclays Commodity Strategy 1452 Excess Return Index | ||
Long Futures Contracts | ||
Copper | 100% | |
Barclays Soybeans Seasonal Index Excess Return | ||
Long Futures Contracts | ||
Soybean | 100% | |
Single Commodity Index Excess Return | ||
Long Futures Contracts | ||
Soybean Oil | 100% | |
J.P. Morgan Contag Beta Gas Oil Excess Return Index | ||
Long Futures Contracts | ||
Gas Oil | 100% | |
Macquarie Single Commodity Soymeal type A Excess Return | ||
Long Futures Contracts | ||
Soybean Meal | 100% |
Abbreviations: | |
EMU | —European Economic and Monetary Union |
EUR | —Euro |
EURIBOR | —Euro Interbank Offered Rate |
GBP | —British Pound Sterling |
JPY | —Japanese Yen |
SOFR | —Secured Overnight Financing Rate |
SONIA | —Sterling Overnight Index Average |
TONAR | —Tokyo Overnight Average Rate |
USD | —U.S. Dollar |
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 consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Notes to Quarterly Consolidated 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 consolidated 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. Treasury Securities | $— | $8,802,917 | $— | $8,802,917 |
Money Market Funds | 420,392,920 | — | — | 420,392,920 |
Options Purchased | 1,603,800 | — | — | 1,603,800 |
Total Investments in Securities | 421,996,720 | 8,802,917 | — | 430,799,637 |
Other Investments - Assets* | ||||
Futures Contracts | 6,209,915 | — | — | 6,209,915 |
Swap Agreements | — | 4,241,362 | — | 4,241,362 |
6,209,915 | 4,241,362 | — | 10,451,277 | |
Other Investments - Liabilities* | ||||
Futures Contracts | (65,585) | — | — | (65,585) |
Swap Agreements | — | (238,652) | — | (238,652) |
(65,585) | (238,652) | — | (304,237) | |
Total Other Investments | 6,144,330 | 4,002,710 | — | 10,147,040 |
Total Investments | $428,141,050 | $12,805,627 | $— | $440,946,677 |
* | Unrealized appreciation (depreciation). |
Invesco V.I. Balanced-Risk Allocation Fund