NPORT-EX 2 edgar.htm
Schedule of Investments
September 30, 2022
(Unaudited)
  Principal
Amount 		Value
U.S. Government Sponsored Agency Mortgage-Backed Securities–58.21%
Collateralized Mortgage Obligations–12.67%
Fannie Mae ACES,                       
2.76% (1 mo. USD LIBOR + 0.59%), 09/25/2023(a)      $231,796     $231,650
3.27%, 02/25/2029    5,000,000   4,642,833
Fannie Mae REMICs,                       
2.50%, 03/25/2026            9           9
7.00%, 09/18/2027       50,655      51,795
1.50%, 01/25/2028    1,014,995     957,677
6.50%, 03/25/2032      279,608     291,440
5.75%, 10/25/2035       73,008      74,091
3.38% (1 mo. USD LIBOR + 0.30%), 05/25/2036(a)      965,870     952,375
3.53% (1 mo. USD LIBOR + 0.45%), 03/25/2037(a)      556,961     552,633
6.61%, 06/25/2039(b)    1,298,609   1,363,767
4.00%, 07/25/2040      715,728     692,007
3.63% (1 mo. USD LIBOR + 0.55%), 02/25/2041(a)      331,801     331,675
3.58% (1 mo. USD LIBOR + 0.50%), 05/25/2041(a)      345,345     344,536
3.60% (1 mo. USD LIBOR + 0.52%), 11/25/2041(a)      517,436     515,232
2.69% (1 mo. USD LIBOR + 0.32%), 08/25/2044(a)      773,299     761,466
2.85% (1 mo. USD LIBOR + 0.48%), 02/25/2056(a)    1,481,906   1,485,938
2.76% (1 mo. USD LIBOR + 0.42%), 12/25/2056(a)    1,828,813   1,800,018
Series 2021-11, Class MI, IO,
2.00%, 03/25/2051(c) 		   2,669,948     364,722
Freddie Mac Multifamily Structured Pass-Through Ctfs.,                       
Series KLU1, Class A2,
2.51%, 12/25/2025 		   5,000,000   4,734,609
Series KG01, Class A7,
2.88%, 04/25/2026 		   5,000,000   4,727,413
Series KS11, Class AFX1,
2.15%, 12/25/2028 		   5,000,000   4,526,201
Series K093, Class A1,
2.76%, 12/25/2028 		   1,811,423   1,711,443
Series K092, Class AM,
3.02%, 04/25/2029 		   5,000,000   4,531,354
  Principal
Amount 		Value
Collateralized Mortgage Obligations–(continued)
Freddie Mac REMICs,                       
3.00%, 04/15/2026            $2           $2
3.32% (1 mo. USD LIBOR + 0.50%), 12/15/2035 to 03/15/2040(a)      923,186     920,002
3.12% (1 mo. USD LIBOR + 0.30%), 03/15/2036 to 09/15/2044(a)    1,074,790   1,066,688
2.72% (1 mo. USD LIBOR + 0.35%), 11/15/2036(a)    1,122,826   1,108,573
3.19% (1 mo. USD LIBOR + 0.37%), 03/15/2037(a)      521,257     515,488
3.68% (1 mo. USD LIBOR + 0.86%), 11/15/2039(a)      276,358     278,954
3.27% (1 mo. USD LIBOR + 0.45%), 03/15/2040 to 02/15/2042(a)    2,371,136   2,354,712
Series 331, Class AF,
3.22% (1 mo. USD LIBOR + 0.40%), 06/15/2037(a) 		     751,963     744,221
Freddie Mac STRIPS,
2.72% (1 mo. USD LIBOR + 0.35%), 10/15/2037(a) 		     861,944     861,976
      43,495,500
Federal Home Loan Mortgage Corp. (FHLMC)–9.51%
7.00%, 01/01/2023 to 11/01/2035    1,171,912   1,217,471
6.50%, 07/01/2023 to 12/01/2035      839,374     870,692
8.00%, 10/01/2023 to 02/01/2035      135,127     137,164
8.50%, 05/01/2026 to 08/01/2031       71,457      72,863
7.05%, 05/20/2027       19,304      19,584
6.00%, 09/01/2029 to 07/01/2038      120,806     123,941
7.50%, 09/01/2030 to 06/01/2035      400,453     415,250
6.03%, 10/20/2030      340,472     346,676
3.00%, 02/01/2032 to 01/01/2050   10,197,311   9,078,341
2.50%, 09/01/2034 to 12/01/2050   15,022,583  13,393,760
5.00%, 01/01/2037 to 01/01/2040      396,383     400,337
4.50%, 01/01/2040 to 08/01/2041    1,925,737   1,874,368
ARM,
2.78% (1 yr. USD LIBOR + 1.88%), 09/01/2035(a) 		   1,066,239   1,087,660
3.09% (1 yr. USD LIBOR + 1.87%), 07/01/2036(a)    1,001,295   1,017,627
2.16% (1 yr. USD LIBOR + 1.91%), 10/01/2036(a)       44,829      45,878
3.14% (1 yr. USD LIBOR + 1.57%), 10/01/2036(a)      444,805     452,400
2.28% (1 yr. USD LIBOR + 1.97%), 11/01/2037(a)      203,680     208,603
 
See accompanying notes which are an integral part of this schedule.
