NPORT-EX 2 edgar.htm
Consolidated Schedule of Investments
September 30, 2021
(Unaudited)
  Interest
Rate 		Maturity
Date 		Principal
Amount
(000) 		Value
U.S. Treasury Securities–11.71%(a)    
U.S. Treasury Bills–11.71%
U.S. Treasury Bills 0.03% 12/02/2021   $     12,600 $ 12,599,309
U.S. Treasury Bills 0.04% 12/09/2021        12,600  12,599,437
U.S. Treasury Bills 0.04% 12/16/2021        44,300  44,297,101
U.S. Treasury Bills 0.04% 03/17/2022        45,400  45,391,049
Total U.S. Treasury Securities (Cost $114,885,419) 114,886,896
    Expiration
Date 		   
Commodity-Linked Securities–3.25%
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  13,867,362
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)(c)       05/31/2022        16,550  17,979,922
Total Commodity-Linked Securities (Cost $24,350,000) 31,847,284
      Shares  
Money Market Funds–77.53%(d)
Invesco Government & Agency Portfolio, Institutional Class, 0.03%(e)           234,067,840 234,067,840
Invesco Government Money Market Fund, Cash Reserve Shares, 0.01%(e)            31,193,033  31,193,033
Invesco Premier U.S. Government Money Portfolio, Institutional Class, 0.01%(e)           111,575,292 111,575,292
Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio (Ireland), Institutional Class, 0.01%(e)            58,582,109  58,582,109
Invesco Treasury Obligations Portfolio, Institutional Class, 0.01%(e)           171,324,067 171,324,067
Invesco Treasury Portfolio, Institutional Class, 0.01%(e)           137,171,531 137,171,531
Invesco V.I. Government Money Market Fund, Series I, 0.01%(e)            16,640,310  16,640,310
Total Money Market Funds (Cost $760,554,182) 760,554,182
Options Purchased–1.04%
(Cost $12,175,787)(f) 10,171,935
TOTAL INVESTMENTS IN SECURITIES–93.53% (Cost $911,965,388) 917,460,297
OTHER ASSETS LESS LIABILITIES–6.47% 63,472,743
NET ASSETS–100.00% $980,933,040
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, 2021 was $31,847,284, which represented 3.25% 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, 2021.
(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, 2021.
    
  Value
December 31, 2020 		Purchases
at Cost 		Proceeds
from Sales 		Change in
Unrealized
Appreciation 		Realized
Gain 		Value
September 30, 2021 		Dividend Income
Investments in Affiliated Money Market Funds:              
Invesco Government & Agency Portfolio, Institutional Class $217,347,590 $322,752,432 $(306,032,182) $- $- $234,067,840 $50,041
Invesco Government Money Market Fund, Cash Reserve Shares 66,946,656 24,608,365 (60,361,988) - - 31,193,033 2,332
Invesco Premier U.S. Government Money Portfolio, Institutional Class 88,804,736 96,862,599 (74,092,043) - - 111,575,292 7,801
Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio, Institutional Class 59,779,663 208,977,526 (210,175,080) - - 58,582,109 9,131
Invesco Treasury Obligations Portfolio, Institutional Class 171,324,067 - - - - 171,324,067 13,096
Invesco Treasury Portfolio, Institutional Class 146,283,230 322,341,647 (331,453,346) - - 137,171,531 11,747
Invesco V.I. Government Money Market Fund, Series I 16,640,310 - - - - 16,640,310 846
Total $767,126,252 $975,542,569 $(982,114,639) $- $- $760,554,182 $94,994
    
(f) The table below details options purchased.
    
