NPORT-EX 2 edgar.htm
Consolidated Schedule of Investments
September 30, 2020
(Unaudited)
  Interest
Rate 		Maturity
Date 		Principal
Amount
(000) 		Value
U.S. Treasury Securities–11.75%(a)    
U.S. Treasury Bills–11.75%
U.S. Treasury Bills 0.11%-0.12% 10/29/2020   $     11,100 $ 11,098,989
U.S. Treasury Bills       0.18% 12/03/2020        11,500  11,498,189
U.S. Treasury Bills       0.16% 01/07/2021        42,000  41,989,853
U.S. Treasury Bills       0.11% 02/25/2021        43,800  43,782,562
Total U.S. Treasury Securities (Cost $108,357,381) 108,369,593
    Expiration
Date 		   
Commodity-Linked Securities–2.46%
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)             10/25/2021         7,800   8,221,539
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  14,495,857
Total Commodity-Linked Securities (Cost $18,980,000) 22,717,396
      Shares  
Money Market Funds–78.98%(d)
Invesco Government & Agency Portfolio, Institutional Class, 0.02%(e)                 189,590,460 189,590,460
Invesco Government Money Market Fund, Cash Reserve Shares, 0.01%(e)                  68,534,018  68,534,018
Invesco Premier U.S. Government Money Portfolio, Institutional Class, 0.01%(e)                  99,549,700  99,549,700
Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio (Ireland), Institutional Class, 0.12%(e)                  51,958,118  51,958,118
Invesco Treasury Obligations Portfolio, Institutional Class, 0.01%(e)                 171,324,067 171,324,067
Invesco Treasury Portfolio, Institutional Class, 0.02%(e)                 130,858,425 130,858,425
Invesco V.I. Government Money Market Fund, Series I, 0.01%(e)                  16,640,310  16,640,310
Total Money Market Funds (Cost $728,455,098) 728,455,098
TOTAL INVESTMENTS IN SECURITIES–93.19% (Cost $855,792,479) 859,542,087
OTHER ASSETS LESS LIABILITIES–6.81% 62,860,779
NET ASSETS–100.00% $922,402,866
Investment Abbreviations:
EMTN – European Medium-Term Notes
LIBOR – London Interbank Offered Rate
USD – U.S. Dollar
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
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 September 30, 2020 was $22,717,396, which represented 2.46% 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 rate shown is the 7-day SEC standardized yield as of September 30, 2020.
(e) Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the nine months ended September 30, 2020.
    
  Value
December 31, 2019 		Purchases
at Cost 		Proceeds
from Sales 		Change in
Unrealized
Appreciation 		Realized
Gain 		Value
September 30, 2020 		Dividend Income
Investments in Affiliated Money Market Funds:              
Invesco Government & Agency Portfolio, Institutional Class $229,550,075 $198,826,261 $(238,785,876) $- $- $189,590,460 $845,877
Invesco Government Money Market Fund, Cash Reserve Shares 82,795,364 23,616,490 (37,877,836) - - 68,534,018 150,966
Invesco Premier U.S. Government Money Portfolio, Institutional Class 126,387,049 56,694,201 (83,531,550) - - 99,549,700 394,255
Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio, Institutional Class 67,396,463 271,392,405 (286,830,750) - - 51,958,118 282,507
Invesco Treasury Obligations Portfolio, Institutional Class 171,324,067 - - - - 171,324,067 659,961
Invesco Treasury Portfolio, Institutional Class 141,286,416 257,005,324 (267,433,315) - - 130,858,425 526,118
Invesco V.I. Government Money Market Fund, Series I 16,640,310 - - - - 16,640,310 43,095
Total $835,379,744 $807,534,681 $(914,459,327) $- $- $728,455,098 $2,902,779
    
