Close

Form NPORT-P AIM VARIABLE INSURANCE For: Mar 31

May 26, 2022 1:43 PM EDT

  
    NPORT-P
    false
    
      
      
        
          0000896435
          XXXXXXXX
        
      
      
      
      
        S000073046
        C000229835
        C000229836
      
      
      
    
  
  
    
      AIM Variable Insurance Funds (Invesco Variable Insurance Funds)
      811-07452
      0000896435
      FC4UULIMJMGKBDUARB13
      11 Greenway Plaza
      Suite 1000
      Houston
      
      77046-1173
      800-959-4246
      Invesco V.I. S&P 500 Buffer Fund - September
      S000073046
      549300O11QXTOHZDYP51
      2022-12-31
      2022-03-31
      N
    
    
      5815538.72
      430503.05
      5385035.67
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      N
      
        
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Invesco Treasury Portfolio
        5493004B3TM8ZIDDDC39
        Invesco Treasury Portfolio, Institutional Class
        825252406
        
          
        
        119453.13000000
        NS
        USD
        119453.13000000
        2.218242130975
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPDR S&P 500 ETF Trust Option
        N/A
        
          
        
        -69.00000000
        NC
        USD
        -69606.39000000
        -1.29258920953
        N/A
        DE
        
        N/A
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                
              
            
            100.00000000
            386.24000000
            USD
            2022-09-30
            XXXX
            43777.53000000
          
        
        
          N
          N
          N
        
      
      
        Invesco Government & Agency Portfolio
        5493007T1J7WZ5QI1A47
        Invesco Government & Agency Portfolio, Institutional Class
        825252885
        
          
        
        29280.47000000
        NS
        USD
        29280.47000000
        0.543737716782
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPDR S&P 500 ETF Trust Option
        N/A
        
          
        
        -69.00000000
        NC
        USD
        -59465.23000000
        -1.10426807999
        N/A
        DE
        
        N/A
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                
              
            
            100.00000000
            486.23000000
            USD
            2022-09-30
            XXXX
            36977.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPDR S&P 500 ETF Trust Option
        N/A
        
          
        
        69.00000000
        NC
        USD
        126345.51000000
        2.346233483723
        N/A
        DE
        
        N/A
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                
              
            
            100.00000000
            429.15000000
            USD
            2022-09-30
            XXXX
            -61103.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S&P 500 Index Option
        N/A
        
          
        
        5.00000000
        NC
        USD
        94303.43000000
        1.751212726878
        N/A
        DE
        
        N/A
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX
                N/A
              
            
            100.00000000
            4307.54000000
            USD
            2022-09-30
            XXXX
            -15511.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S&P 500 Index Option
        N/A
        
          
        
        5.00000000
        NC
        USD
        2195257.21000000
        40.76588057215
        N/A
        DE
        
        N/A
        N
        
        2
        
          
            
              GOLDMAN SACHS + CO LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                S&P 500 Index
                SPX
                N/A
              
            
            100.00000000
            129.23000000
            USD
            2022-09-30
            XXXX
            118966.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPDR S&P 500 ETF Trust Option
        N/A
        
          
        
        69.00000000
        NC
        USD
        3012936.15000000
        55.95016142205
        N/A
        DE
        
        N/A
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                
              
            
            100.00000000
            12.87000000
            USD
            2022-09-30
            XXXX
            1686.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S&P 500 Index Option
        N/A
        
          
        
        -5.00000000
        NC
        USD
        -44464.43000000
        -0.82570353707
        N/A
        DE
        
        N/A
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                S&P 500 Index
                SPX
                N/A
              
            
            100.00000000
            4880.44000000
            USD
            2022-09-30
            XXXX
            60620.45000000
          
        
        
          N
          N
          N
        
      
      
        Invesco Liquid Assets Portfolio
        549300DC1W0JSX3QRC47
        Invesco Liquid Assets Portfolio, Institutional Class
        825252729
        
          
        
        49567.95400000
        NS
        USD
        49553.08000000
        0.920199661370
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S&P 500 Index Option
        N/A
        
          
        
        -5.00000000
        NC
        USD
        -50211.72000000
        -0.93243059242
        N/A
        DE
        
        N/A
        N
        
        2
        
          
            
              GOLDMAN SACHS + CO LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Written
            
              
                S&P 500 Index
                SPX
                N/A
              
            
            100.00000000
            3876.79000000
            USD
            2022-09-30
            XXXX
            63965.11000000
          
        
        
          N
          N
          N
        
      
    
    
      2022-04-30
      AIM Variable Insurance Funds (Invesco Variable Insurance Funds)
      Sheri Morris
      Sheri Morris
      President
    