Invesco V.I. Government Securities Fund
  Principal
Amount 		Value
Federal Home Loan Mortgage Corp. (FHLMC)–(continued)
2.45% (1 yr. USD LIBOR + 2.08%), 01/01/2038(a)       $17,860      $18,057
2.99% (1 yr. USD LIBOR + 1.84%), 07/01/2038(a)      305,078     311,454
2.92% (1 yr. USD LIBOR + 1.78%), 06/01/2043(a)      346,939     351,780
2.91%, 01/01/2048(d)    1,251,772   1,222,964
      32,666,870
Federal National Mortgage Association (FNMA)–14.73%
7.50%, 11/01/2022 to 08/01/2037    1,685,644   1,750,042
5.50%, 11/01/2023 to 05/01/2035      619,414     639,350
6.50%, 12/01/2023 to 11/01/2037      694,794     719,028
6.75%, 07/01/2024       17,843      18,393
8.50%, 09/01/2024 to 12/01/2036      222,348     234,707
4.50%, 11/01/2024 to 08/01/2041    1,942,806   1,898,851
7.00%, 09/01/2025 to 03/01/2036      546,856     556,747
6.95%, 10/01/2025        2,147       2,147
0.50%, 11/07/2025    4,000,000   3,563,213
8.00%, 09/01/2026 to 10/01/2037      979,160   1,038,545
3.50%, 05/01/2027 to 08/01/2027    1,196,647   1,139,219
6.00%, 06/01/2027 to 10/01/2038      516,525     540,461
0.75%, 10/08/2027    6,000,000   5,102,949
3.59%, 10/01/2028    4,000,000   3,816,428
3.00%, 12/01/2031 to 03/01/2050    5,736,961   5,235,301
5.00%, 08/01/2033 to 12/01/2033      125,289     124,190
2.50%, 12/01/2034 to 07/01/2035   12,017,477  10,942,728
2.00%, 09/01/2035 to 01/01/2051    8,084,880   6,838,860
4.00%, 09/01/2043 to 12/01/2048    4,959,070   4,689,943
ARM,
3.10% (1 yr. U.S. Treasury Yield Curve Rate + 2.36%), 10/01/2034(a) 		     843,306     868,803
3.10% (1 yr. U.S. Treasury Yield Curve Rate + 2.19%), 05/01/2035(a)       67,150      68,646
2.65% (1 yr. USD LIBOR + 1.71%), 03/01/2038(a)       16,258      16,495
2.40% (1 yr. USD LIBOR + 1.77%), 02/01/2042(a)      147,640     146,222
3.77% (1 yr. USD LIBOR + 1.52%), 08/01/2043(a)      287,874     287,396
3.55% (1 yr. U.S. Treasury Yield Curve Rate + 1.88%), 05/01/2044(a)      338,738     341,237
      50,579,901
  Principal
Amount 		Value
Government National Mortgage Association (GNMA)–11.40%
7.50%, 01/15/2023 to 10/15/2035      $654,409     $680,414
8.00%, 01/15/2023 to 01/15/2037      490,551     512,005
7.00%, 09/15/2023 to 12/15/2036      334,057     340,899
6.50%, 12/15/2023 to 09/15/2034    1,220,939   1,258,630
6.00%, 01/16/2025 to 08/15/2033      224,381     230,317
5.00%, 02/15/2025       32,367      32,043
6.95%, 08/20/2025 to 09/20/2026       35,019      35,022
6.38%, 10/20/2027 to 12/20/2027       57,766      58,180
6.10%, 12/20/2033    1,917,992   2,002,386
5.69%, 08/20/2034(b)      472,273     484,095
8.50%, 10/15/2036 to 01/15/2037      112,170     114,193
5.89%, 01/20/2039(b)    1,788,342   1,845,541
3.74% (1 mo. USD LIBOR + 0.80%), 09/16/2039(a)      451,875     455,904
3.71% (1 mo. USD LIBOR + 0.70%), 05/20/2040(a)      958,460     963,522
4.51%, 07/20/2041(b)      264,096     260,325
2.21%, 09/20/2041    1,021,900   1,017,166