Open Futures Contracts(a)
Long Futures Contracts Number of
Contracts 		Expiration
Month 		Notional
Value 		Value Unrealized
Appreciation
(Depreciation)
Commodity Risk
Brent Crude 431 March-2021 $19,002,790 $(1,243,086) $(1,243,086)
Gasoline Reformulated Blendstock Oxygenate Blending 404 October-2020 20,049,389 184,054 184,054
New York Harbor Ultra-Low Sulfur Diesel 87 February-2021 4,406,724 (367,960) (367,960)
Silver 184 December-2020 21,614,480 (3,762,029) (3,762,029)
WTI Crude 210 March-2021 8,773,800 (535,447) (535,447)
Subtotal (5,724,468) (5,724,468)
Equity Risk
E-Mini Russell 2000 Index 710 December-2020 53,406,200 (96,520) (96,520)
E-Mini S&P 500 Index 313 December-2020 52,458,800 (592,869) (592,869)
EURO STOXX 50 Index 1,845 December-2020 69,091,644 (2,538,991) (2,538,991)
FTSE 100 Index 930 December-2020 70,099,447 (2,124,952) (2,124,952)
Hang Seng Index 352 October-2020 53,208,431 524,845 524,845
Tokyo Stock Price Index 685 December-2020 105,576,969 1,636,384 1,636,384
Subtotal (3,192,103) (3,192,103)
Interest Rate Risk
Australia 10 Year Bonds 1,809 December-2020 193,567,655 1,932,774 1,932,774
Canada 10 Year Bonds 1,808 December-2020 206,130,059 (54,409) (54,409)
Long Gilt 275 December-2020 48,298,094 98,597 98,597
U.S. Treasury Long Bonds 478 December-2020 84,262,437 (89,682) (89,682)
Subtotal 1,887,280 1,887,280
Total Futures Contracts $(7,029,291) $(7,029,291)
    
(a) Futures contracts collateralized by $57,795,000 cash held with Goldman Sachs & Co., the futures commission merchant.
    
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Over-The-Counter Total Return Swap Agreements(a)(b)
Counterparty Pay/
Receive 		Reference Entity(c) Fixed
Rate 		Payment
Frequency 		Number of
Contracts 		Maturity Date Notional Value Upfront
Payments
Paid
(Received) 		Value Unrealized
Appreciation
(Depreciation)
Commodity Risk                      
Barclays Bank PLC Receive Barclays Commodity Strategy 1745 Excess Return Index 0.45% Monthly 61,171 September—2021 $ 13,775,183 $— $471,800 $471,800
Cargill, Inc. Receive Monthly Rebalance Commodity Excess Return Index 0.47 Monthly 36,200 February—2021   24,543,611 — 1,013,252 1,013,252
Goldman Sachs International Receive Goldman Sachs Commodity i-Select Strategy 1121 0.40 Monthly 357,000 October—2020   24,539,855 — 971,169 971,169
JPMorgan Chase Bank, N.A. Receive J.P. Morgan Contag Beta Gas Oil Excess Return Index 0.25 Monthly 51,800 April—2021   6,105,407 — 59,275 59,275
Macquarie Bank Ltd. Receive Macquarie Aluminium Dynamic Selection Index 0.30 Monthly 142,000 December—2020   5,852,076 — 59,029 59,029
Merrill Lynch International Receive Merrill Lynch Gold Excess Return Index 0.14 Monthly 72,100 June—2021   15,988,355 — 0 0
Merrill Lynch International Receive MLCX Natural Gas Annual Excess Return Index 0.25 Monthly 145,000 November—2020   6,831,588 — 0 0
Subtotal                 — 2,574,525 2,574,525
Equity Risk                      
Goldman Sachs International Receive Hang Seng Index Futures — Monthly 117 October—2020   17,511,539 — 174,082 174,082
Subtotal — Appreciation         — 2,748,607 2,748,607
Commodity Risk                      
Barclays Bank PLC Receive Barclays Commodity Strategy 1452 Excess Return Index 0.26 Monthly 32,800 July—2021   17,565,332 — (224,162) (224,162)
Canadian Imperial Bank of Commerce Receive Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 0.30 Monthly 233,500 April—2021   19,139,598 — (168,050) (168,050)
Cargill, Inc. Receive Single Commodity Index Excess Return 0.12 Monthly 13,100 December—2020   16,303,317 — (400,192) (400,192)
JPMorgan Chase Bank, N.A. Receive S&P GSCI Gold Index Excess Return 0.09 Monthly 90,500 October—2020   12,887,037 — (81,749) (81,749)
Morgan Stanley Capital Services LLC Receive S&P GSCI Aluminum Dynamic Roll Index Excess Return 0.30 Monthly 161,500 July—2021   13,290,035 — (250,612) (250,612)
Subtotal — Depreciation         — (1,124,765) (1,124,765)
Total — Total Return Swap Agreements         $— $1,623,842 $1,623,842
    
(a) Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held with the swap Counterparties in the amount of $10,531,596.
(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.
    
