Consolidated Schedule of Investments
March 31, 2024
(Unaudited)
Principal Amount | Value | ||
U.S. Dollar Denominated Bonds & Notes–35.70% | |||
Argentina–0.09% | |||
Argentina Treasury Dual Bond, 3.25%, 04/30/2024 | $14,286 | $13,996 | |
YPF S.A., 9.50%, 01/17/2031(a) | 595,000 | 608,555 | |
622,551 | |||
Australia–0.22% | |||
QBE Insurance Group Ltd., 6.75%, 12/02/2044(a)(b) | 1,550,000 | 1,552,458 | |
Belgium–0.21% | |||
Telenet Finance Luxembourg Notes S.a.r.l., 5.50%, 03/01/2028(a) | 1,600,000 | 1,509,387 | |
Brazil–0.66% | |||
CSN Inova Ventures, 6.75%, 01/28/2028(a) | 200,000 | 196,159 | |
CSN Resources S.A., 5.88%, 04/08/2032(a) | 450,000 | 394,006 | |
Embraer Netherlands Finance B.V., 7.00%, 07/28/2030(a) | 780,000 | 817,270 | |
Minerva Luxembourg S.A., 8.88%, 09/13/2033(a)(c) | 695,000 | 731,682 | |
Sitios Latinoamerica S.A.B. de C.V., 5.38%, 04/04/2032(a) | 2,024,000 | 1,892,331 | |
Suzano Austria GmbH, 2.50%, 09/15/2028(c) | 701,000 | 619,204 | |
4,650,652 | |||
Canada–1.77% | |||
1011778 BC ULC/New Red Finance, Inc., 3.50%, 02/15/2029(a)(c) | 328,000 | 299,840 | |
1375209 BC Ltd., 9.00%, 01/30/2028(a)(c) | 316,000 | 310,024 | |
Baytex Energy Corp., 7.38%, 03/15/2032(a) | 443,000 | 447,830 | |
Brookfield Finance, Inc., 5.97%, 03/04/2054 | 827,000 | 856,101 | |
Constellation Software, Inc., 5.16%, 02/16/2029(a) | 550,000 | 549,825 | |
Element Fleet Management Corp., | |||
5.64%, 03/13/2027(a)(c) | 3,100,000 | 3,110,597 | |
6.32%, 12/04/2028(a) | 1,544,000 | 1,595,595 | |
Enbridge, Inc., 7.38%, 01/15/2083(b)(c) | 2,989,000 | 3,010,476 | |
Hudbay Minerals, Inc., 6.13%, 04/01/2029(a)(c) | 294,000 | 290,957 | |
New Gold, Inc., 7.50%, 07/15/2027(a) | 294,000 | 294,963 | |
Ritchie Bros. Holdings, Inc., 6.75%, 03/15/2028(a) | 290,000 | 296,176 | |
Transcanada Trust, Series 16-A, 5.88%, 08/15/2076(b) | 1,455,000 | 1,417,364 | |
12,479,748 |
Principal Amount | Value | |||
Chile–0.30% | ||||
AES Andes S.A., 6.35%, 10/07/2079(a)(b) | $434,000 | $423,682 | ||
Kenbourne Invest S.A., 4.70%, 01/22/2028(a) | 771,000 | 274,553 | ||
Mercury Chile Holdco LLC, 6.50%, 01/24/2027(a) | 1,500,000 | 1,455,091 | ||
2,153,326 | ||||
China–0.09% | ||||
Prosus N.V., 3.06%, 07/13/2031(a) | 750,000 | 610,806 | ||
Colombia–0.68% | ||||
Bancolombia S.A., 6.91%, 10/18/2027(b) | 2,350,000 | 2,361,989 | ||
Colombia Government International Bond, 4.13%, 02/22/2042 | 1,475,000 | 1,000,811 | ||
Ecopetrol S.A., 5.38%, 06/26/2026 | 1,500,000 | 1,475,973 | ||
4,838,773 | ||||
Czech Republic–0.03% | ||||
Allwyn Entertainment Financing (UK) PLC, 7.88%, 04/30/2029(a) | 232,000 | 238,936 | ||
Denmark–0.13% | ||||
Danske Bank A/S, 0.98%, 09/10/2025(a)(b) | 938,000 | 917,223 | ||
Dominican Republic–0.10% | ||||
Dominican Republic International Bond, | ||||
4.50%, 01/30/2030(a) | 305,000 | 278,672 | ||
4.88%, 09/23/2032(a) | 500,000 | 449,138 | ||
727,810 | ||||
Egypt–0.12% | ||||
Egypt Government International Bond, 8.50%, 01/31/2047(a) | 1,050,000 | 835,653 | ||
Finland–0.06% | ||||
Amer Sports Co., 6.75%, 02/16/2031(a)(c) | 443,000 | 442,178 | ||
France–1.42% | ||||
Altice France S.A., 5.50%, 01/15/2028(a) | 400,000 | 284,467 | ||
BNP Paribas S.A., | ||||
7.38%(a)(b)(d) | 4,000,000 | 4,019,488 | ||
7.75%(a)(b)(c)(d) | 750,000 | 769,637 | ||
BPCE S.A., 5.15%, 07/21/2024(a) | 1,500,000 | 1,493,848 | ||
Electricite de France S.A., 9.13%(a)(b)(c)(d) | 1,001,000 | 1,105,289 | ||
Iliad Holding S.A.S.U., | ||||
6.50%, 10/15/2026(a) | 200,000 | 198,275 | ||
7.00%, 10/15/2028(a)(c) | 537,000 | 532,029 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | |||
France–(continued) | ||||
Societe Generale S.A., | ||||
6.75%(a)(b)(d) | $800,000 | $730,769 | ||
4.75%(a)(b)(d) | 1,000,000 | 906,791 | ||
10,040,593 | ||||
Germany–0.42% | ||||
Bayer US Finance LLC, | ||||
6.13%, 11/21/2026(a) | 1,745,000 | 1,759,929 | ||
6.88%, 11/21/2053(a) | 624,000 | 640,731 | ||
ZF North America Capital, Inc., | ||||
6.88%, 04/14/2028(a) | 421,000 | 437,072 | ||
7.13%, 04/14/2030(a) | 151,000 | 159,250 | ||
2,996,982 | ||||
Guatemala–0.22% | ||||
Millicom International Cellular S.A., 7.38%, 04/02/2032(a) | 1,550,000 | 1,557,750 | ||
Hong Kong–0.86% | ||||
Melco Resorts Finance Ltd., | ||||
4.88%, 06/06/2025(a)(c) | 3,750,000 | 3,662,105 | ||
5.75%, 07/21/2028(a) | 725,000 | 688,307 | ||
5.38%, 12/04/2029(a)(c) | 519,000 | 475,741 | ||
Prudential Funding Asia PLC, 4.88%(a)(d) | 1,450,000 | 1,269,258 | ||
6,095,411 | ||||
India–0.23% | ||||
JSW Steel Ltd., 3.95%, 04/05/2027(a) | 1,740,000 | 1,620,802 | ||
Indonesia–0.84% | ||||
PT Bank Tabungan Negara (Persero) Tbk, 4.20%, 01/23/2025(a) | 2,610,000 | 2,568,995 | ||
PT Indonesia Asahan Aluminium/PT Mineral Industri Indonesia (Persero), 6.76%, 11/15/2048(a) | 1,300,000 | 1,380,487 | ||
PT Pertamina (Persero), 4.18%, 01/21/2050(a) | 725,000 | 575,923 | ||
PT Perusahaan Perseroan (Persero) Perusahaan Listrik Negara, 4.13%, 05/15/2027(a) | 1,500,000 | 1,446,096 | ||
5,971,501 | ||||
Iraq–0.05% | ||||
Iraq International Bond, 5.80%, 01/15/2028(a) | 350,000 | 330,283 | ||
Ireland–0.40% | ||||
BB Blue Financing DAC, Series A1, 4.40%, 09/20/2037 | 750,000 | 743,547 |
Principal Amount | Value | |||
Ireland–(continued) | ||||
Coriolanus DAC, | ||||
Series 116, 0.00%, 04/30/2025(a)(e) | $213,506 | $207,260 | ||
Series 119, 0.00%, 04/30/2025(a)(e) | 227,145 | 220,499 | ||
Series 120, 0.00%, 04/30/2025(a)(e) | 284,328 | 276,009 | ||
Series 122, 0.00%, 04/30/2025(a)(e) | 249,114 | 241,826 | ||
Series 124, 0.00%, 04/30/2025(a)(e) | 200,084 | 194,230 | ||
Series 126, 0.00%, 04/30/2025(a)(e) | 223,835 | 217,286 | ||
Series 127, 0.00%, 04/30/2025(a)(e) | 259,266 | 251,680 | ||
0.00%, 04/30/2025(a)(e) | 203,481 | 197,527 | ||
GGAM Finance Ltd., 6.88%, 04/15/2029(a) | 295,000 | 296,844 | ||
2,846,708 | ||||
Italy–0.47% | ||||
Telecom Italia Capital S.A., 6.38%, 11/15/2033 | 316,000 | 299,193 | ||
UniCredit S.p.A., 8.00%(a)(b)(d) | 3,000,000 | 3,005,565 | ||
3,304,758 | ||||
Ivory Coast–0.27% | ||||
Ivory Coast Government International Bond, | ||||
5.38%, 07/23/2024(a) | 900,000 | 895,041 | ||
8.25%, 01/30/2037(a) | 1,015,000 | 1,020,420 | ||
1,915,461 | ||||
Macau–0.73% | ||||
MGM China Holdings Ltd., | ||||
5.38%, 05/15/2024(a) | 1,505,000 | 1,502,588 | ||
5.25%, 06/18/2025(a)(c) | 1,200,000 | 1,184,703 | ||
5.88%, 05/15/2026(a) | 450,000 | 444,717 | ||
Studio City Finance Ltd., 5.00%, 01/15/2029(a)(c) | 400,000 | 352,266 | ||
Wynn Macau Ltd., | ||||
4.88%, 10/01/2024(a) | 1,160,000 | 1,147,174 | ||
5.63%, 08/26/2028(a)(c) | 538,000 | 511,111 | ||
5,142,559 | ||||
Mexico–1.56% | ||||
Banco Mercantil del Norte S.A., | ||||
8.38%(a)(b)(c)(d) | 650,000 | 667,495 | ||
5.88%(a)(b)(d) | 710,000 | 677,110 | ||
Braskem Idesa S.A.P.I., | ||||
7.45%, 11/15/2029(a) | 1,150,000 | 941,449 | ||
6.99%, 02/20/2032(a) | 316,000 | 245,504 | ||
CEMEX Materials LLC, 7.70%, 07/21/2025(a) | 1,500,000 | 1,535,700 | ||
CEMEX S.A.B. de C.V., 5.13%(a)(b)(c)(d) | 965,000 | 933,235 | ||
Mexico Remittances Funding Fiduciary Estate Management S.a.r.l., 4.88%, 01/15/2028(a) | 1,200,000 | 1,077,298 | ||
Nemak S.A.B. de C.V., 3.63%, 06/28/2031(a) | 1,195,000 | 969,123 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | |||
Mexico–(continued) | ||||
Petroleos Mexicanos, | ||||
6.50%, 03/13/2027 | $1,500,000 | $1,413,920 | ||
8.75%, 06/02/2029 | 1,500,000 | 1,463,764 | ||
7.69%, 01/23/2050 | 725,000 | 521,950 | ||
6.95%, 01/28/2060 | 825,000 | 545,631 | ||
10,992,179 | ||||
Netherlands–0.74% | ||||
ING Groep N.V., | ||||
6.50%(b)(c)(d) | 2,200,000 | 2,174,336 | ||
5.75%(b)(d) | 2,900,000 | 2,763,357 | ||
Ziggo B.V., 4.88%, 01/15/2030(a) | 325,000 | 291,967 | ||
5,229,660 | ||||
Nigeria–0.20% | ||||
Nigeria Government International Bond, | ||||
6.50%, 11/28/2027(a) | 750,000 | 706,966 | ||
7.88%, 02/16/2032(a) | 750,000 | 681,105 | ||
1,388,071 | ||||
Oman–0.22% | ||||
Oman Government International Bond, 6.75%, 01/17/2048(a) | 1,500,000 | 1,539,075 | ||
Panama–0.10% | ||||
Telecomunicaciones Digitales S.A., 4.50%, 01/30/2030(a) | 750,000 | 674,738 | ||
Romania–0.11% | ||||
Romanian Government International Bond, 7.13%, 01/17/2033(a) | 750,000 | 803,522 | ||
Supranational–0.12% | ||||
European Bank for Reconstruction and Development, 6.40%, 08/27/2025 | 800,000 | 812,801 | ||
Sweden–0.71% | ||||
Stena International S.A., | ||||
7.25%, 01/15/2031(a) | 285,000 | 284,658 | ||
7.63%, 02/15/2031(a) | 163,000 | 165,143 | ||
Swedbank AB, Series NC5, 5.63%(a)(b)(d) | 4,600,000 | 4,581,687 | ||
5,031,488 | ||||
Switzerland–1.58% | ||||
Cloverie PLC for Swiss Reinsurance Co. Ltd., 4.50%, 09/11/2044(a)(b) | 4,974,000 | 4,936,262 | ||
Credit Suisse Group AG, 6.25%(a)(b)(d)(f) | 3,015,000 | 346,725 | ||
UBS Group AG, 6.88%(a)(b)(d) | 1,500,000 | 1,486,746 | ||
Willow No 2 Ireland PLC for Zurich Insurance Co. Ltd., 4.25%, 10/01/2045(a)(b) | 4,500,000 | 4,376,714 | ||
11,146,447 |
Principal Amount | Value | |||
Ukraine–0.05% | ||||
Ukraine Government International Bond, 7.75%, 08/01/2041(a)(f) | $613,000 | $341,599 | ||
United Kingdom–1.77% | ||||
abrdn PLC, 4.25%, 06/30/2028(a) | 675,000 | 610,200 | ||
B.A.T Capital Corp., 6.00%, 02/20/2034 | 861,000 | 872,362 | ||
BP Capital Markets PLC, 4.88%(b)(c)(d) | 455,000 | 435,501 | ||
British Telecommunications PLC, 4.25%, 11/23/2081(a)(b) | 4,350,000 | 4,105,107 | ||
Lloyds Banking Group PLC, 7.50%(b)(c)(d) | 900,000 | 895,336 | ||
M&G PLC, 6.50%, 10/20/2048(a)(b) | 375,000 | 380,863 | ||
Macquarie Airfinance Holdings Ltd., 6.50%, 03/26/2031(a) | 296,000 | 301,501 | ||
NatWest Group PLC, 6.00%(b)(d) | 1,500,000 | 1,468,486 | ||
Virgin Media Finance PLC, 5.00%, 07/15/2030(a) | 146,000 | 123,630 | ||
Virgin Media Secured Finance PLC, 5.50%, 05/15/2029(a) | 130,000 | 120,293 | ||
Vodafone Group PLC, | ||||
3.25%, 06/04/2081(b)(c) | 2,743,000 | 2,569,380 | ||
4.13%, 06/04/2081(b) | 750,000 | 647,212 | ||
12,529,871 | ||||
United States–17.97% | ||||
Aethon United BR L.P./Aethon United Finance Corp., 8.25%, 02/15/2026(a) | 852,000 | 862,607 | ||
Aircastle Ltd., 5.25%(a)(b)(d) | 487,000 | 466,314 | ||
Alcoa Nederland Holding B.V., 6.13%, 05/15/2028(a)(c) | 2,010,000 | 2,015,023 | ||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 7.00%, 01/15/2031(a) | 291,000 | 294,135 | ||
Allison Transmission, Inc., 3.75%, 01/30/2031(a)(c) | 1,018,000 | 889,179 | ||
AMC Networks, Inc., 10.25%, 01/15/2029(a) | 30,000 | 30,237 | ||
American Airlines, Inc./AAdvantage Loyalty IP Ltd., | ||||
5.50%, 04/20/2026(a) | 2,220,000 | 2,206,269 | ||
5.75%, 04/20/2029(a) | 601,000 | 591,234 | ||
American Express Co., 6.34%, 10/30/2026(b) | 2,100,000 | 2,128,314 | ||
Ares Capital Corp., 5.88%, 03/01/2029(c) | 2,004,000 | 1,999,030 | ||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, 11/01/2026(a) | 291,000 | 291,929 | ||
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.63%, 01/15/2028(a) | 273,000 | 274,283 | ||
Ball Corp., 6.00%, 06/15/2029 | 284,000 | 287,053 | ||
Bath & Body Works, Inc., 6.88%, 11/01/2035 | 575,000 | 588,417 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | ||
United States–(continued) | |||
Becton, Dickinson and Co., 3.79%, 05/20/2050 | $1,163,000 | $913,282 | |
Berry Global, Inc., 5.65%, 01/15/2034(a) | 802,000 | 798,020 | |
BlueLinx Holdings, Inc., 6.00%, 11/15/2029(a) | 152,000 | 148,365 | |
Boeing Co. (The), 4.88%, 05/01/2025 | 1,500,000 | 1,483,568 | |
Camelot Finance S.A., 4.50%, 11/01/2026(a) | 152,000 | 146,622 | |
Cardinal Health, Inc., 5.13%, 02/15/2029 | 1,550,000 | 1,553,701 | |
Carnival Corp., | |||
6.00%, 05/01/2029(a) | 178,000 | 175,746 | |
10.50%, 06/01/2030(a)(c) | 274,000 | 299,893 | |
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/2028(a) | 89,000 | 97,142 | |
Carriage Services, Inc., 4.25%, 05/15/2029(a) | 731,000 | 648,688 | |
Carrier Global Corp., 5.80%, 11/30/2025 | 886,000 | 892,212 | |