3.26% (1 mo. USD LIBOR + 0.25%), 01/20/2042(a)       12,663      12,534
3.50%, 10/20/2042 to 06/20/2050    5,805,016   5,377,098
2.86% (1 mo. USD LIBOR + 0.30%), 08/20/2047(a)    1,846,690   1,820,044
2.50%, 07/20/2049    3,077,827   2,833,683
3.00%, 10/20/2049 to 11/20/2049    5,680,882   5,038,894
Series 2019-29, Class PE,
3.00%, 10/20/2048 		   1,720,587   1,604,188
Series 2019-52, Class JL,
3.00%, 11/20/2048 		   2,093,641   1,961,881
Series 2019-30, Class MA,
3.50%, 03/20/2049 		     379,085     355,363
TBA,
4.00%, 10/01/2052(e) 		   3,840,000   3,586,950
4.50%, 10/01/2052(e)    3,800,000   3,638,352
Series 2020-137, Class A,
1.50%, 04/16/2062 		   3,186,516   2,633,682
      39,153,311
Uniform Mortgage-Backed Securities–9.90%
TBA,
4.50%, 10/01/2052(e) 		  10,210,000   9,729,013
5.00%, 10/01/2052(e)    5,200,000   5,066,776
5.50%, 10/01/2052(e)   10,600,000  10,538,719
6.00%, 10/01/2052(e)    8,500,000   8,637,793
      33,972,301
Total U.S. Government Sponsored Agency Mortgage-Backed Securities (Cost $216,475,925) 199,867,883
U.S. Treasury Securities–32.41%
U.S. Treasury Bills–0.37%(f)(g)
1.48% - 2.70%, 11/17/2022    1,247,000   1,244,008
See accompanying notes which are an integral part of this schedule.
Invesco V.I. Government Securities Fund
  Principal
Amount 		Value
U.S. Treasury Bonds–1.03%
5.38%, 02/15/2031    $3,200,000   $3,539,562
U.S. Treasury Notes–31.01%
0.13% - 2.38%, 01/31/2023    7,557,000   7,484,027
0.13%, 02/28/2023    5,557,000   5,473,972
1.63%, 04/30/2023    4,000,000   3,944,486
2.75%, 05/31/2023    6,300,000   6,245,322
1.63%, 10/31/2023      625,000     607,520
2.63%, 12/31/2023    1,900,000   1,861,555
0.25%, 03/15/2024    7,000,000   6,602,149
0.25%, 05/15/2024    3,000,000   2,810,859
2.00%, 05/31/2024    2,500,000   2,408,106
2.25%, 11/15/2024    3,200,000   3,070,250
2.13%, 05/15/2025    5,480,000   5,192,514
2.25%, 11/15/2025    2,800,000   2,637,578
0.38% - 2.88%, 11/30/2025   11,500,000  10,380,703
0.38%, 12/31/2025    7,000,000   6,191,172
0.88%, 06/30/2026    7,000,000   6,198,828
1.50%, 08/15/2026    7,450,000   6,739,922
1.13%, 02/28/2027    9,159,000   8,066,718
2.38%, 05/15/2027    1,000,000     927,109
0.50%, 06/30/2027    1,900,000   1,608,988
2.25%, 11/15/2027    2,900,000   2,654,406
2.75%, 02/15/2028    1,900,000   1,779,691
1.25%, 06/30/2028    4,500,000   3,857,695
2.88%, 08/15/2028    7,500,000   7,038,281
2.38%, 05/15/2029    2,600,000   2,353,406
1.63%, 08/15/2029      400,000     345,047
      106,480,304
Total U.S. Treasury Securities (Cost $120,673,760) 111,263,874
Asset-Backed Securities–9.40%(h)
Angel Oak Mortgage Trust, Series 2020-6, Class A2, 1.52%, 05/25/2065(b)(i)      771,781     669,758
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class XA, IO, 0.90%, 09/15/2048(j)   13,123,226     237,049
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 12A1, 3.02%, 01/25/2035(b)      210,541     202,176