Open Exchange-Traded Index Options Purchased
Description Type of
Contract 		Expiration
Date 		Number of
Contracts 		Exercise
Price 		Notional
Value(a) 		Value
Equity Risk            
EURO STOXX 50 Index Put 12/17/2021 60 EUR 3,400.00 EUR 2,040,000 $20,225
EURO STOXX 50 Index Put 03/18/2022 60 EUR 3,500.00 EUR 2,100,000 57,408
EURO STOXX 50 Index Put 06/17/2022 60 EUR 3,750.00 EUR 2,250,000 133,233
EURO STOXX 50 Index Put 06/17/2022 60 EUR 3,850.00 EUR 2,310,000 154,709
EURO STOXX 50 Index Put 03/18/2022 60 EUR 3,900.00 EUR 2,340,000 114,538
EURO STOXX 50 Index Put 10/15/2021 60 EUR 3,850.00 EUR 2,310,000 12,719
EURO STOXX 50 Index Put 11/19/2021 60 EUR 3,950.00 EUR 2,370,000 55,253
EURO STOXX 50 Index Put 06/17/2022 60 EUR 3,800.00 EUR 2,280,000 143,520
EURO STOXX 50 Index Put 03/18/2022 60 EUR 3,450.00 EUR 2,070,000 52,890
EURO STOXX 50 Index Put 09/16/2022 60 EUR 3,850.00 EUR 2,310,000 186,054
EURO STOXX 50 Index Put 09/16/2022 60 EUR 3,900.00 EUR 2,340,000 198,912
EURO STOXX 50 Index Put 09/16/2022 60 EUR 4,000.00 EUR 2,400,000 227,338
FTSE 100 Index Put 10/15/2021 42 GBP 6,925.00 GBP 2,908,500 22,919
FTSE 100 Index Put 11/19/2021 42 GBP 6,900.00 GBP 2,898,000 59,703
FTSE 100 Index Put 12/17/2021 42 GBP 6,875.00 GBP 2,887,500 82,906
FTSE 100 Index Put 01/21/2022 42 GBP 6,875.00 GBP 2,887,500 108,371
FTSE 100 Index Put 02/18/2022 42 GBP 6,850.00 GBP 2,877,000 124,500
FTSE 100 Index Put 03/18/2022 42 GBP 6,800.00 GBP 2,856,000 141,477
FTSE 100 Index Put 04/14/2022 42 GBP 6,800.00 GBP 2,856,000 158,454
FTSE 100 Index Put 05/20/2022 42 GBP 6,775.00 GBP 2,845,500 176,563
FTSE 100 Index Put 06/17/2022 42 GBP 6,700.00 GBP 2,814,000 179,959
FTSE 100 Index Put 07/15/2022 42 GBP 6,400.00 GBP 2,688,000 146,570
FTSE 100 Index Put 08/19/2022 40 GBP 6,625.00 GBP 2,650,000 188,905
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Exchange-Traded Index Options Purchased—(continued)
Description Type of
Contract 		Expiration
Date 		Number of
Contracts 		Exercise
Price 		Notional
Value(a) 		Value
FTSE 100 Index Put 09/16/2022 40 GBP 6,750.00 GBP 2,700,000 $227,172
MSCI Emerging Markets Index Put 12/17/2021 33 USD 1,280.00 USD 4,224,000 225,390
MSCI Emerging Markets Index Put 04/14/2022 33 USD 1,280.00 USD 4,224,000 340,230
MSCI Emerging Markets Index Put 10/15/2021 33 USD 1,350.00 USD 4,455,000 339,570
MSCI Emerging Markets Index Put 11/19/2021 33 USD 1,340.00 USD 4,422,000 324,555
MSCI Emerging Markets Index Put 01/21/2022 33 USD 1,290.00 USD 4,257,000 280,335
MSCI Emerging Markets Index Put 02/18/2022 33 USD 1,290.00 USD 4,257,000 301,785
MSCI Emerging Markets Index Put 05/20/2022 33 USD 1,280.00 USD 4,224,000 369,270
MSCI Emerging Markets Index Put 03/18/2022 33 USD 1,330.00 USD 4,389,000 408,045
MSCI Emerging Markets Index Put 06/17/2022 33 USD 1,330.00 USD 4,389,000 486,750
MSCI Emerging Markets Index Put 07/15/2022 33 USD 1,310.00 USD 4,323,000 487,245
MSCI Emerging Markets Index Put 08/19/2022 33 USD 1,220.00 USD 4,026,000 351,780
MSCI Emerging Markets Index Put 09/16/2022 33 USD 1,250.00 USD 4,125,000 428,175
Nikkei 225 Index Put 12/10/2021 18 JPY 27,250.00 JPY 490,500,000 67,119
Nikkei 225 Index Put 10/08/2021 18 JPY 27,250.00 JPY 490,500,000 4,205
Nikkei 225 Index Put 11/12/2021 18 JPY 27,250.00 JPY 490,500,000 38,007
Nikkei 225 Index Put 01/14/2022 18 JPY 27,000.00 JPY 486,000,000 88,144
Nikkei 225 Index Put 06/10/2022 18 JPY 27,750.00 JPY 499,500,000 221,573
Nikkei 225 Index Put 03/11/2022 18 JPY 27,750.00 JPY 499,500,000 156,072
Nikkei 225 Index Put 02/10/2022 18 JPY 28,000.00 JPY 504,000,000 145,559
Nikkei 225 Index Put 06/10/2022 18 JPY 27,250.00 JPY 490,500,000 196,505
Nikkei 225 Index Put 06/10/2022 18 JPY 27,500.00 JPY 495,000,000 208,635
Nikkei 225 Index Put 09/09/2022 18 JPY 27,500.00 JPY 495,000,000 256,346
Nikkei 225 Index Put 09/09/2022 18 JPY 26,500.00 JPY 477,000,000 208,635
Nikkei 225 Index Put 09/09/2022 18 JPY 27,250.00 JPY 490,500,000 243,407
S&P 500 Index Put 12/17/2021 5 USD 3,625.00 USD 1,812,500 15,800
S&P 500 Index Put 03/18/2022 5 USD 3,750.00 USD 1,875,000 50,225
S&P 500 Index Put 04/14/2022 5 USD 3,925.00 USD 1,962,500 75,525
S&P 500 Index Put 10/15/2021 5 USD 4,080.00 USD 2,040,000 9,100
S&P 500 Index Put 11/19/2021 5 USD 4,075.00 USD 2,037,500 31,000
S&P 500 Index Put 05/20/2022 5 USD 4,050.00 USD 2,025,000 102,775
S&P 500 Index Put 06/17/2022 5 USD 4,050.00 USD 2,025,000 111,875
S&P 500 Index Put 01/21/2022 5 USD 4,075.00 USD 2,037,500 59,225
S&P 500 Index Put 02/18/2022 5 USD 4,075.00 USD 2,037,500 71,400
S&P 500 Index Put 07/15/2022 5 USD 4,150.00 USD 2,075,000 135,325
S&P 500 Index Put 08/19/2022 5 USD 4,250.00 USD 2,125,000 163,200
S&P 500 Index Put 09/16/2022 5 USD 4,375.00 USD 2,187,500 194,850
Total Index Options Purchased 1,892         $10,171,935
    