Catalent Pharma Solutions, Inc., 3.50%, 04/01/2030(a)(c) | 345,000 | 328,878 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||
5.00%, 02/01/2028(a) | 215,000 | 200,285 | |
5.38%, 06/01/2029(a) | 154,000 | 141,088 | |
4.75%, 03/01/2030(a) | 1,500,000 | 1,288,899 | |
4.50%, 08/15/2030(a) | 1,916,000 | 1,606,896 | |
4.50%, 05/01/2032 | 206,000 | 165,675 | |
Charles Schwab Corp. (The), 6.20%, 11/17/2029(b) | 1,667,000 | 1,733,447 | |
Cheniere Energy, Inc., 5.65%, 04/15/2034(a)(c) | 809,000 | 815,283 | |
Citigroup, Inc., | |||
3.88%(b)(d) | 269,000 | 254,547 | |
7.38%(b)(d) | 61,000 | 63,578 | |
Series BB, 7.20%(b)(d) | 1,094,000 | 1,124,646 | |
Clearway Energy Operating LLC, | |||
4.75%, 03/15/2028(a) | 302,000 | 287,288 | |
3.75%, 02/15/2031(a) | 170,000 | 146,078 | |
Cleveland-Cliffs, Inc., | |||
6.75%, 04/15/2030(a) | 275,000 | 276,144 | |
7.00%, 03/15/2032(a) | 147,000 | 149,124 | |
6.25%, 10/01/2040 | 175,000 | 156,995 | |
Clydesdale Acquisition Holdings, Inc., 6.63%, 04/15/2029(a)(c) | 300,000 | 300,066 | |
Community Health Systems, Inc., | |||
8.00%, 03/15/2026(a) | 907,000 | 905,867 | |
8.00%, 12/15/2027(a) | 585,000 | 574,502 | |
5.25%, 05/15/2030(a) | 239,000 | 195,091 | |
4.75%, 02/15/2031(a) | 160,000 | 123,624 | |
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC, 6.63%, 07/15/2030(a)(c) | 290,000 | 294,724 | |
Cox Communications, Inc., 2.95%, 10/01/2050(a) | 956,000 | 590,689 | |
CrowdStrike Holdings, Inc., 3.00%, 02/15/2029 | 334,000 | 296,581 | |
CSC Holdings LLC, 5.38%, 02/01/2028(a)(c) | 685,000 | 589,773 |
Principal Amount | Value | ||
United States–(continued) | |||
CVR Energy, Inc., 8.50%, 01/15/2029(a) | $300,000 | $303,988 | |
CVS Health Corp., 5.05%, 03/25/2048 | 1,500,000 | 1,363,171 | |
DaVita, Inc., 3.75%, 02/15/2031(a) | 204,000 | 170,977 | |
Delek Logistics Partners L.P./Delek Logistics Finance Corp., | |||
7.13%, 06/01/2028(a) | 473,000 | 461,793 | |
8.63%, 03/15/2029(a) | 146,000 | 149,189 | |
Dell International LLC/EMC Corp., 6.20%, 07/15/2030(c) | 2,600,000 | 2,737,318 | |
DISH DBS Corp., | |||
5.25%, 12/01/2026(a) | 39,000 | 30,782 | |
5.75%, 12/01/2028(a) | 86,000 | 59,265 | |
Diversified Healthcare Trust, 0.00%, 01/15/2026(a)(e) | 458,000 | 389,917 | |
EMRLD Borrower L.P./Emerald Co-Issuer, Inc., 6.63%, 12/15/2030(a) | 594,000 | 600,441 | |
Encompass Health Corp., 4.50%, 02/01/2028 | 348,000 | 331,715 | |
Energy Transfer L.P., 8.00%, 05/15/2054(b) | 839,000 | 880,640 | |
EnerSys, | |||
4.38%, 12/15/2027(a) | 327,000 | 309,559 | |
6.63%, 01/15/2032(a) | 134,000 | 135,140 | |
Enpro, Inc., 5.75%, 10/15/2026 | 461,000 | 459,871 | |
ESAB Corp., 6.25%, 04/15/2029(a) | 297,000 | 298,762 | |
FedEx Corp., 4.05%, 02/15/2048 | 1,500,000 | 1,197,848 | |
FirstCash, Inc., 6.88%, 03/01/2032(a) | 443,000 | 443,347 | |
Ford Motor Credit Co. LLC, 5.13%, 06/16/2025 | 4,500,000 | 4,461,030 | |
Fortress Transportation and Infrastructure Investors LLC, | |||
5.50%, 05/01/2028(a) | 309,000 | 299,730 | |
7.88%, 12/01/2030(a) | 821,000 | 862,996 | |
Freeport-McMoRan, Inc., 4.63%, 08/01/2030 | 2,710,000 | 2,605,830 | |
Frontier Communications Holdings LLC, 8.63%, 03/15/2031(a) | 142,000 | 145,164 | |
General Motors Co., 6.80%, 10/01/2027(c) | 3,000,000 | 3,142,762 | |
Genesis Energy L.P./Genesis Energy Finance Corp., | |||
8.00%, 01/15/2027 | 125,000 | 126,566 | |
7.75%, 02/01/2028 | 56,000 | 56,324 | |
8.88%, 04/15/2030 | 381,000 | 399,121 | |
GFL Environmental, Inc., 6.75%, 01/15/2031(a) | 286,000 | 293,454 | |
Gray Television, Inc., 7.00%, 05/15/2027(a) | 62,000 | 57,713 | |
Group 1 Automotive, Inc., 4.00%, 08/15/2028(a)(c) | 971,000 | 895,713 | |
Hanesbrands, Inc., 9.00%, 02/15/2031(a) | 29,000 | 29,819 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | ||
United States–(continued) | |||
Harley-Davidson Financial Services, Inc., 3.35%, 06/08/2025(a)(c) | $1,049,000 | $1,017,888 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., | |||
6.00%, 04/15/2030(a) | 283,000 | 277,351 | |
6.00%, 02/01/2031(a) | 88,000 | 85,894 | |
6.25%, 04/15/2032(a) | 75,000 | 74,026 | |
8.38%, 11/01/2033(a) | 158,000 | 171,431 | |
Hilton Domestic Operating Co., Inc., 6.13%, 04/01/2032(a) | 445,000 | 447,178 | |
Howard Midstream Energy Partners LLC, | |||
6.75%, 01/15/2027(a) | 356,000 | 355,477 | |
8.88%, 07/15/2028(a) | 221,000 | 233,370 | |
HUB International Ltd., | |||
7.25%, 06/15/2030(a) | 148,000 | 152,204 | |
7.38%, 01/31/2032(a) | 125,000 | 125,920 | |
J.M. Smucker Co. (The), 5.90%, 11/15/2028 | 1,467,000 | 1,522,030 | |
Jabil, Inc., 3.00%, 01/15/2031(c) | 1,300,000 | 1,113,597 | |
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.13%, 02/01/2028 | 1,105,000 | 1,088,929 | |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/2028(a) | 273,000 | 251,333 | |
Jefferies Financial Group, Inc., 6.50%, 07/31/2026 | 1,500,000 | 1,487,472 | |
Jefferson Capital Holdings LLC, 9.50%, 02/15/2029(a) | 291,000 | 298,206 | |
JPMorgan Chase & Co., Series FF, 5.00%(b)(d) | 295,000 | 294,221 | |
Kinder Morgan, Inc., 5.00%, 02/01/2029 | 3,100,000 | 3,089,171 | |
Kohl’s Corp., 4.63%, 05/01/2031 | 200,000 | 168,500 | |
L3Harris Technologies, Inc., 5.40%, 01/15/2027 | 1,250,000 | 1,259,446 | |
Lamar Media Corp., | |||
4.88%, 01/15/2029 | 764,000 | 736,824 | |
4.00%, 02/15/2030 | 663,000 | 603,051 | |
LCM Investments Holdings II LLC, | |||
4.88%, 05/01/2029(a) | 334,000 | 307,331 | |
8.25%, 08/01/2031(a) | 565,000 | 591,539 | |
Lithia Motors, Inc., 3.88%, 06/01/2029(a)(c) | 679,000 | 612,566 | |
Macy’s Retail Holdings LLC, | |||
5.88%, 03/15/2030(a) | 283,000 | 275,358 | |
4.50%, 12/15/2034 | 188,000 | 165,697 | |
Marriott International, Inc., Series EE, 5.75%, 05/01/2025 | 822,000 | 823,835 | |
Match Group Holdings II LLC, 5.00%, 12/15/2027(a) | 306,000 | 293,485 | |
Mativ Holdings, Inc., 6.88%, 10/01/2026(a)(c) | 2,470,000 | 2,460,670 | |
Mattel, Inc., 6.20%, 10/01/2040 | 725,000 | 724,756 | |
Medline Borrower L.P., 3.88%, 04/01/2029(a) | 165,000 | 150,292 |
Principal Amount | Value | ||
United States–(continued) | |||
Moss Creek Resources Holdings, Inc., 10.50%, 05/15/2027(a) | $303,000 | $313,220 | |
MPT Operating Partnership L.P./MPT Finance Corp., 3.50%, 03/15/2031 | 95,000 | 65,314 | |
Nationstar Mortgage Holdings, Inc., 7.13%, 02/01/2032(a)(c) | 299,000 | 297,177 | |
Navient Corp., | |||
5.00%, 03/15/2027 | 215,000 | 206,132 | |
9.38%, 07/25/2030 | 96,000 | 102,794 | |
NCL Corp. Ltd., | |||
5.88%, 02/15/2027(a) | 630,000 | 622,857 | |
8.13%, 01/15/2029(a) | 113,000 | 119,649 | |
NESCO Holdings II, Inc., 5.50%, 04/15/2029(a) | 155,000 | 146,819 | |
New Fortress Energy, Inc., | |||
6.50%, 09/30/2026(a)(c) | 364,000 | 350,701 | |
8.75%, 03/15/2029(a) | 119,000 | 118,651 | |
NGL Energy Operating LLC/NGL Energy Finance Corp., | |||
8.13%, 02/15/2029(a) | 145,000 | 148,601 | |
8.38%, 02/15/2032(a) | 152,000 | 155,917 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/2026(a)(c) | 304,000 | 297,973 | |
Novelis Corp., 4.75%, 01/30/2030(a) | 478,000 | 441,413 | |
Oceaneering International, Inc., 6.00%, 02/01/2028 | 315,000 | 310,591 | |
Office Properties Income Trust, 9.00%, 03/31/2029(a) | 328,000 | 302,700 | |
OI European Group B.V., 4.75%, 02/15/2030(a) | 316,000 | 291,235 | |
OneMain Finance Corp., | |||
6.88%, 03/15/2025 | 405,000 | 409,522 | |
7.13%, 03/15/2026 | 381,000 | 388,171 | |
3.88%, 09/15/2028 | 193,000 | 172,366 | |
5.38%, 11/15/2029 | 74,000 | 69,636 | |
ONEOK, Inc., | |||
5.55%, 11/01/2026 | 1,240,000 | 1,251,749 | |
6.63%, 09/01/2053(c) | 1,556,000 | 1,716,031 | |
Paramount Global, 2.90%, 01/15/2027(c) | 1,620,000 | 1,482,309 | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., | |||
2.70%, 11/01/2024(a) | 260,000 | 255,441 | |
6.05%, 08/01/2028(a) | 3,000,000 | 3,088,594 | |
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/2029(a) | 306,000 | 298,146 | |
Pfizer Investment Enterprises Pte. Ltd., 5.30%, 05/19/2053 | 41,000 | 40,794 | |
Phinia, Inc., 6.75%, 04/15/2029(a) | 297,000 | 300,235 | |
Plains All American Pipeline L.P./PAA Finance Corp., 3.80%, 09/15/2030 | 780,000 | 715,291 | |
PNC Financial Services Group, Inc. (The), 6.62%, 10/20/2027(b) | 2,226,000 | 2,292,394 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | ||
United States–(continued) | |||
Prairie Acquiror L.P., 9.00%, 08/01/2029(a) | $147,000 | $151,446 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., 5.63%, 09/01/2029(a) | 40,000 | 30,568 | |
QVC, Inc., 4.75%, 02/15/2027 | 69,000 | 61,499 | |
RHP Hotel Properties L.P./ RHP Finance Corp., 6.50%, 04/01/2032(a) | 292,000 | 293,168 | |
RLJ Lodging Trust L.P., 4.00%, 09/15/2029(a) | 334,000 | 294,665 | |
Rockies Express Pipeline LLC, | |||
4.95%, 07/15/2029(a) | 309,000 | 289,018 | |
6.88%, 04/15/2040(a) | 50,000 | 49,107 | |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/2029(a) | 319,000 | 292,481 | |
Royal Caribbean Cruises Ltd., 6.25%, 03/15/2032(a) | 455,000 | 458,911 | |
RR Donnelley & Sons Co., 8.25%, 07/01/2027 | 165,000 | 163,216 | |
SBA Communications Corp., 3.88%, 02/15/2027 | 617,000 | 587,216 | |
Scientific Games Holdings L.P./Scientific Games US FinCo, Inc., 6.63%, 03/01/2030(a) | 304,000 | 294,119 | |
Scripps Escrow, Inc., 5.88%, 07/15/2027(a) | 33,000 | 27,640 | |
Seagate HDD Cayman, | |||
4.13%, 01/15/2031 | 376,000 | 333,441 | |
9.63%, 12/01/2032 | 531,200 | 605,790 | |
Sealed Air Corp., 7.25%, 02/15/2031(a)(c) | 285,000 | 296,667 | |
Sempra, 4.13%, 04/01/2052(b) | 4,350,000 | 4,034,826 | |
Sensata Technologies B.V., 5.88%, 09/01/2030(a) | 250,000 | 244,833 | |
Sensata Technologies, Inc., 3.75%, 02/15/2031(a) | 53,000 | 45,899 | |
Service Properties Trust, | |||
4.75%, 10/01/2026 | 759,000 | 708,069 | |
5.50%, 12/15/2027 | 477,000 | 455,182 | |
8.63%, 11/15/2031(a) | 125,000 | 133,440 | |
Sinclair Television Group, Inc., 4.13%, 12/01/2030(a) | 40,000 | 29,167 | |
Sirius XM Radio, Inc., 5.00%, 08/01/2027(a) | 308,000 | 296,525 | |
Sitio Royalties Operating Partnership L.P./Sitio Finance Corp., 7.88%, 11/01/2028(a) | 283,000 | 292,959 | |
Sixth Street Lending Partners, 6.50%, 03/11/2029(a) | 244,000 | 244,036 | |
Solventum Corp., | |||
5.45%, 02/25/2027(a) | 2,236,000 | 2,244,277 | |
5.90%, 04/30/2054(a) | 885,000 | 883,544 | |
Southern Co. (The), | |||
Series B, 4.00%, 01/15/2051(b) | 3,271,000 | 3,148,869 | |
Series 21-A, 3.75%, 09/15/2051(b) | 2,113,000 | 1,978,045 | |
Southwestern Energy Co., 4.75%, 02/01/2032 | 334,000 | 307,735 |
Principal Amount | Value | ||
United States–(continued) | |||
SS&C Technologies, Inc., 5.50%, 09/30/2027(a) | $298,000 | $291,624 | |
State Street Corp., Series I, 6.70%(b)(d) | 1,329,000 | 1,351,888 | |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 9.00%, 10/15/2026(a)(g) | 295,000 | 298,595 | |
Talen Energy Supply LLC, 8.63%, 06/01/2030(a) | 281,000 | 300,701 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 7.38%, 02/15/2029(a) | 444,000 | 446,963 | |
TransDigm, Inc., | |||
6.75%, 08/15/2028(a) | 145,000 | 147,095 | |
6.38%, 03/01/2029(a) | 310,000 | 311,353 | |
7.13%, 12/01/2031(a) | 145,000 | 149,612 | |
6.63%, 03/01/2032(a) | 586,000 | 592,763 | |
Transocean Titan Financing Ltd., 8.38%, 02/01/2028(a) | 295,000 | 308,147 | |
Transocean, Inc., 8.75%, 02/15/2030(a) | 279,000 | 291,091 | |
U.S. International Development Finance Corp., Series 4, 3.13%, 04/15/2028 | 480,000 | 455,143 | |
Uber Technologies, Inc., 4.50%, 08/15/2029(a)(c) | 432,000 | 410,699 | |
United AirLines, Inc., 4.38%, 04/15/2026(a) | 1,455,000 | 1,407,586 | |
Valaris Ltd., 8.38%, 04/30/2030(a) | 426,000 | 439,795 | |
Venture Global Calcasieu Pass LLC, 6.25%, 01/15/2030(a) | 295,000 | 297,010 | |
Venture Global LNG, Inc., | |||
8.13%, 06/01/2028(a) | 403,000 | 411,387 | |
9.50%, 02/01/2029(a) | 306,000 | 330,017 | |