Chase Mortgage Finance Corp.,                       
Series 2016-SH1, Class M3, 3.75%, 04/25/2045(b)(i)    1,002,528     848,771
Series 2016-SH2, Class M3, 3.75%, 12/25/2045(b)(i)    1,288,604   1,129,671
COLT Mortgage Loan Trust,                       
Series 2020-2, Class A1, 1.85%, 03/25/2065(b)(i)      184,368     180,961
Series 2021-4, Class A1, 1.40%, 10/25/2066(b)(i)    4,371,306   3,600,022
FRESB Mortgage Trust, Series 2019-SB63, Class A5, 2.55%, 02/25/2039(b)    2,961,370   2,884,838
GCAT Trust, Series 2020-NQM1, Class A3, 2.55%, 01/25/2060(i)(k)    2,872,677   2,784,842
Mello Mortgage Capital Acceptance Trust, Series 2021-INV1, Class A4, 2.50%, 06/25/2051(b)(i)      532,411     458,694
MFA Trust, Series 2021-INV2, Class A1, 1.91%, 11/25/2056(b)(i)    4,609,603   3,987,799
  Principal
Amount 		Value
New Residential Mortgage Loan Trust,                       
Series 2018-4A, Class A1S, 3.19% (1 mo. USD LIBOR + 0.75%), 01/25/2048(a)(i)    $1,282,601   $1,245,176
Series 2020-NQM1, Class A3, 2.77%, 01/26/2060(b)(i)    1,189,373   1,078,582
NextGear Floorplan Master Owner Trust, Series 2021-1A, Class A, 0.85%, 07/15/2026(i)    2,000,000   1,862,894
SGR Residential Mortgage Trust, Series 2021-2, Class A1, 1.74%, 12/25/2061(b)(i)    3,531,927   2,841,295
SMB Private Education Loan Trust, Series 2021-D, Class A1A, 1.34%, 03/17/2053(i)    2,175,618   1,913,790
Starwood Mortgage Residential Trust, Series 2022-1, Class A1, 2.45%, 12/25/2066(b)(i)    1,787,667   1,574,154
Textainer Marine Containers VII Ltd. (China),                       
Series 2020-3A, Class A, 2.11%, 09/20/2045(i)    2,041,728   1,780,327
Series 2021-2A, Class B, 2.82%, 04/20/2046(i)    3,546,667   2,989,788
Total Asset-Backed Securities (Cost $36,666,886) 32,270,587
Certificates of Deposit–5.24%
Diversified Banks–5.24%
Canadian Imperial Bank of Commerce (Canada), 3.29% (SOFR + 0.25%), 02/21/2023(a)   10,000,000   9,997,762
Svenska Handelsbanken AB (Sweden), 3.27% (SOFR + 0.23%), 11/30/2022(a)    8,000,000   7,999,477
      17,997,239
U.S. Government Sponsored Agency Securities–3.83%
Federal Home Loan Bank (FHLB)–3.83%
Federal Home Loan Bank, 0.50%, 04/14/2025
(Cost $14,514,097) 		  14,500,000  13,164,978
Agency Credit Risk Transfer Notes–1.23%
Fannie Mae Connecticut Avenue Securities,                       
Series 2015-C02, Class 1M2, 7.08% (1 mo. USD LIBOR + 4.00%), 05/25/2025(a)      851,445     864,958
Series 2022-R03, Class 1M1, 4.38% (30 Day Average SOFR + 2.10%), 03/25/2042(a)(i)    2,194,298   2,169,544
Freddie Mac, Series 2021-DNA3, Class M2, STACR®, 4.38% (30 Day Average SOFR + 2.10%), 10/25/2033(a)(i)    1,240,000   1,182,968
Total Agency Credit Risk Transfer Notes (Cost $4,252,674) 4,217,470
U.S. Dollar Denominated Bonds & Notes–1.12%
Sovereign Debt–1.12%
Israel Government AID Bond, 5.13%, 11/01/2024
(Cost $3,805,926) 		   3,800,000   3,847,597
See accompanying notes which are an integral part of this schedule.