(a) Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier.
    
Open Futures Contracts(a)
Long Futures Contracts Number of
Contracts 		Expiration
Month 		Notional
Value 		Value Unrealized
Appreciation
(Depreciation)
Commodity Risk
Brent Crude 276 November-2021 $21,398,280 $2,023,873 $2,023,873
Gasoline Reformulated Blendstock Oxygenate Blending 221 October-2021 20,364,708 980,018 980,018
New York Harbor Ultra-Low Sulfur Diesel 56 February-2022 5,370,322 470,984 470,984
Silver 228 December-2021 25,133,580 (1,443,469) (1,443,469)
WTI Crude 218 March-2022 15,778,840 1,275,498 1,275,498
Subtotal 3,306,904 3,306,904
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 743 December-2021 $81,759,720 $(1,184,964) $(1,184,964)
E-Mini S&P 500 Index 146 December-2021 31,373,575 (1,501,022) (1,501,022)
EURO STOXX 50 Index 800 December-2021 37,512,003 (1,009,449) (1,009,449)
FTSE 100 Index 380 December-2021 36,217,174 245,502 245,502
MSCI Emerging Markets Index 535 December-2021 33,319,800 (1,490,618) (1,490,618)
Nikkei 225 Index 189 December-2021 50,028,663 (125,595) (125,595)
Subtotal (5,066,146) (5,066,146)
Interest Rate Risk
Australia 10 Year Bonds 1,793 December-2021 183,383,664 (3,444,282) (3,444,282)
Canada 10 Year Bonds 1,496 December-2021 169,076,583 (3,608,465) (3,608,465)
Japan 10 year Bonds 29 December-2021 39,442,293 (113,665) (113,665)
Long Gilt 892 December-2021 150,415,403 (4,478,649) (4,478,649)
U.S. Treasury Long Bonds 546 December-2021 86,933,438 (1,833,110) (1,833,110)
Subtotal (13,478,171) (13,478,171)
Total Futures Contracts $(15,237,413) $(15,237,413)
    