Viatris, Inc., 3.85%, 06/22/2040 | 780,000 | 576,566 | |
Victoria’s Secret & Co., 4.63%, 07/15/2029(a) | 194,000 | 159,389 | |
Viking Cruises Ltd., | |||
7.00%, 02/15/2029(a) | 146,000 | 146,751 | |
9.13%, 07/15/2031(a) | 267,000 | 292,201 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/2029(a) | 300,000 | 292,220 | |
Vistra Corp., Series C, 8.88%(a)(b)(d) | 154,000 | 159,219 | |
Vistra Operations Co. LLC, 7.75%, 10/15/2031(a) | 700,000 | 733,607 | |
Walgreens Boots Alliance, Inc., | |||
3.80%, 11/18/2024 | 2,178,000 | 2,147,041 | |
4.50%, 11/18/2034 | 325,000 | 289,636 | |
Yum! Brands, Inc., 5.38%, 04/01/2032(c) | 300,000 | 290,588 | |
127,027,492 | |||
Zambia–0.20% | |||
First Quantum Minerals Ltd., 6.88%, 10/15/2027(a) | 1,500,000 | 1,439,880 | |
Total U.S. Dollar Denominated Bonds & Notes (Cost $261,603,186) | 252,359,132 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | ||
Non-U.S. Dollar Denominated Bonds & Notes–30.08%(h) | |||
Austria–0.46% | |||
Republic of Austria Government Bond, 2.10%, 09/20/2117(a) | EUR | 3,877,000 | $3,243,977 |
Brazil–6.19% | |||
Brazil Notas do Tesouro Nacional, | |||
Series B, 6.00%, 05/15/2055 | BRL | 2,300,000 | 2,037,173 |
Series F, 10.00%, 01/01/2027 | BRL | 205,000,000 | 41,694,935 |
43,732,108 | |||
Canada–0.73% | |||
Province of Ontario, 5.85%, 03/08/2033 | CAD | 6,200,000 | 5,156,049 |
China–0.56% | |||
China Government Bond, 3.32%, 04/15/2052 | CNY | 25,000,000 | 3,925,667 |
Colombia–3.63% | |||
Colombian TES, | |||
Series B, 7.50%, 08/26/2026 | COP | 13,500,000,000 | 3,373,884 |
Series B, 6.00%, 04/28/2028 | COP | 15,450,000,000 | 3,557,264 |
Series B, 7.75%, 09/18/2030 | COP | 31,000,000,000 | 7,322,403 |
Series B, 7.00%, 06/30/2032 | COP | 30,000,000,000 | 6,493,793 |
Series B, 9.25%, 05/28/2042 | COP | 4,875,000,000 | 1,114,977 |
Series B, 7.25%, 10/26/2050 | COP | 21,000,000,000 | 3,831,543 |
25,693,864 | |||
Czech Republic–0.12% | |||
CPI Property Group S.A., 4.88%(a)(b)(d) | EUR | 1,300,000 | 841,580 |
France–0.77% | |||
BPCE S.A., Series NC5, 1.50%, 01/13/2042(a)(b) | EUR | 2,000,000 | 1,975,234 |
Electricite de France S.A., 5.38%(a)(b)(d) | EUR | 2,100,000 | 2,260,666 |
Societe Generale S.A., 7.88%(a)(b)(d) | EUR | 1,100,000 | 1,244,643 |
5,480,543 | |||
Germany–0.12% | |||
Nidda Healthcare Holding GmbH, 7.50%, 08/21/2026(a) | EUR | 253,000 | 281,796 |
Volkswagen International Finance N.V., 4.63%(a)(b)(d) | EUR | 520,000 | 558,604 |
840,400 | |||
Greece–1.00% | |||
Hellenic Republic Government Bond, | |||
4.38%, 07/18/2038(a) | EUR | 6,000,000 | 6,983,331 |
0.00%, 10/15/2042(e) | EUR | 23,730,000 | 81,923 |
7,065,254 |
Principal Amount | Value | ||
India–1.09% | |||
India Government Bond, | |||
6.54%, 01/17/2032 | INR | 300,000,000 | $3,489,464 |
7.26%, 08/22/2032 | INR | 350,000,000 | 4,240,691 |
7,730,155 | |||
Indonesia–0.94% | |||
Indonesia Treasury Bond, | |||
Series FR95, 6.38%, 08/15/2028 | IDR | 60,000,000,000 | 3,764,957 |
Series FR96, 7.00%, 02/15/2033 | IDR | 45,000,000,000 | 2,900,861 |
6,665,818 | |||
Italy–0.24% | |||
UniCredit S.p.A., 1.20%, 01/20/2026(a)(b) | EUR | 1,600,000 | 1,688,749 |
Ivory Coast–0.15% | |||
Ivory Coast Government International Bond, 4.88%, 01/30/2032(a) | EUR | 1,150,000 | 1,072,504 |
Japan–0.71% | |||
Japan Government Bond, | |||
Series 15, 1.00%, 03/20/2062 | JPY | 288,700,000 | 1,470,806 |
Series 77, 1.60%, 12/20/2052 | JPY | 553,650,000 | 3,564,247 |
5,035,053 | |||
Malaysia–0.94% | |||
Malaysia Government Bond, | |||
Series 115, 3.96%, 09/15/2025 | MYR | 7,500,000 | 1,598,544 |
Series 319, 3.48%, 06/14/2024 | MYR | 24,000,000 | 5,072,410 |
6,670,954 | |||
Netherlands–0.36% | |||
ABN AMRO Bank N.V., 4.38%(a)(b)(d) | EUR | 800,000 | 838,952 |
NN Group N.V., 4.63%, 04/08/2044(a)(b) | EUR | 1,600,000 | 1,726,842 |
2,565,794 | |||
New Zealand–1.50% | |||
New Zealand Government Bond, Series 554, 5.00%, 05/15/2054 | NZD | 17,484,000 | 10,602,198 |
Peru–2.05% | |||
Credicorp Capital Sociedad Titulizadora S.A., 10.10%, 12/15/2043(a) | PEN | 3,050,000 | 830,401 |
Peru Government Bond, 6.15%, 08/12/2032 | PEN | 54,000,000 | 13,648,724 |
14,479,125 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | ||
South Africa–2.62% | |||
Republic of South Africa Government Bond, | |||
Series 2032, 8.25%, 03/31/2032 | ZAR | 181,200,000 | $7,989,447 |
Series 2040, 9.00%, 01/31/2040 | ZAR | 270,000,000 | 10,536,272 |
18,525,719 | |||
Spain–1.26% | |||
Banco Bilbao Vizcaya Argentaria S.A., 6.00%(a)(b)(d) | EUR | 1,400,000 | 1,512,193 |
Repsol International Finance B.V., 3.75%(a)(b)(d) | EUR | 750,000 | 795,292 |
Spain Government Bond, 1.45%, 10/31/2071(a) | EUR | 9,300,000 | 5,060,260 |
Telefonica Europe B.V., 2.88%(a)(b)(d) | EUR | 1,500,000 | 1,526,750 |
8,894,495 | |||
Supranational–0.85% | |||
African Development Bank, 0.00%, 01/17/2050(e) | ZAR | 78,000,000 | 284,690 |
Corp. Andina de Fomento, 6.82%, 02/22/2031(a) | MXN | 81,800,000 | 4,098,488 |
International Finance Corp., | |||
0.00%, 02/15/2029(a)(e) | TRY | 3,700,000 | 28,906 |
0.00%, 03/23/2038(e) | MXN | 90,000,000 | 1,584,968 |
5,997,052 | |||
Sweden–0.07% | |||
Heimstaden Bostad AB, 3.38%(a)(b)(d) | EUR | 650,000 | 468,963 |
Switzerland–0.23% | |||
UBS Group AG, 2.13%, 10/13/2026(a)(b) | EUR | 1,525,000 | 1,602,629 |
United Kingdom–2.88% | |||
Barclays PLC, 7.13%(b)(d) | GBP | 4,175,000 | 5,194,401 |
BP Capital Markets PLC, 3.25%(a)(b)(d) | EUR | 3,050,000 | 3,208,756 |
Lloyds Banking Group PLC, 8.50%(b)(d) | GBP | 950,000 | 1,225,121 |
Nationwide Building Society, 5.75%(a)(b)(d) | GBP | 2,900,000 | 3,477,223 |
NatWest Group PLC, 5.13%(b)(d) | GBP | 900,000 | 1,050,189 |
NGG Finance PLC, 5.63%, 06/18/2073(a)(b) | GBP | 4,000,000 | 5,007,408 |
United Kingdom Gilt, 0.50%, 10/22/2061(a) | GBP | 2,963,000 | 1,161,141 |
20,324,239 | |||
United States–0.47% | |||
Citigroup, Inc., 4.25%, 02/25/2030(a)(b) | EUR | 1,550,000 | 1,661,654 |
Morgan Stanley, 2.10%, 05/08/2026(b) | EUR | 1,600,000 | 1,693,731 |
3,355,385 |
Principal Amount | Value | ||
Uruguay–0.14% | |||
Uruguay Government International Bond, 9.75%, 07/20/2033 | UYU | 34,725,100 | $973,348 |
Total Non-U.S. Dollar Denominated Bonds & Notes (Cost $210,000,342) | 212,631,622 | ||
U.S. Government Sponsored Agency Mortgage-Backed Securities–14.73% | |||
Fannie Mae Interest STRIPS, | |||
IO, 6.50%, 04/25/2029 - 07/25/2032(i) | $154,305 | 20,085 | |
6.00%, 12/25/2032 - 08/25/2035(i)(j) | 449,625 | 63,805 | |
5.50%, 01/25/2034 - 06/25/2035(i) | 146,145 | 22,017 | |
Fannie Mae REMICs, | |||
5.50%, 12/25/2025 | 3,068 | 3,048 | |
6.00%, 01/25/2032 | 17,038 | 17,069 | |
6.43%, 04/25/2032 - 12/25/2032(k) | 103,410 | 104,523 | |
5.93% (30 Day Average SOFR + 0.61%), 09/25/2032(k) | 25,064 | 24,906 | |
5.93% (30 Day Average SOFR + 0.61%), 10/18/2032(k) | 7,831 | 7,788 | |
5.83% (30 Day Average SOFR + 0.51%), 11/25/2033(k) | 4,629 | 4,610 | |
4.64% (24.57% - (3.67 x (30 Day Average SOFR + 0.11%))), 03/25/2036(k) | 30,360 | 35,166 | |
4.27% (24.20% - (3.67 x (30 Day Average SOFR + 0.11%))), 06/25/2036(k) | 32,960 | 35,793 | |
6.37% (30 Day Average SOFR + 1.05%), 06/25/2037(k) | 6,338 | 6,395 | |
4.00%, 03/25/2041 | 18,196 | 17,057 | |
IO, 1.27%, 10/25/2031 - 05/25/2035(i)(k) | 113,070 | 7,845 | |
2.47%, 11/18/2031 - 12/18/2031(i)(k) | 14,891 | 1,232 | |
2.47% (7.90% - (30 Day Average SOFR + 0.11%)), 11/25/2031(i)(k) | 2,291 | 206 | |
2.52% (7.95% - (30 Day Average SOFR + 0.11%)), 01/25/2032(i)(k) | 2,399 | 195 | |
2.67% (8.10% - (30 Day Average SOFR + 0.11%)), 03/25/2032(i)(k) | 3,643 | 374 | |
1.57% (7.00% - (30 Day Average SOFR + 0.11%)), 04/25/2032(i)(k) | 13,934 | 902 | |
2.37% (7.80% - (30 Day Average SOFR + 0.11%)), 04/25/2032(i)(k) | 1,822 | 177 | |
2.57%, 07/25/2032 - 09/25/2032(i)(k) | 8,160 | 856 | |
2.67%, 12/18/2032(i)(k) | 26,487 | 2,201 | |
2.82%, 02/25/2033 - 05/25/2033(i)(k) | 26,324 | 3,477 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | ||
7.00%, 03/25/2033 - 04/25/2033(i) | $75,194 | $9,834 | |
2.12% (7.55% - (30 Day Average SOFR + 0.11%)), 10/25/2033(i)(k) | 105,307 | 10,387 | |
0.62%, 03/25/2035 - 07/25/2038(i)(k) | 130,620 | 7,934 | |
1.32%, 03/25/2035 - 05/25/2035(i)(k) | 124,529 | 4,022 | |
1.17% (6.60% - (30 Day Average SOFR + 0.11%)), 05/25/2035(i)(k) | 62,694 | 3,331 | |
1.80% (7.23% - (30 Day Average SOFR + 0.11%)), 09/25/2036(i)(k) | 123,466 | 5,009 | |
1.11% (6.54% - (30 Day Average SOFR + 0.11%)), 06/25/2037(i)(k) | 111,205 | 8,145 | |
4.00%, 04/25/2041(i) | 195,276 | 19,091 | |
1.12% (6.55% - (30 Day Average SOFR + 0.11%)), 10/25/2041(i)(k) | 48,495 | 3,162 | |
0.72% (6.15% - (30 Day Average SOFR + 0.11%)), 12/25/2042(i)(k) | 148,120 | 15,427 | |
Federal Home Loan Mortgage Corp., | |||
6.50%, 08/01/2031 | 27,487 | 28,335 | |
5.00%, 09/01/2033 - 03/01/2053 | 13,879,463 | 13,563,972 | |
7.00%, 10/01/2037 | 6,013 | 6,209 | |
4.50%, 10/01/2052 | 6,808,917 | 6,537,876 | |
Federal National Mortgage Association, | |||
7.50%, 10/01/2029 - 03/01/2033 | 98,699 | 100,860 | |
7.00%, 07/01/2032 - 04/01/2033 | 12,919 | 13,328 | |
5.00%, 07/01/2033 | 67,864 | 68,245 | |
5.50%, 02/01/2035 - 03/01/2053 | 13,962,384 | 13,937,067 | |
4.50%, 07/01/2052 | 7,686,918 | 7,368,189 | |
Freddie Mac Multifamily Structured Pass-Through Ctfs., | |||
Series K734, Class X1, IO, 0.64%, 02/25/2026(j) | 1,599,603 | 13,708 | |
Series K735, Class X1, IO, 1.10%, 05/25/2026(j) | 2,846,472 | 44,587 | |
Series K093, Class X1, IO, 0.94%, 05/25/2029(j) | 19,307,478 | 746,678 | |
Freddie Mac REMICs, | |||
7.00%, 09/15/2026 | 31,868 | 31,827 | |
5.88%, 12/15/2028 - 02/15/2029(k) | 59,620 | 59,362 | |
6.00%, 04/15/2029 | 30,527 | 30,566 | |
6.50%, 10/15/2029 - 06/15/2032 | 90,357 | 92,274 | |
5.98%, 06/15/2031 - 01/15/2032(k) | 56,662 | 56,424 | |
6.43%, 02/15/2032 - 03/15/2032(k) | 39,628 | 39,822 | |
3.50%, 05/15/2032 | 11,230 | 10,828 | |
4.83% (24.75% - (3.67 x (30 Day Average SOFR + 0.11%))), 08/15/2035(k) | 25,344 | 29,700 | |
4.00%, 06/15/2038 | 14,121 | 13,249 |
Principal Amount | Value | |||
3.00%, 05/15/2040 | $121 | $120 | ||
IO, 2.52% (7.95% - (30 Day Average SOFR + 0.11%)), 12/15/2026(i)(k) | 22,312 | 419 | ||
3.27% (8.70% - (30 Day Average SOFR + 0.11%)), 07/17/2028(i)(k) | 12 | 0 | ||
2.22% (7.65% - (30 Day Average SOFR + 0.11%)), 03/15/2029(i)(k) | 71,431 | 3,119 | ||
2.67% (8.10% - (30 Day Average SOFR + 0.11%)), 06/15/2029(i)(k) | 3,013 | 166 | ||
2.57% (8.00% - (30 Day Average SOFR + 0.11%)), 04/15/2032(i)(k) | 126,722 | 4,052 | ||
1.62% (7.05% - (30 Day Average SOFR + 0.11%)), 10/15/2033(i)(k) | 42,012 | 2,341 | ||
1.27% (6.70% - (30 Day Average SOFR + 0.11%)), 01/15/2035(i)(k) | 45,042 | 2,123 | ||
1.32% (6.75% - (30 Day Average SOFR + 0.11%)), 02/15/2035(i)(k) | 6,585 | 322 | ||
1.29%, 05/15/2035(i)(k) | 138,785 | 8,318 | ||
1.57% (7.00% - (30 Day Average SOFR + 0.11%)), 12/15/2037(i)(k) | 27,846 | 2,460 | ||
0.57% (6.00% - (30 Day Average SOFR + 0.11%)), 04/15/2038(i)(k) | 12,578 | 947 | ||
0.64% (6.07% - (30 Day Average SOFR + 0.11%)), 05/15/2038(i)(k) | 60,448 | 4,519 | ||
0.82% (6.25% - (30 Day Average SOFR + 0.11%)), 12/15/2039(i)(k) | 16,397 | 1,063 | ||
Freddie Mac STRIPS, | ||||
IO, 6.50%, 02/01/2028(i) | 808 | 65 | ||
7.00%, 09/01/2029(i) | 6,320 | 737 | ||
6.00%, 12/15/2032(i) | 17,005 | 1,925 | ||
Government National Mortgage Association, | ||||
ARM, 3.75% (1 yr. U.S. Treasury Yield Curve Rate + 1.50%), 11/20/2025(k) | 229 | 226 | ||
8.00%, 05/15/2026 | 2,762 | 2,764 | ||
7.00%, 04/15/2028 - 07/15/2028 | 14,330 | 14,357 | ||
IO, 1.11% (6.55% - (1 mo. Term SOFR + 0.11%)), 04/16/2037(i)(k) | 68,639 | 4,412 | ||
1.21% (6.65% - (1 mo. Term SOFR + 0.11%)), 04/16/2041(i)(k) | 105,546 | 5,706 | ||
TBA, 5.50%, 04/18/2054(l) | 19,100,000 | 19,085,046 | ||
6.00%, 04/18/2054(l) | 41,300,000 | 41,667,420 | ||
Total U.S. Government Sponsored Agency Mortgage-Backed Securities (Cost $105,614,354) | 104,071,802 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | ||
