NPORT-EX 2 edgar.htm
Consolidated Schedule of Investments
March 31, 2020
(Unaudited)
  Interest
Rate 		Maturity
Date 		Principal
Amount
(000) 		Value
U.S. Treasury Securities–10.22%(a)    
U.S. Treasury Bills–10.22%
U.S. Treasury Bills 1.53% 05/07/2020   $      9,750 $  9,735,170
U.S. Treasury Bills 1.54% 06/04/2020         9,730   9,728,357
U.S. Treasury Bills 1.52% 07/09/2020        35,000  34,991,554
U.S. Treasury Bills 0.61% 08/27/2020        35,000  34,984,316
Total U.S. Treasury Securities (Cost $89,206,287) 89,439,397
    Expiration
Date 		   
Commodity-Linked Securities–2.14%
Canadian Imperial Bank of Commerce EMTN, U.S. Federal Funds Effective Rate minus 0.02% (linked to the Canadian Imperial Bank of Commerce Custom 7 Agriculture Commodity Index, multiplied by 2) (Canada)(b)(c)       09/22/2020         7,370   6,900,780
Cargill, Inc., Commodity-Linked Notes, one mo. USD LIBOR minus 0.10% (linked to the Monthly Rebalance Commodity Excess Return Index, multiplied by 2) (b)       04/21/2021        11,180  11,824,579
Total Commodity-Linked Securities (Cost $18,550,000) 18,725,359
      Shares  
Money Market Funds–81.21%(d)
Invesco Government & Agency Portfolio, Institutional Class, 0.43%           195,703,995 195,703,995
Invesco Government Money Market Fund, Cash Reserve Shares, 0.19%            68,948,838  68,948,838
Invesco Premier U.S. Government Money Portfolio, Institutional Class, 0.54%            88,532,828  88,532,828
Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio (Ireland), Institutional Class, 1.02%            45,419,296  45,419,296
Invesco Treasury Obligations Portfolio, Institutional Class, 0.63%           171,324,067 171,324,067
Invesco Treasury Portfolio, Institutional Class, 0.30%           124,122,641 124,122,641
Invesco V.I. Government Money Market Fund, Series I, 0.27%            16,640,310  16,640,310
Total Money Market Funds (Cost $710,691,975) 710,691,975
TOTAL INVESTMENTS IN SECURITIES–93.57% (Cost $818,448,262) 818,856,731
OTHER ASSETS LESS LIABILITIES–6.43% 56,245,142
NET ASSETS–100.00% $875,101,873
Investment Abbreviations:
EMTN – European Medium-Term Notes
LIBOR – London Interbank Offered Rate
USD – U.S. Dollar
Notes to Consolidated Schedule of Investments:
(a) Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.
(b) 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, 2020 was $18,725,359, which represented 2.14% of the Fund’s Net Assets.
(c) The Reference Entity Components table below includes additional information regarding the underlying components of certain reference entities that are not publicly available.
(d) The money market fund and the Fund are affiliated by having the same investment adviser. The rate shown is the 7-day SEC standardized yield as of March 31, 2020.
    
Open Futures Contracts(a)
Long Futures Contracts Number of
Contracts 		Expiration
Month 		Notional
Value 		Value Unrealized
Appreciation
(Depreciation)
Commodity Risk
Brent Crude 416 April-2020 $10,961,600 $(10,528,175) $(10,528,175)
Gasoline Reformulated Blendstock Oxygenate Blending 370 April-2020 9,210,558 (649,323) (649,323)
New York Harbor Ultra-Low Sulfur Diesel 110 April-2020 4,626,930 (2,346,587) (2,346,587)
Silver 274 May-2020 19,393,720 (5,803,672) (5,803,672)
WTI Crude 254 September-2020 8,148,320 (3,841,602) (3,841,602)
Subtotal (23,169,359) (23,169,359)
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Futures Contracts(a)—(continued)
Long Futures Contracts Number of
Contracts 		Expiration
Month 		Notional
Value 		Value Unrealized
Appreciation
(Depreciation)
Equity Risk
E-Mini Russell 2000 Index 785 June-2020 $45,043,300 $(1,779,970) $(1,779,970)
E-Mini S&P 500 Index 327 June-2020 42,014,595 (47,249) (47,249)
EURO STOXX 50 Index 1,515 June-2020 45,899,420 5,254,051 5,254,051
FTSE 100 Index 630 June-2020 44,099,092 4,545,481 4,545,481
Hang Seng Index 345 April-2020 52,777,402 767,718 767,718
Tokyo Stock Price Index 537 June-2020 70,068,449 1,745,846 1,745,846
Subtotal 10,485,877 10,485,877
Interest Rate Risk
Australia 10 Year Bonds 2,991 June-2020 277,088,273 (1,237,519) (1,237,519)
Canada 10 Year Bonds 2,446 June-2020 255,741,093 11,445,988 11,445,988
Long Gilt 597 June-2020 100,989,494 1,447,733 1,447,733
U.S. Treasury Long Bonds 626 June-2020 112,093,125 7,818,383 7,818,383
Subtotal 19,474,585 19,474,585
Total Futures Contracts $6,791,103 $6,791,103
    