(a) Futures contracts collateralized by $49,595,000 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                      
Cargill, Inc. Receive Monthly Rebalance Commodity Excess Return Index 0.47% Monthly 27,650 February—2022 USD 25,891,233 $— $597,464 $597,464
Goldman Sachs International Receive Goldman Sachs Commodity i-Select Strategy 1121 0.40 Monthly 146,000 December—2021 USD 13,918,009 — 288,316 288,316
J.P. Morgan Chase Bank, N.A. Receive J.P. Morgan Contag Beta Gas Oil Excess Return Index 0.25 Monthly 25,700 March—2022 USD 5,104,459 — 343,002 343,002
Merrill Lynch International Receive MLCX Natural Gas Annual Excess Return Index 0.25 Monthly 112,500 February—2022 USD 7,993,825 91,217 2,583,439 2,492,222
Morgan Stanley Capital Services LLC Receive S&P GSCI Aluminum Dynamic Roll Index Excess Return 0.30 Monthly 121,000 July—2022 USD 14,618,918 — 38,623 38,623
Subtotal — Appreciation         91,217 3,850,844 3,759,627
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 0.26% Monthly 12,500 November—2021 USD 9,545,586 $— $(671,843) $(671,843)
Canadian Imperial Bank of Commerce Receive Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 0.30 Monthly 175,000 February—2022 USD 20,290,148 — (1,331,662) (1,331,662)
Cargill, Inc. Receive Single Commodity Index Excess Return 0.12 Monthly 18,950 December—2021 USD 21,587,120 — (498,120) (498,120)
J.P. Morgan Chase Bank, N.A. Receive S&P GSCI Gold Index Excess Return 0.09 Monthly 105,500 March—2022 USD 13,858,617 — (169,844) (169,844)
Macquarie Bank Ltd. Receive Macquarie Aluminium Dynamic Selection Index 0.30 Monthly 98,000 February—2022 USD 6,352,517 — (41,954) (41,954)
Merrill Lynch International Receive Merrill Lynch Gold Excess Return Index 0.14 Monthly 84,300 February—2022 USD 17,738,339 — (596,127) (596,127)
Subtotal — Depreciation         — (3,309,550) (3,309,550)
Total — Total Return Swap Agreements         $91,217 $541,294 $450,077
    
(a) Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held with the swap Counterparties in the amount of $10,080,000.
(b) The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively.
(c) The Reference Entity Components table below includes additional information regarding the underlying components of certain reference entities that are not publicly available.
    