Asset-Backed Securities–7.08% | |||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1, 0.65% (1 yr. U.S. Treasury Yield Curve Rate + 2.25%), 02/25/2036(k) | $7,439 | $6,914 | |
Benchmark Mortgage Trust, Series 2018-B1, Class XA, IO, 0.52%, 01/15/2051(j) | 3,921,027 | 60,599 | |
CD Mortgage Trust, Series 2017-CD6, Class XA, IO, 0.87%, 11/13/2050(j) | 1,947,385 | 41,494 | |
Chase Mortgage Finance Trust, Series 2005-A2, Class 1A3, 4.84%, 01/25/2036(m) | 3,699 | 3,325 | |
Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA, IO, 0.98%, 10/12/2050(j) | 4,704,547 | 130,734 | |
Citigroup Mortgage Loan Trust, Inc., | |||
Series 2005-2, Class 1A3, 2.82%, 05/25/2035(m) | 145,331 | 138,188 | |
Series 2006-AR1, Class 1A1, 7.20% (1 yr. U.S. Treasury Yield Curve Rate + 2.40%), 10/25/2035(k) | 29,372 | 27,671 | |
COMM Mortgage Trust, | |||
Series 2014-UBS6, Class AM, 4.05%, 12/10/2047 | 1,600,000 | 1,537,541 | |
Series 2014-CR21, Class AM, 3.99%, 12/10/2047 | 25,000 | 23,964 | |
Series 2019-GC44, Class AM, 3.26%, 08/15/2057 | 1,000,000 | 878,822 | |
Countrywide Home Loans Mortgage Pass-Through Trust, | |||
Series 2005-17, Class 1A8, 5.50%, 09/25/2035 | 92,192 | 85,446 | |
Series 2005-J4, Class A7, 5.50%, 11/25/2035 | 171,628 | 138,871 | |
CWHEQ Revolving Home Equity Loan Trust, | |||
Series 2005-G, Class 2A, 5.67% (1 mo. Term SOFR + 0.34%), 12/15/2035(k) | 2 | 2 | |
Series 2006-H, Class 2A1A, 3.63% (1 mo. Term SOFR + 0.26%), 11/15/2036(k) | 7,082 | 6,909 | |
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A1, 5.89%, 06/25/2036(m) | 21,116 | 18,600 | |
DT Auto Owner Trust, Series 2019-4A, Class D, 2.85%, 07/15/2025(a) | 30,626 | 30,582 | |
Exeter Automobile Receivables Trust, Series 2019-4A, Class D, 2.58%, 09/15/2025(a) | 453,946 | 451,445 | |
FREMF Mortgage Trust, | |||
Series 2017-K62, Class B, 3.88%, 01/25/2050(a)(m) | 280,000 | 268,178 | |
Series 2016-K54, Class C, 4.05%, 04/25/2048(a)(m) | 1,810,000 | 1,746,333 | |
Frontier Issuer LLC, Series 2023-1, Class A2, 6.60%, 08/20/2053(a) | 325,500 | 329,450 |
Principal Amount | Value | ||
GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1, 4.56%, 07/25/2035(m) | $1,539 | $1,393 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class AS, 3.22%, 04/15/2046 | 65,032 | 60,219 | |
JP Morgan Mortgage Trust, Series 2007-A1, Class 5A1, 5.04%, 07/25/2035(m) | 9,618 | 9,386 | |
JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class B, 4.12%, 11/15/2047(m) | 680,000 | 609,109 | |
MASTR Asset Backed Securities Trust, Series 2006-WMC3, Class A3, 5.64% (1 mo. Term SOFR + 0.31%), 08/25/2036(k) | 654,275 | 231,070 | |
Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA, IO, 0.85%, 12/15/2050(j) | 1,600,894 | 42,483 | |
OBX Trust, | |||
Series 2022-NQM7, Class A3, 5.70%, 08/25/2062(a)(g) | 330,165 | 326,634 | |
Series 2022-NQM7, Class A2, 5.70%, 08/25/2062(a)(g) | 634,933 | 629,010 | |
Residential Accredit Loans, Inc. Trust, Series 2006-QS13, Class 1A8, 6.00%, 09/25/2036 | 4,848 | 3,627 | |
UBS Commercial Mortgage Trust, Series 2017-C5, Class XA, IO, 1.07%, 11/15/2050(j) | 2,910,322 | 72,973 | |
Verus Securitization Trust, Series 2022-7, Class A3, 5.35%, 07/25/2067(a)(m) | 449,658 | 446,036 | |
WaMu Mortgage Pass-Through Ctfs. Trust, | |||
Series 2005-AR16, Class 1A1, 4.86%, 12/25/2035(m) | 2,623 | 2,347 | |
Series 2003-AR10, Class A7, 5.85%, 10/25/2033(m) | 13,999 | 13,152 | |
Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA, IO, 0.86%, 12/15/2050(j) | 2,660,771 | 69,331 | |
WFRBS Commercial Mortgage Trust, | |||
Series 2013-C14, Class AS, 3.49%, 06/15/2046 | 149,021 | 140,265 | |
Series 2014-C20, Class AS, 4.18%, 05/15/2047 | 490,000 | 466,864 | |
Madison Park Funding XI Ltd., Series 2013-11A, Class DR, 8.83% (3 mo. Term SOFR + 3.51%), 07/23/2029(a)(k) | 250,000 | 250,324 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | ||
Alba PLC, | |||
Series 2007-1, Class F, 8.60% (SONIA + 3.37%), 03/17/2039(a)(h)(k) | GBP | 688,955 | $829,608 |
Series 2007-1, Class E, 6.55% (SONIA + 1.32%), 03/17/2039(a)(h)(k) | GBP | 1,951,376 | 2,278,862 |
Series 2006-2, Class F, 8.60% (SONIA + 3.37%), 12/15/2038(a)(h)(k) | GBP | 487,808 | 568,979 |
Eurohome UK Mortgages PLC, | |||
Series 2007-1, Class B1, 6.25% (SONIA + 1.02%), 06/15/2044(a)(h)(k) | GBP | 780,000 | 856,813 |
Series 2007-2, Class B1, 6.75% (SONIA + 1.52%), 09/15/2044(a)(h)(k) | GBP | 872,000 | 935,279 |
Eurosail PLC, | |||
Series 2006-2X, Class E1C, 8.60% (SONIA + 3.37%), 12/15/2044(a)(h)(k) | GBP | 1,830,000 | 2,044,627 |
Series 2006-4X, Class E1C, 8.35% (SONIA + 3.12%), 12/10/2044(a)(h)(k) | GBP | 1,608,337 | 1,999,343 |
Series 2006-2X, Class D1A, 4.74% (3 mo. EURIBOR + 0.80%), 12/15/2044(a)(h)(k) | EUR | 2,700,000 | 2,511,600 |
Eurosail-UK NC PLC, Series 2007-1X, Class D1C, 6.24% (SONIA + 1.01%), 03/13/2045(a)(h)(k) | GBP | 750,000 | 807,334 |
Eurosail-UK NP PLC, Series 2007-2X, Class D1A, 4.73% (3 mo. EURIBOR + 0.80%), 03/13/2045(a)(h)(k) | EUR | 3,600,000 | 3,349,406 |
Great Hall Mortgages No. 1 PLC, Series 2007-2X, Class EB, 7.68% (3 mo. EURIBOR + 3.75%), 06/18/2039(a)(h)(k) | EUR | 1,780,000 | 1,862,391 |
Ludgate Funding PLC, Series 2007-1, Class MA, 5.56% (SONIA + 0.36%), 01/01/2061(a)(h)(k) | GBP | 827,830 | 955,227 |
Mortgage Funding PLC, Series 2008-1, Class B2, 8.55% (SONIA + 3.32%), 03/13/2046(a)(k) | GBP | 4,925,496 | 5,952,037 |
Towd Point Mortgage Funding 2019 - Granite4 PLC, | |||
Series 2019-GR4X, Class FR, 7.27% (SONIA + 2.05%), 10/20/2051(a)(h)(k) | GBP | 870,000 | 1,101,751 |
Series 2019-GR4X, Class DR, 6.42% (SONIA + 1.20%), 10/20/2051(a)(h)(k) | GBP | 3,750,000 | 4,745,230 |
Series 2019-GR4X, Class GR, 7.72% (SONIA + 2.50%), 10/20/2051(a)(h)(k) | GBP | 725,000 | 917,999 |
Prosil Acquisition S.A., Series 2019-1, Class A, 5.91% (3 mo. EURIBOR + 2.00%), 10/31/2039(a)(h)(k) | EUR | 1,304,434 | 1,177,506 |
SC Germany S.A. Compartment Consumer, Series 2021-1, Class E, 6.65% (1 mo. EURIBOR + 2.80%), 11/14/2035(a)(h)(k) | EUR | 2,913,710 | 3,040,042 |
Principal Amount | Value | ||
Alhambra SME Funding DAC, Series 2019-1, Class D, 13.09% (1 mo. EURIBOR + 9.25%), 11/30/2028(a)(h)(k) | EUR | 141,425 | $121,101 |
Lusitano Mortgages No. 5 PLC, Series D, 4.90% (3 mo. EURIBOR + 0.96%), 07/15/2059(a)(h)(k) | EUR | 647,052 | 591,720 |
Futura S.r.l., Series 2019-1, Class A, 6.87% (6 mo. EURIBOR + 3.00%), 07/31/2044(a)(h)(k) | EUR | 213,862 | 231,253 |
Fideicomiso Dorrego Y Libertador, | |||
2.00%, 12/31/2043(n) | $3,144,648 | 2,987,416 | |
0.00%, 12/31/2043(e)(h)(n) | ARS | 33,994,486 | 37,661 |
Fideicomiso Financiero Invernea Proteina 2, Serie II, 0.00%, 08/25/2032(e)(h)(m)(n) | ARS | 133,500,000 | 828,552 |
Total Asset-Backed Securities (Cost $53,955,647) | 50,031,028 | ||
Agency Credit Risk Transfer Notes–4.19% | |||
United States–4.19% | |||
Fannie Mae Connecticut Avenue Securities, | |||
Series 2022-R04, Class 1M2, 8.42% (30 Day Average SOFR + 3.10%), 03/25/2042(a)(k) | $770,000 | 801,461 | |
Series 2022-R05, Class 2M1, 7.22% (30 Day Average SOFR + 1.90%), 04/25/2042(a)(k) | 2,347,726 | 2,362,934 | |
Series 2022-R08, Class 1M2, 8.92% (30 Day Average SOFR + 3.60%), 07/25/2042(a)(k) | 1,350,000 | 1,427,737 | |
Series 2023-R02, Class 1M1, 7.62% (30 Day Average SOFR + 2.30%), 01/25/2043(a)(k) | 482,125 | 493,889 | |
Series 2023-R03, Class 2M1, 7.82% (30 Day Average SOFR + 2.50%), 04/25/2043(a)(k) | 962,829 | 982,168 | |
Series 2023-R04, Class 1M1, 7.62% (30 Day Average SOFR + 2.30%), 05/25/2043(a)(k) | 1,037,472 | 1,059,460 | |
Series 2023-R06, Class 1M1, 7.02% (30 Day Average SOFR + 1.70%), 07/25/2043(a)(k) | 539,827 | 544,832 | |
Series 2023-R06, Class 1M2, 8.02% (30 Day Average SOFR + 2.70%), 07/25/2043(a)(k) | 490,000 | 508,031 | |
Series 2023-R06, Class 1B1, 9.22% (30 Day Average SOFR + 3.90%), 07/25/2043(a)(k) | 565,000 | 595,230 | |
Series 2023-R08, Class 1M2, 7.82% (30 Day Average SOFR + 2.50%), 10/25/2043(a)(k) | 280,000 | 287,769 | |
Series 2023-R08, Class 1M1, 6.82% (30 Day Average SOFR + 1.50%), 10/25/2043(a)(k) | 438,699 | 440,857 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | |||
United States–(continued) | ||||
Freddie Mac, | ||||
Series 2022-DNA2, Class M1B, STACR®, 7.72% (30 Day Average SOFR + 2.40%), 02/25/2042(a)(k) | $1,500,000 | $1,529,306 | ||
Series 2022-DNA3, Class M1B, STACR®, 8.22% (30 Day Average SOFR + 2.90%), 04/25/2042(a)(k) | 3,000,000 | 3,106,198 | ||
Series 2022-DNA3, Class M1A, STACR®, 7.32% (30 Day Average SOFR + 2.00%), 04/25/2042(a)(k) | 1,653,122 | 1,675,114 | ||
Series 2022-HQA2, Class M1, STACR®, 9.32% (30 Day Average SOFR + 4.00%), 07/25/2042(a)(k) | 1,500,000 | 1,597,591 | ||
Series 2022-HQA3, Class M1, STACR®, 8.87% (30 Day Average SOFR + 3.55%), 08/25/2042(a)(k) | 1,500,000 | 1,576,796 | ||
Series 2022-HQA3, Class M2, STACR®, 10.67% (30 Day Average SOFR + 5.35%), 08/25/2042(a)(k) | 1,605,000 | 1,746,405 | ||
Series 2023-DNA1, Class M1, STACR®, 7.42% (30 Day Average SOFR + 2.10%), 03/25/2043(a)(k) | 1,006,393 | 1,027,386 | ||
Series 2023-HQA1, Class M1, STACR®, 8.82% (30 Day Average SOFR + 3.50%), 05/25/2043(a)(k) | 2,534,425 | 2,678,655 | ||
Series 2023-HQA2, Class M1, STACR®, 7.32% (30 Day Average SOFR + 2.00%), 06/25/2043(a)(k) | 980,176 | 987,744 | ||
Series 2023-HQA2, Class M1, STACR®, 8.67% (30 Day Average SOFR + 3.35%), 06/25/2043(a)(k) | 900,000 | 953,533 | ||
Series 2024-DNA1, Class M2, STACR®, 7.27% (30 Day Average SOFR + 1.95%), 02/25/2044(a)(k) | 1,550,000 | 1,556,761 | ||
Series 2024-HQA1, Class M2, STACR®, 7.32% (30 Day Average SOFR + 2.00%), 03/25/2044(a)(k) | 1,670,900 | 1,675,476 | ||
Total Agency Credit Risk Transfer Notes (Cost $28,872,888) | 29,615,333 | |||
U.S. Treasury Securities–2.11% | ||||
U.S. Treasury Bills–2.11% | ||||
5.38%, 05/16/2024 (Cost $14,902,087)(o)(p) | 14,902,087 | 14,902,087 | ||
Shares | ||||
Common Stocks & Other Equity Interests–1.30% | ||||
Argentina–1.28% | ||||
Banco BBVA Argentina S.A.(q) | 80,000 | 286,603 | ||
Banco Macro S.A., Class B(q) | 170,000 | 1,105,425 | ||
Grupo Financiero Galicia S.A., Class B | 535,000 | 1,758,801 | ||
Pampa Energia S.A.(q) | 400,000 | 884,812 | ||
YPF S.A., ADR(q) | 22,500 | 445,500 |
Shares | Value | ||
Argentina–(continued) | |||
YPF S.A., Class D(q) | 179,000 | $4,570,216 | |
9,051,357 | |||
United States–0.02% | |||
ACNR Holdings, Inc. | 911 | 75,993 | |
Claire’s Holdings LLC, Class S | 235 | 15,275 | |
McDermott International Ltd.(q) | 39,024 | 7,805 | |
McDermott International Ltd., Series A, Wts., expiring 06/30/2027(n)(q) | 31,946 | 958 | |
McDermott International Ltd., Series B, Wts., expiring 06/30/2027(n)(q) | 35,496 | 1,065 | |
Sabine Oil & Gas Holdings, Inc.(n)(q) | 837 | 126 | |
Windstream Services LLC, Wts. | 176 | 1,877 | |
103,099 | |||
Total Common Stocks & Other Equity Interests (Cost $9,711,320) | 9,154,456 | ||
Principal Amount | |||
Variable Rate Senior Loan Interests–0.77%(r)(s) | |||
United States–0.77% | |||
Bally’s Corp., Term Loan B, 8.83% (3 mo. Term SOFR + 3.51%), 10/02/2028 | $310,000 | 291,851 | |
Boost Newco Borrower LLC (WorldPay), Term Loan, 8.31% (3 mo. Term SOFR + 3.00%), 01/31/2031 | 295,000 | 296,415 | |
Camelot US Acquisition LLC, Term Loan, 8.08% (1 mo. Term SOFR + 2.75%), 01/31/2031 | 295,000 | 295,221 | |
Carnival Corp., Incremental Term Loan B, 8.70% (1 mo. Term SOFR + 3.36%), 10/18/2028 | 296,438 | 297,210 | |
Claire’s Stores, Inc., Term Loan, 11.93% (1 mo. Term SOFR + 6.60%), 12/18/2026 | 69,877 | 66,593 | |
Clear Channel Outdoor Holdings, Inc., Term Loan B, 8.44% (1 mo. Term SOFR + 3.11%), 08/21/2026 | 285,646 | 286,003 | |
DTZ U.S. Borrower LLC, Term Loan B, -% , 01/31/2030(n)(t) | 302,242 | 303,376 | |
Dun & Bradstreet Corp. (The), Incremental Term Loan B-2, 8.08% (1 mo. Term SOFR + 2.75%), 01/18/2029 | 291,945 | 292,218 | |