(a) Futures contracts collateralized by $63,455,000 cash held with Goldman Sachs & Co, the futures commission merchant.
    
Open Over-The-Counter Total Return Swap Agreements(a)(b)
Counterparty Pay/
Receive 		Reference Entity(c) Fixed
Rate 		Payment
Frequency 		Number of
Contracts 		Maturity Date Notional Value Upfront
Payments
Paid
(Received) 		Value Unrealized
Appreciation
(Depreciation)
Commodity Risk                      
Barclays Bank PLC Receive Barclays Commodity Strategy 1742 Excess Return Index 0.45% Monthly 124,000 February—2021 $ 24,538,248 $— $598,895 $598,895
Cargill, Inc. Receive Monthly Rebalance Commodity Excess Return Index 0.47 Monthly 37,300 February—2021   23,551,242 — 0 0
Cargill, Inc. Receive Single Commodity Index Excess Return 0.12 Monthly 29,580 December—2020   30,788,284 — 0 0
JPMorgan Chase Bank, N.A. Receive J.P. Morgan Contag Beta Gas Oil Excess Return Index 0.25 Monthly 39,400 April—2020   4,871,802 — 84,068 84,068
JPMorgan Chase Bank, N.A. Receive S&P GSCI Gold Index Excess Return 0.09 Monthly 113,000 October—2020   13,570,837 — 206,236 206,236
Merrill Lynch International Receive Merrill Lynch Gold Excess Return Index 0.14 Monthly 90,000 June—2020   17,196,822 — 0 0
Merrill Lynch International Receive MLCX Natural Gas Annual Excess Return Index 0.25 Monthly 12,000 November—2020   474,318 — 0 0
Subtotal                 — 889,199 889,199
Equity Risk                      
Goldman Sachs International Receive Hang Seng Index Futures — Monthly 1 April—2020   151,512 — 1,478 1,478
Subtotal — Appreciation         — 890,677 890,677
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Over-The-Counter Total Return Swap Agreements(a)(b)—(continued)
Counterparty Pay/
Receive 		Reference Entity(c) Fixed
Rate 		Payment
Frequency 		Number of
Contracts 		Maturity Date Notional Value Upfront
Payments
Paid
(Received) 		Value Unrealized
Appreciation
(Depreciation)
Commodity Risk                      
Barclays Bank PLC Receive Barclays Commodity Strategy 1452 Excess Return Index 0.33% Monthly 16,000 February—2021 $ 6,737,037 $— $(428,691) $(428,691)
Canadian Imperial Bank of Commerce Receive Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 0.30 Monthly 276,500 April—2020   18,811,263 — (1,967,685) (1,967,685)
Goldman Sachs International Receive Goldman Sachs Commodity i-Select Strategy 1121 0.40 Monthly 367,500 October—2020   24,263,500 — (653,132) (653,132)
Morgan Stanley Capital Services LLC Receive S&P GSCI Aluminum Dynamic Roll Index Excess Return 0.38 Monthly 153,000 October—2020   11,981,684 — (794,264) (794,264)
Subtotal — Depreciation         — (3,843,772) (3,843,772)
Total — Total Return Swap Agreements         $— $(2,953,095) $(2,953,095)
    
(a) Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held with the swap Counterparties in the amount of $10,194,596.
(b) The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively.
(c) The table below includes additional information regarding the underlying components of certain reference entities that are not publicly available.
    