Open Over-The-Counter Total Return Swap Agreements(a)(b)
Counterparty Pay/
Receive 		Reference Entity Floating
Rate
Index 		Payment
Frequency 		Number of
Contracts 		Maturity Date Notional Value Upfront
Payments
Paid
(Received) 		Value Unrealized
Appreciation
(Depreciation)
Equity Risk                      
BNP Paribas S.A. Receive MSCI EMU Minimum Volatility Index 1 Month EURIBOR - 0.050% Monthly 4,730 March—2022 USD 18,275,955 $— $(692,490) $(692,490)
BNP Paribas S.A. Receive MSCI EMU Momentum Index 1 Month EURIBOR - 0.660% Monthly 2,925 December—2021 USD 19,028,745 — (397,093) (397,093)
BNP Paribas S.A. Receive MSCI EMU Quality Index 1 Month EURIBOR + 5.000% Monthly 3,535 March—2022 USD 18,179,905 — (904,974) (904,974)
BNP Paribas S.A. Receive MSCI USA Minimum Volatility Index 1 Month USD LIBOR - 0.030% Monthly 2,599 March—2022 USD 12,934,027 — (42,832) (42,832)
Citibank, N.A. Receive MSCI USA Quality Index 1 Month USD LIBOR + 0.100% Monthly 3,072 March—2022 USD 12,841,636 — (103,864) (103,864)
Goldman Sachs International Receive MSCI Emerging Markets Minimum Volatility Index 1 Month USD LIBOR + 0.830% Monthly 6,455 December—2021 USD 13,539,621 — (264,959) (264,959)
Goldman Sachs International Receive MSCI Emerging Markets Momentum Index 1 Month USD LIBOR + 0.870% Monthly 486 March—2022 USD 6,495,638 — (46,956) (46,956)
Goldman Sachs International Receive MSCI Emerging Markets Momentum Index 1 Month USD LIBOR + 0.940% Monthly 485 January—2022 USD 6,482,272 — (46,860) (46,860)
Goldman Sachs International Receive MSCI Japan Minimum Volatility Index 1 Month JYP LIBOR - 0.280% Monthly 997,500 November—2021 USD 25,093,137 — (565,903) (565,903)
Goldman Sachs International Receive MSCI Japan Minimum Volatility Index 1 Month JYP LIBOR - 0.300% Monthly 857,948 November—2021 USD 21,582,563 — (486,951) (486,951)
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Open Over-The-Counter Total Return Swap Agreements(a)(b)—(continued)
Counterparty Pay/
Receive 		Reference Entity Floating
Rate
Index 		Payment
Frequency 		Number of
Contracts 		Maturity Date Notional Value Upfront
Payments
Paid
(Received) 		Value Unrealized
Appreciation
(Depreciation)
Goldman Sachs International Receive MSCI Japan Minimum Volatility Index 1 Month JYP LIBOR - 0.320% Monthly 35,000 November—2021 USD 880,461 $— $(22,359) $(22,359)
Goldman Sachs International Receive MSCI Japan Quality Index 1 Month JYP LIBOR - 0.200% Monthly 788,463 November—2021 USD 23,082,034 — (1,052,323) (1,052,323)
Goldman Sachs International Receive MSCI Japan Quality Index 1 Month JYP LIBOR - 0.200% Monthly 801,537 November—2021 USD 23,464,772 3,099 (1,066,721) (1,069,820)
Goldman Sachs International Receive MSCI Japan Quality Index 1 Month JYP LIBOR - 0.220% Monthly 45,000 November—2021 USD 1,317,362 — (59,965) (59,965)
J.P. Morgan Chase Bank, N.A. Receive MSCI Emerging Markets Minimum Volatility Index 1 Month USD LIBOR + 0.680% Monthly 5,169 March—2022 USD 10,828,383 — (198,335) (198,335)
J.P. Morgan Chase Bank, N.A. Receive MSCI Emerging Markets Minimum Volatility Index 1 Month USD LIBOR + 1.150% Monthly 2,000 November—2021 USD 4,195,080 — (82,080) (82,080)
J.P. Morgan Chase Bank, N.A. Receive MSCI Emerging Markets Momentum Index 1 Month USD LIBOR + 0.700% Monthly 797 March—2022 USD 11,221,720 — (646,413) (646,413)
J.P. Morgan Chase Bank, N.A. Receive MSCI Emerging Markets Momentum Index 1 Month USD LIBOR + 1.100% Monthly 954 November—2021 USD 13,418,134 — (759,925) (759,925)
J.P. Morgan Chase Bank, N.A. Receive MSCI Emerging Markets Momentum Index 1 Month USD LIBOR + 1.110% Monthly 210 November—2021 USD 2,953,677 — (167,273) (167,273)
J.P. Morgan Chase Bank, N.A. Receive MSCI United Kingdom Index SONIA + 0.280% Monthly 363 March—2022 USD 6,410,877 — (19,231) (19,231)
J.P. Morgan Chase Bank, N.A. Receive MSCI United Kingdom Index SONIA + 0.280% Monthly 1,375 March—2022 USD 6,708,702 — (55,701) (55,701)
J.P. Morgan Chase Bank, N.A. Receive MSCI United Kingdom Index SONIA + 0.280% Monthly 763 March—2022 USD 6,506,742 — (98,899) (98,899)
J.P. Morgan Chase Bank, N.A. Receive MSCI United Kingdom Index SONIA + 0.280% Monthly 362 March—2022 USD 6,393,216 — (19,178) (19,178)
J.P. Morgan Chase Bank, N.A. Receive MSCI United Kingdom Index SONIA + 0.280% Monthly 1,375 March—2022 USD 6,708,702 — (55,701) (55,701)
J.P. Morgan Chase Bank, N.A. Receive MSCI United Kingdom Index SONIA + 0.280% Monthly 762 March—2022 USD 6,498,214 — (98,770) (98,770)
J.P. Morgan Chase Bank, N.A. Receive MSCI United Kingdom Index SONIA + 0.300% Monthly 649 March—2022 USD 11,544,893 — (117,405) (117,405)
J.P. Morgan Chase Bank, N.A. Receive MSCI United Kingdom Index SONIA + 0.300% Monthly 2,232 March—2022 USD 10,969,084 — (169,449) (169,449)
J.P. Morgan Chase Bank, N.A. Receive MSCI United Kingdom Index SONIA + 0.300% Monthly 1,283 March—2022 USD 11,040,321 — (265,403) (265,403)
J.P. Morgan Chase Bank, N.A. Receive MSCI USA Momentum Index 1 Month USD LIBOR + 0.180% Monthly 3,084 March—2022 USD 13,342,112 — (568,816) (568,816)
Merrill Lynch International Receive MSCI Emerging Markets Minimum Volatility Index 1 Month USD LIBOR + 0.860% Monthly 3,200 March—2022 USD 6,597,728 — (16,928) (16,928)
Merrill Lynch International Receive MSCI Emerging Markets Minimum Volatility Index 1 Month USD LIBOR + 0.950% Monthly 3,200 January—2022 USD 6,597,728 — (16,928) (16,928)
Total — Total Return Swap Agreements         $3,099 $(9,110,685) $(9,113,784)
    