Endo Luxembourg Finance Co. I S.a.r.l., Term Loan, 14.50% (1 mo. PRIME + 6.00%), 03/27/2028 | 498,687 | 328,954 | |
Greystar Real Estate Partners, LLC, Term Loan, 8.58% (3 mo. Term SOFR + 3.25%), 08/21/2030(n) | 156,807 | 157,199 | |
IRB Holding Corp., Term Loan B, 8.18% (1 mo. Term SOFR + 2.85%), 12/15/2027 | 298,700 | 299,121 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Principal Amount | Value | ||
United States–(continued) | |||
Jane Street Group LLC, Term Loan, 7.94% (1 mo. Term SOFR + 2.61%), 01/26/2028 | $290,000 | $290,471 | |
Mozart Debt Merger Sub, Inc. (Medline Industries), Term Loan, 8.06% (1 mo. Term SOFR + 2.75%), 10/23/2028 | 289,527 | 290,481 | |
New Red Finance, Inc., Term Loan B-5, 7.58% , 09/23/2030 | 300,247 | 300,435 | |
NFE Atlantic Holdings LLC, Term Loan B, 10.32% (1 mo. Term SOFR + 5.00%), 10/30/2028 | 407,000 | 408,823 | |
Prairie ECI Acquiror L.P., Term Loan B, 10.08% (1 mo. Term SOFR + 4.75%), 08/01/2029 | 195,000 | 194,530 | |
Schweitzer-Mauduit International, Inc. (SWM International), Term Loan B, 9.19% (1 mo. Term SOFR + 3.86%), 04/20/2028 | 156,954 | 157,216 | |
Scientific Games Lottery, First Lien Term Loan, 8.58% (3 mo. Term SOFR + 3.25%), 04/04/2029 | 300,177 | 300,466 | |
Syneos Health, Inc., Term Loan, 9.31% (3 mo. Term SOFR + 4.00%), 09/27/2030 | 300,000 | 298,519 | |
Uber Technologies, Inc., Term Loan B, 8.08% (3 mo. Term SOFR + 2.75%), 03/03/2030 | 177,000 | 177,966 | |
Victoria’s Secret & Co., First Lien Term Loan, 8.84% (3 mo. Term SOFR + 3.51%), 08/02/2028 | 135,000 | 133,875 | |
Total Variable Rate Senior Loan Interests (Cost $5,571,176) | 5,466,943 |
Shares | Value | ||
Preferred Stocks–0.04% | |||
United States–0.04% | |||
Bank of America Corp., 6.50%, Series Z, Pfd.(b) | 290,000 | $290,971 | |
Claire’s Holdings LLC, Series A, Pfd. | 71 | 15,265 | |
Total Preferred Stocks (Cost $325,899) | 306,236 | ||
Money Market Funds–6.87% | |||
Invesco Government & Agency Portfolio, Institutional Class, 5.24%(u)(v) | 16,702,009 | 16,702,009 | |
Invesco Liquid Assets Portfolio, Institutional Class, 5.35%(u)(v) | 12,764,522 | 12,769,628 | |
Invesco Treasury Portfolio, Institutional Class, 5.21%(u)(v) | 19,088,010 | 19,088,010 | |
Total Money Market Funds (Cost $48,560,867) | 48,559,647 | ||
Options Purchased–2.05% | |||
(Cost $17,863,122)(w) | 14,471,785 | ||
TOTAL INVESTMENTS IN SECURITIES (excluding Investments purchased with cash collateral from securities on loan)-104.92% (Cost $756,980,888) | 741,570,071 | ||
Investments Purchased with Cash Collateral from Securities on Loan | |||
Money Market Funds–4.12% | |||
Invesco Private Government Fund, 7.57%(u)(v)(x) | 7,903,480 | 7,903,480 | |
Invesco Private Prime Fund, 5.49%(u)(v)(x) | 21,203,864 | 21,214,466 | |
Total Investments Purchased with Cash Collateral from Securities on Loan (Cost $29,119,293) | 29,117,946 | ||
TOTAL INVESTMENTS IN SECURITIES—109.04% (Cost $786,100,181) | 770,688,017 | ||
OTHER ASSETS LESS LIABILITIES–(9.04)% | (63,869,493) | ||
NET ASSETS–100.00% | $706,818,524 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Investment Abbreviations:
ADR | – American Depositary Receipt |
ARM | – Adjustable Rate Mortgage |
ARS | – Argentina Peso |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CNY | – Chinese Yuan Renminbi |
COP | – Colombia Peso |
Ctfs. | – Certificates |
EUR | – Euro |
EURIBOR | – Euro Interbank Offered Rate |
GBP | – British Pound Sterling |
IDR | – Indonesian Rupiah |
INR | – Indian Rupee |
IO | – Interest Only |
JPY | – Japanese Yen |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NZD | – New Zealand Dollar |
PEN | – Peruvian Sol |
Pfd. | – Preferred |
REMICs | – Real Estate Mortgage Investment Conduits |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Index Average |
STACR® | – Structured Agency Credit Risk |
STRIPS | – Separately Traded Registered Interest and Principal Security |
TBA | – To Be Announced |
TRY | – Turkish Lira |
UYU | – Uruguay Peso |
Wts. | – Warrants |
ZAR | – South African Rand |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Notes to Consolidated Schedule of Investments:
(a) | 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 $276,906,202, which represented 39.18% of the Fund’s Net Assets. |
(b) | Security issued at a fixed rate for a specific period of time, after which it will convert to a variable rate. |
(c) | All or a portion of this security was out on loan at March 31, 2024. |
(d) | Perpetual bond with no specified maturity date. |
(e) | Zero coupon bond issued at a discount. |
(f) | Defaulted security. Currently, the issuer is in default with respect to principal and/or interest payments. The aggregate value of these securities at March 31, 2024 was $688,324, which represented less than 1% of the Fund’s Net Assets. |
(g) | Step coupon bond. The interest rate represents the coupon rate at which the bond will accrue at a specified future date. |
(h) | Foreign denominated security. Principal amount is denominated in the currency indicated. |
(i) | Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. |
(j) | 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. |
(k) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on March 31, 2024. |
(l) | Security purchased on a forward commitment basis. This security is subject to dollar roll transactions. |
(m) | 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. |
(n) | Security valued using significant unobservable inputs (Level 3). See Note 1. |
(o) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. |
(p) | Security traded at a premium. |
(q) | Non-income producing security. |
(r) | Variable rate senior loan interests often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with any accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the variable rate senior loan interests will have an expected average life of three to five years. |
(s) | Variable rate senior loan interests are, at present, not readily marketable, not registered under the 1933 Act and may be subject to contractual and legal restrictions on sale. Variable rate senior loan interests in the Fund’s portfolio generally have variable rates which adjust to a base, such as the Secured Overnight Financing Rate ("SOFR"), on set dates, typically every 30 days, but not greater than one year, and/or have interest rates that float at margin above a widely recognized base lending rate such as the Prime Rate of a designated U.S. bank. |
(t) | This variable rate interest will settle after March 31, 2024, at which time the interest rate will be determined. |
(u) | 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 (Depreciation) | Realized Gain (Loss) | Value March 31, 2024 | Dividend Income | |
Investments in Affiliated Money Market Funds: | |||||||
Invesco Government & Agency Portfolio, Institutional Class | $16,078,518 | $25,248,556 | $(24,625,065) | $- | $- | $16,702,009 | $196,964 |
Invesco Liquid Assets Portfolio, Institutional Class | 12,328,173 | 18,034,683 | (17,589,333) | (3,600) | (295) | 12,769,628 | 156,310 |
Invesco Treasury Portfolio, Institutional Class | 18,375,449 | 28,855,493 | (28,142,932) | - | - | 19,088,010 | 224,551 |
Investments Purchased with Cash Collateral from Securities on Loan: | |||||||
Invesco Private Government Fund | 7,429,657 | 40,893,327 | (40,419,504) | - | - | 7,903,480 | 120,222* |
Invesco Private Prime Fund | 20,083,316 | 64,613,744 | (63,478,070) | (2,503) | (2,021) | 21,214,466 | 327,567* |
Total | $74,295,113 | $177,645,803 | $(174,254,904) | $(6,103) | $(2,316) | $77,677,593 | $1,025,614 |
* | Represents the income earned on the investment of cash collateral. Does not include rebates and fees paid to lending agent or premiums received from borrowers, if any. |
(v) | The rate shown is the 7-day SEC standardized yield as of March 31, 2024. |
(w) | The table below details options purchased. |
(x) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Open Over-The-Counter Foreign Currency Options Purchased(a) | ||||||||
Description | Type of Contract | Counterparty | Expiration Date | Exercise Price | Notional Value | Value | ||
Currency Risk | ||||||||
AUD versus USD | Call | J.P. Morgan Chase Bank, N.A. | 05/21/2024 | USD | 0.67 | AUD | 1,200,000 | $ 97,524 |
EUR versus USD | Call | Goldman Sachs International | 05/20/2024 | USD | 1.15 | EUR | 22,875,000 | 370 |
EUR versus USD | Call | Morgan Stanley and Co. International PLC | 04/05/2024 | USD | 1.15 | EUR | 762,500 | 1 |
USD versus JPY | Call | Goldman Sachs International | 02/13/2026 | JPY | 175.00 | USD | 4,650,000 | 134,343 |
USD versus JPY | Call | J.P. Morgan Chase Bank, N.A. | 02/13/2026 | JPY | 175.00 | USD | 4,650,000 | 134,343 |
Subtotal — Foreign Currency Call Options Purchased | 366,581 | |||||||
Currency Risk | ||||||||
CNH versus INR | Put | Goldman Sachs International | 02/19/2025 | INR | 11.45 | CNH | 13,020,000 | 392,411 |
EUR versus BRL | Put | Goldman Sachs International | 05/29/2024 | BRL | 5.35 | EUR | 1,550,000 | 204,171 |
EUR versus HUF | Put | J.P. Morgan Chase Bank, N.A. | 05/30/2024 | HUF | 385.00 | EUR | 1,162,500 | 142,233 |
EUR versus HUF | Put | Merrill Lynch International | 05/16/2024 | HUF | 385.00 | EUR | 15,500,000 | 6,555 |
EUR versus INR | Put | Morgan Stanley and Co. International PLC | 05/28/2024 | INR | 89.50 | EUR | 1,550,000 | 378,117 |
EUR versus MXN | Put | Morgan Stanley and Co. International PLC | 07/08/2024 | MXN | 18.30 | EUR | 762,500 | 226,203 |
EUR versus NOK | Put | J.P. Morgan Chase Bank, N.A. | 06/20/2024 | NOK | 11.40 | EUR | 27,450,000 | 16,258 |
EUR versus NOK | Put | Merrill Lynch International | 05/15/2024 | NOK | 11.30 | EUR | 18,600,000 | 13,485 |
EUR versus NOK | Put | Morgan Stanley and Co. International PLC | 04/25/2024 | NOK | 11.10 | EUR | 18,600,000 | 361 |
EUR versus ZAR | Put | Goldman Sachs International | 04/29/2024 | ZAR | 20.10 | EUR | 915,000 | 166,117 |
EUR versus ZAR | Put | Goldman Sachs International | 07/10/2024 | ZAR | 20.35 | EUR | 18,300,000 | 358,394 |
EUR versus ZAR | Put | J.P. Morgan Chase Bank, N.A. | 05/16/2024 | ZAR | 20.20 | EUR | 1,850,000 | 304,778 |
TWD versus INR | Put | Deutsche Bank AG | 01/09/2025 | INR | 2.70 | TWD | 15,250,000 | 236,557 |
USD versus BRL | Put | Goldman Sachs International | 06/20/2024 | BRL | 4.80 | USD | 1,220,000 | 299,875 |
USD versus BRL | Put | Goldman Sachs International | 08/20/2024 | BRL | 4.78 | USD | 12,400,000 | 53,642 |
USD versus BRL | Put | Merrill Lynch International | 06/17/2024 | BRL | 4.85 | USD | 2,015,000 | 206,366 |
USD versus BRL | Put | Merrill Lynch International | 10/08/2024 | BRL | 4.90 | USD | 900,000 | 188,441 |
USD versus BRL | Put | Morgan Stanley and Co. International PLC | 07/08/2024 | BRL | 4.60 | USD | 900,000 | 20,505 |
USD versus CAD | Put | Deutsche Bank AG | 05/07/2024 | CAD | 1.30 | USD | 762,500 | 4,073 |
USD versus CAD | Put | Merrill Lynch International | 05/17/2024 | CAD | 1.32 | USD | 1,550,000 | 96,632 |
USD versus CAD | Put | Morgan Stanley and Co. International PLC | 05/21/2024 | CAD | 1.32 | USD | 1,200,000 | 82,100 |
USD versus CLP | Put | J.P. Morgan Chase Bank, N.A. | 04/29/2024 | CLP | 920.00 | USD | 14,550,000 | 11,786 |
USD versus CLP | Put | Morgan Stanley and Co. International PLC | 05/06/2024 | CLP | 870.00 | USD | 18,300,000 | 531 |
USD versus COP | Put | Goldman Sachs International | 06/17/2024 | COP | 3,875.00 | USD | 15,810,000 | 238,873 |
USD versus COP | Put | Merrill Lynch International | 06/18/2024 | COP | 3,800.00 | USD | 27,450,000 | 47,900 |
USD versus COP | Put | Merrill Lynch International | 07/31/2024 | COP | 3,650.00 | USD | 1,085,000 | 116,304 |
USD versus COP | Put | Morgan Stanley and Co. International PLC | 05/21/2024 | COP | 3,900.00 | USD | 15,250,000 | 247,965 |