  
  XXXX



Schedule of Investments
March 31, 2022
(Unaudited)
  Shares Value
Money Market Funds–3.69%
Invesco Government & Agency Portfolio, Institutional Class, 0.25%(a)(b) 29,281    $29,281
Invesco Liquid Assets Portfolio, Institutional Class, 0.25%(a)(b) 49,568    49,553
Invesco Treasury Portfolio, Institutional Class, 0.16%(a)(b) 119,453   119,453
Total Money Market Funds (Cost $198,293) 198,287
  Shares Value
Options Purchased–100.85%
(Cost $5,384,804)(c) $5,428,842
TOTAL INVESTMENTS IN SECURITIES–104.54% (Cost $5,583,097) 5,627,129
OTHER ASSETS LESS LIABILITIES—(4.54)% (244,238)
NET ASSETS–100.00% $5,382,891
 
Notes to Schedule of Investments:
(a) 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 three months ended March 31, 2022.
    
  Value
December 31, 2021
Purchases
at Cost
Proceeds
from Sales
Change in
Unrealized
Appreciation
(Depreciation)
Realized
Gain
(Loss)
Value
March 31, 2022
Dividend Income
Investments in Affiliated Money Market Funds:              
Invesco Government & Agency Portfolio, Institutional Class $788,922 $429,917 $(1,189,558) $- $- $29,281 $5
Invesco Liquid Assets Portfolio, Institutional Class 563,516 307,083 (821,026) (6) (14) 49,553 2
Invesco Treasury Portfolio, Institutional Class 901,625 491,333 (1,273,505) - - 119,453 3
Total $2,254,063 $1,228,333 $(3,284,089) $(6) $(14) $198,287 $10
    
(b) The rate shown is the 7-day SEC standardized yield as of March 31, 2022.
(c) The table below details options purchased.
    
Open Equity Options Purchased
Description Type of
Contract
Expiration
Date
Number of
Contracts
Exercise
Price
Notional
Value(a)
Value
Equity Risk
SPDR® S&P 500® ETF Trust Call 09/30/2022 69 USD 12.87 USD 88,803 $ 3,012,936
Equity Risk
SPDR® S&P 500® ETF Trust Put 09/30/2022 69 USD 429.15 USD 2,961,135 126,346
Total Open Equity Options Purchased           $3,139,282
    
(a) Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier.
    
Open Index Options Purchased
Description Type of
Contract
Expiration
Date
Number of
Contracts
Exercise
Price
Notional
Value(a)
Value
Equity Risk          
S&P 500® Index Call 09/30/2022 5 USD 129.23 USD 64,615 $ 2,195,257
Equity Risk          
S&P 500® Index Put 09/30/2022 5 USD 4,307.54 USD 2,153,770 94,303
Total Open Index Options Purchased         $2,289,560
    
(a) Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier.
    
Open Equity Options Written
Description Type of
Contract
Expiration
Date
Number of
Contracts
Exercise
Price
Notional
Value(a)
Value
Equity Risk
SPDR® S&P 500® ETF Trust Call 09/30/2022 69 USD 486.23 USD 3,354,987 $ (59,465)
See accompanying notes which are an integral part of this schedule.
Invesco® V.I. S&P 500 Buffer Fund - September

Open Equity Options Written—(continued)
Description Type of
Contract
Expiration
Date
Number of
Contracts
Exercise
Price
Notional
Value(a)
Value
Equity Risk
SPDR® S&P 500® ETF Trust Put 09/30/2022 69 USD 386.24 USD 2,665,056 $(69,607)
Total Open Equity Options Written       $(129,072)
    
(a) Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier.
    
Open Index Options Written
Description Type of
Contract
Expiration
Date
Number of
Contracts
Exercise
Price
Notional
Value(a)
Value
Equity Risk
S&P 500® Index Call 09/30/2022 5 USD 4,880.44 USD 2,440,220 $ (44,464)
Equity Risk
S&P 500® Index Put 09/30/2022 5 USD 3,876.79 USD 1,938,395 (50,212)
Total Open Index Options Written       $(94,676)
    
(a) Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier.
    
Abbreviations:
ETF —Exchange-Traded Fund
SPDR® —Standard & Poor’s Depositary Receipt
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 schedule.
Invesco® V.I. S&P 500 Buffer Fund - September

Notes to Quarterly Schedule of Portfolio Holdings
March 31, 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 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, 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        
Money Market Funds $198,287 $$— $198,287
Options Purchased 5,428,842 5,428,842
Total Investments in Securities 198,287 5,428,842 5,627,129
Other Investments - Liabilities*        
Options Written (223,748) (223,748)
Total Investments $198,287 $5,205,094 $— $5,403,381
    
* Options written are shown at value.
Invesco® V.I. S&P 500 Buffer Fund - September


Serious News for Serious Traders! Try StreetInsider.com Premium Free!

You May Also Be Interested In





Related Categories

SEC Filings