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Reference Entity Components
Reference Entity Underlying Components Percentage
Canadian Imperial Bank of Commerce Custom 7 Agriculture Commodity Index    
  Long Futures Contracts  
  Coffee ‘C’ 5.71%
  Corn 5.63
  Cotton No. 2 22.87
  Lean Hogs 0.57
  Live Cattle 0.51
  Soybean Meal 23.14
  Soybean Oil 5.31
  Soybeans 22.24
  Sugar No. 11 7.29
  Wheat 6.73
  Total 100.00%
Monthly Rebalance Commodity Excess Return Index    
  Long Futures Contracts  
  Coffee ’C’ 5.71%
  Corn 5.63
  Cotton No. 2 22.87
  Lean Hogs 0.57
  Live Cattle 0.51
  Soybean Meal 23.14
  Soybean Oil 5.31
  Soybeans 22.24
  Sugar No. 11 7.29
  Wheat 6.73
  Total 100.00%
Barclays Commodity Strategy 1745 Excess Return Index    
  Long Futures Contracts  
  Coffee ’C’ 5.71%
  Corn 5.63
  Cotton No. 2 22.87
  Lean Hogs 0.57
  Live Cattle 0.51
  Soybean Meal 23.14
  Soybean Oil 5.31
  Soybeans 22.24
  Sugar No. 11 7.29
  Wheat 6.73
  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
Goldman Sachs Commodity i-Select Strategy 1121    
  Long Futures Contracts  
  Coffee ’C’ 5.71%
  Corn 5.63
  Cotton No. 2 22.87
  Lean Hogs 0.57
  Live Cattle 0.51
  Soybean Meal 23.14
  Soybean Oil 5.31
  Soybeans 22.24
  Sugar No. 11 7.29
  Wheat 6.73
  Total 100.00%
J.P. Morgan Contag Beta Gas Oil Excess Return Index    
  Long Futures Contracts  
  Gas Oil 100.00%
Macquarie Aluminium Dynamic Selection Index    
  Long Futures Contracts  
  Aluminum 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%
Single Commodity Index Excess Return    
  Long Futures Contracts  
  Gold 100.00%
S&P GSCI Gold Index Excess Return    
  Long Futures Contracts  
  Gold 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
September 30, 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 September 30, 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 $— $108,369,593 $— $108,369,593
Commodity-Linked Securities — 22,717,396 — 22,717,396
Money Market Funds 728,455,098 — — 728,455,098
Total Investments in Securities 728,455,098 131,086,989 — 859,542,087
Other Investments - Assets*        
Futures Contracts 4,376,654 — — 4,376,654
Swap Agreements — 2,748,607 — 2,748,607
  4,376,654 2,748,607 — 7,125,261
Other Investments - Liabilities*        
Futures Contracts (11,405,945) — — (11,405,945)
Swap Agreements — (1,124,765) — (1,124,765)
  (11,405,945) (1,124,765) — (12,530,710)
Total Other Investments (7,029,291) 1,623,842 — (5,405,449)
Total Investments $721,425,807 $132,710,831 $— $854,136,638
    
* Unrealized appreciation (depreciation).
NOTE 2—Coronavirus (COVID-19) Pandemic
During the first quarter of 2020, the World Health Organization declared 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 extent of the impact on the performance of the Fund and its investments will depend on future developments, including the duration and spread of the COVID-19 outbreak, related restrictions and advisories, and the effects on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.
Invesco V.I. Balanced-Risk Allocation Fund