USD versus IDR | Put | Goldman Sachs International | 05/07/2024 | IDR | 14,600.00 | USD | 1,830,000 | 2,095 |
USD versus IDR | Put | Standard Chartered Bank PLC | 05/07/2024 | IDR | 15,375.00 | USD | 14,640,000 | 6,368 |
USD versus IDR | Put | Standard Chartered Bank PLC | 08/23/2024 | IDR | 15,400.00 | USD | 15,500,000 | 67,332 |
USD versus JPY | Put | Deutsche Bank AG | 07/18/2024 | JPY | 129.40 | USD | 750,000 | 10,961 |
USD versus JPY | Put | Goldman Sachs International | 05/07/2024 | JPY | 118.00 | USD | 22,500,000 | 248 |
USD versus JPY | Put | Goldman Sachs International | 05/30/2024 | JPY | 115.00 | USD | 2,250,000 | 626 |
USD versus JPY | Put | Goldman Sachs International | 06/10/2024 | JPY | 115.00 | USD | 2,250,000 | 1,118 |
USD versus JPY | Put | Goldman Sachs International | 09/17/2024 | JPY | 122.00 | USD | 1,525,000 | 15,442 |
USD versus JPY | Put | Merrill Lynch International | 06/03/2024 | JPY | 115.00 | USD | 1,500,000 | 569 |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Open Over-The-Counter Foreign Currency Options Purchased(a)—(continued) | ||||||||
Description | Type of Contract | Counterparty | Expiration Date | Exercise Price | Notional Value | Value | ||
USD versus JPY | Put | Morgan Stanley and Co. International PLC | 04/18/2024 | JPY | 132.00 | USD | 750,000 | $907 |
USD versus MXN | Put | Goldman Sachs International | 03/31/2025 | MXN | 16.75 | USD | 25,575,000 | 470,734 |
USD versus MXN | Put | Merrill Lynch International | 05/17/2024 | MXN | 16.50 | USD | 1,525,000 | 485,142 |
USD versus TRY | Put | Goldman Sachs International | 08/01/2024 | TRY | 32.50 | USD | 1,550,000 | 48,704 |
USD versus ZAR | Put | Goldman Sachs International | 05/14/2024 | ZAR | 15.00 | USD | 3,000,000 | 447 |
USD versus ZAR | Put | Goldman Sachs International | 05/20/2024 | ZAR | 18.75 | USD | 12,400,000 | 168,739 |
USD versus ZAR | Put | Goldman Sachs International | 10/16/2024 | ZAR | 18.15 | USD | 11,250,000 | 187,493 |
Subtotal — Foreign Currency Put Options Purchased | 5,527,558 | |||||||
Total Foreign Currency Options Purchased | $5,894,139 |
(a) | Over-The-Counter options purchased, options written and swap agreements are collateralized by cash held with Counterparties in the amount of $15,637,397. |
Open Over-The-Counter Interest Rate Swaptions Purchased(a) | ||||||||||
Description | Type of Contract | Counterparty | Exercise Rate | Pay/ Receive Exercise Rate | Floating Rate Index | Payment Frequency | Expiration Date | Notional Value | Value | |
Interest Rate Risk | ||||||||||
5 Year Interest Rate Swap | Call | Morgan Stanley and Co. International PLC | 3.30% | Receive | KWCDC | Quarterly | 11/08/2028 | KRW | 9,150,000,000 | $143,600 |
Interest Rate Risk | ||||||||||
10 Year Interest Rate Swap | Put | Morgan Stanley and Co. International PLC | 5.02 | Pay | SOFR | Annually | 04/22/2024 | USD | 91,500,000 | 41 |
15 Year Interest Rate Swap | Put | J.P. Morgan Chase Bank, N.A. | 1.76 | Pay | 6 Month EURIBOR | Semi-Annually | 03/15/2039 | EUR | 46,500,000 | 6,496,412 |
2 Year Interest Rate Swap | Put | Morgan Stanley and Co. International PLC | 4.50 | Pay | SONIA | At Maturity | 06/24/2024 | GBP | 184,265,000 | 506,100 |
30 Year Interest Rate Swap | Put | BNP Paribas S.A. | 3.36 | Pay | SOFR | Annually | 05/01/2024 | USD | 15,000,000 | 697,982 |
30 Year Interest Rate Swap | Put | Deutsche Bank AG | 3.64 | Pay | SOFR | Annually | 01/11/2027 | USD | 9,300,000 | 733,511 |
Subtotal — Interest Rate Put Swaptions Purchased | 8,434,046 | |||||||||
Total Interest Rate Swaptions Purchased | $8,577,646 |
(a) | Over-The-Counter options purchased, options written and swap agreements are collateralized by cash held with Counterparties in the amount of $15,637,397. |
Open Over-The-Counter Credit Default Swaptions Written(a) | ||||||||||||||
Counterparty | Type of Contract | Exercise Rate | Reference Entity | (Pay)/ Receive Fixed Rate | Payment Frequency | Expiration Date | Implied Credit Spread(b) | Notional Value | Value | |||||
Credit Risk | ||||||||||||||
Goldman Sachs International | Put | 350.00% | Markit iTraxx Europe Crossover Index, Series 41, Version 1 | 5.00% | Quarterly | 06/19/2024 | 2.973% | EUR | 30,650,000 | $(186,370) | ||||
J.P. Morgan Chase Bank, N.A. | Put | 103.00 | Markit CDX North America High Yield Index, Series 41, Version 2 | 5.00 | Quarterly | 04/17/2024 | 3.116 | USD | 45,750,000 | (10,585) | ||||
J.P. Morgan Chase Bank, N.A. | Put | 103.50 | Markit CDX North America High Yield Index, Series 41, Version 2 | 5.00 | Quarterly | 04/17/2024 | 3.116 | USD | 30,500,000 | (7,420) | ||||
J.P. Morgan Chase Bank, N.A. | Put | 350.00 | Markit iTraxx Europe Crossover Index, Series 41, Version 1 | 5.00 | Quarterly | 06/19/2024 | 2.973 | EUR | 51,090,000 | (310,657) | ||||
Total Credit Default Swaptions Written | $(515,032) |
(a) | Over-The-Counter options purchased, options written and swap agreements are collateralized by cash held with Counterparties in the amount of $15,637,397. |
(b) | Implied credit spreads represent the current level, as of March 31, 2024, at which protection could be bought or sold given the terms of the existing credit default swap agreement and serve as an indicator of the current status of the payment/performance risk of the credit default swap agreement. An implied credit spread that has widened or increased since entry into the initial agreement may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets generally. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Open Over-The-Counter Foreign Currency Options Written(a) | |||||||||||||
Description | Type of Contract | Counterparty | Expiration Date | Exercise Price | Notional Value | Value | |||||||
Currency Risk | |||||||||||||
CNH versus INR | Call | Goldman Sachs International | 02/19/2025 | INR | 12.45 | CNH | 13,020,000 | $(279,149) | |||||
EUR versus HUF | Call | J.P. Morgan Chase Bank, N.A. | 05/30/2024 | HUF | 410.00 | EUR | 11,625,000 | (32,458) | |||||
EUR versus HUF | Call | Merrill Lynch International | 05/16/2024 | HUF | 400.00 | EUR | 15,500,000 | (92,139) | |||||
EUR versus PLN | Call | Goldman Sachs International | 08/23/2024 | PLN | 4.50 | EUR | 18,600,000 | (76,574) | |||||
EUR versus ZAR | Call | Goldman Sachs International | 07/10/2024 | ZAR | 22.00 | EUR | 18,300,000 | (176,956) | |||||
TWD versus INR | Call | Deutsche Bank AG | 01/09/2025 | INR | 2.80 | TWD | 7,625,000 | (50,441) | |||||
USD versus BRL | Call | Goldman Sachs International | 08/20/2024 | BRL | 5.25 | USD | 12,400,000 | (177,952) | |||||
USD versus BRL | Call | Goldman Sachs International | 02/20/2025 | BRL | 5.30 | USD | 1,240,000 | (377,152) | |||||
USD versus BRL | Call | Goldman Sachs International | 03/20/2025 | BRL | 5.50 | USD | 1,220,000 | (262,909) | |||||
USD versus BRL | Call | Merrill Lynch International | 09/17/2024 | BRL | 5.30 | USD | 20,150,000 | (305,273) | |||||
USD versus CLP | Call | J.P. Morgan Chase Bank, N.A. | 04/29/2024 | CLP | 1,000.00 | USD | 14,550,000 | (126,716) | |||||
USD versus COP | Call | Goldman Sachs International | 06/17/2024 | COP | 4,125.00 | USD | 15,810,000 | (97,911) | |||||
USD versus COP | Call | Merrill Lynch International | 07/31/2024 | COP | 4,100.00 | USD | 10,850,000 | (146,019) | |||||
USD versus COP | Call | Morgan Stanley and Co. International PLC | 05/21/2024 | COP | 4,190.00 | USD | 15,250,000 | (29,280) | |||||
USD versus IDR | Call | Standard Chartered Bank PLC | 05/07/2024 | IDR | 16,325.00 | USD | 14,640,000 | (14,977) | |||||
USD versus IDR | Call | Standard Chartered Bank PLC | 08/23/2024 | IDR | 16,290.00 | USD | 11,625,000 | (98,510) | |||||
USD versus MXN | Call | Goldman Sachs International | 03/31/2025 | MXN | 18.50 | USD | 46,887,500 | (1,118,783) | |||||
USD versus MXN | Call | Merrill Lynch International | 09/03/2024 | MXN | 18.50 | USD | 15,250,000 | (87,535) | |||||
USD versus ZAR | Call | Goldman Sachs International | 05/20/2024 | ZAR | 19.85 | USD | 12,400,000 | (91,698) | |||||
USD versus ZAR | Call | Goldman Sachs International | 10/16/2024 | ZAR | 21.75 | USD | 11,250,000 | (127,013) | |||||
USD versus ZAR | Call | Goldman Sachs International | 12/16/2024 | ZAR | 21.50 | USD | 3,050,000 | (56,132) | |||||
USD versus ZAR | Call | J.P. Morgan Chase Bank, N.A. | 10/21/2024 | ZAR | 22.00 | USD | 18,600,000 | (192,547) | |||||
Subtotal — Foreign Currency Call Options Written | (4,018,124) | ||||||||||||
Currency Risk | |||||||||||||
AUD versus USD | Put | Goldman Sachs International | 01/02/2025 | USD | 0.64 | AUD | 62,343,750 | (828,167) | |||||
EUR versus NOK | Put | Merrill Lynch International | 05/15/2024 | NOK | 11.10 | EUR | 37,200,000 | (5,739) | |||||
EUR versus NOK | Put | Morgan Stanley and Co. International PLC | 04/25/2024 | NOK | 10.85 | EUR | 37,200,000 | (40) | |||||
EUR versus ZAR | Put | Goldman Sachs International | 07/10/2024 | ZAR | 19.35 | EUR | 18,300,000 | (86,198) | |||||
USD versus CLP | Put | J.P. Morgan Chase Bank, N.A. | 04/29/2024 | CLP | 890.00 | USD | 14,550,000 | (1,833) | |||||
USD versus COP | Put | Goldman Sachs International | 06/17/2024 | COP | 3,750.00 | USD | 15,810,000 | (76,125) | |||||
USD versus COP | Put | Morgan Stanley and Co. International PLC | 05/21/2024 | COP | 3,750.00 | USD | 15,250,000 | (45,079) | |||||
USD versus IDR | Put | Standard Chartered Bank PLC | 05/07/2024 | IDR | 14,895.00 | USD | 14,640,000 | (908) | |||||
USD versus IDR | Put | Standard Chartered Bank PLC | 08/23/2024 | IDR | 14,925.00 | USD | 23,250,000 | (30,853) | |||||
USD versus MXN | Put | Goldman Sachs International | 03/31/2025 | MXN | 16.00 | USD | 25,575,000 | (182,606) | |||||
USD versus ZAR | Put | Goldman Sachs International | 05/20/2024 | ZAR | 18.10 | USD | 12,400,000 | (46,438) | |||||
USD versus ZAR | Put | Goldman Sachs International | 10/16/2024 | ZAR | 17.15 | USD | 11,250,000 | (63,124) | |||||
Subtotal — Foreign Currency Put Options Written | (1,367,110) | ||||||||||||
Total – Foreign Currency Options Written | $(5,385,234) |
(a) | Over-The-Counter options purchased, options written and swap agreements are collateralized by cash held with Counterparties in the amount of $15,637,397. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Open Over-The-Counter Interest Rate Swaptions Written(a) | |||||||||||||||
Description | Type of Contract | Counterparty | Exercise Rate | Floating Rate Index | Pay/ Receive Exercise Rate | Payment Frequency | Expiration Date | Notional Value | Value | ||||||
Interest Rate Risk | |||||||||||||||
30 Year Interest Rate Swap | Call | Deutsche Bank AG | 3.50% | SOFR | Receive | Annually | 03/28/2025 | USD | 22,500,000 | $(1,328,554) | |||||
30 Year Interest Rate Swap | Call | Goldman Sachs International | 3.32 | SOFR | Receive | Annually | 07/08/2024 | USD | 21,700,000 | (272,514) | |||||
30 Year Interest Rate Swap | Call | Goldman Sachs International | 3.33 | SOFR | Receive | Annually | 07/25/2024 | USD | 20,150,000 | (312,026) | |||||
10 Year Interest Rate Swap | Call | J.P. Morgan Chase Bank, N.A. | 3.85 | SOFR | Receive | Annually | 06/17/2024 | USD | 31,000,000 | (508,357) | |||||
30 Year Interest Rate Swap | Call | Morgan Stanley and Co. International PLC | 3.50 | SOFR | Receive | Annually | 06/07/2024 | USD | 23,250,000 | (401,926) | |||||
30 Year Interest Rate Swap | Call | Toronto-Dominion Bank (The) | 3.50 | SOFR | Receive | Annually | 06/21/2024 | USD | 23,250,000 | (472,713) | |||||
Subtotal—Interest Rate Call Swaptions Written | (3,296,090) | ||||||||||||||
Interest Rate Risk | |||||||||||||||
5 Year Interest Rate Swap | Put | BNP Paribas S.A. | 3.57 | SOFR | Pay | Annually | 05/01/2024 | USD | 68,000,000 | (1,189,940) | |||||
2 Year Interest Rate Swap | Put | Deutsche Bank AG | 3.99 | SOFR | Pay | Annually | 01/11/2027 | USD | 83,700,000 | (777,746) | |||||