Reference Entity Components
Reference Entity Underlying Components Percentage
Canadian Imperial Bank of Commerce Custom 7 Agriculture Commodity Index    
  Long Futures Contracts  
  Coffee ‘C’ 5.46%
  Corn 5.72
  Cotton No. 2 21.66
  Lean Hogs 0.78
  Live Cattle 1.13
  Soybean Meal 20.88
  Soybean Oil 5.46
  Soybeans 20.36
  Sugar No. 11 12.31
  Wheat 6.24
  Total 100.00%
Monthly Rebalance Commodity Excess Return Index    
  Long Futures Contracts  
  Coffee ’C’ 5.46%
  Corn 5.72
  Cotton No. 2 21.66
  Lean Hogs 0.78
  Live Cattle 1.13
  Soybean Meal 20.88
  Soybean Oil 5.46
  Soybeans 20.36
  Sugar No. 11 12.31
  Wheat 6.24
  Total 100.00%
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Reference Entity Components—(continued)
Reference Entity Underlying Components Percentage
Barclays Commodity Strategy 1742 Index    
  Long Futures Contracts  
  Coffee ’C’ 5.46%
  Corn 5.72
  Cotton No. 2 21.66
  Lean Hogs 0.78
  Live Cattle 1.13
  Soybean Meal 20.88
  Soybean Oil 5.46
  Soybeans 20.36
  Sugar No. 11 12.31
  Wheat 6.24
  Total 100.00%
Single Commodity Index Excess Return    
  Long Futures Contracts  
  Gold 100.00%
J.P. Morgan Contag Beta Gas Oil Excess Return Index    
  Long Futures Contracts  
  Gas Oil 100.00%
S&P GSCI Gold Index Excess Return    
  Long Futures Contracts  
  Gold 100.00%
Merrill Lynch Gold Excess Return Index    
  Long Futures Contracts  
  Gold 100.00%
MLCX Natural Gas Annual Excess Return Index    
  Long Futures Contracts  
  Natural Gas 100.00%
Barclays Commodity Strategy 1452 Excess Return Index    
  Long Futures Contracts  
  Copper 100.00%
Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2    
  Long Futures Contracts  
  Copper 100.00%
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Reference Entity Components—(continued)
Reference Entity Underlying Components Percentage
Goldman Sachs Commodity i-Select Strategy 1121    
  Long Futures Contracts  
  Coffee ’C’ 5.46%
  Corn 5.72
  Cotton No. 2 21.66
  Lean Hogs 0.78
  Live Cattle 1.13
  Soybean Meal 20.88
  Soybean Oil 5.46
  Soybeans 20.36
  Sugar No. 11 12.31
  Wheat 6.24
  Total 100.00%
S&P GSCI Aluminum Dynamic Roll Index Excess Return    
  Long Futures Contracts  
  Aluminum 100.00%
The valuation policy and a listing of other significant accounting policies are available in the most recent shareholder report.
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Notes to Quarterly Consolidated Schedule of Portfolio Holdings
March 31, 2020
(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 or are unreliable. 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 the Fund’s own 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, 2020. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the consolidated financial statements may materially differ from the value received upon actual sale of those investments.
  Level 1 Level 2 Level 3 Total
Investments in Securities        
U.S. Treasury Securities $— $89,439,397 $— $89,439,397
Commodity-Linked Securities — 18,725,359 — 18,725,359
Money Market Funds 710,691,975 — — 710,691,975
Total Investments in Securities 710,691,975 108,164,756 — 818,856,731
Other Investments - Assets*        
Futures Contracts 33,025,200 — — 33,025,200
Swap Agreements — 890,677 — 890,677
  33,025,200 890,677 — 33,915,877
Other Investments - Liabilities*        
Futures Contracts (26,234,097) — — (26,234,097)
Swap Agreements — (3,843,772) — (3,843,772)
  (26,234,097) (3,843,772) — (30,077,869)
Total Other Investments 6,791,103 (2,953,095) — 3,838,008
Total Investments $717,483,078 $105,211,661 $— $822,694,739
    
* Unrealized appreciation (depreciation).
NOTE 2—Significant Event
During the first quarter of 2020, the World Health Organization declared the coronavirus (COVID-19) to be a public health emergency. COVID-19 has led to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets in general. COVID-19 may adversely impact the Fund’s ability to achieve its investment objective, as stated in the most recent shareholder report. Because of the uncertainties on valuation, the global economy and business operations, values reflected in the Consolidated Schedule of Investments may materially differ from the value received upon actual sales of those investments.
The Coronavirus Aid, Relief, and Economic Security Act, commonly referred to as the “CARES Act,” was signed into law on March 27, 2020 by President Trump. The Adviser is assessing the components of the Act, and the impacts to the Fund should be immaterial.
Invesco V.I. Balanced-Risk Allocation Fund