Invesco V.I. Government Securities Fund
  Shares Value
Money Market Funds–0.55%
Invesco Government & Agency Portfolio, Institutional Class, 2.88%(l)(m)
(Cost $1,892,581) 		 1,892,581   $1,892,581
TOTAL INVESTMENTS IN SECURITIES–111.99% (Cost $416,281,849) 384,522,209
OTHER ASSETS LESS LIABILITIES—(11.99)% (41,165,037)
NET ASSETS–100.00% $343,357,172
Investment Abbreviations:
ACES – Automatically Convertible Extendable Security
ARM – Adjustable Rate Mortgage
Ctfs. – Certificates
IO – Interest Only
LIBOR – London Interbank Offered Rate
REMICs – Real Estate Mortgage Investment Conduits
SOFR – Secured Overnight Financing Rate
STACR® – Structured Agency Credit Risk
STRIPS – Separately Traded Registered Interest and Principal Security
TBA – To Be Announced
USD – U.S. Dollar
Notes to Schedule of Investments:
(a) Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on September 30, 2022.
(b) 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 September 30, 2022.
(c) Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security.
(d) Security issued at a fixed rate for a specific period of time, after which it will convert to a variable rate.
(e) Security purchased on a forward commitment basis. This security is subject to dollar roll transactions.
(f) All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts.
(g) Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.
(h) Non-U.S. government sponsored securities.
(i) 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, 2022 was $32,299,036, which represented 9.41% of the Fund’s Net Assets.
(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 September 30, 2022.
(k) Step coupon bond. The interest rate represents the coupon rate at which the bond will accrue at a specified future date.
(l) 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, 2022.
    
  Value
December 31, 2021 		Purchases
at Cost 		Proceeds
from Sales 		Change in
Unrealized
Appreciation 		Realized
Gain
(Loss) 		Value
September 30, 2022 		Dividend Income
Investments in Affiliated Money Market Funds:              
Invesco Government & Agency Portfolio, Institutional Class $10,539,293 $59,355,887 $(68,002,599) $- $- $1,892,581 $16,439
Investments Purchased with Cash Collateral from Securities on Loan:              
Invesco Private Government Fund - 47,016,180 (47,016,180) - - - 3,234*
Invesco Private Prime Fund - 74,371,721 (74,371,147) - (574) - 7,704*
Total $10,539,293 $180,743,788 $(189,389,926) $- $(574) $1,892,581 $27,377
    
* 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.
    
(m) The rate shown is the 7-day SEC standardized yield as of September 30, 2022.
    
See accompanying notes which are an integral part of this schedule.
Invesco V.I. Government Securities Fund
Open Futures Contracts
Long Futures Contracts Number of
Contracts 		Expiration
Month 		Notional
Value 		Value Unrealized
Appreciation
(Depreciation)
Interest Rate Risk
U.S. Treasury 2 Year Notes 210 December-2022 $43,132,032 $(701,234) $(701,234)
U.S. Treasury 5 Year Notes 308 December-2022 33,112,406 (1,152,593) (1,152,593)
U.S. Treasury 10 Year Notes 226 December-2022 25,326,125 (1,239,469) (1,239,469)
U.S. Treasury 10 Year Ultra Notes 68 December-2022 8,056,938 (498,844) (498,844)
Subtotal—Long Futures Contracts (3,592,140) (3,592,140)
Short Futures Contracts          
Interest Rate Risk
U.S. Treasury Long Bonds 35 December-2022 (4,424,219) 349,719 349,719
U.S. Treasury Ultra Bonds 6 December-2022 (822,000) 78,375 78,375
Subtotal—Short Futures Contracts 428,094 428,094
Total Futures Contracts $(3,164,046) $(3,164,046)
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 schedule.
Invesco V.I. Government Securities Fund
Notes to Quarterly Schedule of Portfolio Holdings
September 30, 2022
(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 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 September 30, 2022. 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 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. Government Sponsored Agency Mortgage-Backed Securities $— $199,867,883 $— $199,867,883
U.S. Treasury Securities — 111,263,874 — 111,263,874
Asset-Backed Securities — 32,270,587 — 32,270,587
Certificates of Deposit — 17,997,239 — 17,997,239
U.S. Government Sponsored Agency Securities — 13,164,978 — 13,164,978
Agency Credit Risk Transfer Notes — 4,217,470 — 4,217,470
U.S. Dollar Denominated Bonds & Notes — 3,847,597 — 3,847,597
Money Market Funds 1,892,581 — — 1,892,581
Total Investments in Securities 1,892,581 382,629,628 — 384,522,209
Other Investments - Assets*        
Futures Contracts 428,094 — — 428,094
Other Investments - Liabilities*        
Futures Contracts (3,592,140) — — (3,592,140)
Total Other Investments (3,164,046) — — (3,164,046)
Total Investments $(1,271,465) $382,629,628 $— $381,358,163
    
* Unrealized appreciation (depreciation).
Invesco V.I. Government Securities Fund