5 Year Interest Rate Swap | Put | Goldman Sachs International | 3.75 | SOFR | Pay | Annually | 04/16/2024 | USD | 93,000,000 | (972,245) | |||||
10 Year Interest Rate Swap | Put | J.P. Morgan Chase Bank, N.A. | 3.10 | 6 Month EURIBOR | Pay | Semi-Annually | 12/06/2024 | EUR | 53,375,000 | (417,750) | |||||
2 Year Interest Rate Swap | Put | J.P. Morgan Chase Bank, N.A. | 2.26 | 6 Month EURIBOR | Pay | Semi-Annually | 03/15/2039 | EUR | 93,000,000 | (2,432,768) | |||||
5 Year Interest Rate Swap | Put | Merrill Lynch International | 3.75 | SOFR | Pay | Annually | 12/19/2024 | USD | 91,500,000 | (1,405,793) | |||||
2 Year Interest Rate Swap | Put | Morgan Stanley and Co. International PLC | 4.55 | SOFR | Pay | Annually | 05/22/2024 | USD | 308,140,000 | (516,581) | |||||
1 Year Interest Rate Swap | Put | Morgan Stanley and Co. International PLC | 4.50 | SONIA | Pay | At Maturity | 03/24/2025 | GBP | 184,265,000 | (549,835) | |||||
2 Year Interest Rate Swap | Put | Morgan Stanley and Co. International PLC | 4.35 | SOFR | Pay | Annually | 05/06/2024 | USD | 248,000,000 | (866,644) | |||||
Subtotal—Interest Rate Put Swaptions Written | (9,129,302) | ||||||||||||||
Total Open Over-The-Counter Interest Rate Swaptions Written | $(12,425,392) |
(a) | Over-The-Counter options purchased, options written and swap agreements are collateralized by cash held with Counterparties in the amount of $15,637,397. |
Open Futures Contracts(a) | |||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Interest Rate Risk | |||||
U.S. Treasury 2 Year Notes | 260 | June-2024 | $53,165,938 | $(42,539) | $(42,539) |
U.S. Treasury 5 Year Notes | 314 | June-2024 | 33,602,906 | 86,040 | 86,040 |
U.S. Treasury 10 Year Notes | 326 | June-2024 | 36,119,781 | 253,980 | 253,980 |
Subtotal—Long Futures Contracts | 297,481 | 297,481 | |||
Short Futures Contracts | |||||
Interest Rate Risk | |||||
Euro-Bobl | 58 | June-2024 | (7,399,292) | (8,223) | (8,223) |
U.S. Treasury Long Bonds | 16 | June-2024 | (1,927,000) | (21,911) | (21,911) |
U.S. Treasury Ultra Bonds | 43 | June-2024 | (5,547,000) | (57,545) | (57,545) |
Subtotal—Short Futures Contracts | (87,679) | (87,679) | |||
Total Futures Contracts | $209,802 | $209,802 |
(a) | Futures contracts collateralized by $4,933,678 cash held with Merrill Lynch International, the futures commission merchant. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Open Forward Foreign Currency Contracts | ||||||
Settlement Date | Counterparty | Contract to | Unrealized Appreciation (Depreciation) | |||
Deliver | Receive | |||||
Currency Risk | ||||||
06/20/2024 | BNP Paribas S.A. | NZD | 17,848,000 | USD | 10,976,838 | $312,969 |
06/20/2024 | Deutsche Bank AG | AUD | 5,330,000 | USD | 3,513,988 | 33,074 |
06/20/2024 | Deutsche Bank AG | EUR | 10,200,000 | USD | 11,113,747 | 74,736 |
06/20/2024 | Deutsche Bank AG | IDR | 111,934,220,000 | USD | 7,171,363 | 134,588 |
06/20/2024 | Deutsche Bank AG | PEN | 51,306,000 | USD | 13,979,837 | 207,000 |
06/20/2024 | Deutsche Bank AG | USD | 3,653,608 | MXN | 62,301,904 | 47,743 |
06/20/2024 | Deutsche Bank AG | ZAR | 39,246,517 | USD | 2,094,139 | 35,269 |
07/22/2024 | Deutsche Bank AG | JPY | 214,755,000 | USD | 1,500,000 | 57,454 |
04/02/2024 | Goldman Sachs International | BRL | 219,516,070 | USD | 43,947,275 | 178,868 |
05/03/2024 | Goldman Sachs International | BRL | 203,939,000 | USD | 40,828,138 | 291,803 |
05/09/2024 | Goldman Sachs International | JPY | 938,736,000 | USD | 7,380,000 | 1,143,533 |
05/10/2024 | Goldman Sachs International | IDR | 74,343,750,000 | USD | 4,758,000 | 79,203 |
05/20/2024 | Goldman Sachs International | AUD | 6,187,500 | USD | 4,159,238 | 121,712 |
06/20/2024 | Goldman Sachs International | INR | 646,990,350 | USD | 7,786,527 | 46,112 |
04/02/2024 | J.P. Morgan Chase Bank, N.A. | BRL | 12,230,000 | USD | 2,447,860 | 9,371 |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | AUD | 9,730,000 | USD | 6,436,737 | 82,274 |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | EUR | 56,253,248 | USD | 61,687,907 | 807,497 |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | GBP | 34,457,510 | USD | 44,091,323 | 582,821 |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | JPY | 811,047,000 | USD | 5,574,361 | 151,597 |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | THB | 324,425,610 | USD | 9,000,000 | 50,813 |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | USD | 10,736,665 | CNY | 76,750,000 | 31,043 |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | USD | 8,431,115 | MXN | 145,513,059 | 213,804 |
06/21/2024 | Merrill Lynch International | CLP | 1,153,275,000 | USD | 1,215,881 | 41,181 |
08/02/2024 | Merrill Lynch International | COP | 5,473,980,000 | USD | 1,395,000 | 6,383 |
04/02/2024 | Morgan Stanley and Co. International PLC | BRL | 231,746,070 | USD | 46,732,940 | 526,044 |
04/22/2024 | Morgan Stanley and Co. International PLC | JPY | 217,875,000 | USD | 1,500,000 | 56,345 |
05/13/2024 | Standard Chartered Bank PLC | IDR | 94,727,754,000 | USD | 6,039,000 | 77,835 |
06/20/2024 | Standard Chartered Bank PLC | ZAR | 326,316,483 | USD | 17,402,432 | 283,885 |
06/20/2024 | UBS AG | CAD | 5,890,000 | USD | 4,370,399 | 17,165 |
06/20/2024 | UBS AG | JPY | 345,382,000 | USD | 2,332,028 | 22,760 |
Subtotal—Appreciation | 5,724,882 | |||||
Currency Risk | ||||||
06/20/2024 | Barclays Bank PLC | USD | 1,290,031 | EUR | 1,185,000 | (7,558) |
06/20/2024 | BNP Paribas S.A. | USD | 1,414,061 | NZD | 2,299,219 | (40,317) |
06/20/2024 | Citibank, N.A. | COP | 5,516,273,530 | USD | 1,390,488 | (18,290) |
06/20/2024 | Deutsche Bank AG | CAD | 1,490,000 | USD | 1,098,763 | (2,479) |
06/20/2024 | Deutsche Bank AG | COP | 61,499,066,470 | USD | 15,473,371 | (232,613) |
06/20/2024 | Deutsche Bank AG | MXN | 185,462,000 | USD | 10,876,159 | (142,123) |
06/20/2024 | Deutsche Bank AG | USD | 20,803,745 | IDR | 324,715,256,900 | (390,433) |
06/20/2024 | Deutsche Bank AG | USD | 796 | KRW | 1,041,995 | (21) |
06/20/2024 | Deutsche Bank AG | USD | 9,218,575 | THB | 326,838,104 | (202,840) |
04/02/2024 | Goldman Sachs International | USD | 44,076,298 | BRL | 219,516,070 | (307,892) |
05/03/2024 | Goldman Sachs International | USD | 3,118,495 | BRL | 15,577,070 | (22,288) |
05/06/2024 | Goldman Sachs International | MXN | 81,823,125 | USD | 4,250,000 | (645,839) |
05/16/2024 | Goldman Sachs International | ZAR | 53,449,687 | USD | 2,662,500 | (149,813) |
05/17/2024 | Goldman Sachs International | MXN | 18,153,600 | USD | 960,000 | (124,286) |
06/20/2024 | Goldman Sachs International | USD | 880,023 | INR | 73,122,000 | (5,212) |
11/08/2024 | Goldman Sachs International | USD | 3,255,000 | JPY | 470,673,000 | (43,367) |
06/20/2024 | HSBC Bank USA | USD | 3,476,221 | NOK | 36,486,000 | (109,212) |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Open Forward Foreign Currency Contracts—(continued) | ||||||
Settlement Date | Counterparty | Contract to | Unrealized Appreciation (Depreciation) | |||
Deliver | Receive | |||||
06/20/2024 | HSBC Bank USA | USD | 14,479,881 | PLN | 56,730,000 | $(288,812) |
04/02/2024 | J.P. Morgan Chase Bank, N.A. | USD | 2,449,478 | BRL | 12,230,000 | (10,989) |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | CNY | 24,860,000 | USD | 3,477,700 | (10,055) |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | USD | 13,260,460 | AUD | 20,039,402 | (173,139) |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | USD | 43,636,039 | EUR | 39,793,640 | (569,137) |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | USD | 9,846,409 | GBP | 7,695,000 | (130,155) |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | USD | 36,947,108 | JPY | 5,375,654,988 | (1,004,792) |
06/20/2024 | J.P. Morgan Chase Bank, N.A. | USD | 3,755,128 | KRW | 4,915,500,113 | (97,445) |
06/21/2024 | Merrill Lynch International | USD | 5,623,680 | CLP | 5,334,116,383 | (190,469) |
04/02/2024 | Morgan Stanley and Co. International PLC | USD | 46,411,279 | BRL | 231,746,070 | (204,381) |
06/20/2024 | Morgan Stanley and Co. International PLC | USD | 313,007 | CZK | 7,230,000 | (4,719) |
06/20/2024 | Morgan Stanley and Co. International PLC | USD | 4,246,341 | KRW | 5,562,115,761 | (107,503) |
06/20/2024 | Morgan Stanley and Co. International PLC | USD | 1,664,141 | THB | 59,152,396 | (32,440) |
06/20/2024 | Standard Chartered Bank PLC | USD | 5,510,030 | HUF | 2,009,893,438 | (28,066) |
06/20/2024 | Standard Chartered Bank PLC | USD | 4,351,668 | ZAR | 81,599,000 | (70,988) |
06/20/2024 | UBS AG | USD | 2,741,702 | CAD | 3,695,000 | (10,768) |
06/20/2024 | UBS AG | USD | 2,773,526 | EUR | 2,539,000 | (25,678) |
06/20/2024 | UBS AG | USD | 3,064,934 | GBP | 2,400,000 | (34,524) |
Subtotal—Depreciation | (5,438,643) | |||||
Total Forward Foreign Currency Contracts | $286,239 |
Open Centrally Cleared Credit Default Swap Agreements(a) | ||||||||||
Reference Entity | Buy/Sell Protection | (Pay)/ Receive Fixed Rate | Payment Frequency | Maturity Date | Implied Credit Spread(b) | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Credit Risk | ||||||||||
Markit iTraxx Europe Crossover Index, Series 41, Version 1 | Buy | (5.00)% | Quarterly | 06/20/2029 | 2.973% | EUR | 42,970,000 | $(4,196,999) | $(4,087,866) | $109,133 |
UBS AG | Sell | 1.00 | Quarterly | 12/20/2028 | 0.562 | EUR | 2,330,000 | 34,108 | 48,952 | 14,844 |
Subtotal - Appreciation | (4,162,891) | (4,038,914) | 123,977 | |||||||
Credit Risk | ||||||||||
Brazil Government International Bonds | Buy | (1.00) | Quarterly | 12/20/2027 | 0.985 | USD | 1,500,000 | 61,962 | (2,000) | (63,962) |
Markit CDX North America High Yield Index, Series 41, Version 1 | Buy | (5.00) | Quarterly | 12/20/2028 | 3.116 | USD | 46,802,250 | 4,271 | (3,454,100) | (3,458,371) |
Intesa Sanpaolo S.p.A. | Buy | (1.00) | Quarterly | 12/20/2028 | 0.604 | EUR | 2,330,000 | (23,969) | (44,395) | (20,426) |
Subtotal - Depreciation | 42,264 | (3,500,495) | (3,542,759) | |||||||
Total Centrally Cleared Credit Default Swap Agreements | $(4,120,627) | $(7,539,409) | $(3,418,782) |
(a) | Centrally cleared swap agreements collateralized by $16,074,863 cash held with Counterparties. |
(b) | Implied credit spreads represent the current level, as of March 31, 2024, at which protection could be bought or sold given the terms of the existing credit default swap agreement and serve as an indicator of the current status of the payment/performance risk of the credit default swap agreement. An implied credit spread that has widened or increased since entry into the initial agreement may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets generally. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Open Centrally Cleared Interest Rate Swap Agreements(a) | ||||||||||
Pay/ Receive Floating Rate | Floating Rate Index | Payment Frequency | (Pay)/ Receive Fixed Rate | Payment Frequency | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Interest Rate Risk | ||||||||||
Pay | 28 Day MXN TIIE | 28 days | 8.87% | 28 days | 03/14/2029 | MXN | 124,500,000 | $— | $4,113 | $4,113 |
Pay | SOFR | Annually | 3.56 | Annually | 03/13/2029 | USD | 4,758,000 | (94,562) | (90,305) | 4,257 |
Pay | 28 Day MXN TIIE | 28 days | 8.86 | 28 days | 03/14/2029 | MXN | 371,365,000 | — | 5,508 | 5,508 |
Pay | 28 Day MXN TIIE | 28 days | 9.13 | 28 days | 02/11/2028 | MXN | 69,900,000 | — | 16,469 | 16,469 |
Receive | SORA | Semi-Annually | (2.44) | Semi-Annually | 01/05/2044 | SGD | 9,150,000 | — | 24,959 | 24,959 |
Pay | 3 Month CZK PRIBOR | Quarterly | 5.36 | Annually | 01/05/2025 | CZK | 349,500,000 | — | 36,042 | 36,042 |
Pay | 6 Month EURIBOR | Semi-Annually | 3.74 | Annually | 03/14/2025 | EUR | 48,498,000 | — | 36,834 | 36,834 |