(a) Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held with the swap Counterparties in the amount of $10,080,000.
(b) The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively.
    
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’ 5.15%
  Corn 5.81
  Cotton No. 2 21.69
  Lean Hogs 0.51
  Live Cattle 0.66
  Soybean Meal 22.52
  Soybean Oil 10.13
  Soybeans 21.05
  Sugar No. 11 5.60
  Wheat 6.88
  Total 100.00%
Monthly Rebalance Commodity Excess Return Index    
  Long Futures Contracts  
  Coffee ’C’ 5.15%
  Corn 5.81
  Cotton No. 2 21.69
  Lean Hogs 0.51
  Live Cattle 0.66
  Soybean Meal 22.52
  Soybean Oil 10.13
  Soybeans 21.05
  Sugar No. 11 5.60
  Wheat 6.88
  Total 100.00%
Goldman Sachs Commodity i-Select Strategy 1121    
  Long Futures Contracts  
  Coffee ’C’ 5.15%
  Corn 5.81
  Cotton No. 2 21.69
  Lean Hogs 0.51
  Live Cattle 0.66
  Soybean Meal 22.52
  Soybean Oil 10.13
  Soybeans 21.05
  Sugar No. 11 5.60
  Wheat 6.88
  Total 100.00%
J.P. Morgan Contag Beta Gas Oil Excess Return Index    
  Long Futures Contracts  
  Gas Oil 100.00%
MLCX Dynamic Enhanced Copper Excess Return Index    
  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
S&P GSCI Aluminum Dynamic Roll Index Excess Return    
  Long Futures Contracts  
  Aluminum 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%
Macquarie Aluminium Dynamic Selection Index    
  Long Futures Contracts  
  Aluminum 100.00%
Merrill Lynch Gold Excess Return Index    
  Long Futures Contracts  
  Gold 100.00%
    
Abbreviations:
EMU —European Economic and Monetary Union
EUR —Euro
EURIBOR —Euro Interbank Offered Rate
GBP —British Pound Sterling
JPY —Japanese Yen
LIBOR —London Interbank Offered Rate
SONIA —Sterling Overnight Index Average
USD —U.S. Dollar
The valuation policy and a listing of other significant accounting policies are available in the most recent shareholder report.
See accompanying notes which are an integral part of this consolidated schedule.
Invesco V.I. Balanced-Risk Allocation Fund
Notes to Quarterly Consolidated Schedule of Portfolio Holdings
September 30, 2021
(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, 2021. 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 $— $114,886,896 $— $114,886,896
Commodity-Linked Securities — 31,847,284 — 31,847,284
Money Market Funds 760,554,182 — — 760,554,182
Options Purchased 10,171,935 — — 10,171,935
Total Investments in Securities 770,726,117 146,734,180 — 917,460,297
Other Investments - Assets*        
Futures Contracts 4,995,875 — — 4,995,875
Swap Agreements — 3,759,627 — 3,759,627
  4,995,875 3,759,627 — 8,755,502
Other Investments - Liabilities*        
Futures Contracts (20,233,288) — — (20,233,288)
Swap Agreements — (12,423,334) — (12,423,334)
  (20,233,288) (12,423,334) — (32,656,622)
Total Other Investments (15,237,413) (8,663,707) — (23,901,120)
Total Investments $755,488,704 $138,070,473 $— $893,559,177
    
* Unrealized appreciation (depreciation).
Invesco V.I. Balanced-Risk Allocation Fund