Receive | SOFR | Annually | (3.73) | Annually | 06/10/2034 | USD | 7,192,000 | — | 37,725 | 37,725 |
Receive | SOFR | Annually | (3.77) | Annually | 03/14/2034 | USD | 8,525,000 | 1,080 | 50,942 | 49,862 |
Pay | 3 Month CZK PRIBOR | Quarterly | 6.06 | Annually | 09/20/2024 | CZK | 499,500,000 | — | 59,333 | 59,333 |
Receive | SOFR | Annually | (3.55) | Annually | 12/10/2034 | USD | 6,665,000 | — | 88,409 | 88,409 |
Receive | 3 Month JIBAR | Quarterly | (6.61) | Quarterly | 10/19/2026 | ZAR | 48,800,000 | 158 | 91,434 | 91,276 |
Receive | 3 Month JIBAR | Quarterly | (6.65) | Quarterly | 10/11/2026 | ZAR | 50,750,000 | — | 95,821 | 95,821 |
Pay | COOVIBR | Quarterly | 9.44 | Quarterly | 10/24/2026 | COP | 15,000,000,000 | — | 115,609 | 115,609 |
Subtotal — Appreciation | (93,324) | 572,893 | 666,217 | |||||||
Interest Rate Risk | ||||||||||
Pay | SOFR | Annually | 3.30 | Annually | 05/11/2028 | USD | 26,170,000 | — | (760,833) | (760,833) |
Pay | EFFR | Annually | 3.67 | Annually | 08/09/2039 | USD | 90,000,000 | (66,501) | (700,147) | (633,646) |
Receive | NFIX3FRA | Quarterly | (4.73) | Semi-Annually | 02/23/2034 | NZD | 31,806,000 | — | (546,919) | (546,919) |
Receive | COOVIBR | Quarterly | (9.86) | Quarterly | 09/09/2032 | COP | 10,800,000,000 | — | (367,588) | (367,588) |
Receive | COOVIBR | Quarterly | (9.91) | Quarterly | 01/17/2028 | COP | 18,255,000,000 | — | (330,650) | (330,650) |
Receive | COOVIBR | Quarterly | (9.06) | Quarterly | 05/16/2032 | COP | 11,100,000,000 | — | (229,267) | (229,267) |
Receive | COOVIBR | Quarterly | (9.01) | Quarterly | 05/24/2032 | COP | 10,900,000,000 | — | (220,187) | (220,187) |
Receive | COOVIBR | Quarterly | (8.88) | Quarterly | 05/09/2032 | COP | 11,600,000,000 | — | (206,458) | (206,458) |
Receive | COOVIBR | Quarterly | (9.85) | Quarterly | 07/21/2032 | COP | 5,147,000,000 | — | (174,316) | (174,316) |
Receive | COOVIBR | Quarterly | (9.71) | Quarterly | 07/21/2032 | COP | 5,285,000,000 | — | (167,677) | (167,677) |
Pay | BZDIOVRA | At Maturity | 9.93 | At Maturity | 01/04/2027 | BRL | 119,354,303 | — | (109,780) | (109,780) |
Receive | SOFR | Annually | (3.89) | Annually | 04/25/2034 | USD | 22,674,000 | (16,740) | (121,139) | (104,399) |
Receive | SOFR | Annually | (3.95) | Annually | 02/15/2034 | USD | 21,700,000 | (99,447) | (203,755) | (104,308) |
Pay | SONIA | Annually | 4.31 | Annually | 04/17/2026 | GBP | 77,220,000 | — | (95,648) | (95,648) |
Receive | CORRA | Semi-Annually | (3.51) | Semi-Annually | 03/26/2034 | CAD | 36,865,000 | — | (90,626) | (90,626) |
Receive | 3 Month JIBAR | Quarterly | (10.00) | Quarterly | 10/26/2033 | ZAR | 87,000,000 | — | (84,425) | (84,425) |
Receive | SOFR | Annually | (3.69) | Annually | 04/25/2054 | USD | 5,230,000 | (3,906) | (81,551) | (77,645) |
Pay | BZDIOVRA | At Maturity | 9.77 | At Maturity | 01/04/2027 | BRL | 27,883,036 | — | (56,173) | (56,173) |
Receive | COOVIBR | Quarterly | (8.54) | Quarterly | 05/27/2032 | COP | 4,050,000,000 | — | (52,805) | (52,805) |
Pay | 6 Month EURIBOR | Semi-Annually | 2.60 | Annually | 01/09/2029 | EUR | 12,627,000 | (5,862) | (54,096) | (48,234) |
Pay | 6 Month EURIBOR | Semi-Annually | 2.62 | Annually | 01/15/2029 | EUR | 15,004,000 | — | (46,942) | (46,942) |
Receive | SORA | Semi-Annually | (2.53) | Semi-Annually | 01/11/2044 | SGD | 18,300,000 | — | (41,493) | (41,493) |
Receive | SOFR | Annually | (3.89) | Annually | 02/27/2034 | USD | 9,455,000 | — | (39,656) | (39,656) |
Receive | SONIA | Annually | (3.71) | Annually | 03/14/2034 | GBP | 6,479,000 | — | (33,192) | (33,192) |
Receive | 3 Month JIBAR | Quarterly | (9.87) | Quarterly | 06/15/2033 | ZAR | 42,300,000 | — | (30,846) | (30,846) |
Pay | SOFR | Annually | 4.00 | Annually | 12/13/2028 | USD | 28,578,500 | — | (25,080) | (25,080) |
Receive | TONAR | Annually | (0.53) | Annually | 03/12/2029 | JPY | 1,859,998,031 | — | (24,683) | (24,683) |
Pay | CORRA | Semi-Annually | 3.69 | Semi-Annually | 03/26/2026 | CAD | 331,795,000 | — | (20,015) | (20,015) |
Pay | SOFR | Annually | 3.60 | Annually | 10/01/2030 | USD | 3,660,000 | — | (1,620) | (1,620) |
Subtotal — Depreciation | (192,456) | (4,917,567) | (4,725,111) | |||||||
Total Centrally Cleared Interest Rate Swap Agreements | $(285,780) | $(4,344,674) | $(4,058,894) |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
(a) | Centrally cleared swap agreements collateralized by $16,074,863 cash held with Counterparties. |
Open Over-The-Counter Credit Default Swap Agreements(a) | |||||||||||
Counterparty | Reference Entity | Buy/Sell Protection | (Pay)/ Receive Fixed Rate | Payment Frequency | Maturity Date | Implied Credit Spread(b) | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Credit Risk | |||||||||||
Citibank, N.A. | Assicurazioni Generali S.p.A. | Sell | 1.00% | Quarterly | 12/20/2024 | 0.226% | EUR | 1,250,000 | $3,556 | $7,586 | $4,030 |
Goldman Sachs International | Markit iTraxx Europe Crossover Index, Series 32, Version 6 | Sell | 5.00 | Quarterly | 12/20/2024 | 0.317 | EUR | 2,900,000 | 67,346 | 106,581 | 39,235 |
J.P. Morgan Chase Bank, N.A. | Markit CDX Investment Grade Index, Series 33, Version 1 | Sell | 1.00 | Quarterly | 12/20/2024 | 2.283 | USD | 3,000,000 | (158,242) | (27,574) | 130,668 |
Subtotal—Appreciation | (87,340) | 86,593 | 173,933 | ||||||||
Credit Risk | |||||||||||
Citibank, N.A. | Assicurazioni Generali S.p.A. | Buy | (1.00) | Quarterly | 12/20/2024 | 0.322 | EUR | 1,250,000 | 2,310 | (6,653) | (8,963) |
Goldman Sachs International | Markit CDX North America High Yield Index, Series 37, Version 4 | Buy | (5.00) | Quarterly | 12/20/2026 | 0.140 | USD | 34,602,884 | (3,865,913) | (4,291,013) | (425,100) |
J.P. Morgan Chase Bank, N.A. | Markit CDX North America High Yield Index, Series 39, Version 3 | Buy | (5.00) | Quarterly | 12/20/2027 | 0.306 | USD | 8,994,808 | (1,232,236) | (1,423,446) | (191,210) |
J.P. Morgan Chase Bank, N.A. | Markit iTraxx Europe Crossover Index, Series 40, Version 1 | Sell | 5.00 | Quarterly | 12/20/2028 | 6.273 | EUR | 7,750,000 | (343,843) | (435,391) | (91,548) |
Subtotal—Depreciation | (5,439,682) | (6,156,503) | (716,821) | ||||||||
Total Open Over-The-Counter Credit Default Swap Agreements | $(5,527,022) | $(6,069,910) | $(542,888) |
(a) | Over-The-Counter options purchased, options written and swap agreements are collateralized by cash held with Counterparties in the amount of $15,637,397. |
(b) | Implied credit spreads represent the current level, as of March 31, 2024, at which protection could be bought or sold given the terms of the existing credit default swap agreement and serve as an indicator of the current status of the payment/performance risk of the credit default swap agreement. An implied credit spread that has widened or increased since entry into the initial agreement may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets generally. |
Open Over-The-Counter Interest Rate Swap Agreements(a) | |||||||||||
Counterparty | Pay/ Receive Floating Rate | Floating Rate Index | Payment Frequency | (Pay)/ Received Fixed Rate | Payment Frequency | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation | |
Interest Rate Risk | |||||||||||
Morgan Stanley and Co. International PLC | Receive | EFFR | Annually | (3.67)% | Annually | 08/09/2039 | USD | $90,000,000 | $— | $700,147 | $700,147 |
(a) | Over-The-Counter options purchased, options written and swap agreements are collateralized by cash held with Counterparties in the amount of $15,637,397. |
Open Over-The-Counter Total Return Swap Agreements(a) | |||||||||||
Counterparty | Pay/ Receive | Reference Entity | Fixed Rate | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | |
Commodity Risk | |||||||||||
J.P. Morgan Chase Bank, N.A. | Pay | Markit iTraxx Europe Crossover Index, Series 32, Version 1 | 5.34% | Quarterly | 16,019 | June—2024 | USD | 7,625,000 | $— | $7,210 | $7,210 |
J.P. Morgan Chase Bank, N.A. | Pay | Markit iTraxx Europe Crossover Index, Series 32, Version 61 | 3.93 | Quarterly | 34,006 | June—2024 | EUR | 7,625,000 | — | 31,500 | 31,500 |
Subtotal — Appreciation | — | 38,710 | 38,710 | ||||||||
Commodity Risk | |||||||||||
J.P. Morgan Chase Bank, N.A. | Receive | Markit iTraxx Europe Crossover Index, Series 32, Version 1 | 5.33 | Quarterly | 24,565 | June—2024 | USD | 7,625,000 | — | (20,249) | (20,249) |
Total — Total Return Swap Agreements | $— | $18,461 | $18,461 |
(a) | Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held with the swap Counterparties in the amount of $15,637,397. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Global Strategic Income Fund
Abbreviations: | |
AUD | —Australian Dollar |
BRL | —Brazilian Real |
BZDIOVRA | —Brazil Ceptip DI Interbank Deposit Rate |
CAD | —Canadian Dollar |
CLP | —Chile Peso |
CNH | —Chinese Renminbi |
CNY | —Chinese Yuan Renminbi |
COOVIBR | —Colombia IBR Overnight Nominal Interbank Reference Rate |
COP | —Colombia Peso |
CORRA | —Canadian Overnight Repo Rate Average |
CZK | —Czech Koruna |
EFFR | —Effective Federal Funds Rate |
EUR | —Euro |
EURIBOR | —Euro Interbank Offered Rate |
GBP | —British Pound Sterling |
HUF | —Hungarian Forint |
IDR | —Indonesian Rupiah |
INR | —Indian Rupee |
JIBAR | —Johannesburg Interbank Average Rate |
JPY | —Japanese Yen |
KRW | —South Korean Won |
KWCDC | —South Korean Won Certificate of Deposit |
MXN | —Mexican Peso |
NFIX3FRA | —New Zealand Bank Bill 3 Month Forward Rate Agreement |
NOK | —Norwegian Krone |
NZD | —New Zealand Dollar |
PEN | —Peruvian Sol |
PLN | —Polish Zloty |
PRIBOR | —Prague Interbank Offerred Rate |
SGD | —Singapore Dollar |
SOFR | —Secured Overnight Financing Rate |
SONIA | —Sterling Overnight Index Average |
THB | —Thai Baht |
TIIE | —Interbank Equilibrium Interest Rate |
TONAR | —Tokyo Overnight Average Rate |
TRY | —Turkish Lira |
TWD | —New Taiwan Dollar |
USD | —U.S. Dollar |
ZAR | —South African Rand |
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. Global Strategic Income 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. Dollar Denominated Bonds & Notes | $— | $252,359,132 | $— | $252,359,132 |
Non-U.S. Dollar Denominated Bonds & Notes | — | 212,631,622 | — | 212,631,622 |
U.S. Government Sponsored Agency Mortgage-Backed Securities | — | 104,071,802 | — | 104,071,802 |
Asset-Backed Securities | — | 46,177,399 | 3,853,629 | 50,031,028 |
Agency Credit Risk Transfer Notes | — | 29,615,333 | — | 29,615,333 |
U.S. Treasury Securities | — | 14,902,087 | — | 14,902,087 |
Common Stocks & Other Equity Interests | 453,305 | 8,699,002 | 2,149 | 9,154,456 |
Variable Rate Senior Loan Interests | — | 5,006,368 | 460,575 | 5,466,943 |
Preferred Stocks | — | 306,236 | — | 306,236 |
Money Market Funds | 48,559,647 | 29,117,946 | — | 77,677,593 |
Options Purchased | — | 14,471,785 | — | 14,471,785 |
Total Investments in Securities | 49,012,952 | 717,358,712 | 4,316,353 | 770,688,017 |
Other Investments - Assets* | ||||
Futures Contracts | 340,020 | — | — | 340,020 |
Forward Foreign Currency Contracts | — | 5,724,882 | — | 5,724,882 |
Swap Agreements | — | 1,702,984 | — | 1,702,984 |
340,020 | 7,427,866 | — | 7,767,886 | |
Other Investments - Liabilities* | ||||
Futures Contracts | (130,218) | — | — | (130,218) |
Forward Foreign Currency Contracts | — | (5,438,643) | — | (5,438,643) |
Options Written | — | (18,325,658) | — | (18,325,658) |
Swap Agreements | — | (9,004,940) | — | (9,004,940) |
(130,218) | (32,769,241) | — | (32,899,459) | |
Total Other Investments | 209,802 | (25,341,375) | — | (25,131,573) |
Total Investments | $49,222,754 | $692,017,337 | $4,316,353 | $745,556,444 |
* | Forward foreign currency contracts, futures contracts and swap agreements are valued at unrealized appreciation (depreciation). Options written are shown at value. |
Invesco V.I. Global Strategic Income Fund